EX-99 2 exhibit992a.htm EXHIBIT 99.2 EXHIBIT 99.2


Sequoia 2005-1


1. Index

 

 

Index

Number of Mortgage Loans

Total Balance

% of Total Balance

1 M LIBOR

20

33,192,229.16

57.38

6 M LIBOR

16

24,654,699.29

42.62

Total:

36

57,846,928.45

100

 

 

 

 


2. Delinquency

 

Delinquency

Number of Mortgage Loans

Total

Balance

% of

Total

Balance

Current

36

57,846,928.45

100

Total:

36

57,846,928.45

100

 

 

 

 


3. Current Balance ($)

 

Current Balance ($)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

1,000,000.01 – 1,100,000.00

3

3,280,000.00

5.67

1,100,000.01 – 1,200,000.00

5

5,797,663.28

10.02

1,200,000.01 – 1,300,000.00

7

8,601,400.00

14.87

1,300,000.01 – 1,400,000.00

5

6,844,729.17

11.83

1,400,000.01 – 1,500,000.00

4

5,882,000.00

10.17

1,500,000.01 – 1,600,000.00

2

3,083,600.00

5.33

1,700,000.01 – 1,800,000.00

2

3,562,500.00

6.16

1,900,000.01 – 2,000,000.00

2

3,935,000.00

6.8

2,400,000.01 – 2,500,000.00

1

2,440,000.00

4.22

2,700,000.01 – 2,800,000.00

2

5,560,000.00

9.61

2,800,000.01 – 2,900,000.00

1

2,875,000.00

4.97

2,900,000.01 – 3,000,000.00

2

5,985,036.00

10.35

Total:

36

57,846,928.45

100

Minimum: 1,080,000

 

 

Maximum: 3,000,000

 

 

Average: 1,606,859

 

 





4. Loan Rate (%)


Loan Rate (%)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

2.751 - 3.000

1

1,935,000.00

3.35

3.001 - 3.250

1

1,219,000.00

2.11

3.251 - 3.500

3

5,340,000.00

9.23

3.501 - 3.750

4

5,530,000.00

9.56

3.751 - 4.000

13

22,440,492.46

38.79

4.001 - 4.250

6

9,457,399.99

16.35

4.251 - 4.500

5

6,570,000.00

11.36

4.501 - 4.750

3

5,355,036.00

9.26

Total:

36

57,846,928.45

100

Minimum: 3.000

 

 

Maximum: 4.750

 

 

Weighted Average: 3.974

 


5. Gross Margin (%)

 

Gross Margin (%)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

1.375

2

2,559,000.00

4.42

1.5

13

23,520,500.00

40.66

1.625

5

8,292,400.00

14.34

1.875

4

6,727,600.00

11.63

2

5

6,602,000.00

11.41

2.125

2

2,504,729.17

4.33

2.25

4

6,412,699.28

11.09

2.75

1

1,228,000.00

2.12

Total:

36

57,846,928.45

100

Minimum: 1.375

 

 

Maximum: 2.750

 

 

Weighted Average: 1.750

 


6. Original Term (Months)

 

Original Term (Months)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

300

24

41,215,936.00

71.25

360

12

16,630,992.45

28.75

Total:

36

57,846,928.45

100

Minimum: 300

 

 

Maximum: 360

 

 

Weighted Average: 317.3

 

 

 

 

 




7. Remaining Term (Months)

Remaining Term (Months)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

295 – 300

24

41,215,936.00

71.25

349 – 354

1

1,192,663.29

2.06

355 – 360

11

15,438,329.16

26.69

Total:

36

57,846,928.45

100

Minimum: 299

 

 

Maximum: 360

 

 

Weighted Average: 316.7

 

 

 

 

 


8. IO Remaining Term

 

IO Remaining Term

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

49 - 54

1

1,192,663.29

2.06

55 - 60

1

1,134,999.99

1.96

115 - 120

34

55,519,265.17

95.98

Total:

36

57,846,928.45

100

Minimum: 49

 

 

Maximum: 120

 

 

Weighted Average: 117.0

 

 

 

 

 


9. PREPAY TERM (Months)

PREPAY TERM (Months)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

0

32

52,867,928.45

91.39

36

4

4,979,000.00

8.61

Total:

