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 In addition, the information contained herein will be superseded by information contained in term sheets circulated after the date hereof and by information contained in the Prospectus and Prospectus Supplement for this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: March [18], 2004
Sequoia Mortgage Trust 2004-3
Mortgage Pass-Through Certificates
$[917,676,000] (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 | |
A(3) | $894,676,000 | 3.87/4.17 | 1-120/1-245 | Floater | Senior | AAA/Aaa | |
M-1(4) | $13,800,000 | 6.48/6.53 | 38-120/38-132 | Floater | Subordinate | AA/Aa2 | |
M-2(4) | $9,200,000 | 5.63/5.63 | 38-102/38-102 | Floater | Subordinate | A/A2 | |
M-3 | $2,300,000 | Not Marketed Herein | Net WAC | Subordinate | BBB/Baa2 | ||
Total | $[919,976,000] |
(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 to Call for the Class A, Class M-1 and Class M-2 Certificates are shown to the Clean-Up Call Date (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 April 2004.
(4)
The Class M-1 and Class M-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%.
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. Incorporated.
Co-Managers:
Banc of America Securities LLC and Countrywide Securities Corporation.
Master Servicer/
Securities Administrator:
Wells Fargo Bank, N.A.
Trustee:
HSBC Bank USA.
Custodian:
Wells Fargo Bank, N.A.
Rating Agencies:
S&P and Moody’s 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:
March 1, 2004.
Pricing Date:
On or about March [19], 2004.
Closing Date:
On or about March 30, 2004.
Distribution Date:
The 20th day of each month (or if not a business day, the next succeeding business day), commencing in April 2004.
Certificates:
The “Senior Certificates” will consist of the Class A Certificates. The “Subordinate Certificates” will consist of the Class M-1, Class M-2 and Class M-3 Certificates. The Senior Certificates and the Class M-1 and Class M-2 Certificates are collectively referred to herein as the “Offered Certificates”. The Senior Certificates and Subordinate Certificates are collectively referred to herein as the “Certificates.”
Accrued Interest:
The Offered Certificates will settle flat.
Accrual Period:
The interest accrual period (the “Accrual Period”) with respect to the Offered 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 an 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 along with rights under interest rate cap agreements held outside the REMIC for tax purposes.
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 M-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 35% 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 $[919,976,398.77], (the “Mortgage Loans”). As of the Cut-off Date, approximately [90.50]% and [9.50]% 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 [57.64]% and [42.36]% 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.
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 M-1 and Class M-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 M-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 M-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 applicable 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 amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class M-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 applicable 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 M-1Net WAC Shortfall”) from amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class M-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 applicable 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 M-2Net WAC Shortfall”) from amounts on deposit in the Reserve Fund.
The “Net WAC Shortfall”meansany of the Class A Net WAC Shortfall, the Class M-1 Net WAC Shortfall, and the Class M-2 Net WAC Shortfall amounts.
Reserve Fund:
As of the Closing Date, the“Reserve Fund” will be established on behalf of the Offered Certificates. The Reserve Fund will be funded with any excess interest available after priority 1 and 2 in “Priority of Distributions” herein. The Reserve Fund will not be an asset of any REMIC. On any Distribution Date, the Offered Certificates will be entitled to receive payments from the Reserve Fund in an amount equal to the related Net WAC Shortfall. Any amounts remaining in the Reserve Fund after such distribution will be distributed to the Residual Certificates.
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:
Consists of the following:
1) Excess Cashflow;
2) Overcollateralization Amount; and
3) Subordination.
Excess Cashflow:
The“Excess Cashflow” for any Distribution Date will be equal to the available funds remaining after priority 1) under “Priority of Distributions.”
Overcollateralization
Amount:
The “Overcollateralization Amount” is equal to the excess of the aggregate principal balance of the Mortgage Loans, over the aggregate principal balance of the Certificates. On the Closing Date, the Overcollateralization Amount will be equal to approximately 0.00% of the the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. To the extent the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, Excess Cashflow will be directed to build the Overcollateralization Amount until the Required Overcollateralization Amount is reached.
Required
Overcollateralization
Amount:
On any Distribution Date, the “Required Overcollateralization Amount” is equal to [0.50]% of the aggregate principal balance of the Initial Mortgage Loans as of the Cut-off Date.
Stepdown Date:
The earlier to occur of:
(i)
the Distribution Date on which the principal balance of the Class A Certificates has been reduced to zero, and
(ii)
the later to occur of:
a.
the Distribution Date occurring in April 2007; and
b.
the first Distribution Date on which the Credit Enhancement Percentage is greater than or equal to [6.50]%.
Trigger Event:
A “Trigger Event” is in effect on any Distribution Date on or after the Stepdown Date, if either (i) the 60+ delinquency percentage exceeds [50]% of the sum of (a) the aggregate principal balance of the Subordinate Certificates and (b) the Overcollateralization Amount, or (ii) if certain loss tests as described in the prospectus supplement are met.
Credit Enhancement
Percentage:
The “Credit Enhancement Percentage” for a Distribution Date is equal to (i) the sum of (a) the aggregate principal balance of the Subordinate Certificates and (b) the Overcollateralization Amount divided by (ii) the aggregate principal balance of the Mortgage Loans.
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.
Allocation of
Realized Losses:
If a Mortgage Loan becomes a liquidated loan, the net liquidation proceeds relating thereto may be less than the principal balance on such Mortgage Loan. The amount of such insufficiency is a “Realized Loss.” Any realized losses on the Mortgage Loans will be allocated as follows:first, by the Excess Cashflow, andsecond, by the reduction of the Overcollateralization Amount. Following the reduction of any Overcollateralization Amount to zero, all allocable Realized Losses will be applied in reverse sequential order,first to the Class M-3 Certificates,second,to the Class M-2 Certificates, andthird,to the Class M-1 Certificates.
Priority of
Distributions:
Available funds from the Mortgage Loans will be distributed as follows:
1)
Interest funds, as follows: first, to pay servicing fees and trustee fees, second, monthly interest plus any previously unpaid interest to the Class A Certificates, third, monthly interest plus any previously unpaid interest to the Class M-1 Certificates, fourth, monthly interest plus any previously unpaid interest to the Class M-2 Certificates, and fifth, monthly interest plus and previously unpaid interest to the Class M-3 Certificates. Any remaining interest funds will be distributed as part of Excess Cashflow pursuant to 2), 3), and 4) below.
2)
Principal funds (including any amounts required to be withdrawn from Excess Cashflow to the extent necessary to increase the Overcollateralization Amount to the Required Overcollateralization Amount), as follows: monthly principal to the Class A Certificates, as described under "Principal Paydown," then monthly principal to the Class M-1 Certificates as described under "Principal Paydown," then monthly principal to the Class M-2 Certificates as described under “Principal Paydown.”, and then monthly principal to the Class M-3 Certificates as described under “Principal Paydown.”
3)
To the extent available, any remaining Excess Cashflow to pay any Net WAC Shortfall, first, to the Class A Certificates, then to the Class M-1 Certificates, and then to the Class M-2 Certificates, only to the extent the Net WAC Shortfall remains unpaid.
4)
Any remaining Excess Cashflow to the holders of the non-offered certificates as described in the prospectus supplement.
