-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Mb7Q+k0B5Yh2HgZkU5Q2nVp5r9+Tco5aKA17zfE+XsTTMgxbYTnvkgQc/80MrCmm 0SwIJjy3ZQmd1BXN6pysWw== 0000950149-02-000398.txt : 20020414 0000950149-02-000398.hdr.sgml : 20020414 ACCESSION NUMBER: 0000950149-02-000398 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20020122 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20020228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEQUOIA MORTGAGE FUNDING CORP CENTRAL INDEX KEY: 0001033146 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 911771827 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-22681 FILM NUMBER: 02561559 BUSINESS ADDRESS: STREET 1: 591 REDWOOD HWY STREET 2: STE 3120 CITY: MILL VALLEY STATE: CA ZIP: 94941 BUSINESS PHONE: 4153811765 MAIL ADDRESS: STREET 1: 591 REDWOOD HIGHWAY STREET 2: STE 3120 CITY: MILL VALLEY STATE: CA ZIP: 94941 8-K 1 f79535e8-k.htm FORM 8-K Sequoia Mortgage Trust 5
Table of Contents

SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the

Securities Exchange Act of 1934

January 22, 2002
 Date of Report (Date of Earliest Event Reported)

SEQUOIA MORTGAGE FUNDING CORPORATION
(as Sponsor of Sequoia Mortgage Trust 5, the Issuer of Collateralized Mortgage
Bonds under an Indenture dated as of October 1, 2001)

SEQUOIA MORTGAGE FUNDING CORPORATION

(Exact Name of Registrant as Specified in Its Charter)
         
Delaware   333-22681   91-1771827
(State or Other Jurisdiction of Incorporation)   (Commission File Number)   (I.R.S. Employer Identification No.)

591 Redwood Highway, Suite 3120, Mill Valley, CA 94941
 (Address of Principal Executive Offices)

(415) 381-1765
 (Registrant’s Telephone Number,
Including Area Code)

Not Applicable
 (Former Name or Former Address, if Changed Since Last Report)

 

Item 5. Other Events
Item 7(c). Exhibits
SIGNATURE
EXHIBIT INDEX
Exhibit 10.1

Table of Contents

INFORMATION TO BE INCLUDED IN THE REPORT

Item 5.        Other Events

                      Sequoia Mortgage Funding Corporation has previously registered the offer and sale of Collateralized Mortgage Bonds issued by Sequoia Mortgage Trust 5 (the “Bonds”).
 
             The following exhibit which relates specifically to the Bonds is included with this Current Report:

Item 7(c)     Exhibits

                     10.1        Monthly Payment Date Statement relating to the distribution to Bondholders, January 22, 2002.

 

Table of Contents

SIGNATURE

     Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

Date: February 28, 2002
     
  SEQUOIA MORTGAGE FUNDING CORPORATION
 
 
  By:       /s/   Harold F. Zagunis
 
  Harold F. Zagunis
Chief Financial Officer, Treasurer and Secretary

 