36

57,846,928.45

100

 

 

 

 



10. Rate Change Date

 

Rate Change Date

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

2005-01

30

47,999,292.45

82.98

2005-05

2

2,662,600.00

4.6

2005-06

4

7,185,036.00

12.42

Total:

36

57,846,928.45

100

Minimum: 2005-01-01

 

Maximum: 2005-06-01

 

Weighted Average: 2005-01-25

 




11. Original LTV

Original LTV

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

30.01 – 40.00

1

3,000,000.00

5.19

40.01 – 50.00

2

3,250,000.00

5.62

50.01 – 60.00

4

6,406,000.00

11.07

60.01 – 70.00

8

11,904,765.16

20.58

70.01 – 75.00

6

9,892,763.29

17.1

75.01 – 80.00

12

19,551,000.00

33.8

85.01 – 90.00

1

1,240,000.00

2.14

95.01 – 100.00

2

2,602,400.00

4.5

Total

36

57,846,928.45

100

Minimum: 2005-01-01

 

Maximum: 2005-06-01

 

Weighted Average: 2005-01-25

 




12. Effective Loan-to-Value (%)

Effective

Loan-to-Value (%)

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

30.01 - 40.00

1

3,000,000.00

5.19

40.01 - 50.00

4

5,852,400.00

10.12

50.01 - 60.00

4

6,406,000.00

11.07

60.01 - 70.00

9

13,144,765.16

22.72

70.01 - 75.00

6

9,892,763.29

17.1

75.01 - 80.00

12

19,551,000.00

33.8

Total:

36

57,846,928.45

100

Minimum: 37.74

 

 

Maximum: 80.00

 

 

Weighted Average by Current Balance: 68.18



13. Credit Score

 

Credit Score

Number

of

Mortgage

Loans

Total Balance

% of

Total

Balance

620 – 639

1

1,150,000.00

1.99

640 – 659

1

1,240,000.00

2.14

660 – 679

1

1,400,000.00

2.42

680 – 699

7

10,142,000.00

17.53

700 – 719

9

12,754,163.29

22.05

720 – 739

3

8,620,036.00

14.9

740 – 759

8

12,289,729.16

21.25

760 – 779

2

2,330,000.00

4.03

780 – 799

3

6,521,000.00

11.27



800 – 819

1

1,400,000.00

2.42

Total:

36

57,846,928.45

100

Minimum: 635

 

 

Maximum: 800

 

 

Non Zero Weighted Average: 728

 


14. Amortization

 

Amortization

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

Interest Only

36

57,846,928.45

100

Total:

36

57,846,928.45

100


15. Documentation

 

Documentation

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

Alternative

14

26,789,500.00

46.31

Full

11

16,700,365.16

28.87

Asset, No Income

6

7,993,663.29

13.82

Lite Doc

4

5,113,400.00

8.84

Limited

1

1,250,000.00

2.16

Total:

36

57,846,928.45

100

 

 

 

 


16. Occupancy

 

Occupancy

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

Primary

29

44,607,028.45

77.11

Second Home

6

12,037,500.00

20.81

Investment

1

1,202,400.00

2.08

Total:

36

57,846,928.45

100

 

 

 

 



17. Property Type

 

Property Type

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

Single Family Residence

22

39,871,865.16

68.93

PUD

11

14,342,400.00

24.79

2-4 Family

1

1,228,000.00

2.12

Condo

1

1,212,000.00

2.1

Co-op

1

1,192,663.29

2.06

Total:

36

57,846,928.45

100




18. Purpose


Purpose

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

Purchase

20

31,814,292.45

55

Cash Out Refinance

12

18,533,000.00

32.04

Rate/Term Refinance

4

7,499,636.00

12.96

Total:

36

57,846,928.45

100

 

 

 

 


19. Geographic Distribution by Balance

Geographic

Distribution

by Balance

Number

of

Mortgage

Loans

Total

Balance

% of

Total

Balance

California

11

16,093,036.00

27.82

Florida

7

9,748,400.00

16.85

New York

3

5,452,392.46

9.43

Colorado

1

3,000,000.00

5.19

Arizona

2

2,973,000.00

5.14

New Jersey

2

2,897,499.99

5.01

Pennsylvania

1

2,800,000.00

4.84

Utah

1

2,760,000.00

4.77

Hawaii

2

2,500,000.00

4.32

Connecticut

1

2,440,000.00

4.22

Massachusetts

1

1,800,000.00

3.11

Illinois

1

1,562,600.00

2.7

Indiana

1

1,400,000.00

2.42

Maine

1

1,340,000.00

2.32

Texas

1

1,080,000.00

1.87

Total:

36

57,846,928.45

100

 

 

 

 


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H

Pool Data


Pool Summary

North California

 

Classification

Total

Check

 

Total Issue Balance (USD)

415,726,705

% of State

37.8%

 

Mortgage Type

                   -   

7

 

Original Mortgage Pool Balance (USD)

416,343,025

WA FICO

740

 

Loan-to-Value

  415,726,705

4

 

Current Mortgage Pool Balance (USD)

415,726,705

 - Minimum FICO

647

 

FICO

  415,726,705

4

 

Total Number of Loans

1,171

 - Maximum FICO

826

 

Purpose

  415,726,705

4

 

Average Loan Balance (USD)

355,019

WA LTV

68.39

 

Occupancy

  415,726,705

4

 

1st lien (%age)

100.0%

 - Minimum LTV

28.51

 

Loan Balance

  415,726,705

4

 

2nd lien (%age)

0.0%

 - Maximum LTV

100

 

Property Type

  415,726,705

4

 

WA FICO

733

Highest Zip-Code Density (% of State)

3.6

 

Documentation Type

  415,726,705

4

 

 - Minimum FICO

552

Zip-Code with Highest Density

94549

 

Fixed Period

  415,726,705

4

 

 - Maximum FICO

826

   

Debt-to-Income Ratio

  415,726,705

4

 

WA LTV

70.0%

South California

 

Geographic Distribution

  415,726,705

4

 

 - Minimum LTV

15.4%

% of State

62.2%

     

 - Maximum LTV

100.0%

WA FICO

731

 

 Per Annum Fees

WA DTI

34.5%

Minimum FICO

635

 

Servicer Fees

0.375

 - Minimum DTI

1.0%

Maximum FICO

801

 

Cost of Carry

 

 - Maximum DTI

96.0%

WA LTV

67.67

   

WA Age (Months)

1

Minimum LTV

24.91

   

WA Remaining Term (Months)

337

Maximum LTV

89.43

   

Aquired Loans

100.0%

Highest Zip-Code Density (% of State)

2.9

   

North California (% of Pool)

10.9%

Zip-Code with Highest Density

90272

   

South California (% of Pool)

18.0%

     


    

Mortgage Type

WA LTV

 WA FICO

 Balance

Classic 30yr FRM

 

 

 

Classic 15yr FRM

 

 

 

Classic ARM

 

 

 

Classic 15/30 Balloon

 

 

 

Classic 5/1 Hybrid

 

 

 

Classic 5/1 IO Hybrid

 

 

 

5/1 Hybrid w/3 year IO feature

 

 

 

    

LTV

WA LTV

 WA FICO

 Balance

0.01-20.00

15.40%

740

77,000.00

20.01-25.00

22.45%

773

2,205,048.47

25.01-30.00

27.40%

740

1,418,000.00

30.01-35.00

33.14%

724

3,529,260.23

35.01-40.00

36.97%

758

7,788,781.41

40.01-45.00

43.14%

748

6,775,360.68

45.01-50.00

48.17%

746

17,314,860.00

50.01-55.00

52.71%

735

20,750,481.30

55.01-60.00

58.06%

733

28,601,702.94

60.01-65.00

63.08%

730

29,152,999.43

65.01-70.00

68.65%

736

61,434,971.11

70.01-75.00

73.48%

727

63,291,722.69

75.01-80.00

79.47%

731

158,400,148.99

80.01-85.00

83.27%

710

1,093,528.76

85.01-90.00

89.10%

708

4,953,459.80

90.01-95.00

94.29%

733

2,813,579.42

95.01-100.00

99.67%

722

6,125,800.00

    