Principal Paydown:
Prior to the Stepdown Date or if a Trigger Event is in effect, 100% of principal (including Excess Cashflow used to pay principal) will be paid, to the Class A Certificates, provided, however if the Class A Certificates have been retired, principal will be applied first to the Class M-1 Certificates, second to the Class M-2 Certificates and third to the Class M-3 Certificates
On or after the Stepdown Date and if a Trigger Event is not in effect, the Offered Certificates will be entitled to receive payments of principal (including Excess Cashflow used to pay principal) in the following order of priority: first, to the Class A Certificates, such that the Class A Certificates will have at least [6.50]% credit enhancement, second to the Class M-1 Certificates such that the Class M-1 Certificates will have at least [3.50]% credit enhancement, third to the Class M-2 Certificates such that the Class M-2 Certificates will have at least [1.50]% credit enhancement and fourth to the Class M-3 Certificates such that the Class M-3 Certificates will have at least [1.00]% credit enhancement.
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 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.
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 di scussed in this communication. 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.
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) | 6.30 | 5.15 | 3.87 | 3.03 | 2.45 | 1.71 |
MDUR (yr) | 5.84 | 4.83 | 3.68 | 2.91 | 2.37 | 1.67 |
First Prin Pay | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 |
Last Prin Pay | 07/20/2019 | 02/20/2017 | 03/20/2014 | 02/20/2012 | 08/20/2010 | 10/20/2008 |
Class A To Maturity | ||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR |
WAL (yr) | 6.67 | 5.51 | 4.17 | 3.29 | 2.67 | 1.87 |
MDUR (yr) | 6.13 | 5.12 | 3.93 | 3.13 | 2.56 | 1.81 |
First Prin Pay | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 |
Last Prin Pay | 11/20/2030 | 07/20/2028 | 08/20/2024 | 02/20/2021 | 04/20/2018 | 06/20/2014 |
Class M-1 To Call | |||||||
| |||||||
| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | |
WAL (yr) | 10.42 | 8.59 | 6.48 | 5.15 | 4.32 | 3.52 | |
MDUR (yr) | 9.46 | 7.91 | 6.08 | 4.88 | 4.14 | 3.39 | |
First Prin Pay | 08/20/2009 | 07/20/2008 | 05/20/2007 | 04/20/2007 | 04/20/2007 | 05/20/2007 | |
Last Prin Pay | 07/20/2019 | 02/20/2017 | 03/20/2014 | 02/20/2012 | 08/20/2010 | 10/20/2008 |
Class M-1 To Maturity | ||||||
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|
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR |
WAL (yr) | 10.48 | 8.64 | 6.53 | 5.18 | 4.36 | 3.54 |
MDUR (yr) | 9.51 | 7.96 | 6.12 | 4.92 | 4.17 | 3.41 |
First Prin Pay | 08/20/2009 | 07/20/2008 | 05/20/2007 | 04/20/2007 | 04/20/2007 | 05/20/2007 |
Last Prin Pay | 11/20/2020 | 04/20/2018 | 03/20/2015 | 12/20/2012 | 05/20/2011 | 04/20/2009 |
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 M-2 To Call | |||||||||
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| |||
| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | |||
WAL (yr) | 9.24 | 7.54 | 5.63 | 4.47 | 3.76 | 3.15 | |||
MDUR (yr) | 8.28 | 6.88 | 5.24 | 4.21 | 3.58 | 3.02 | |||
First Prin Pay | 08/20/2009 | 07/20/2008 | 05/20/2007 | 04/20/2007 | 04/20/2007 | 04/20/2007 | |||
Last Prin Pay | 08/20/2017 | 05/20/2015 | 09/20/2012 | 12/20/2010 | 09/20/2009 | 01/20/2008 |
Class M-2 To Maturity | |||||||||
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| ||||
12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||||
WAL (yr) | 9.24 | 7.54 | 5.63 | 4.47 | 3.76 | 3.15 | |||
MDUR (yr) | 8.28 | 6.88 | 5.24 | 4.21 | 3.58 | 3.02 | |||
First Prin Pay | 08/20/2009 | 07/20/2008 | 05/20/2007 | 04/20/2007 | 04/20/2007 | 04/20/2007 | |||
Last Prin Pay | 08/20/2017 | 05/20/2015 | 09/20/2012 | 12/20/2010 | 09/20/2009 | 01/20/2008 |
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 M-1 and M-2 Certificates
Effective Net WAC Cap Schedule
Assumptions : | |||
20% CPR | |||
To Cleanup Call | |||
1MO & 6MO LIBOR spike to 20% in month 1 | |||
Class A, M-1& M-2 Hard Cap of 11.50% |
Distribution | Class A, M-1, & M-2 | |
Period | 30/360 | |
Net WAC | ||
1 | 2.77% | |
2 | 3.62% | |
3 | 3.62% | |
4 | 3.62% | |
5 | 3.62% | |
6 | 10.50% | |
7 and After | 11.50% |
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 2004-3
Total Collateral – Mortgage Loans
As of the Cut-Off Date
Total Current Balance: | $919,976,399 | ||||||
Number Of Loans: | 2,798 | ||||||
| |||||||
Minimum | Maximum | ||||||
Average Current Balance: | $328,798 | $40,532 | $4,000,000 | ||||
Average Original Balance: | $328,888 | $41,000 | $4,000,000 | ||||
| |||||||
Weighted Average Loan Rate: | 3.148 | % | 2.375 | % | 3.905 | % | |
Weighted Average Servicing Fee: | 0.376 | % | 0.375 | % | 0.875 | % | |
Weighted Average Net Loan Rate: | 2.773 | % | 2.000 | % | 3.530 | % | |
| |||||||
Weighted Average Gross Margin: | 1.921 | % | 1.250 | % | 2.655 | % | |
Weighted Average Maximum Loan Rate: | 12.016 | % | 11.000 | % | 15.500 | % | |
Weighted Average Periodic Rate Cap: | 0.000 | % | 0.000 | % | 0.000 | % | |
Weighted Average First Rate Cap: | 0.000 | % | 0.000 | % | 0.000 | % | |
| |||||||
Weighted Average Original LTV: | 70.49 | % | 7.75 | % | 100.00 | % | |
Weighted Average Effective LTV: | 69.67 | % | 2.23 | % | 95.00 | % | |
| |||||||
Weighted Average Credit Score: | 726 | 544 | 820 | ||||
| |||||||
Weighted Average Original Term: | 348 | months | 300 | months | 360 | months | |
Weighted Average Remaining Term: | 347 | months | 269 | months | 360 | months | |
Weighted Average Seasoning | 1 | months | 0 | months | 31 | months | |
| |||||||
Weighted Average Next Rate Reset: | 5 | months | 1 | months | 6 | months | |
Weighted Average Rate Adj Freq: | 6 | months | 1 | months | 6 | months | |
Weighted Average First Rate Adj Freq: | 6 | months | 1 | months | 6 | months | |
| |||||||
Weighted Average Io Original Term: | 85 | months | 60 | months | 120 | months | |
Weighted Average Io Remaining Term: | 84 | months | 45 | months | 120 | months | |
| |||||||
Top State Concentrations ($): | 30.24 % California, 7.76 % Florida, 6.83 % Arizona | ||||||
Maximum Zip Code Concentration ($): | 0.73 % 85253 | ||||||
| |||||||
First Pay Date: | Sep 01,2001 | May 01,2004 | |||||
Rate Change Date: | Apr 01,2004 | Sep 01,2004 | |||||
Mature Date: | Aug 01,2026 | Apr 01,2034 |
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 | 2,581 | $832,543,309.48 | 90.50 | % | ||
LIBOR 1 M | 217 | 87,433,089.29 | 9.50 | |||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
% of Aggregate | ||||
Principal Balance | Principal Balance | |||
Number of | Outstanding as of | Outstanding as of | ||
CURRENT BALANCE ($): | Mortgage Loans | the Cutoff Date | the Cutoff Date | |
0.01 - 100,000.00 | 200 | $15,698,551.01 | 1.71 | % |
100,000.01 - 200,000.00 | 813 | 124,250,712.12 | 13.51 | |
200,000.01 - 300,000.00 | 629 | 157,086,395.38 | 17.08 | |
300,000.01 - 400,000.00 | 445 | 155,398,946.05 | 16.89 | |
