MORGAN STANLEY Securitized Products Group | September 21, 2005 |
Computational Materials
$ [153,661,000]
(Approximate)
Sequoia Mortgage Trust 2005-4
Mortgage Pass-Through Certificates
Adjustable Rate Residential Mortgage Loans
Group 1
RWT Holdings, Inc.
Seller
Sequoia Residential Funding, Inc.
Depositor
Wells Fargo Bank, N.A.
Master Servicer
This material has been prepared for information purposes only and is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. This is not a research report and was not prepared by the Morgan Stanley research department. It was prepared by Morgan Stanley sales, trading or other non-research personnel. Past performance is not necessarily a guide to future performance. Please see additional important information and qualifications at the end of this material.
Sequoia Mortgage Trust 2005-4
Mortgage Pass-Through Certificates
Group 1*
$ 153,661,000 (Approximate, Subject to Final Collateral)
Publicly Offered Certificates
Adjustable Rate Residential Mortgage Loans
(1)
Distributions on the Class 1-A1, Class 1-A2, Class 1-XA, Class 1-XB Certificates and Group 1 Subordinate Certificates will be derived from One-Month and Six-Month LIBOR and PRIME adjustable rate 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 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates are shown to the Clean-Up Call Date at pricing speed of 20% CPR. The WAL and Payment Windows to Maturity for the Class 1-A1,Class 1-A2, Class 1-B1 and Class 1-B2 Certificates are shown at pricing speed of 20% CPR (as described herein).
(3)
The Class 1-A1 and Class 1-A2 Certificates will initially have an interest rate equal to the least of (i) One-Month LIBOR plus [ ] bps (which margin doubles on the first distribution date after the first possible Clean-Up Call Date (as described herein)), (ii) the Net WAC Cap (as described herein) and (iii) 11.50%.
(4)
The Class 1-B1 and Class 1-B2 Certificates will initially have an interest rate equal to the least of (i) One-Month LIBOR plus [ ] bps (which margin is multiplied by [1.5] on the first distribution date after the first possible Clean-Up Call Date (as described herein)), (ii) the Net WAC Cap (as described herein) and (iii) 11.50%.
(5)
Balances shown with respect to the Class 1-XA and Class 1-XB 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 1-XA Certificates for any Distribution Date is equal to the class principal balance of the Class 1-A1 and Class 1-A2 Certificates, immediately prior to such distribution date. Such class is interest-only and will not be entitled to distributions of principal. Interest will accrue on the 1-XA Certificates as described in the Prospectus Supplement
(7)
The notional amount of the Class 1-XB Certificates for any Distribution Date is the sum of the class principal balances of the Class 1-B1 and Class 1-B2 Certificates immediately prior to such distribution date. Such class is interest-only and will not be entitled to distributions of principal. Interest will accrue on the Class 1-XB Certificates as described in the Prospectus Supplement.
* Other classes of Certificates backed by loans comprising the Group 2 Mortgage Loans will also be issued by the Trust but are not offered hereby
This material is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. This material was not prepared by the Morgan Stanley research department. Please refer to important information and qualifications at the end of this material.
Depositor:
Sequoia Residential Funding, Inc.
Joint Lead Managers:
Morgan Stanley & Co. Incorporated and Banc of America Securities LLC
Master Servicer:
Wells Fargo Bank, N.A.
Trustee:
HSBC Bank USA, National Association
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 2 of this Preliminary Term Sheet.
Cut-off Date:
September 1, 2005.
Pricing Date:
On or about September [21], 2005.
Closing Date:
On or about September 29, 2005.
Distribution Dates:
The 20th day of each month (or if not a business day, the next succeeding business day), commencing in October 2005.
Certificates:
The “Group 1 Senior Certificates” will consist of theClass 1-A1 and Class 1-A2 Certificates (the “Class 1-A Certificates”), the Class 1-XA and Class 1-XB (together, the “Class 1-X Certificates”) and Class 1-AR Certificates. The “Group 1 Subordinate Certificates” will consist of the Class 1-B1, Class 1-B2, Class 1-B3, Class 1-B4, Class 1-B5 and Class 1-B6 Certificates. The Group 1 Senior Certificates and the Group 1 Subordinate Certificates are collectively referred to herein as the “ Group 1 Certificates”.
Offered Certificates:
Only the Class 1-A1, Class 1-A2, Class 1-AR, Class 1-XA, Class 1-XB, Class 1-B1, Class 1-B2 and Class 1-B3 Certificates (collectively, the “Publicly Offered Certificates”) are being offered publicly. The Class 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates are being offered hereby.