Table of Contents

EXHIBIT INDEX
             
Exhibit Number       Page Number
     
10.1   Monthly Payment Date Statement relating to the distribution to Bondholders, January 22, 2002     5  

  EX-10.1 3 f79535ex10-1.txt EXHIBIT 10.1 EXHIBIT 10.1 CONTACTS - ------------------------------------------------------------------------- Administrator: Kumar X. Khambhaita Direct Phone No: (714) 247-6327 Address: Deutsche Bank 1761 E. St. Andrew Place Santa Ana, CA 92705 Web Site: http://www-apps.gis.deutsche-bank.com/invr Factor Information: (800) 735-7777 Main Phone No: (714) 247-6000 - ------------------------------------------------------------------------- ISSUANCE INFORMATION - -------------------------------------------------------------------------------------------------------------- Seller: Redwood Trust Cut-Off Date: October 1, 2001 Certificate Insurer: Closing Date: October 31, 2001 Servicer(s): Cendant Mortgage Corporation First Payment Date: November 19, 2001 Morgan Stanley Dean Witter Underwriter(s): Greenwich Capital Markets, Inc. Distribution Date: January 22, 2002 Bear, Stearns & Co. Inc. Record Date: January 21, 2002 December 31, 2001 - --------------------------------------------------------------------------------------------------------------
SEQUOIA MORTGAGE TRUST 5 COLLATERALIZED MORTGAGE BONDS BOND PAYMENT REPORT FOR JANUARY 22, 2002 DISTRIBUTION
Distribution in Dollars - Current Period - ------------------------------------------------------------------------------------------------------------------------------------ Prior Current Class Original Principal Total Realized Deferred Principal Class Type Face Value Balance Interest Principal Distribution Losses Interest Balance - ------------------------------------------------------------------------------------------------------------------------------------ (1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)- (5)+(6) - ------------------------------------------------------------------------------------------------------------------------------------ LT-A 496,667,000.00 491,426,081.68 1,951,759.15 861,913.72 2,813,672.87 -- -- 490,564,167.96 LT-A2 100.00 -- -- -- -- -- -- -- LT-X 100.00 -- -- -- -- -- -- -- LT-B-1 5,918,000.00 5,918,000.00 23,504.07 -- 23,504.07 -- -- 5,918,000.00 LT-B-2 5,146,000.00 5,146,000.00 20,437.97 -- 20,437.97 -- -- 5,146,000.00 - ------------------------------------------------------------------------------------------------------------------------------------ LT-B-3 2,316,000.00 2,316,000.00 9,198.28 -- 9,198.28 -- -- 2,316,000.00 LT-B-4 1,545,000.00 1,545,000.00 6,136.16 -- 6,136.16 -- -- 1,545,000.00 LT-B-5 1,030,000.00 1,030,000.00 4,090.77 -- 4,090.77 -- -- 1,030,000.00 LT-B-6 2,058,912.00 2,058,912.00 8,177.22 -- 8,177.22 -- -- 2,058,912.00 LT-R -- -- -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Total 514,681,112.00 509,439,993.68 2,023,303.62 861,913.72 2,885,217.34 -- -- 508,578,079.96 - ------------------------------------------------------------------------------------------------------------------------------------
Interest Accrual Detail Current Period Factor Information per $1,000 of Original Face - --------------------------------------------------------------------------------------------------------------------------------- Orig. Principal Prior Current Period Period (with Notional) Principal Total Principal Class Starting Ending Method Cusip Balance Balance Interest Principal Distribution Balance - --------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4)=(2)+(3) (5) - --------------------------------------------------------------------------------------------------------------------------------- LT-A A-30/360 496,667,000.00 989.447823 3.929714 1.735396 5.665109 987.712427 LT-A2 A-30/360 100.00 -- -- -- -- -- LT-X A-30/360 100.00 -- -- -- -- -- LT-B-1 A-30/360 5,918,000.00 1,000.000000 3.971624 -- 3.971624 1,000.000000 LT-B-2 A-30/360 5,146,000.00 1,000.000000 3.971623 -- 3.971623 1,000.000000 - --------------------------------------------------------------------------------------------------------------------------------- LT-B-3 A-30/360 2,316,000.00 1,000.000000 3.971623 -- 3.971623 1,000.000000 LT-B-4 A-30/360 1,545,000.00 1,000.000000 3.971625 -- 3.971625 1,000.000000 LT-B-5 A-30/360 1,030,000.00 1,000.000000 3.971621 -- 3.971621 1,000.000000 LT-B-6 A-30/360 2,058,912.00 1,000.000000 3.971622 -- 3.971622 1,000.000000 LT-R A-30/360 -- -- -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------
Distribution in Dollars - to Date - ----------------------------------------------------------------------------------------------------------------------------------- Current Original Unscheduled Scheduled Total Total Realized Deferred Principal Class Face Value Interest Principal Principal Principal Distribution Losses Interest Balance - ----------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5) (7) (8) (9)=(1)-(5)- (7)+(8) - ----------------------------------------------------------------------------------------------------------------------------------- LT-A 496,667,000.00 6,148,613.75 6,102,832.04 -- 6,102,832.04 12,251,445.79 -- -- 490,564,167.96 LT-A2 100.00 0.42 100.00 -- 100.00 100.42 -- -- -- LT-X 100.00 -- 100.00 -- 100.00 100.00 -- -- -- LT-B-1 5,918,000.00 73,614.38 -- -- -- 73,614.38 -- -- 5,918,000.00 LT-B-2 5,146,000.00 64,011.41 -- -- -- 64,011.41 -- -- 5,146,000.00 LT-B-3 2,316,000.00 28,808.87 -- -- -- 28,808.87 -- -- 2,316,000.00 LT-B-4 1,545,000.00 19,218.36 -- -- -- 19,218.36 -- -- 1,545,000.00 LT-B-5 1,030,000.00 12,812.23 -- -- -- 12,812.23 -- -- 1,030,000.00 LT-B-6 2,058,912.00 25,610.93 -- -- -- 25,610.93 -- -- 2,058,912.00 LT-R -- -- -- -- -- -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Total 514,681,112.00 6,372,690.35 6,103,032.04 -- 6,103,032.04 12,475,722.39 -- -- 508,578,079.96 - -----------------------------------------------------------------------------------------------------------------------------------