400,000.01 - 500,000.00 | 253 | 114,707,616.87 | 12.47 | |
500,000.01 - 600,000.00 | 161 | 88,692,859.53 | 9.64 | |
600,000.01 - 700,000.00 | 119 | 76,860,103.15 | 8.35 | |
700,000.01 - 800,000.00 | 41 | 30,733,860.29 | 3.34 | |
800,000.01 - 900,000.00 | 27 | 22,970,400.00 | 2.50 | |
900,000.01 - 1,000,000.00 | 60 | 58,266,308.37 | 6.33 | |
1,000,000.01 - 1,500,000.00 | 34 | 42,453,834.00 | 4.61 | |
1,500,000.01 - 2,000,000.00 | 13 | 23,241,812.00 | 2.53 | |
2,500,000.01 - 3,000,000.00 | 2 | 5,615,000.00 | 0.61 | |
3,500,000.01 - 4,000,000.00 | 1 | 4,000,000.00 | 0.43 | |
Total | 2,798 | $919,976,398.77 | 100.00 | % |
% of Aggregate | ||||
Principal Balance | Principal Balance | |||
Number of | Outstanding as of | Outstanding as of | ||
LOAN RATE (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | |
2.251 - 2.500 | 23 | $6,794,969.58 | 0.74 | % |
2.501 - 2.750 | 334 | 122,263,698.79 | 13.29 | |
2.751 - 3.000 | 562 | 196,302,658.64 | 21.34 | |
3.001 - 3.250 | 1,003 | 322,733,409.98 | 35.08 | |
3.251 - 3.500 | 821 | 253,666,621.97 | 27.57 | |
3.501 - 3.750 | 51 | 17,346,389.81 | 1.89 | |
3.751 - 4.000 | 4 | 868,650.00 | 0.09 | |
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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 | |||||
GROSS MARGIN (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
1.250 | 21 | $5,933,719.58 | 0.64 | % | |||
1.375 | 16 | 8,359,650.00 | 0.91 | ||||
1.500 | 134 | 54,483,638.11 | 5.92 | ||||
1.625 | 487 | 164,437,204.66 | 17.87 | ||||
1.750 | 208 | 72,924,812.20 | 7.93 | ||||
1.875 | 443 | 135,309,988.83 | 14.71 | ||||
1.915 | 1 | 91,349.41 | 0.01 | ||||
1.925 | 1 | 371,800.00 | 0.04 | ||||
1.960 | 1 | 139,650.00 | 0.02 | ||||
2.000 | 585 | 197,239,903.86 | 21.44 | ||||
2.125 | 290 | 103,612,328.53 | 11.26 | ||||
2.240 | 1 | 343,477.26 | 0.04 | ||||
2.250 | 561 | 160,734,388.33 | 17.47 | ||||
2.375 | 9 | 2,778,728.00 | 0.30 | ||||
2.470 | 1 | 213,750.00 | 0.02 | ||||
2.480 | 1 | 432,000.00 | 0.05 | ||||
2.500 | 31 | 11,122,260.00 | 1.21 | ||||
2.510 | 1 | 242,250.00 | 0.03 | ||||
2.550 | 1 | 123,000.00 | 0.01 | ||||
2.570 | 1 | 163,000.00 | 0.02 | ||||
2.625 | 2 | 456,100.00 | 0.05 | ||||
2.655 | 2 | 463,400.00 | 0.05 | ||||
Total | 2,798 | $919,976,398.77 | 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 | 475 | $190,013,850.86 | 20.65 | % | |||
360 | 2,323 | 729,962,547.91 | 79.35 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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 | |||||
REMAINING TERM (Months): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
269 - 270 | 1 | $875,000.00 | 0.10 | % | |||
289 - 294 | 1 | 1,250,000.00 | 0.14 | ||||
295 - 300 | 473 | 187,888,850.86 | 20.42 | ||||
343 - 348 | 3 | 750,500.00 | 0.08 | ||||
349 - 354 | 64 | 24,672,863.72 | 2.68 | ||||
355 - 360 | 2,256 | 704,539,184.19 | 76.58 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % | |||
% 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 | ||||
45 - 48 | 3 | $750,500.00 | 0.08 | % | |||
49 - 54 | 64 | 24,672,863.72 | 2.68 | ||||
55 - 60 | 1,615 | 504,810,316.94 | 54.87 | ||||
85 - 90 | 1 | 875,000.00 | 0.10 | ||||
109 - 114 | 1 | 1,250,000.00 | 0.14 | ||||
115 - 120 | 1,114 | 387,617,718.11 | 42.13 | ||||
Total | 2,798 | $919,976,398.77 | 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 | ||||
04/01/04 | 262 | $103,816,789.28 | 11.28 | % | |||
05/01/04 | 29 | 11,642,830.63 | 1.27 | ||||
06/01/04 | 68 | 26,593,437.09 | 2.89 | ||||
07/01/04 | 236 | 80,423,289.64 | 8.74 | ||||
08/01/04 | 1,037 | 322,890,394.77 | 35.10 | ||||
09/01/04 | 1,166 | 374,609,657.36 | 40.72 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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 | |||||
ORIGINAL LTV (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
0.01 - 10.00 | 3 | $480,000.00 | 0.05 | % | |||
10.01 - 20.00 | 10 | 2,558,500.00 | 0.28 | ||||
20.01 - 30.00 | 24 | 7,984,089.23 | 0.87 | ||||
30.01 - 40.00 | 84 | 24,473,376.38 | 2.66 | ||||
40.01 - 50.00 | 140 | 43,187,264.22 | 4.69 | ||||
50.01 - 60.00 | 225 | 94,200,905.85 | 10.24 | ||||
60.01 - 65.00 | 172 | 73,639,772.87 | 8.00 | ||||
65.01 - 70.00 | 356 | 123,829,368.54 | 13.46 | ||||
70.01 - 75.00 | 490 | 166,156,720.02 | 18.06 | ||||
75.01 - 80.00 | 1,055 | 328,709,720.35 | 35.73 | ||||
80.01 - 85.00 | 32 | 6,325,494.01 | 0.69 | ||||
85.01 - 90.00 | 86 | 17,633,748.21 | 1.92 | ||||
90.01 - 95.00 | 85 | 16,189,409.09 | 1.76 | ||||
95.01 - 100.00 | 36 | 14,608,030.00 | 1.59 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % | |||
% of Aggregate | |||||||
Principal Balance | Principal Balance | ||||||
Number of | Outstanding as of | Outstanding as of | |||||
EFFECTIVE LTV (%): | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
0.01 - 10.00 | 4 | $4,480,000.00 | 0.49 | % | |||
10.01 - 20.00 | 10 | 2,558,500.00 | 0.28 | ||||
20.01 - 30.00 | 24 | 7,984,089.23 | 0.87 | ||||
30.01 - 40.00 | 84 | 24,473,376.38 | 2.66 | ||||
40.01 - 50.00 | 144 | 45,795,564.22 | 4.98 | ||||
50.01 - 60.00 | 233 | 94,137,075.85 | 10.23 | ||||
60.01 - 65.00 | 172 | 73,639,772.87 | 8.00 | ||||
65.01 - 70.00 | 382 | 133,220,848.54 | 14.48 | ||||
70.01 - 75.00 | 489 | 165,156,720.02 | 17.95 | ||||
75.01 - 80.00 | 1,055 | 328,709,720.35 | 35.73 | ||||
80.01 - 85.00 | 31 | 6,195,094.01 | 0.67 | ||||
85.01 - 90.00 | 86 | 17,633,748.21 | 1.92 | ||||
90.01 - 95.00 | 84 | 15,991,889.09 | 1.74 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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 | |||||
CREDIT SCORE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||||
540 - 559 | 1 | $885,000.00 | 0.10 | % | |||
580 - 599 | 3 | 788,892.19 | 0.09 | ||||
600 - 619 | 4 | 868,400.00 | 0.09 | ||||
620 - 639 | 34 | 12,335,310.48 | 1.34 | ||||
640 - 659 | 124 | 35,241,800.39 | 3.83 | ||||
660 - 679 | 252 | 73,359,131.37 | 7.97 | ||||
680 - 699 | 434 | 146,049,767.33 | 15.88 | ||||
700 - 719 | 383 | 130,086,563.52 | 14.14 | ||||
720 - 739 | 408 | 138,167,275.91 | 15.02 | ||||
740 - 759 | 410 | 147,988,193.19 | 16.09 | ||||
760 - 779 | 417 | 138,190,021.90 | 15.02 | ||||
780 - 799 | 283 | 81,957,854.94 | 8.91 | ||||
>= 800 | 45 | 14,058,187.55 | 1.53 | ||||
Total | 2,798 | $919,976,398.77 | 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 | 2,798 | $919,976,398.77 | 100.00 | % | |||
Total | 2,798 | $919,976,398.77 | 100.00 | % | |||
% 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 | 1,787 | $518,527,358.85 | 56.36 | % | |||
Limited Documentation | 628 | 261,421,737.11 | 28.42 | ||||
Alternative Documentation | 190 | 81,587,988.62 | 8.87 | ||||
Lite Documentation | 178 | 54,805,274.69 | 5.96 | ||||
No Ratio | 13 | 3,471,239.50 | 0.38 | ||||
Asset, No Income | 2 | 162,800.00 | 0.02 | ||||
Total | 2,798 | $919,976,398.77 | 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 | 2,558 | $847,245,019.90 | 92.09 | % | |||
Second Home | 159 | 58,721,340.23 | 6.38 | ||||
Investor | 81 | 14,010,038.64 | 1.52 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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.