FICO

WA LTV

 WA FICO

 Balance

321 - 340

0%

-

-

341 - 360

0%

-

-

361 - 380

0%

-

-

381 - 400

0%

-

-

401 - 420

0%

-

-

421 - 440

0%

-

-

441 - 460

0%

-

-

461 - 480

0%

-

-

481 - 500

0%

-

-

501 - 520

0%

-

-

521 - 540

0%

-

-

541 - 560

73.20%

552

139,000.00

561 - 580

38.62%

576

280,000.00

581 - 600

66.16%

594

65,500.00

601 - 620

52.01%

610

1,372,000.00

621 - 640

75.32%

634

2,625,184.00

641 - 660

75.11%

652

8,042,579.99

661 - 680

75.50%

671

27,290,576.75

681 - 700

70.46%

690

56,655,738.32

701 - 720

71.19%

710

71,004,753.38

721 - 740

70.43%

731

65,110,711.46

741 - 760

69.09%

751

61,382,002.56

761 - 780

68.50%

771

66,283,327.78

781 - 800

65.29%

788

44,961,458.45

801 - 820

72.31%

806

9,761,222.54

> 820

86.34%

824

752,650.00

Unknown

0%

              -   

                                 -   

    

LTV

MIG%

WA FICO

Balance with MIG

0.01-20.00

0.00%

740

0

20.01-25.00

0.00%

773

0

25.01-30.00

0.00%

740

0

30.01-35.00

0.00%

724

0

35.01-40.00

0.00%

758

0

40.01-45.00

0.00%

748

0

45.01-50.00

0.00%

746

0

50.01-55.00

0.00%

735

0

55.01-60.00

0.00%

733

0

60.01-65.00

0.00%

730

0

65.01-70.00

0.00%

736

0

70.01-75.00

0.00%

727

0

75.01-80.00

0.10%

731

871,000.00

80.01-85.00

12.00%

710

1,093,528.76

85.01-90.00

18.98%

708

3,713,459.80

90.01-95.00

23.81%

733

2,258,204.42

95.01-100.00

0.00%

722

0

    

Purpose

WA LTV

 WA FICO

 Balance

Purchase

74.66%

740

155,258,768.45

Cash-Out/Refinancing

65.40%

730

147,431,512.86

Refinancing

69.41%

726

113,036,423.92

    

Occupancy

WA LTV

 WA FICO

 Balance

Owner

70.20%

732

362,834,184.55

Investment

64.79%

726

10,756,381.19

2nd Home

69.11%

743

42,136,139.49

    

Loan Balance

WA LTV

 WA FICO

 Balance

<$200,000

71.01%

730

59,141,753.97

<$400,000

71.96%

732

124,604,797.42

<$600,000

70.28%

735

81,637,660.12

>$600,000

67.68%

733

150,342,493.72

    

Property Type

WA LTV

 WA FICO

 Balance

SFR

68.89%

732

254,824,657.86

PUD

71.59%

736

109,593,525.16

CND

71.60%

730

47,509,672.21

2-4 Family

72.83%

706

3,798,850.00

    

Documentation Type

WA LTV

 WA FICO

 Balance

Full

71.92%

729

  206,105,796.62

Reduced

67.63%

751

    31,910,288.91

SISA

 

 

 

NISA

63.10%

733

    72,559,515.61

NINA

84.55%

773

    678,798.88

NAV

 

 

 

No Ratio

38.91%

769

    885,000.00

Alt

71.70%

733

  103,587,305.21

    

Fixed Period (Months)

WA LTV

 WA FICO

 Balance

1

69.57%

734

162,721,584.34

3

0.00%

0

0.00

6

70.19%

732

253,005,120.89

12

0%

-

-

24

0%

-

-

36

0%

-

-

60

0%

-

-

84

0%

-

-

>=120

0%

-

-

    

DTI

WA LTV

 WA FICO

 Balance

0.01 - 5.00

59.28%

775

570,017.22

5.01 - 10.00

69.00%

739

5,671,886.06

10.01 - 15.00

58.16%

743

16,020,308.07

15.01 - 20.00

68.20%

747

24,525,141.88

20.01 - 25.00

68.94%

739

34,581,286.09

25.01 - 30.00

71.75%

738

51,602,873.59

30.01 - 35.00

68.61%

734

67,308,733.11

35.01 - 40.00

69.69%

729

90,985,579.69

40.01 - 45.00

73.18%

727

61,501,449.62

45.01 - 50.00

70.62%

720

25,111,029.85

50.01 - 55.00

76.82%

724

14,588,654.00

> 55.00

75.09%

735

13,293,780.00

Unknown

61.32%

730

9,965,966.05

    