Accrued Interest:
TheClass 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates will settle flat.
Accrual Period:
The interest accrual period (the “Accrual Period”) with respect to the Class 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates for each Distribution Date will be the period beginning on the 20th day of the month prior to such Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the 19th day of the month of such Distribution Date 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 the Euroclear system.
Federal Tax Treatment:
It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests.
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 Group 1 Senior Certificates (other than the Class 1-AR Certificates) and the Class 1-B1 Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA.
Clean-Up Call:
The terms of the transaction allow for an optional termination of the trust and retirement of the Certificates on the date (the “Clean-Up Call Date”) on which the aggregate principal balance of the Group 1 Mortgage Loans is equal to 10% or less of the aggregate principal balance of the Group 1 Mortgage Loans as of the Cut-off Date.
Pricing Prepayment
Speed:
The Offered Certificates will be priced to a prepayment speed of 20% CPR.
Group 1 Mortgage Loans:
The trust will consist of two unrelated groups of collateral backing separate classes of Certificates issued by the Trust. Only the Classes of Certificates backed by the Group 1 Mortgage Loans are offered hereby. The Group 1 Mortgage Loans consist of approximately 261 adjustable rate, prime quality mortgage loans secured by first liens on one- to four-family residential properties. Distributions on the Certificates will be based solely on collections on the Group 1 Mortgage Loans, and there will be no cross-collateralization between the two collateral groups. The information on the Group 1 Mortgage Loans described herein is based on the pool of approximately $156,957,654 aggregate principal balance of as of the Cut-off Date. Approximately 61.36%, 37.50% and 1.14% of the Group 1 Mortgage Loans are One-Month LIBOR, Six-Month LIBOR and PRIME indexed mortgage loans, respectively.
At origination, all of the Group 1 Mortgage Loans were scheduled to pay interest only for the first 10 years. After such 10-year interest-only term, the Group 1 Mortgage Loans were scheduled to amortize on a 20-year or 15-year fully amortizing basis.
Delay Days:
TheClass 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates will have 0 delay days.
Net WAC Cap:
The “Net WAC Cap” is equal to the weighted average of the net mortgage rates of the Group 1 Mortgage Loans.
The Class 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates will have a “Certificate Interest Rate” equal to the least 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 1-A1 or Class 1-A2 Certificates is subject to the Net WAC Cap, such Certificates will 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) (together, a “Net WAC Shortfall”) from amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class 1-B1 or Class 1-B2 Certificates is subject to the Net WAC Cap, such Certificates will be entitled to payment of an amount equal to the excess of the (i) interest accrued at the respective Certificate Interest Rate (without giving effect to the Net WAC Cap) over (ii) the amount of interest received on such Certificates based on the Net WAC Cap, together with 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) (together, a “Net WAC Shortfall”) from amounts on deposit in the Reserve Fund.
Reserve Fund:
As of the Closing Date, the “Reserve Fund” will be established on behalf of the Class 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2 Certificates (together, the “LIBOR Certificates”). The Reserve Fund will be funded with any excess interest available as described in “Certificates’ Priority of Distributions” herein. The Reserve Fund will not be an asset of the REMIC. On any Distribution Date, the 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, if any. Amounts otherwise distributable in respect of the Class 1-XA Certificates will instead be deposited into the Reserve Fund and distributed to the Class 1-A1 and the Class 1-A2 to the extent of any Net WAC Shortfalls for such Class. Amounts otherwise distributable in respect of the Class 1-XB Certificates will be inste ad deposited into the Reserve Fund and distributed to the Class 1-B1 and Class 1-B2 Certificates, in that order, to the extent of any Net WAC Shortfalls for such Classes. Any amounts remaining in the Reserve Fund after such distribution will be distributed to the Class 1-XA and Class 1-XB Certificates, as applicable.
Credit Enhancement:
Senior/subordinate, shifting interest structure.
Certificates | S&P/Moody's | Bond Sizes* | Initial Subordination* |
Group 1 Senior Certificates | AAA/Aaa | [95.65%] | [4.35%] |
Class 1-B1 | AA/Aa2 | [1.35%] | [3.00%] |
Class 1-B2 | A/A2 | [0.90%] | [2.10%] |
*Preliminary and subject to revision.