Interest Detail - ------------------------------------------------------------------------------------------------------------------------------------ Pass- Prior Principal Non- Prior Unscheduled Paid or Current Through (with Notional) Accrued Supported Unpaid Interest Optimal Deferred Unpaid Class Rate Balance Interest Interest SF Interest Adjustments Interest Interest Interest - ------------------------------------------------------------------------------------------------------------------------------------ (1) (2) (3) (4) (5)=(1)- (6) (7)=(5)-(6) (2)+(3)+(4) - ------------------------------------------------------------------------------------------------------------------------------------ LT-A 4.76595% 491,426,081.68 1,951,759.15 -- -- -- 1,951,759.15 1,951,759.15 -- LT-A2 4.76595% -- -- -- -- -- -- -- -- LT-X -- -- -- -- -- -- -- -- LT-B-1 4.76595% 5,918,000.00 23,504.07 -- -- -- 23,504.07 23,504.07 -- LT-B-2 4.76595% 5,146,000.00 20,437.97 -- -- -- 20,437.97 20,437.97 -- - ------------------------------------------------------------------------------------------------------------------------------------ LT-B-3 4.76595% 2,316,000.00 9,198.28 -- -- -- 9,198.28 9,198.28 -- LT-B-4 4.76595% 1,545,000.00 6,136.16 -- -- -- 6,136.16 6,136.16 -- LT-B-5 4.76595% 1,030,000.00 4,090.77 -- -- -- 4,090.77 4,090.77 -- LT-B-6 4.76595% 2,058,912.00 8,177.22 -- -- -- 8,177.22 8,177.22 -- LT-R -- -- -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ Total 509,439,993.68 2,023,303.62 -- -- -- 2,023,303.62 2,023,303.62 -- - ------------------------------------------------------------------------------------------------------------------------------------
Distribution in Dollars - Current Period - ------------------------------------------------------------------------------------------------------------------------------------ Prior Current Class Original Principal Total Realized Deferred Principal Class Type Face Value Balance Interest Principal Distribution Losses Interest Balance - ------------------------------------------------------------------------------------------------------------------------------------ (1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)- (5)+(6) - ------------------------------------------------------------------------------------------------------------------------------------ A FLT 496,667,000.00 491,426,081.68 1,022,575.77 861,913.72 1,884,489.49 -- -- 490,564,167.96 X CSTR 100.00 -- 948,980.30 -- 948,980.30 -- -- -- A-R R 100.00 -- -- -- -- -- -- -- B-1 SUB 5,918,000.00 5,918,000.00 14,755.55 -- 14,755.55 -- -- 5,918,000.00 B-2 SUB 5,146,000.00 5,146,000.00 12,830.69 -- 12,830.69 -- -- 5,146,000.00 - ------------------------------------------------------------------------------------------------------------------------------------ B-3 SUB 2,316,000.00 2,316,000.00 5,774.56 -- 5,774.56 -- -- 2,316,000.00 B-4 SUB 1,545,000.00 1,545,000.00 6,136.16 -- 6,136.16 -- -- 1,545,000.00 B-5 SUB 1,030,000.00 1,030,000.00 4,090.77 -- 4,090.77 -- -- 1,030,000.00 B-6 SUB 2,058,912.00 2,058,912.00 8,177.22 -- 8,177.22 -- -- 2,058,912.00 - ------------------------------------------------------------------------------------------------------------------------------------ Total 514,681,112.00 509,439,993.68 2,023,321.02 861,913.72 2,885,234.74 -- -- 508,578,079.96 - ------------------------------------------------------------------------------------------------------------------------------------ Definitive Bond Record Date: 12/31/01
Interest Accrual Detail Current Period Factor Information per $1,000 of Original Face - ------------------------------------------------------------------------------------------------------------------------------------ Orig. Principal Prior Current Period Period (with Notional) Principal Total Principal Class Starting Ending Method Cusip Balance Balance Interest Principal Distribution Balance - ------------------------------------------------------------------------------------------------------------------------------------ (1) (2) (3) (4)=(2)+(3) (5) - ------------------------------------------------------------------------------------------------------------------------------------ A 12/19/01 01/21/02 A-Act/360 81743WAA9 496,667,000.00 989.447823 2.058876 1.735396 3.794272 987.712427 X A-30/360 81743WAJ0 100.00 -- 9,489,802.950000 -- 9,489,802.950000 -- A-R A-30/360 81743WAB7 100.00 -- -- -- -- -- B-1 12/19/01 01/21/02 A-Act/360 81743WAC5 5,918,000.00 1,000.000000 2.493334 -- 2.493334 1,000.000000 B-2 12/19/01 01/21/02 A-Act/360 81743WAD3 5,146,000.00 1,000.000000 2.493333 -- 2.493333 1,000.000000 - ------------------------------------------------------------------------------------------------------------------------------------ B-3 12/19/01 01/21/02 A-Act/360 81743WAE1 2,316,000.00 1,000.000000 2.493333 -- 2.493333 1,000.000000 B-4 A-30/360 81743WAF8 1,545,000.00 1,000.000000 3.971625 -- 3.971625 1,000.000000 B-5 A-30/360 81743WAG6 1,030,000.00 1,000.000000 3.971621 -- 3.971621 1,000.000000 B-6 A-30/360 81743WAH4 2,058,912.00 1,000.000000 3.971622 -- 3.971622 1,000.000000 - ------------------------------------------------------------------------------------------------------------------------------------ Interest will accrue on all Bonds on the basis of a 360-day year consisting of twelve 30-day months.