Geographic Distribution

WA LTV

 WA FICO

 Balance

AK

65.75%

780

557,100.00

AL

75.00%

748

258,750.00

AR

86.73%

718

557,000.00

AS

0.00%

0

0.00

AZ

70.97%

736

21,313,465.00

CA

67.94%

734

120,161,723.75

CO

63.24%

739

16,398,924.41

CT

71.46%

713

6,285,300.00

CZ

0.00%

0

0.00

DC

70.38%

771

1,362,604.00

DE

65.87%

760

2,504,700.00

FL

69.71%

736

43,371,752.18

GA

75.87%

737

7,901,784.98

GU

0.00%

0

0.00

HI

59.93%

748

5,499,999.93

IA

68.18%

779

450,000.00

ID

76.11%

747

914,300.00

IL

68.14%

744

8,728,280.66

IN

93.09%

685

1,871,800.00

KS

80.43%

722

1,821,914.27

KY

79.75%

715

1,848,444.28

LA

79.93%

668

804,800.00

MA

62.12%

736

12,802,601.03

MD

67.19%

734

10,444,899.98

ME

77.29%

720

2,147,300.00

MI

71.23%

718

12,340,480.85

MN

70.03%

738

7,017,599.97

MO

76.43%

711

3,705,158.86

MS

73.81%

754

491,950.00

MT

80.00%

705

492,000.00

NC

75.00%

749

6,481,216.53

ND

74.65%

737

784,850.00

NE

80.00%

747

93,600.00

NH

75.00%

697

198,750.00

NJ

68.10%

722

16,304,637.24

NM

77.68%

762

1,370,049.02

NV

71.41%

722

10,467,135.06

NY

66.12%

729

19,535,919.84

OH

75.80%

729

16,039,188.54

OK

80.00%

776

171,600.00

OR

78.10%

751

1,507,970.00

OT

0.00%

0

0.00

PA

74.87%

738

6,732,206.35

PR

0.00%

0

0.00

RI

100.00%

784

640,000.00

SC

68.85%

765

2,474,769.22

SD

0.00%

0

0.00

TN

72.41%

737

2,378,682.17

TT

0.00%

0

0.00

TX

78.09%

727

9,217,579.63

UT

77.62%

726

7,117,428.73

VA

74.21%

726

13,365,690.00

VI

0.00%

0

0.00

VT

44.96%

691

370,000.00

WA

71.79%

721

7,174,358.75

WI

81.29%

729

1,246,440.00

WV

0.00%

0

0.00

WY

0.00%

0

0.00





Sequoia 2005-1

   
     

1. FICO Score

   
     

 

Number

 

 

 

 

of

 

% of

 

FICO

Mortgage

Total

Total

 

Score

Loans

Balance

Balance

LTV

540 - 559

1

139,000.00

0.03

73.2

560 - 579

1

280,000.00

0.07

38.62

580 - 599

1

65,500.00

0.02

66.16

600 - 619

4

1,372,000.00

0.33

52.01

620 - 639

6

2,298,000.00

0.55

74.65

640 - 659

26

7,488,263.99

1.8

75.61

660 - 679

95

25,706,376.76

6.18

75.19

680 - 699

156

56,688,438.32

13.64

70.78

700 - 719

183

69,254,053.37

16.66

70.97

720 - 739

179

66,420,111.46

15.98

71.21

740 - 759

172

62,985,902.57

15.15

68.59

760 - 779

177

62,697,401.31

15.08

68.92

780 - 799

122

47,027,084.91

11.31

64.77

800 - 819

46

12,551,922.54

3.02

71.9

820 - 839

2

752,650.00

0.18

86.34

Total:

1,171

415,726,705.23

100

69.95

Minimum: 552

    

Maximum: 826

    

Non Zero Weighted Average: 733

  
     