& nbsp; | |||||||
% 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 | 1,651 | $547,091,471.06 | 59.47 | % | |||
Planned Unit Development | 850 | 279,691,643.45 | 30.40 | ||||
Condominium | 257 | 76,567,634.30 | 8.32 | ||||
Two-Four Family | 22 | 9,480,699.96 | 1.03 | ||||
Cooperative | 18 | 7,144,950.00 | 0.78 | ||||
Total | 2,798 | $919,976,398.77 | 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 | ||||
Refinance (Rate or Term) | 1,248 | $382,385,825.13 | 41.56 | % | |||
Purchase | 822 | 302,889,520.09 | 32.92 | ||||
Refinance (Cash-Out) | 728 | 234,701,053.55 | 25.51 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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 | 637 | $278,221,915.95 | 30.24 | % | |||
Florida | 225 | 71,434,512.03 | 7.76 | ||||
Arizona | 255 | 62,835,737.28 | 6.83 | ||||
Georgia | 187 | 51,112,882.34 | 5.56 | ||||
Colorado | 159 | 44,963,083.23 | 4.89 | ||||
Texas | 124 | 38,474,020.95 | 4.18 | ||||
Ohio | 184 | 30,714,104.38 | 3.34 | ||||
Washington | 90 | 29,817,014.70 | 3.24 | ||||
Virginia | 93 | 28,783,910.41 | 3.13 | ||||
Illinois | 72 | 28,755,250.13 | 3.13 | ||||
Maryland | 78 | 28,022,612.59 | 3.05 | ||||
New York | 47 | 23,913,208.54 | 2.60 | ||||
North Carolina | 79 | 23,802,092.55 | 2.59 | ||||
Massachusetts | 56 | 20,564,783.20 | 2.24 | ||||
New Jersey | 47 | 20,246,619.36 | 2.20 | ||||
Nevada | 51 | 15,763,065.56 | 1.71 | ||||
South Carolina | 43 | 13,351,812.45 | 1.45 | ||||
Pennsylvania | 45 | 11,731,459.41 | 1.28 | ||||
Michigan | 37 | 10,638,499.32 | 1.16 | ||||
Oregon | 34 | 10,530,273.76 | 1.14 | ||||
Utah | 43 | 9,747,747.18 | 1.06 | ||||
Minnesota | 29 | 8,132,913.25 | 0.88 | ||||
Tennessee | 30 | 7,852,531.97 | 0.85 | ||||
Connecticut | 15 | 7,845,600.00 | 0.85 | ||||
Kentucky | 27 | 6,223,685.25 | 0.68 | ||||
Idaho | 13 | 4,441,958.87 | 0.48 | ||||
Hawaii | 8 | 3,986,268.45 | 0.43 | ||||
Missouri | 10 | 3,928,250.00 | 0.43 | ||||
New Hampshire | 7 | 3,292,300.00 | 0.36 | ||||
District of Columbia | 5 | 2,459,231.99 | 0.27 | ||||
Kansas | 9 | 2,410,983.67 | 0.26 | ||||
Wyoming | 1 | 2,000,000.00 | 0.22 | ||||
Delaware | 7 | 1,872,500.00 | 0.20 | ||||
New Mexico | 6 | 1,660,200.00 | 0.18 | ||||
Indiana | 8 | 1,627,600.00 | 0.18 | ||||
Alabama | 7 | 1,507,660.00 | 0.16 | ||||
Wisconsin | 4 | 1,307,400.00 | 0.14 | ||||
Louisiana | 5 | 1,284,750.00 | 0.14 | ||||
Maine | 3 | 1,275,500.00 | 0.14 | ||||
Mississippi | 3 | 916,100.00 | 0.10 | ||||
Montana | 2 | 470,850.00 | 0.05 | ||||
Alaska | 2 | 456,000.00 | 0.05 | ||||
Vermont | 1 | 450,000.00 | 0.05 | ||||
Iowa | 2 | 294,160.00 | 0.03 | ||||
Arkansas | 3 | 270,050.00 | 0.03 | ||||
Oklahoma | 2 | 194,100.00 | 0.02 | ||||
West Virginia | 1 | 153,600.00 | 0.02 | ||||
South Dakota | 1 | 144,000.00 | 0.02 | ||||
Nebraska | 1 | 93,600.00 | 0.01 | ||||
Total | 2,798 | $919,976,398.77 | 100.00 | % |
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.