Distribution in Dollars - to Date - ------------------------------------------------------------------------------------------------------------------------------------ Current Original Unscheduled Scheduled Total Total Realized Deferred Principal Class Face Value Interest Principal Principal Principal Distribution Losses Interest Balance - ------------------------------------------------------------------------------------------------------------------------------------ (1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5) (7) (8) (9)=(1)-(5)- (7)+(8) - ------------------------------------------------------------------------------------------------------------------------------------ A 496,667,000.00 2,738,252.45 6,102,832.04 -- 6,102,832.04 8,841,084.49 -- -- 490,564,167.96 X 100.00 3,488,945.70 100.00 -- 100.00 3,489,045.70 -- -- -- A-R 100.00 0.42 100.00 -- 100.00 100.42 -- -- -- B-1 5,918,000.00 38,872.63 -- -- -- 38,872.63 -- -- 5,918,000.00 B-2 5,146,000.00 33,801.72 -- -- -- 33,801.72 -- -- 5,146,000.00 B-3 2,316,000.00 15,212.75 -- -- -- 15,212.75 -- -- 2,316,000.00 B-4 1,545,000.00 19,218.36 -- -- -- 19,218.36 -- -- 1,545,000.00 B-5 1,030,000.00 12,812.23 -- -- -- 12,812.23 -- -- 1,030,000.00 B-6 2,058,912.00 25,610.92 -- -- -- 25,610.92 -- -- 2,058,912.00 - ------------------------------------------------------------------------------------------------------------------------------------ Total 514,681,112.00 6,372,727.18 6,103,032.04 -- 6,103,032.04 12,475,759.22 -- -- 508,578,079.96 - ------------------------------------------------------------------------------------------------------------------------------------
Interest Detail - ----------------------------------------------------------------------------------------------------------------------------------- Pass- Prior Principal Non- Prior Unscheduled Paid or Current Through (with Notional) Accrued Supported Unpaid Interest Optimal Deferred Unpaid Class Rate Balance Interest Interest SF Interest Adjustments Interest Interest Interest - ----------------------------------------------------------------------------------------------------------------------------------- (1) (2) (3) (4) (5)=(1)- (6) (7)=(5)-(6) (2)+(3)+(4) - ----------------------------------------------------------------------------------------------------------------------------------- A 2.27000% 491,426,081.68 1,022,575.77 -- -- -- 1,022,575.77 1,022,575.77 -- X 2.25583% -- 948,980.30 -- -- -- 948,980.30 948,980.30 -- A-R 4.76595% -- -- -- -- -- -- -- -- B-1 2.72000% 5,918,000.00 14,755.55 -- -- -- 14,755.55 14,755.55 -- B-2 2.72000% 5,146,000.00 12,830.69 -- -- -- 12,830.69 12,830.69 -- - ----------------------------------------------------------------------------------------------------------------------------------- B-3 2.72000% 2,316,000.00 5,774.56 -- -- -- 5,774.56 5,774.56 -- B-4 4.76595% 1,545,000.00 6,136.16 -- -- -- 6,136.16 6,136.16 -- B-5 4.76595% 1,030,000.00 4,090.77 -- -- -- 4,090.77 4,090.77 -- B-6 4.76595% 2,058,912.00 8,177.22 -- -- -- 8,177.22 8,177.22 -- - ----------------------------------------------------------------------------------------------------------------------------------- Total 509,439,993.68 2,023,321.02 -- -- -- 2,023,321.02 2,023,321.02 -- - -----------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- COLLECTION ACCOUNT REPORT - --------------------------------------------------------------------------------
SUMMARY MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------- Principal Collections 157,783.26 704,130.46 861,913.72 Principal Withdrawals 0.00 0.00 0.00 Principal Other Accounts 0.00 0.00 0.00 TOTAL PRINCIPAL 157,783.26 704,130.46 861,913.72 Interest Collected 735,363.26 1,377,184.77 2,112,548.03 Interest Withdrawals 0.00 0.00 0.00 Interest Other Accounts 0.00 0.00 17.41 Fees (20,646.34) (66,687.68) (89,244.42) TOTAL INTEREST 714,716.92 1,310,497.09 2,023,321.02 TOTAL AVAILABLE TO CERTIFICATEHOLDERS 872,500.18 2,014,627.55 2,885,234.74 - ---------------------------------------------------------------------------------------------
PRINCIPAL - COLLECTIONS MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------- Scheduled Principal 0.00 0.00 0.00 Curtailments 157,783.26 704,130.46 861,913.72 Prepayments In Full 0.00 0.00 0.00 Repurchased Principal Amounts 0.00 0.00 0.00 Substitution Principal Amount 0.00 0.00 0.00 Liquidations 0.00 0.00 0.00 Insurance Principal 0.00 0.00 0.00 Other Principal 0.00 0.00 0.00 Total Realized Loss Of Principal 0.00 0.00 0.00 TOTAL PRINCIPAL COLLECTED 157,783.26 704,130.46 861,913.72 - ---------------------------------------------------------------------------------------------
PRINCIPAL - WITHDRAWALS MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - ---------------------------------------------------------------------------------------------
PRINCIPAL - OTHER ACCOUNTS MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------- Amounts remaining in Pre-Funding Account 0.00 - ---------------------------------------------------------------------------------------------