Shifting Interest:
Until the Distribution Date occurring in October 2015, the Group 1 Subordinate Certificates will be locked out from receipt of all scheduled and unscheduled principal, and subsequent recoveries (unless the Group 1 Senior Certificates are paid down to zero or the credit enhancement provided by the Group 1 Subordinate Certificates has doubled prior to such date as described below). On or after such time and subject to standard collateral performance triggers (as described in the prospectus supplement), the Group 1 Subordinate Certificates will receive their pro-rata share of scheduled principal and increasing portions of principal prepayments and subsequent recoveries. There is no scheduled principal due on all Group 1 Mortgage Loans for the first ten years following origination.
The prepayment percentages on the Group 1 Subordinate Certificates are as follows:
October 2005 – September 2015
0% Pro Rata Share
October 2015 – September 2016
30% Pro Rata Share
October 2016 – September 2017
40% Pro Rata Share
October 2017 – September 2018
60% Pro Rata Share
October 2018 – September 2019
80% Pro Rata Share
October 2019 and after
100% Pro Rata Share
Notwithstanding the foregoing, if the credit enhancement provided by the Group 1 Subordinate Certificates reaches twice the initial subordination, all principal (scheduled principal and prepayments) will be paid pro-rata between the Group 1 Senior and Group 1 Subordinate Certificates (subject to performance triggers). However, if the credit enhancement provided by the Group 1 Subordinate Certificates has reached twice the initial subordination prior to the Distribution Date in October 2008 (subject to performance triggers), then the Group 1 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 Group 1 Subordinate Certificates will be allocated to the Group 1 Senior Certificates. In the event the current senior percentage (equal to the aggregate principal balance of the Group 1 Senior Certificates divided by the aggregate principal balance of the Group 1 Mortgage Loans) exceeds the initial senior percentage, the Class 1-A Certificates will receive all principal prepayments from the Group 1 Mortgage Loans regardless of any prepayment percentages as described above.
Allocation of
Realized Losses:
Any realized losses, on the Group 1 Mortgage Loans will be allocated as follows: first, to the Group 1 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 1-A Certificates,provided howeverthat the amount of any Realized Loss allocable to the Group 1 Senior Certificates will be allocated first, to reduce the class principal amount of the Class 1-A2 Certificates until the class principal balance thereof has been reduced to zero, and second to the Class 1-A1 Certificates.
Certificates’ Priority of
Distributions:
Available funds from the Group 1 Mortgage Loans will be distributed in the following order of priority:
1)
Class 1-A1, Class 1-A2, Class 1-X and Class 1-AR Certificates, accrued and unpaid interest at the related Certificate Interest Rate; provided that, to the extent of any Net WAC Shortfall amount for such Distribution Date with respect to each of the LIBOR Certificates, the amount of interest otherwise distributable to the related Class 1-X Certificates shall be deposited in the Reserve Fund.
2)
Class 1-AR Certificates, principal allocable to such class.
3)
Class 1-A1 and Class 1-A2 Certificates, pro- rata, principal allocable to such classes.
4)
Class 1-B1 Certificates, accrued and unpaid interest at the related Certificate Interest Rate.
5)
Class 1-B1 Certificates, principal allocable to such class.
6)
Class 1-B2 Certificates, accrued and unpaid interest at the related Certificate Interest Rate.
7)
Class 1-B2 Certificates, principal allocable to such class.
8)
Class 1-A1 and Class 1-A2 Certificates, the related Net WAC Shortfall amount, from the Reserve Fund.
9)
Class 1-B1 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund.
10)
Class 1-B2 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund.
11)
Class 1-X Certificates, the excess amounts related to each Class 1-X Certificate, from the Reserve Fund.
12)
Class 1-B3, Class 1-B4, Class 1-B5 and Class 1-B6 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 1-AR Certificate, any remaining amount.