SEMT0403_MKT - Price/Yield - A | ||||||
Balance | $894,676,000 | Delay | 0 | |||
Coupon | Dated | 3/30/2004 | ||||
Settle | 3/30/2004 | First Payment | 4/20/2004 | |||
Prepay | 12 CPR | 15 CPR | 20 CPR | 25 CPR | 30 CPR | 40 CPR |
Optional Redemption | 35% Call | 35% Call | 35% Call | 35% Call | 35% Call | 35% Call |
Price = 100-00 |
|
|
|
|
|
|
WAL | 4.84 | 3.86 | 2.86 | 2.21 | 1.80 | 1.25 |
Mod Durn 30360 | 4.60 | 3.70 | 2.77 | 2.15 | 1.75 | 1.23 |
Principal Window Begin | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 | 04/20/2004 |
Principal Window End | 02/20/2012 | 07/20/2010 | 12/20/2008 | 11/20/2007 | 03/20/2007 | 04/20/2006 |
Z_SEMT0403_MKT1 - Price/Yield - M1 | ||||||||
Balance | $13,800,000.00 | Delay | 0 | |||||
Coupon | Dated | 3/30/2004 | ||||||
Settle | 3/30/2004 | First Payment | 4/20/2004 | |||||
Prepay | 20 CPR | 30 CPR | 20 CPR | 30 CPR | 20 CPR | 30 CPR | 20 CPR | 30 CPR |
Default | 4.048 CDR | 4.331 CDR | 3.121 CDR | 3.34 CDR | 4.049 CDR | 4.334 CDR | 3.128 CDR | 3.342 CDR |
Loss Severity | 35% | 35% | 45% | 45% | 35% | 35% | 45% | 45% |
Servicer Advances | 100% | 100% | 100% | 100% | 100% | 100% | 100% | 100% |
Liquidation Lag | 12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 |
LIBOR | Forward | Forward | Forward | Forward | Forward | Forward | Forward | Forward |
TRIGGERS | 100% | 100% | 100% | 100% | 100% | 100% | 100% | 100% |
WAL | 18.12 | 12.66 | 18.62 | 12.94 | 18.25 | 12.70 | 18.76 | 12.99 |
Mod Durn 30360 | 12.17 | 9.66 | 12.37 | 9.81 | 10.96 | 8.90 | 11.12 | 9.03 |
Principal Writedown | 8,411.05 (0.06%) | 3,586.68 (0.03%) | 5,438.52 (0.04%) | 7,591.53 (0.06%) | 1,653.76 (0.01%) | 4,939.78 (0.04%) | 3,181.76 (0.02%) | 6,538.80 (0.05%) |
Total Collat Loss (Collat Maturity) | 49,854,524.82 (5.42%) | 35,824,378.42 (3.89%) | 50,977,076.21 (5.54%) | 36,282,598.47 (3.94%) | 49,970,967.03 (5.43%) | 35,871,390.29 (3.90%) | 51,197,371.79 (5.57%) | 36,329,680.53 (3.95%) |
Total Collat Liquidation (Collat Maturity) | 141,769,113.19 (15.41%) | 102,150,403.72 (11.10%) | 112,709,948.87 (12.25%) | 80,456,433.63 (8.75%) | 142,193,758.55 (15.46%) | 102,319,276.93 (11.12%) | 113,275,334.02 (12.31%) | 80,589,687.24 (8.76%) |
SEMT0403 - #XSSPREAD% - 30 CPR | |||
30 CPR | |||
Period | Date | #XSSPREAD% | #XSSPREAD% |
Total | Forward LIBOR | Forward LIBOR + 150 | |
0 | 30-Mar-04 | ||
1 | 20-Apr-04 | 1.82 | 1.82 |
2 | 20-May-04 | 1.34 | 1.46 |
3 | 20-Jun-04 | 1.34 | 1.46 |
4 | 20-Jul-04 | 1.35 | 1.46 |
5 | 20-Aug-04 | 1.35 | 1.46 |
6 | 20-Sep-04 | 1.44 | 2.71 |
7 | 20-Oct-04 | 1.21 | 1.22 |
8 | 20-Nov-04 | 1.21 | 1.22 |
9 | 20-Dec-04 | 1.22 | 1.23 |
10 | 20-Jan-05 | 1.22 | 1.23 |
11 | 20-Feb-05 | 1.23 | 1.24 |
12 | 20-Mar-05 | 1.67 | 1.68 |
13 | 20-Apr-05 | 1.18 | 1.19 |
14 | 20-May-05 | 1.19 | 1.2 |
15 | 20-Jun-05 | 1.19 | 1.21 |
16 | 20-Jul-05 | 1.2 | 1.21 |
17 | 20-Aug-05 | 1.21 | 1.22 |
18 | 20-Sep-05 | 1.7 | 1.71 |
19 | 20-Oct-05 | 1.21 | 1.22 |
20 | 20-Nov-05 | 1.21 | 1.23 |
21 | 20-Dec-05 | 1.22 | 1.23 |
22 | 20-Jan-06 | 1.22 | 1.24 |
23 | 20-Feb-06 | 1.23 | 1.24 |
24 | 20-Mar-06 | 1.61 | 1.63 |
25 | 20-Apr-06 | 1.22 | 1.23 |
26 | 20-May-06 | 1.22 | 1.24 |
27 | 20-Jun-06 | 1.22 | 1.24 |
28 | 20-Jul-06 | 1.23 | 1.24 |
29 | 20-Aug-06 | 1.23 | 1.25 |
30 | 20-Sep-06 | 1.6 | 1.62 |
31 | 20-Oct-06 | 1.25 | 1.27 |
32 | 20-Nov-06 | 1.25 | 1.27 |
33 | 20-Dec-06 | 1.25 | 1.27 |
34 | 20-Jan-07 | 1.25 | 1.27 |
35 | 20-Feb-07 | 1.26 | 1.28 |
36 | 20-Mar-07 | 1.49 | 1.51 |
37 | 20-Apr-07 | 1.27 | 1.29 |
38 | 20-May-07 | 1.29 | 1.31 |
39 | 20-Jun-07 | 1.29 | 1.32 |
Period | Date | #XSSPREAD% | #XSSPREAD% |
Total | Forward LIBOR | Forward LIBOR + 150 | |
40 | 20-Jul-07 | 1.3 | 1.32 |
41 | 20-Aug-07 | 1.3 | 1.33 |
42 | 20-Sep-07 | 1.52 | 1.55 |
43 | 20-Oct-07 | 1.3 | 1.33 |
44 | 20-Nov-07 | 1.31 | 1.33 |
45 | 20-Dec-07 | 1.31 | 1.34 |
46 | 20-Jan-08 | 1.32 | 1.34 |
47 | 20-Feb-08 | 1.32 | 1.35 |
48 | 20-Mar-08 | 1.55 | 1.58 |
49 | 20-Apr-08 | 1.33 | 1.36 |
50 | 20-May-08 | 1.33 | 1.36 |
51 | 20-Jun-08 | 1.34 | 1.37 |
52 | 20-Jul-08 | 1.34 | 1.38 |
53 | 20-Aug-08 | 1.35 | 1.38 |
54 | 20-Sep-08 | 1.51 | 1.55 |
55 | 20-Oct-08 | 1.38 | 1.41 |
56 | 20-Nov-08 | 1.38 | 1.42 |
57 | 20-Dec-08 | 1.39 | 1.43 |
58 | 20-Jan-09 | 1.39 | 1.43 |
59 | 20-Feb-09 | 1.4 | 1.44 |
60 | 20-Mar-09 | 1.52 | 1.57 |
61 | 20-Apr-09 | 1.38 | 1.43 |
62 | 20-May-09 | 1.39 | 1.43 |
63 | 20-Jun-09 | 1.4 | 1.44 |
64 | 20-Jul-09 | 1.41 | 1.45 |
65 | 20-Aug-09 | 1.41 | 1.47 |
66 | 20-Sep-09 | 1.63 | 1.69 |
67 | 20-Oct-09 | 1.43 | 1.49 |
68 | 20-Nov-09 | 1.44 | 1.5 |
69 | 20-Dec-09 | 1.45 | 1.51 |
70 | 20-Jan-10 | 1.46 | 1.52 |
71 | 20-Feb-10 | 1.47 | 1.53 |
72 | 20-Mar-10 | 1.62 | 1.68 |
73 | 20-Apr-10 | 1.49 | 1.56 |
74 | 20-May-10 | 1.5 | 1.57 |
75 | 20-Jun-10 | 1.51 | 1.58 |
76 | 20-Jul-10 | 1.52 | 1.59 |
77 | 20-Aug-10 | 1.53 | 1.6 |
78 | 20-Sep-10 | 1.6 | 1.67 |
79 | 20-Oct-10 | 1.33 | 1.4 |
Period | Date | #XSSPREAD% | #XSSPREAD% |
Total | Forward LIBOR | Forward LIBOR + 150 | |
80 | 20-Nov-10 | 1.34 | 1.41 |
81 | 20-Dec-10 | 1.35 | 1.43 |