INTEREST - COLLECTIONS MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------- Scheduled Interest 775,053.30 1,410,810.22 2,185,863.52 Repurchased Interest 0.00 0.00 0.00 Substitution Interest Amount 0.00 0.00 0.00 Liquidation Interest 0.00 0.00 0.00 Insurance Interest 0.00 0.00 0.00 Other Interest 0.00 0.00 0.00 Delinquent Interest (515,702.21) (468,847.21) (984,549.42) Interest Advanced 476,012.17 435,221.76 911,233.93 Prepayment Interest Shortfalls 0.00 0.00 0.00 Compensating Interest 0.00 0.00 0.00 Civil Relief Act Shortfalls 0.00 0.00 0.00 TOTAL INTEREST COLLECTED 735,363.26 1,377,184.77 2,112,548.03 - -------------------------------------------------------------------------------------------------
INTEREST - WITHDRAWALS MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------- Current Nonrecoverable Advances 0.00 0.00 0.00 TOTAL INTEREST WITHDRAWALS 0.00 0.00 0.00 - -------------------------------------------------------------------------------------------------
INTEREST - OTHER ACCOUNTS MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------- Pre-Funding Account Earnings 0.00 Basis Risk Shortfall 0.00 Basis Risk Reserve Fund Interest Earnings 17.41 Capitalized Interest Requirement 0.00 TOTAL INTEREST OTHER ACCOUNTS 17.41 - -------------------------------------------------------------------------------------------------
INTEREST - FEES MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------- Current Servicing Fees 20,646.34 66,687.68 87,334.02 Trustee Fee 1,910.40 TOTAL FEES 20,646.34 66,687.68 89,244.42 - -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- CREDIT ENHANCEMENT REPORT - --------------------------------------------------------------------------------
ACCOUNTS MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------------------- BASIS RISK RESERVE FUND Beginning Balance 10,000.00 Basis Risk Deposit 0.00 Basis Risk Shortfall paid (0.00) Investment Earnings distributed to the Class X Bondholder 17.41 Ending Balance 10,000.00 - ---------------------------------------------------------------------------------------------------------
INSURANCE MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - ---------------------------------------------------------------------------------------------------------
STRUCTURAL FEATURES MSDW CENDANT TOTAL - --------------------------------------------------------------------------------------------------------- Pro Rata Senior Percentage 96.463978% Senior Percentage 100.000000% Subordinate Percentage 0.000000% Senior Prepayment Percentage 100.000000% Subordinate Percentage 0.000000% - ---------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- COLLATERAL REPORT - --------------------------------------------------------------------------------
COLLATERAL MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------------------------------- Loan Count: ORIGINAL 296 725 1021 Prior 375 837 1,212 Prefunding -- -- -- Scheduled Paid Offs -- -- -- Full Voluntary Prepayments -- -- -- Repurchases -- -- -- Liquidations -- -- -- - ------------------------------------------------------------------------------------------------------------------------- Current 375 835 1,210 PRINCIPAL BALANCE: Original 153,936,514.18 290,744,597.66 444,681,111.84 Prior 188,437,964.55 321,002,028.97 509,439,993.52 Prefunding -- -- -- Scheduled Principal -- -- -- Partial and Full Voluntary Prepayments (157,783.26) (704,130.46) (861,913.72) Repurchases -- -- -- Liquidations -- -- -- - ------------------------------------------------------------------------------------------------------------------------- Current 188,280,181.29 320,297,898.51 508,578,079.80 - -------------------------------------------------------------------------------------------------------------------------
PREFUNDING MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------------------------------- PRE-FUNDING ACCOUNT Original Pre-Funded Amount 70,000,000.00 Balance of Subsequent Mortgage Loans added this period 0.00 Pre-Funding Account Earnings 0.00 Withdrawal remaining amounts 0.00 Pre-Funding Account Ending Balance 0.00 CAPITALIZED INTEREST ACCOUNT Original Capitalized Interest Amount 132,224.00 Capitalized Interest Requirement 0.00 Capitalized Interest Account Ending Balance 0.00 - -------------------------------------------------------------------------------------------------------------------------
CHARACTERISTICS MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------------------------------- Weighted Average Coupon Original 5.497811% 5.791606% 5.689902% Weighted Average Coupon Prior 5.159154% 5.704328% 5.502777% Weighted Average Coupon Current 4.935651% 5.274024% 5.148862% - ------------------------------------------------------------------------------------------------------------------------- Weighted Average Months to Maturity Original 297 296 296 Weighted Average Months to Maturity Prior 297 295 296 Weighted Average Months to Maturity Current 296 294 295 - ------------------------------------------------------------------------------------------------------------------------- Weighted Avg Remaining Amortization Term Original 297 296 296 Weighted Avg Remaining Amortization Term Prior 296 295 296 Weighted Avg Remaining Amortization Term Current 295 294 295 - ------------------------------------------------------------------------------------------------------------------------- Weighted Average Seasoning Original 3.35 4.14 3.87 Weighted Average Seasoning Prior 3.72 4.93 4.48 Weighted Average Seasoning Current 4.72 5.93 5.48 - ------------------------------------------------------------------------------------------------------------------------- Note: Original information refers to deal issue.