Discount Margin Table (To Call)
Prepayment Speed | 10% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR |
| Discount Margin | Discount Margin | Discount Margin | Discount Margin | Discount Margin |
1-A1 |
| ||||
Price 100.00000 | 22 | 22 | 22 | 22 | 22 |
WAL | 6.98 | 4.99 | 3.77 | 2.95 | 2.39 |
Mod Dur | 5.58 | 4.18 | 3.28 | 2.63 | 2.17 |
First Prin Pay | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 |
Last Prin Pay | 3/20/2022 | 4/20/2018 | 8/20/2015 | 6/20/2013 | 1/20/2012 |
1-A2 |
| ||||
Price 100.00000 | 32 | 32 | 32 | 32 | 32 |
WAL | 6.98 | 4.99 | 3.77 | 2.95 | 2.39 |
Mod Dur | 5.55 | 4.17 | 3.27 | 2.62 | 2.16 |
First Prin Pay | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 |
Last Prin Pay | 3/20/2022 | 4/20/2018 | 8/20/2015 | 6/20/2013 | 1/20/2012 |
1-B1 | |||||
Price 100.00000 | 40 | 40 | 40 | 40 | 40 |
WAL | 11.68 | 8.48 | 6.44 | 5.32 | 4.49 |
Mod Dur | 8.89 | 6.87 | 5.44 | 4.62 | 3.98 |
First Prin Pay | 11/20/2011 | 11/20/2009 | 10/20/2008 | 3/20/2008 | 9/20/2007 |
Last Prin Pay | 3/20/2022 | 4/20/2018 | 8/20/2015 | 6/20/2013 | 1/20/2012 |
1-B2 | |||||
Price 100.00000 | 65 | 65 | 65 | 65 | 65 |
WAL | 11.68 | 8.48 | 6.44 | 5.32 | 4.49 |
Mod Dur | 8.76 | 6.79 | 5.39 | 4.58 | 3.95 |
First Prin Pay | 11/20/2011 | 11/20/2009 | 10/20/2008 | 3/20/2008 | 9/20/2007 |
Last Prin Pay | 3/20/2022 | 4/20/2018 | 8/20/2015 | 6/20/2013 | 1/20/2012 |
Discount Margin Table (To Maturity)
Prepayment Speed | 10% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR |
| Discount Margin | Discount Margin | Discount Margin | Discount Margin | Discount Margin |
1-A1 |
| ||||
Price 100.00000 | 23 | 23 | 23 | 23 | 24 |
WAL | 7.34 | 5.35 | 4.09 | 3.24 | 2.63 |
Mod Dur | 5.74 | 4.38 | 3.47 | 2.81 | 2.34 |
First Prin Pay | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 |
Last Prin Pay | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 |
1-A2 |
| ||||
Price 100.00000 | 33 | 33 | 34 | 34 | 34 |
WAL | 7.34 | 5.35 | 4.09 | 3.24 | 2.63 |
Mod Dur | 5.71 | 4.36 | 3.45 | 2.81 | 2.33 |
First Prin Pay | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 | 10/20/2005 |
Last Prin Pay | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 |
1-B1 | |||||
Price 100.00000 | 41 | 41 | 41 | 42 | 42 |
WAL | 12.42 | 9.24 | 7.10 | 6.00 | 5.13 |
Mod Dur | 9.22 | 7.26 | 5.83 | 5.06 | 4.41 |
First Prin Pay | 11/20/2011 | 11/20/2009 | 10/20/2008 | 3/20/2008 | 9/20/2007 |
Last Prin Pay | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 |
1-B2 | |||||
Price 100.00000 | 66 | 67 | 67 | 68 | 68 |
WAL | 12.42 | 9.24 | 7.10 | 6.00 | 5.13 |
Mod Dur | 9.08 | 7.17 | 5.76 | 5.01 | 4.38 |
First Prin Pay | 11/20/2011 | 11/20/2009 | 10/20/2008 | 3/20/2008 | 9/20/2007 |
Last Prin Pay | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 | 8/20/2035 |
Net WAC Cap Schedule for Class 1-A1, Class 1-A2, Class 1-B1 and Class 1-B2
Assumptions: |
20% CPR Hard Cap: 11.50% To Call 1 Month LIBOR: 20% 6 Month LIBOR: 20% |
The Net WAC Cap is calculated using the above noted assumptions.