82 | 20-Jan-11 | 1.36 | 1.44 |
83 | 20-Feb-11 | 1.37 | 1.45 |
84 | 20-Mar-11 | 1.39 | 1.48 |
85 | 20-Apr-11 | 1.38 | 1.47 |
86 | 20-May-11 | 1.39 | 1.48 |
87 | 20-Jun-11 | 1.4 | 1.5 |
88 | 20-Jul-11 | 1.42 | 1.52 |
89 | 20-Aug-11 | 1.43 | 1.53 |
90 | 20-Sep-11 | 1.52 | 1.62 |
91 | 20-Oct-11 | 1.45 | 1.56 |
92 | 20-Nov-11 | 1.47 | 1.58 |
93 | 20-Dec-11 | 1.48 | 1.6 |
94 | 20-Jan-12 | 1.5 | 1.62 |
95 | 20-Feb-12 | 1.52 | 1.64 |
96 | 20-Mar-12 | 1.61 | 1.74 |
97 | 20-Apr-12 | 1.55 | 1.68 |
98 | 20-May-12 | 1.57 | 1.7 |
99 | 20-Jun-12 | 1.59 | 1.73 |
100 | 20-Jul-12 | 1.61 | 1.75 |
101 | 20-Aug-12 | 1.63 | 1.77 |
102 | 20-Sep-12 | 1.73 | 1.88 |
103 | 20-Oct-12 | 1.67 | 1.82 |
104 | 20-Nov-12 | 1.69 | 1.85 |
105 | 20-Dec-12 | 1.71 | 1.88 |
106 | 20-Jan-13 | 1.74 | 1.91 |
107 | 20-Feb-13 | 1.76 | 1.93 |
108 | 20-Mar-13 | 1.88 | 2.06 |
109 | 20-Apr-13 | 1.81 | 2 |
110 | 20-May-13 | 1.84 | 2.03 |
111 | 20-Jun-13 | 1.87 | 2.06 |
112 | 20-Jul-13 | 1.9 | 2.1 |
113 | 20-Aug-13 | 1.92 | 2.13 |
114 | 20-Sep-13 | 2.07 | 2.28 |
115 | 20-Oct-13 | 1.99 | 2.21 |
116 | 20-Nov-13 | 2.03 | 2.25 |
117 | 20-Dec-13 | 2.06 | 2.29 |
118 | 20-Jan-14 | 2.09 | 2.34 |
119 | 20-Feb-14 | 2.13 | 2.38 |
Period | Date | #XSSPREAD% | #XSSPREAD% |
Total | Forward LIBOR | Forward LIBOR + 150 | |
120 | 20-Mar-14 | 2.25 | 2.51 |
121 | 20-Apr-14 | 2.23 | 2.5 |
122 | 20-May-14 | 2.27 | 2.54 |
123 | 20-Jun-14 | 2.31 | 2.59 |
124 | 20-Jul-14 | 2.35 | 2.64 |
125 | 20-Aug-14 | 2.39 | 2.69 |
126 | 20-Sep-14 | 2.44 | 2.75 |
127 | 20-Oct-14 | 2.49 | 2.8 |
128 | 20-Nov-14 | 2.53 | 2.86 |
129 | 20-Dec-14 | 2.58 | 2.92 |
130 | 20-Jan-15 | 2.63 | 2.98 |
131 | 20-Feb-15 | 2.68 | 3.04 |
132 | 20-Mar-15 | 2.75 | 3.12 |
133 | 20-Apr-15 | 2.8 | 3.18 |
134 | 20-May-15 | 2.85 | 3.24 |
135 | 20-Jun-15 | 2.91 | 3.32 |
136 | 20-Jul-15 | 2.97 | 3.39 |
137 | 20-Aug-15 | 3.04 | 3.47 |
138 | 20-Sep-15 | 3.13 | 3.57 |
139 | 20-Oct-15 | 3.18 | 3.63 |
140 | 20-Nov-15 | 3.25 | 3.72 |
141 | 20-Dec-15 | 3.32 | 3.8 |
142 | 20-Jan-16 | 3.4 | 3.89 |
143 | 20-Feb-16 | 3.47 | 3.99 |
144 | 20-Mar-16 | 3.62 | 4.15 |
145 | 20-Apr-16 | 3.66 | 4.2 |
146 | 20-May-16 | 3.75 | 4.31 |
147 | 20-Jun-16 | 3.84 | 4.42 |
148 | 20-Jul-16 | 3.93 | 4.53 |
149 | 20-Aug-16 | 4.03 | 4.64 |
150 | 20-Sep-16 | 4.22 | 4.86 |
151 | 20-Oct-16 | 4.28 | 4.93 |
152 | 20-Nov-16 | 4.39 | 5.06 |
153 | 20-Dec-16 | 4.5 | 5.2 |
154 | 20-Jan-17 | 4.62 | 5.33 |
155 | 20-Feb-17 | 4.74 | 5.48 |
156 | 20-Mar-17 | 4.92 | 5.68 |
157 | 20-Apr-17 | 5.03 | 5.81 |
158 | 20-May-17 | 5.16 | 5.97 |
159 | 20-Jun-17 | 5.3 | 6.13 |
Period | Date | #XSSPREAD% | #XSSPREAD% |
Total | Forward LIBOR | Forward LIBOR + 150 | |
160 | 20-Jul-17 | 5.44 | 6.3 |
161 | 20-Aug-17 | 5.59 | 6.47 |
162 | 20-Sep-17 | 5.76 | 6.67 |
163 | 20-Oct-17 | 5.91 | 6.85 |
164 | 20-Nov-17 | 6.07 | 7.04 |
165 | 20-Dec-17 | 6.24 | 7.24 |
166 | 20-Jan-18 | 6.41 | 7.44 |
167 | 20-Feb-18 | 6.59 | 7.65 |
168 | 20-Mar-18 | 6.75 | 7.84 |
169 | 20-Apr-18 | 6.94 | 8.06 |
170 | 20-May-18 | 7.14 | 8.3 |
171 | 20-Jun-18 | 7.34 | 8.53 |
172 | 20-Jul-18 | 7.55 | 8.78 |
173 | 20-Aug-18 | 7.76 | 9.03 |
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. | |||||
REDWOOD SEQUOIA 2004-3 ELTV > 85 | |||||
3/1/04 BALANCES | |||||
| |||||
| |||||
Total Current Balance: | 33,625,637 | ||||
Number Of Loans: | 170 | ||||
| |||||
Minimum | Maximum | ||||
Average Current Balance: | $197,797.87 | $54,400.00 | $463,500.00 | ||
Average Original Balance: | $197,819.37 | $54,400.00 | $463,500.00 | ||
| |||||
Weighted Average Loan Rate: | 3.315 | % | 2.500 | 3.905 | % |
Weighted Average Servicing Fee: | 0.377 | % | 0.375 | 0.625 | % |
Weighted Average Net Loan Rate: | 2.939 | % | 2.125 | 3.530 | % |
| |||||
Weighted Average Gross Margin: | 2.079 | % | 1.250 | 2.655 | % |
Weighted Average Maximum Loan Rate: | 12.023 | % | 12.000 | 15.500 | % |
Weighted Average Periodic Rate Cap: | 0.000 | % | 0.000 | 0.000 | % |
Weighted Average First Rate Cap: | 0.000 | % | 0.000 | 0.000 | % |
| |||||
Weighted Average Original Ltv: | 91.66 | % | 85.82 | 95.00 | % |
Weighted Average Effective Ltv | 91.66 | % | 85.82 | 95.00 | % |
Weighted Average Credit Score: | 705 |
| 620 | 809 |
|
Weighted Average Original Term: | 358 | months | 300 | 360 | months |
Weighted Average Remaining Term: | 357 | months | 299 | 360 | months |
Weighted Average Seasoning: | 1 | months | 0 | 7 | months |
Weighted Average Next Rate Reset: | 5 | months | 1 | 6 | months |
Weighted Average Rate Adj Freq: | 6 | months | 1 | 6 | months |
Weighted Average First Rate Adj Freq: | 6 | months | 1 | 6 | months |
Weighted Average Io Original Term: | 96 | month | 60 | 120 | months |
Weighted Average Io Remaining Term: | 95 | months | 53 | 120 | months |
Top State Concentrations ($): | 13.68 % Georgia, 13.06 % Arizona, 10.25 % Ohio | ||||
Maximum Zip Code Concentration ($): | 2.10 % 07052 (Town Center, NJ) | ||||
First Pay Date: | Sep 01, 2003 | Apr 01, 2004 | |||
Rate Change Date: | Apr 01, 2004 | Sep 01, 2004 | |||
Mature Date: | Feb 01, 2029 | Mar 01, 2034 | |||
Table | |||||