ARM CHARACTERISTICS MSDW CENDANT TOTAL - ----------------------------------------------------------------------------------------------------------------------- Weighted Average Margin Original 1.682% 1.801% Weighted Average Margin Prior 1.673% 1.813% Weighted Average Margin Current 1.672% 1.814% - ----------------------------------------------------------------------------------------------------------------------- Weighted Average Max Rate Original 12.000% 12.275% Weighted Average Max Rate Prior 12.000% 12.324% Weighted Average Max Rate Current 12.000% 12.325% - ----------------------------------------------------------------------------------------------------------------------- Weighted Average Min Rate Original 1.682% 1.801% Weighted Average Min Rate Prior 2.724% 1.619% Weighted Average Min Rate Current 2.719% 1.618% - ----------------------------------------------------------------------------------------------------------------------- Weighted Average Cap Up Original Weighted Average Cap Up Prior Weighted Average Cap Up Current - ----------------------------------------------------------------------------------------------------------------------- Weighted Average Cap Down Original Weighted Average Cap Down Prior Weighted Average Cap Down Current - ----------------------------------------------------------------------------------------------------------------------- Note: Original information refers to deal issue.
SERVICING FEES / ADVANCES MSDW CENDANT TOTAL - ----------------------------------------------------------------------------------------------------------------------- Current Servicing Fees 20,646.34 66,687.68 87,334.02 Delinquent Servicing Fees 39,690.04 33,625.45 73,315.49 TOTAL SERVICING FEES 60,336.38 100,313.13 160,649.51 Total Servicing Fees 60,336.38 100,313.13 160,649.51 Compensating Interest 0.00 0.00 0.00 Delinquent Servicing Fees (39,690.04) (33,625.45) (73,315.49) COLLECTED SERVICING FEES 20,646.34 66,687.68 87,334.02 Prepayment Interest Shortfall 0.00 0.00 0.00 Total Advanced Interest 476,012.17 435,221.76 911,233.93 Current Nonrecoverable Advances 0.00 0.00 0.00 - -----------------------------------------------------------------------------------------------------------------------
ADDITIONAL COLLATERAL INFORMATION MSDW CENDANT TOTAL - ----------------------------------------------------------------------------------------------------------------------- Mortgage Loans which adjust based on One-Month LIBOR 32,620,070.99 0.00 32,620,070.99 Mortgage Loans which adjust based on Six-Month LIBOR 155,660,110.30 320,297,898.51 475,958,008.81 Special Hazard Loss Coverage Amount 5,502,000.00 Current Special Hazard Losses 0.00 Cumulative Special Hazard Losses 0.00 Bankruptcy Loss Coverage Amount 148,271.00 Current Bankruptcy Losses 0.00 Cumulative Bankruptcy Losses 0.00 Fraud Loss Coverage Amount 10,293,622.00 Current Fraud Losses 0.00 Cumulative Fraud Losses 0.00 - -----------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- DELINQUENCY REPORT - TOTAL - --------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL - -------------------------------------------------------------------------------------------------------------- DELINQUENT Balance 5,853,185.54 -- -- 5,853,185.54 % Balance 1.15% 0.00% 0.00% 1.15% # Loans 8 -- -- 8 % # Loans 0.66% 0.00% 0.00% 0.66% - -------------------------------------------------------------------------------------------------------------- FORECLOSURE Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- BANKRUPTCY Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- REO Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- TOTAL Balance -- 5,853,185.54 -- -- 5,853,185.54 % Balance 0.00% 1.15% 0.00% 0.00% 1.15% # Loans -- 8 -- -- 8 % # Loans 0.00% 0.66% 0.00% 0.00% 0.66% - -------------------------------------------------------------------------------------------------------------- Note: Current = 0-29 days, 1 Payment = 30-59 days, 2 Payments = 60-89 days, 3+ Payments = 90+
- -------------------------------------------------------------------------------- DELINQUENCY REPORT - CENDANT GROUP - --------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL - -------------------------------------------------------------------------------------------------------------- DELINQUENT Balance 3,452,935.54 -- -- 3,452,935.54 % Balance 1.08% 0.00% 0.00% 1.08% # Loans 5 -- -- 5 % # Loans 0.60% 0.00% 0.00% 0.60% - -------------------------------------------------------------------------------------------------------------- FORECLOSURE Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- BANKRUPTCY Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- REO Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- TOTAL Balance -- 3,452,935.54 -- -- 3,452,935.54 % Balance 0.00% 1.08% 0.00% 0.00% 1.08% # Loans -- 5 -- -- 5 % # Loans 0.00% 0.60% 0.00% 0.00% 0.60% - -------------------------------------------------------------------------------------------------------------- Note: Current = 0-29 days, 1 Payment = 30-59 days, 2 Payments = 60-89 days, 3+ Payments = 90+