Distribution Period | Net WAC Cap |
1 | 4.56% |
2 | 8.73% |
3 | 8.94% |
4 | 10.20% |
5 | 11.27% |
6 | 11.28% |
7 | 11.45% |
8 and After | 11.50% |
Sequoia Mortgage Trust 2005-4
Group 1 Mortgage Loans
As of the Cut-off Date
BALANCE | $156,957,654 | ||
NUMBER OF LOANS | 261 | ||
Minimum | Maximum | ||
AVG CURRENT BALANCE | $601,370 | $12,903 | $4,983,821 |
AVG ORIGINAL BALANCE | $634,274 | $55,500 | $5,000,000 |
WAVG LOAN RATE | 4.938% | 3.625% | 6.500% |
WAVG SERVICING FEE | 0.361% | 0.250% | 0.750% |
WAVG NET LOAN RATE | 4.577% | 3.240% | 6.250% |
WAVG GROSS MARGIN | 1.598% | 0.000% | 2.625% |
WAVG MAXIMUM LOAN RATE | 12.062% | 9.950% | 15.000% |
WAVG ORIGINAL LTV | 70.78% | 17.01% | 100.00% |
WAVG EFFECTIVE LTV(1) | 67.32% | 17.01% | 100.00% |
WAVG CREDIT SCORE | 738 | 572 | 816 |
WAVG ORIGINAL TERM | 310 months | 300 months | 360 months |
WAVG REMAINING TERM | 286 months | 148 months | 360 months |
WAVG SEASONING | 24 months | 0 month | 152 months |
WAVG NEXT RATE RESET | 2 months | 1 month | 6 months |
WAVG RATE ADJ FREQ | 3 months | 1 month | 6 months |
WAVG FIRST RATE ADJ FREQ | 3 months | 1 month | 6 months |
WAVG IO ORIGINAL TERM | 120 months | 120 months | 120 months |
WAVG IO REMAINING TERM | 117 months | 109 months | 120 months |
TOP STATE CONCENTRATIONS($) | CA(23.50%),FL(13.09%),NY(9.50%),NJ(7.16%),TX (6.95%) | ||
MAXIMUM ZIP CODE CONCENTRATION($) | 10580(3.63%) | ||
FIRST PAY DATE | 02/01/93 | 10/01/05 | |
RATE CHANGE DATE | 10/01/05 | 03/01/06 | |
MATURITY DATE | 01/01/18 | 09/01/35 |
(1)
Effective LTV is defined as the following: original loan balance less amount of the pledge account divided by the lesser of the appraised values or sales price of the property.
% of Aggregate | |||||
Principal Balance | Principal Balance | ||||
Number of | Outstanding as of the | Outstanding as of the | |||
INDEX | Mortgage Loans | Cut-off Date | Cut-off Date | ||
1 M LIBOR | 128 | $96,308,833.80 | 61.36% | ||
6 M LIBOR | 128 | 58,855,028.95 | 37.50 | ||
PRIME | 5 | 1,793,790.84 | 1.14 | ||
Total: | 261 | $156,957,653.59 | 100.00% | ||
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
DELINQUENCY | Mortgage Loans | Cut-off Date | Cut-off Date |
Current | 261 | $156,957,653.59 | 100.00% |
Total: | 261 | $156,957,653.59 | 100.00% |
% of Aggregate | |||
Principal Balance | Principal Balance | ||
Number of | Outstanding as of the | Outstanding as of the | |
CURRENT BALANCE ($) | Mortgage Loans | Cut-off Date | Cut-off Date |
0.01 - 100,000.00 | 19 | $1,407,819.43 | 0.90% |
100,000.01 - 200,000.00 | 56 | 8,109,861.99 | 5.17 |
200,000.01 - 300,000.00 | 45 | 11,202,273.74 | 7.14 |
300,000.01 - 400,000.00 | 28 | 9,794,397.55 | 6.24 |
400,000.01 - 500,000.00 | 16 | 7,149,306.88 | 4.55 |
500,000.01 - 600,000.00 | 14 | 7,534,177.61 | 4.80 |
600,000.01 - 700,000.00 | 15 | 9,717,066.01 | 6.19 |
700,000.01 - 800,000.00 | 13 | 9,511,434.60 | 6.06 |
800,000.01 - 900,000.00 | 5 | 4,278,648.32 | 2.73 |
900,000.01 - 1,000,000.00 | 11 | 10,570,935.41 | 6.73 |
1,000,000.01 - 1,100,000.00 | 2 | 2,092,197.14 | 1.33 |
1,100,000.01 - 1,200,000.00 | 6 | 6,949,696.69 | 4.43 |
1,200,000.01 - 1,300,000.00 | 3 | 3,776,500.00 | 2.41 |
1,300,000.01 - 1,400,000.00 | 2 | 2,776,000.00 | 1.77 |