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
CURRENT BALANCE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
54,400.00 - 100,000.00 | 11 | 886,646.61 | 2.64 | ||
100,000.01 - 200,000.00 | 94 | 13,930,347.94 | 41.43 | ||
200,000.01 - 300,000.00 | 40 | 9,414,352.64 | 28.00 | ||
300,000.01 - 400,000.00 | 20 | 7,210,791.33 | 21.44 | ||
400,000.01 - 463,500.00 | 5 | 2,183,498.78 | 6.49 | ||
Total | 170 | 33,625,637.30 | 100.00 | ||
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
LOAN RATE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
2.500 - 2.500 | 2 | 293,750.00 | 0.87 | ||
2.501 - 2.750 | 6 | 1,620,900.00 | 4.82 | ||
2.751 - 3.000 | 12 | 2,723,187.64 | 8.10 | ||
3.001 - 3.250 | 53 | 10,593,948.91 | 31.51 | ||
3.251 - 3.500 | 86 | 15,958,750.75 | 47.46 | ||
3.501 - 3.750 | 8 | 1,729,450.00 | 5.14 | ||
3.751 - 3.905 | 3 | 705,650.00 | 2.10 | ||
Total | 170 | 33,625,637.30 | 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 | ||
85.82 - 90.00 | 86 | 17,633,748.21 | 52.44 | ||
90.01 - 95.00 | 84 | 15,991,889.09 | 47.56 | ||
Total | 170 | 33,625,637.30 | 100.00 |
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
EFFECTIVE LTV: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
85.82 - 90.00 | 86 | 17,633,748.21 | 52.44 | ||
90.01 - 95.00 | 84 | 15,991,889.09 | 47.56 | ||
Total | 170 | 33,625,637.30 | 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 | ||
620 - 639 | 7 | 1,394,647.18 | 4.15 | ||
640 - 659 | 22 | 5,114,900.89 | 15.21 | ||
660 - 679 | 23 | 4,412,423.77 | 13.12 | ||
680 - 699 | 32 | 5,955,957.70 | 17.71 | ||
700 - 719 | 22 | 4,701,712.10 | 13.98 | ||
720 - 739 | 21 | 3,457,609.41 | 10.28 | ||
740 - 759 | 17 | 3,002,928.16 | 8.93 | ||
760 - 779 | 15 | 3,074,047.19 | 9.14 | ||
780 - 799 | 7 | 1,554,133.64 | 4.62 | ||
>= 800 | 4 | 957,277.26 | 2.85 | ||
Total | 170 | 33,625,637.30 | 100.00 | ||
% 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 | 169 | 33,286,337.30 | 98.99 | ||
Limited Documentation | 1 | 339,300.00 | 1.01 | ||
Total | 170 | 33,625,637.30 | 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 | 167 | 33,039,737.30 | 98.26 | ||
Second Home | 3 | 585,900.00 | 1.74 | ||
Total | 170 | 33,625,637.30 | 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 | 94 | 17,038,305.38 | 50.67 | ||
Planned Unit Development | 56 | 12,140,420.24 | 36.10 | ||
Condominium | 19 | 4,176,911.68 | 12.42 | ||
Cooperative | 1 | 270,000.00 | 0.80 | ||
Total | 170 | 33,625,637.30 | 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 | ||
Refinance (Rate or Term) | 99 | 16,970,983.47 | 50.47 | ||
Purchase | 71 | 16,654,653.83 | 49.53 | ||
Total | 170 | 33,625,637.30 | 100.00 |
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
STATES: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
Georgia | 28 | 4,599,117.01 | 13.68 | ||
Arizona | 25 | 4,392,623.18 | 13.06 | ||
Ohio | 22 | 3,446,650.00 | 10.25 | ||
Virginia | 10 | 2,683,852.45 | 7.98 | ||
Florida | 9 | 2,173,124.99 | 6.46 | ||
Colorado | 8 | 1,866,950.00 | 5.55 | ||
California | 6 | 1,770,499.90 | 5.27 | ||
Texas | 10 | 1,620,400.00 | 4.82 | ||
Maryland | 4 | 1,459,900.00 | 4.34 | ||
South Carolina | 5 | 1,105,463.29 | 3.29 | ||
Massachusetts | 3 | 950,500.00 | 2.83 | ||
New Jersey | 2 | 707,250.00 | 2.10 | ||
Oregon | 2 | 698,000.00 | 2.08 | ||
New York | 2 | 661,000.00 | 1.97 | ||
North Carolina | 4 | 633,850.00 | 1.89 | ||
Washington | 4 | 630,350.00 | 1.87 | ||
Tennessee | 3 | 569,800.00 | 1.69 | ||
Illinois | 3 | 565,296.00 | 1.68 | ||
Indiana | 3 | 502,700.00 | 1.49 | ||
Kentucky | 3 | 484,099.41 | 1.44 | ||
Nevada | 3 | 400,632.91 | 1.19 | ||
Utah | 2 | 366,700.00 | 1.09 | ||
Minnesota | 1 | 278,000.00 | 0.83 | ||
Connecticut | 1 | 223,250.00 | 0.66 | ||
New Mexico | 1 | 190,800.00 | 0.57 | ||
Pennsylvania | 2 | 159,728.16 | 0.48 | ||
Kansas | 1 | 144,300.00 | 0.43 | ||
Oklahoma | 1 | 137,750.00 | 0.41 | ||
Missouri | 1 | 128,000.00 | 0.38 | ||
Arkansas | 1 | 75,050.00 | 0.22 | ||
Total | 170 | 33,625,637.30 | 100.00 |
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. | |||||
REDWOOD SEQUOIA 2004-3 UPB > 1M | |||||
3/1/04 BALANCES | |||||
| |||||
| |||||
Total Current Balance: | 75,310,646 | ||||
Number Of Loans: | 50 | ||||
| |||||
Minimum | Maximum | ||||
Average Current Balance: | $1,506,212.92 | $1,025,800.00 | $4,000,000.00 | ||
Average Original Balance: | $1,506,212.92 | $1,025,800.00 | $4,000,000.00 | ||
| |||||
Weighted Average Loan Rate: | 3.061 | % | 2.625 | 3.500 | % |
Weighted Average Servicing Fee: | 0.382 | % | 0.375 | 0.500 | % |
Weighted Average Net Loan Rate: | 2.679 | % | 2.250 | 3.125 | % |
| |||||
Weighted Average Gross Margin: | 1.861 | % | 1.500 | 2.250 | % |
Weighted Average Maximum Loan Rate: | 12.000 | % | 12.000 | 12.000 | % |
Weighted Average Periodic Rate Cap: | 0.000 | % | 0.000 | 0.000 | % |
Weighted Average First Rate Cap: | 0.000 | % | 0.000 | 0.000 | % |
| |||||
Weighted Average Original Ltv: | 68.20 | % | 30.56 | 100.00 | % |
Weighted Average Effective Ltv: | 62.18 | % | 2.23 | 80.00 | % |
| |||||