- -------------------------------------------------------------------------------- DELINQUENCY REPORT - MSDW GROUP - --------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL - -------------------------------------------------------------------------------------------------------------- DELINQUENT Balance 2,400,250.00 -- -- 2,400,250.00 % Balance 1.27% 0.00% 0.00% 1.27% # Loans 3 -- -- 3 % # Loans 0.80% 0.00% 0.00% 0.80% - -------------------------------------------------------------------------------------------------------------- FORECLOSURE Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- BANKRUPTCY Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- REO Balance -- -- -- -- -- % Balance 0.00% 0.00% 0.00% 0.00% 0.00% # Loans -- -- -- -- -- % # Loans 0.00% 0.00% 0.00% 0.00% 0.00% - -------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- TOTAL Balance -- 2,400,250.00 -- -- 2,400,250.00 % Balance 0.00% 1.27% 0.00% 0.00% 1.27% # Loans -- 3 -- -- 3 % # Loans 0.00% 0.80% 0.00% 0.00% 0.80% - -------------------------------------------------------------------------------------------------------------- Note: Current = 0-29days, 1 Payment =30-59days, 2 Payments = 60-89days, 3+ Payments = 90+
- -------------------------------------------------------------------------------- REO REPORT - MORTGAGE LOANS THAT BECOME REO DURING CURRENT DISTRIBUTION - -------------------------------------------------------------------------------- SUMMARY LOAN GROUP - -------------------------------------------------------------------------------------------------------------- Total Loan Count = 0 Loan Group 1 = Cendant Group; REO Book Value = 000.00 Total Original Principal Balance = 000.00 Loan Group 2 = MSDW Group; REO Book Value = 000.00 Total Current Balance = 000.00 REO Book Value = 000.00 - -------------------------------------------------------------------------------------------------------------- REO Book Value reported corresponds to total REO loans, including loans that become REO during current distribution.
- -------------------------------------------------------------------------------------------------------------- Loan Number Original Stated Current State & & Principal Principal Paid to Note LTV at Original Origination Loan Group Balance Balance Date Rate Origination Term Date - -------------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - --------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS - --------------------------------------------------------------------------------
VOLUNTARY PREPAYMENTS MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------------------- CURRENT Number of Paid in Full Loans -- -- -- Number of Repurchased Loans -- -- -- - ------------------------------------------------------------------------------------------------------------- Total Number of Loans Prepaid in Full -- -- -- Paid in Full Balance -- -- -- Repurchased Loans Balance -- -- -- Curtailments Amount 157,783.26 704,130.46 861,913.72 - ------------------------------------------------------------------------------------------------------------- Total Prepayment Amount 157,783.26 704,130.46 861,913.72 CUMULATIVE Number of Paid in Full Loans 3 6 9 Number of Repurchased Loans -- -- -- - ------------------------------------------------------------------------------------------------------------- Total Number of Loans Prepaid in Full 3 6 9 Paid in Full Balance 1,169,070.00 2,059,399.95 3,228,469.95 Repurchased Loans Balance -- -- -- Curtailments Amount 706,827.40 2,147,981.50 2,854,808.90 - ------------------------------------------------------------------------------------------------------------- Total Prepayment Amount 1,875,897.40 4,207,381.45 6,083,278.85 SPACE INTENTIONALLY LEFT BLANK - -------------------------------------------------------------------------------------------------------------
VOLUNTARY PREPAYMENT RATES MSDW CENDANT TOTAL - ------------------------------------------------------------------------------------------------------------- SMM 0.08% 0.22% 0.17% 3 Months Avg SMM 0.36% 0.45% 0.42% 12 Months Avg SMM Avg SMM Since Cut-off 0.36% 0.45% 0.42% CPR 1.00% 2.60% 2.01% 3 Months Avg CPR 4.19% 5.28% 4.88% 12 Months Avg CPR Avg CPR Since Cut-off 4.19% 5.28% 4.88% PSA 105.95% 219.29% 183.46% 3 Months Avg PSA Approximation 533.18% 527.59% 529.45% 12 Months Avg PSA Approximation Avg PSA Since Cut-off Approximation 533.18% 527.59% 529.45% - -------------------------------------------------------------------------------------------------------------
PREPAYMENT CALCULATION METHODOLOGY - -------------------------------------------------------------------------------- Single Monthly Mortality (SMM): (Voluntary partial and full prepayments + Repurchases)/(Beg Principal Balance - Sched Principal) Conditional Prepayment Rate (CPR): 1-((1-SMM)(circumflex)12) PSA Standard Prepayment Model: CPR/(0.02*min(30,WAS)) Average SMM over period between nth month and mth month (AvgSMMn,m): [(1-SMMn) * (1-SMMn+1) *.......*(1-SMMm)](circumflex)(1/months in period n,m) Average CPR over period between the nth month and mth month (AvgCPRn,m): 1-((1-AvgSMMn,m)(circumflex)12) Average PSA Approximation over period between the nth month and mth month: AvgCPRn,m/(0.02*Avg WASn,m)) Average WASn,m: (min(30,WASn)+min(30,WASn+1)+.......+min(30,WASm)/(number of months in the period n,m) Weighted Average Seasoning (WAS) Note: Prepayment rates are calculated since deal issue date and include partial and full voluntary prepayments and repurchases. Dates correspond to distribution dates. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PREPAYMENT DETAIL REPORT - LOANS PREPAID IN FULL DURING CURRENT DISTRIBUTION - -------------------------------------------------------------------------------- SUMMARY LOAN GROUP - ----------------------------------------------- --------------------------------------------------- Total Loan Count = 0 Loan Group 1 = Cendant Group Total Original Principal Balance = 0.00 Loan Group 2 = MSDW Group Total Prepayment Amount = 0.00 - ----------------------------------------------- ---------------------------------------------------