1,400,000.01 - 1,500,000.00 | 5 | 7,251,497.40 | 4.62 |
1,500,000.01 - 1,600,000.00 | 2 | 3,179,666.67 | 2.03 |
1,700,000.01 - 1,800,000.00 | 1 | 1,787,447.32 | 1.14 |
1,800,000.01 - 1,900,000.00 | 2 | 3,710,452.81 | 2.36 |
1,900,000.01 - 2,000,000.00 | 2 | 4,000,000.00 | 2.55 |
2,100,000.01 - 2,200,000.00 | 1 | 2,139,499.03 | 1.36 |
2,200,000.01 - 2,300,000.00 | 2 | 4,496,412.50 | 2.86 |
2,400,000.01 - 2,500,000.00 | 1 | 2,491,980.16 | 1.59 |
2,500,000.01 - 2,600,000.00 | 1 | 2,589,062.50 | 1.65 |
2,600,000.01 - 2,700,000.00 | 1 | 2,640,000.00 | 1.68 |
2,700,000.01 - 2,800,000.00 | 1 | 2,747,500.01 | 1.75 |
2,800,000.01 - 2,900,000.00 | 2 | 5,770,000.00 | 3.68 |
2,900,000.01 - 3,000,000.00 | 2 | 5,999,999.00 | 3.82 |
3,000,000.01 >= | 3 | 13,283,820.82 | 8.46 |
Total: | 261 | $156,957,653.59 | 100.00% |
% of Aggregate | |||
Principal Balance | Principal Balance | ||
Number of | Outstanding as of the | Outstanding as of the | |
LOAN RATE (%) | Mortgage Loans | Cut-off Date | Cut-off Date |
3.501 - 3.750 | 1 | $4,800,000.00 | 3.06% |
3.751 - 4.000 | 10 | 3,569,900.00 | 2.27 |
4.001 - 4.250 | 6 | 1,806,955.68 | 1.15 |
4.251 - 4.500 | 5 | 2,154,476.25 | 1.37 |
4.501 - 4.750 | 11 | 6,311,780.89 | 4.02 |
4.751 - 5.000 | 146 | 98,204,059.99 | 62.57 |
5.001 - 5.250 | 34 | 20,958,195.53 | 13.35 |
5.251 - 5.500 | 20 | 13,348,925.34 | 8.50 |
5.501 - 5.750 | 17 | 4,167,417.53 | 2.66 |
5.751 - 6.000 | 8 | 1,218,500.39 | 0.78 |
6.001 - 6.250 | 2 | 299,062.91 | 0.19 |
6.251 - 6.500 | 1 | 118,379.08 | 0.08 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
GROSS MARGIN (%) | Mortgage Loans | Cut-off Date | Cut-off Date |
0.000 | 3 | $1,661,899.22 | 1.06% |
0.250 | 2 | 416,793.26 | 0.27 |
0.500 | 1 | 118,379.08 | 0.08 |
1.125 | 3 | 1,314,137.30 | 0.84 |
1.250 | 3 | 529,321.87 | 0.34 |
1.375 | 5 | 5,713,855.73 | 3.64 |
1.500 | 119 | 81,820,407.66 | 52.13 |
1.625 | 49 | 26,697,980.57 | 17.01 |
1.750 | 16 | 13,785,248.50 | 8.78 |
1.875 | 20 | 7,457,386.51 | 4.75 |
2.000 | 11 | 10,104,441.18 | 6.44 |
2.125 | 5 | 4,328,190.05 | 2.76 |
2.250 | 13 | 1,939,550.47 | 1.24 |
2.375 | 6 | 613,277.40 | 0.39 |
2.500 | 4 | 374,336.67 | 0.24 |
2.625 | 1 | 82,448.12 | 0.05 |
Total: | 261 | $156,957,653.59 | 100.00% |
% of Aggregate | |||
Principal Balance | Principal Balance | ||
Number of | Outstanding as of the | Outstanding as of the | |
ORIGINAL TERM (Months) | Mortgage Loans | Cut-off Date | Cut-off Date |
300 | 238 | $131,524,506.83 | 83.80% |
360 | 23 | 25,433,146.76 | 16.20 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
REMAINING TERM (Months) | Mortgage Loans | Cut-off Date | Cut-off Date |
145 – 150 | 1 | $216,614.79 | 0.14% |
157 – 162 | 2 | 385,870.20 | 0.25 |
163 – 168 | 60 | 23,395,438.61 | 14.91 |
169 – 174 | 1 | 389,680.94 | 0.25 |
289 – 294 | 7 | 8,626,152.57 | 5.50 |
295 – 300 | 167 | 98,510,749.72 | 62.76 |
349 – 354 | 11 | 9,982,917.94 | 6.36 |
355 – 360 | 12 | 15,450,228.82 | 9.84 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
IO REMAINING TERM (Months) | Mortgage Loans | Cut-off Date | Cut-off Date |
109 - 114 | 18 | $18,609,070.51 | 14.04% |
115 - 120 | 179 | 113,960,978.54 | 85.96 |
Total: | 197 | $132,570,049.05 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