Weighted Average Credit Score: | 723 |
| 636 | 795 |
|
| |||||
Weighted Average Original Term: | 330 | months | 300 | 360 | months |
Weighted Average Remaining Term: | 329 | months | 294 | 360 | months |
Weighted Average Seasoning: | 1 | months | 0 | 10 | months |
| |||||
Weighted Average Next Rate Reset: | 4 | months | 1 | 6 | months |
Weighted Average Rate Adj Freq: | 5 | months | 1 | 6 | months |
Weighted Average First Rate Adj Freq: | 5 | months | 1 | 6 | months |
| |||||
Weighted Average Io Original Term: | 103 | months | 60 | 120 | months |
Weighted Average Io Remaining Term: | 102 | months | 50 | 120 | months |
| |||||
Top State Concentrations ($): | 36.71 % California, 15.24 % Florida, 7.21 % New York | ||||
Maximum Zip Code Concentration ($): | 5.31 % 10012 (New York, NY) | ||||
| |||||
First Pay Date: | Jun 01, 2003 | Apr 01, 2004 | |||
Rate Change Date: | Apr 01, 2004 | Sep 01, 2004 | |||
Mature Date: | Sep 01, 2028 | Mar 01, 2034 |
Table | |||||
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
CURRENT BALANCE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
1,025,800.00 - 1,500,000.00 | 34 | 42,453,834.00 | 56.37 | ||
1,500,000.01 - 2,000,000.00 | 13 | 23,241,812.00 | 30.86 | ||
2,500,000.01 - 3,000,000.00 | 2 | 5,615,000.00 | 7.46 | ||
3,500,000.01 - 4,000,000.00 | 1 | 4,000,000.00 | 5.31 | ||
Total | 50 | 75,310,646.00 | 100.00 | ||
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
LOAN RATE: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
2.625 - 2.750 | 15 | 23,205,420.00 | 30.81 | ||
2.751 - 3.000 | 7 | 9,266,176.00 | 12.30 | ||
3.001 - 3.250 | 15 | 25,352,050.00 | 33.66 | ||
3.251 - 3.500 | 13 | 17,487,000.00 | 23.22 | ||
Total | 50 | 75,310,646.00 | 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 | ||
30.56 - 40.00 | 2 | 2,850,000.00 | 3.78 | ||
40.01 - 50.00 | 1 | 2,000,000.00 | 2.66 | ||
50.01 - 60.00 | 10 | 15,726,300.00 | 20.88 | ||
60.01 - 65.00 | 9 | 14,023,750.00 | 18.62 | ||
65.01 - 70.00 | 10 | 13,918,000.00 | 18.48 | ||
70.01 - 75.00 | 4 | 5,218,976.00 | 6.93 | ||
75.01 - 80.00 | 11 | 15,548,620.00 | 20.65 | ||
95.01 - 100.00 | 3 | 6,025,000.00 | 8.00 | ||
Total | 50 | 75,310,646.00 | 100.00 | ||
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
EFFECTIVE LTV: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
2.23 - 10.00 | 1 | 4,000,000.00 | 5.31 | ||
30.01 - 40.00 | 2 | 2,850,000.00 | 3.78 | ||
40.01 - 50.00 | 2 | 4,000,000.00 | 5.31 | ||
50.01 - 60.00 | 10 | 13,101,300.00 | 17.40 | ||
60.01 - 65.00 | 9 | 14,023,750.00 | 18.62 | ||
65.01 - 70.00 | 11 | 16,568,000.00 | 22.00 | ||
70.01 - 75.00 | 4 | 5,218,976.00 | 6.93 | ||
75.01 - 80.00 | 11 | 15,548,620.00 | 20.65 | ||
Total | 50 | 75,310,646.00 | 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 | ||
636 - 639 | 1 | 2,000,000.00 | 2.66 | ||
660 - 679 | 3 | 4,246,220.00 | 5.64 | ||
680 - 699 | 12 | 18,011,000.00 | 23.92 | ||
700 - 719 | 7 | 10,630,000.00 | 14.11 | ||
720 - 739 | 7 | 10,552,364.00 | 14.01 | ||
740 - 759 | 12 | 19,962,312.00 | 26.51 | ||
760 - 779 | 7 | 8,738,750.00 | 11.60 | ||
780 - 795 | 1 | 1,170,000.00 | 1.55 | ||
Total | 50 | 75,310,646.00 | 100.00 | ||
% 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 | 18 | 23,380,964.00 | 31.05 | ||
Limited Documentation | 15 | 22,479,250.00 | 29.85 | ||
Alternative Documentation | 11 | 19,733,200.00 | 26.20 | ||
Lite Documentation | 6 | 9,717,232.00 | 12.90 | ||
Total | 50 | 75,310,646.00 | 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 | 43 | 61,820,646.00 | 82.09 | ||
Second Home | 7 | 13,490,000.00 | 17.91 | ||
Total | 50 | 75,310,646.00 | 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 | 36 | 50,893,884.00 | 67.58 | ||
Planned Unit Development | 7 | 11,935,750.00 | 15.85 | ||
Condominium | 5 | 9,429,200.00 | 12.52 | ||
Two-Four Family | 2 | 3,051,812.00 | 4.05 | ||
Total | 50 | 75,310,646.00 | 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 | 23 | 32,997,534.00 | 43.82 | ||
Refinance (Rate or Term) | 17 | 25,941,300.00 | 34.45 | ||
Refinance (Cash-Out) | 10 | 16,371,812.00 | 21.74 | ||
Total | 50 | 75,310,646.00 | 100.00 | ||
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of | Outstanding as of | |||
STATES: | Mortgage Loans | the Cutoff Date | the Cutoff Date | ||
California | 20 | 27,644,834.00 | 36.71 | ||
Florida | 7 | 11,475,000.00 | 15.24 | ||
New York | 2 | 5,430,000.00 | 7.21 | ||
Georgia | 3 | 3,951,800.00 | 5.25 | ||
Connecticut | 2 | 3,515,000.00 | 4.67 | ||
Texas | 2 | 2,640,000.00 | 3.51 | ||
Illinois | 2 | 2,375,200.00 | 3.15 | ||
Virginia | 2 | 2,350,000.00 | 3.12 | ||
Arizona | 1 | 2,000,000.00 | 2.66 | ||
Wyoming | 1 | 2,000,000.00 | 2.66 | ||
Massachusetts | 1 | 1,750,000.00 | 2.32 | ||
Colorado | 1 | 1,680,000.00 | 2.23 | ||
Hawaii | 1 | 1,676,812.00 | 2.23 | ||
Maryland | 1 | 1,500,000.00 | 1.99 | ||
North Carolina | 1 | 1,500,000.00 | 1.99 | ||
New Jersey | 1 | 1,490,000.00 | 1.98 | ||
Washington | 1 | 1,192,000.00 | 1.58 | ||
Missouri | 1 | 1,140,000.00 | 1.51 | ||
Total | 50 | 75,310,646.00 | 100.00 |