- -------------------------------------------------------------------------------------------------------------- Type Loan Number Original Current State & Prepayment & Loan Principal Prepayment Prepayment Note LTV at & Origination Loan Group Status Balance Amount Date Rate Origination Original Term Date - -------------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - --------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- REALIZED LOSS REPORT - COLLATERAL - --------------------------------------------------------------------------------
COLLATERAL REALIZED LOSSES MSDW CENDANT TOTAL - ---------------------------------------------------------------------------------------------------------- CURRENT Number of Loans Liquidated -- -- -- Collateral Realized Loss/(Gain) Amount -- -- -- Net Liquidation Proceeds -- -- -- CUMULATIVE Number of Loans Liquidated -- -- -- Collateral Realized Loss/(Gain) Amount -- -- -- Net Liquidation Proceeds -- -- -- Note: Collateral realized losses may include adjustments to loans liquidated in prior periods. SPACE INTENTIONALLY LEFT BLANK - ----------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------- DEFAULT SPEEDS MSDW CENDANT TOTAL - ---------------------------------------------------------------------------------------------------------- MDR 0.00% 0.00% 0.00% 3 Months Avg MDR 0.00% 0.00% 0.00% 12 Months Avg MDR Avg MDR Since Cut-off 0.00% 0.00% 0.00% CDR 0.00% 0.00% 0.00% 3 Months Avg CDR 0.00% 0.00% 0.00% 12 Months Avg CDR Avg CDR Since Cut-off 0.00% 0.00% 0.00% SDA 0.00% 0.00% 0.00% 3 Months Avg SDA Approximation 0.00% 0.00% 0.00% 12 Months Avg SDA Approximation Avg SDA Since Cut-off Approximation 0.00% 0.00% 0.00% Loss Severity Approximation for Current Period 3 Months Avg Loss Severity Approximation 12 Months Avg Loss Severity Approximation Avg Loss Severity Approximation Since Cut-off - ----------------------------------------------------------------------------------------------------------
COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY - -------------------------------------------------------------------------------- Monthly Default Rate (MDR): (Beg Principal Balance of Liquidated Loans)/(Total Beg Principal Balance) Conditional Default Rate (CDR): 1-((1-MDR)(circumflex)12) SDA Standard Default Assumption: CDR/IF(WAS<61,MIN(30,WAS)*0.02,MAX(0.03,MIN(30,WAS)*0.02-0.0095*(WAS-60))) Average MDR over period between nth month and mth month (AvgMDRn,m): [(1-MDRn) * (1-MDRn+1) *.......*(1-MDRm)](circumflex)(1/months in period n,m) Average CDR over period between the nth month and mth month (AvgCDRn,m): 1-((1-AvgMDRn,m)(circumflex)12) Average SDA Approximation over period between the nth month and mth month: AvgCDRn,m/IF(Avg WASn,m<61,MIN(30,Avg WASn,m)*0.02,MAX(0.03,MIN(30,Avg WASn,m)*0.02-0.0095*(Avg WASn,m-60))) Average WASn,m: (WASn + WASn+1 +.......+ WASm)/(number of months in the period n,m) Loss Severity Approximation for current period: sum(Realized Loss Amount)/sum(Beg Principal Balance of Liquidated Loans) Average Loss Severity Approximation over period between nth month and mth month: Avg(Loss Severityn,m) Note: Default rates are calculated since deal issue date and include realized gains and additional realized losses and gains from prior periods. Dates correspond to distribution dates. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- REALIZED LOSS DETAIL REPORT - LOANS LIQUIDATED DURING CURRENT DISTRIBUTION - -------------------------------------------------------------------------------- SUMMARY LOAN GROUP - ----------------------------------------------- -------------------------------------------------- Total Loan Count = 0 Loan Group 1 = Cendant Group Total Original Principal Balance = 0.00 Loan Group 2 = MSDW Group Total Prior Principal Balance = 0.00 Total Realized Loss Amount = 0.00 Total Net Liquidation Proceeds = 0.00 - ----------------------------------------------- --------------------------------------------------
- -------------------------------------------------------------------------------------------------------------- Loan Number Original Prior Current State & & Loan Principal Principal Realized Note LTV at Original Origination Loan Group Status Balance Balance Loss/(Gain) Rate Origination Term Date - -------------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - --------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT - --------------------------------------------------------------------------------
TRIGGER EVENTS MSDW CENDANT TOTAL - ---------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - ----------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE CERTIFICATE INFORMATION MSDW CENDANT TOTAL - ---------------------------------------------------------------------------------------------------------- SPACE INTENTIONALLY LEFT BLANK - ----------------------------------------------------------------------------------------------------------
ADDITIONAL INFORMATION MSDW CENDANT TOTAL - ---------------------------------------------------------------------------------------------------------- Basis Risk Shortfall Class A 0.00 Class B-1 0.00 Class B-2 0.00 Class B-3 0.00 Unpaid Basis Risk Shortfall Class A 0.00 Class B-1 0.00 Class B-2 0.00 Class B-3 0.00 - ----------------------------------------------------------------------------------------------------------
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