PREPAY TERM (Months) | Mortgage Loans | Cut-off Date | Cut-off Date |
0 | 251 | $150,149,955.22 | 95.66% |
36 | 10 | 6,807,698.37 | 4.34 |
Total: | 261 | $156,957,653.59 | 100.00% |
% of Aggregate | |||
Principal Balance | Principal Balance | ||
Number of | Outstanding as of the | Outstanding as of the | |
RATE CHANGE DATE | Mortgage Loans | Cut-off Date | Cut-off Date |
2005-10 | 144 | $109,135,398.89 | 69.53% |
2005-11 | 26 | 13,658,832.77 | 8.70 |
2005-12 | 30 | 11,142,185.67 | 7.10 |
2006-01 | 27 | 7,938,048.81 | 5.06 |
2006-02 | 11 | 5,955,244.41 | 3.79 |
2006-03 | 23 | 9,127,943.04 | 5.82 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
ORIGINAL LTV (%) | Mortgage Loans | Cut-off Date | Cut-off Date |
10.01 - 20.00 | 2 | $872,500.00 | 0.56% |
20.01 - 30.00 | 3 | 2,390,881.17 | 1.52 |
30.01 - 40.00 | 9 | 2,051,571.26 | 1.31 |
40.01 - 50.00 | 19 | 17,272,535.48 | 11.00 |
50.01 - 60.00 | 23 | 20,900,377.18 | 13.32 |
60.01 - 70.00 | 52 | 29,166,734.64 | 18.58 |
70.01 - 75.00 | 27 | 11,096,774.33 | 7.07 |
75.01 - 80.00 | 88 | 54,267,593.67 | 34.57 |
80.01 - 85.00 | 3 | 653,744.39 | 0.42 |
85.01 - 90.00 | 1 | 300,000.00 | 0.19 |
90.01 - 95.00 | 6 | 2,452,312.03 | 1.56 |
95.01 - 100.00 | 28 | 15,532,629.44 | 9.90 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
EFFECTIVE LTV(1) (%) | Mortgage Loans | Cut-off Date | Cut-off Date |
10.01 - 20.00 | 2 | $872,500.00 | 0.56% |
20.01 - 30.00 | 3 | 2,390,881.17 | 1.52 |
30.01 - 40.00 | 9 | 2,051,571.26 | 1.31 |
40.01 - 50.00 | 20 | 17,597,535.48 | 11.21 |
50.01 - 60.00 | 30 | 24,596,093.98 | 15.67 |
60.01 - 70.00 | 77 | 42,640,995.07 | 27.17 |
70.01 - 75.00 | 26 | 10,989,465.95 | 7.00 |
75.01 - 80.00 | 87 | 54,174,701.85 | 34.52 |
80.01 - 85.00 | 3 | 653,744.39 | 0.42 |
90.01 - 95.00 | 3 | 802,750.00 | 0.51 |
95.01 - 100.00 | 1 | 187,414.44 | 0.12 |
Total: | 261 | $156,957,653.59 | 100.00% |
(1) Effective LTV is defined as the following: loan balance less amount of the pledge account divided by the less of the appraised values or sales price of the property. | |||
% of Aggregate | |||
Principal Balance | Principal Balance | ||
Number of | Outstanding as of the | Outstanding as of the | |
CREDIT SCORE | Mortgage Loans | Cut-off Date | Cut-off Date |
560 - 579 | 1 | $389,680.94 | 0.25% |
580 - 599 | 1 | 315,000.00 | 0.20 |
600 - 619 | 3 | 1,023,920.00 | 0.65 |
620 - 639 | 6 | 3,416,618.26 | 2.18 |
640 - 659 | 8 | 4,732,184.52 | 3.01 |
660 - 679 | 19 | 8,971,259.96 | 5.72 |
680 - 699 | 23 | 12,715,058.74 | 8.10 |
700 - 719 | 30 | 24,600,464.64 | 15.67 |
720 - 739 | 33 | 16,178,075.35 | 10.31 |
740 - 759 | 30 | 23,003,119.89 | 14.66 |
760 - 779 | 43 | 27,140,950.62 | 17.29 |
780 - 799 | 42 | 23,149,306.16 | 14.75 |
800 - 819 | 22 | 11,322,014.51 | 7.21 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
ORIGINAL AMORTIZATION | Mortgage Loans | Cut-off Date | Cut-off Date |
Interest Only | 261 | $156,957,653.59 | 100.00% |
Total: | 261 | $156,957,653.59 | 100.00% |
|
|
|
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
DOCUMENTATION | Mortgage Loans | Cut-off Date | Cut-off Date |
Alternative | 88 | $62,446,497.45 | 39.79% |
Full | 91 | 45,872,720.85 | 29.23 |
Light Documentation | 72 | 39,852,320.84 | 25.39 |
Limited | 3 | 6,787,824.72 | 4.32 |
No Ratio | 3 | 1,050,000.00 | 0.67 |
Asset, No Income | 4 | 948,289.73 | 0.60 |
Total: | 261 | $156,957,653.59 | 100.00% |
% of Aggregate | |||
Principal Balance | Principal Balance | ||
Number of | Outstanding as of the | Outstanding as of the | |
OCCUPANCY | Mortgage Loans | Cut-off Date | Cut-off Date |
Primary | 201 | $129,502,972.23 | 82.51% |
Second Home | 35 | 21,372,060.10 | 13.62 |
Investment | 25 | 6,082,621.26 | 3.88 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
|
|
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
PROPERTY TYPE | Mortgage Loans | Cut-off Date | Cut-off Date |
Single Family Residence | 170 | $112,165,801.95 | 71.46% |
PUD | 51 | 30,583,688.03 | 19.49 |
Condo | 30 | 11,553,316.90 | 7.36 |
Co-op | 7 | 1,981,980.04 | 1.26 |
2-4 Family | 3 | 672,866.67 | 0.43 |
Total: | 261 | $156,957,653.59 | 100.00% |
|
| % of Aggregate | |
| Principal Balance | Principal Balance | |
Number of | Outstanding as of the | Outstanding as of the | |
PURPOSE | Mortgage Loans | Cut-off Date | Cut-off Date |
Purchase | 144 | $90,874,816.65 | 57.90% |
Cash Out Refinance | 72 | 40,954,059.89 | 26.09 |
Rate/Term Refinance | 45 | 25,128,777.05 | 16.01 |
Total: | 261 | 156,957,653.59 | 100.00% |
% of Aggregate | ||||||||
Principal Balance | Principal Balance | |||||||
Number of | Outstanding as of the | Outstanding as of the | ||||||
STATES | Mortgage Loans | Cut-off Date | Cut-off Date | |||||
California | 41 | $36,888,882.71 | 23.50% | |||||
Florida | 38 | 20,548,982.20 | 13.09 | |||||
New York | 18 | 14,917,305.27 | 9.50 | |||||
New Jersey | 15 | 11,242,903.72 | 7.16 | |||||
Texas | 15 | 10,905,897.19 | 6.95 | |||||
Maryland | 11 | 7,142,355.74 | 4.55 | |||||
Connecticut | 6 | 7,093,117.04 | 4.52 | |||||
Hawaii | 3 | 4,920,000.00 | 3.13 | |||||
North Carolina | 7 | 4,382,095.72 | 2.79 | |||||
Pennsylvania | 8 | 3,498,881.88 | 2.23 | |||||
Nevada | 5 | 3,021,264.59 | 1.92 | |||||
Rhode Island | 2 | 2,844,316.74 | 1.81 | |||||
Virginia | 9 | 2,671,925.04 | 1.70 | |||||
Arizona | 9 | 2,594,695.51 | 1.65 | |||||
Wyoming | 1 | 2,589,062.50 | 1.65 | |||||
Massachusetts | 4 | 2,076,996.55 | 1.32 | |||||
Washington | 4 | 1,889,815.75 | 1.20 | |||||
Illinois | 4 | 1,856,700.00 | 1.18 | |||||
Mississippi | 3 | 1,770,670.83 | 1.13 | |||||
Colorado | 4 | 1,577,825.04 | 1.01 | |||||
Missouri | 8 | 1,471,605.81 | 0.94 | |||||
Wisconsin | 6 | 1,462,223.33 | 0.93 | |||||
Georgia | 4 | 1,248,966.68 | 0.80 | |||||
Ohio | 6 | 1,237,272.70 | 0.79 | |||||
Alabama | 3 | 1,137,267.89 | 0.72 | |||||
Tennessee | 3 | 1,076,200.00 | 0.69 | |||||
Michigan | 3 | 700,265.80 | 0.45 | |||||
Minnesota | 2 | 668,500.00 | 0.43 | |||||
Arkansas | 1 | 575,000.00 | 0.37 | |||||
Delaware | 3 | 522,575.42 | 0.33 | |||||
Virgin Islands | 3 | 492,969.16 | 0.31 | |||||
Utah | 1 | 447,099.70 | 0.28 | |||||
Idaho | 4 | 445,140.16 | 0.28 | |||||
New Mexico | 3 | 369,642.28 | 0.24 | |||||
Louisiana | 1 | 311,920.00 | 0.20 | |||||
Vermont | 2 | 235,110.64 | 0.15 | |||||
Alaska | 1 | 122,200.00 | 0.08 | |||||
Total: | 261 | $156,957,653.59 | 100.00% |
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