This information is being delivered to a specific number of prospective sophisticated investors in order to assist them in determining whether they have an interest in the type of security described herein. It has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. This material is based on information that Morgan Stanley & Co. Incorporated ("Morgan Stanley") considers reliable. Morgan Stanley makes no representation or warranty with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of securities conforming to the terms hereof. Any such offer of securities would be made pursuant to a definitive Prospectus or Private Placement Memorandum, as the case may be, prepared by the issuer which could contain material information not contained herein and to which the prospective purchasers are referred. In the event of any such offering, this information shall be deemed superseded, amended and supplemented in its entirety by such Prospectus or Private Placement Memorandum. Such Prospectus or Private Placement Memorandum will contain all material information in respect of any securities offered thereby and any decision to invest in such securities should be made solely in reliance upon such Prospectus or Private Placement Memorandum. The information contained here in may be based on certain assumptions regarding market conditions and other matters and is therefore subject to change. We make no representations regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied on for such purposes. No representation is made that any returns indicated will be achieved. Changes to the assumptions may have a material impact on any returns detailed. Morgan Stanley disclaims any and all liability relating to this information, including without limitation any express or implied representations or warranties for, statements contained in, and omissions from the information contained here in. Additional information is available upon request.  Morgan Stanley and others associated with it may have positions in, and may effect transaction in, securities and instruments of issuers mentioned herein and may also perform or seek to perform investment banking services for the issuers of such securities and instruments. Past performance is not necessarily indicative of future results. Price and availability are subject to change without notice. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supercedes all prior information regarding such assets. Morgan Stanley is acting as the lead underwriter and not acting as agent for the issuer or its affiliates in connection with the proposed transaction. To our readers worldwide: In addition, please note that this publication has been issued by Morgan Stanley, approved by Morgan Stanley International Limited, a member of The Securities and Futures Authority, and by Morgan Stanley Japan Ltd. We recommend that such investors obtain the advice of their Morgan Stanley, Morgan Stanley International or Morgan Stanley Japan Ltd. representative about the investments concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.



Computational Materials


$ [398,055,000]

(Approximate)


Sequoia Mortgage Trust 2005-1

Mortgage Pass-Through Certificates

Adjustable Rate Residential Mortgage Loans


RWT Holdings, Inc.

Seller



Sequoia Residential Funding, Inc.

Depositor


Wells Fargo Bank, N.A.

Master Servicer






This Structural Term Sheet, Collateral Term Sheet, or Computational Materials, as appropriate (the “material”), was prepared solely by the Underwriter(s), is privileged and confidential, is intended for use by the addressee only, and 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 such information. Prospective investors are advised to read carefully, and should rely solely on, the final prospectus and prospectus supplement (the “Final Prospectus”) related to the securities (the “Securities”) in making their investment decisions. This material does not include all relevant information relating to the Securities described herein, particularly with respect to the risk and special considerations associated with an investment in the Securities. All information contained herein is preliminary and it is anticipated that such information will change. Any information contained herein will be more fully described in, and will be fully superseded by the preliminary prospectus supplement, if applicable, and the Final Prospectus. Although the information contained in the material is based on sources the Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no representation or warranty that such information is accurate or complete. Such information should not be viewed as projections, forecasts, predictions, or opinions with respect to value. Prior to making any investment decision, a prospective investor shall receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or buy and sell Securities or related securities or perform for or solicit investment banking services from, any company mentioned herein.





Sensitivity Table



Sequoia Mortgage Trust 2005-1 - Price/Yield to Call - XA

Balance

$398,055,000

      

Initial Coupon

1.28898

      

Settle

1/27/2005

      
         

Prepay

10 CPR

15 CPR

20 CPR

25 CPR

30 CPR

35 CPR

40 CPR

50 CPR

Price

Yield

Yield

Yield

Yield

Yield

Yield

Yield

Yield

2.1633

43.85

36.81

29.45

21.33

12.38

2.58

-8.15

-32.94

2.1946

43.04

36.02

28.68

20.55

11.60

1.79

-8.96

-33.76

2.2259

42.26

35.26

27.92

19.80

10.84

1.02

-9.74

-34.56

2.2572

41.50

34.52

27.19

19.06

10.09

0.26

-10.50

-35.33

2.2885

40.76

33.79

26.48

18.35

9.37

-0.47

-11.25

-36.09

2.3198

40.04

33.09

25.79

17.65

8.66

-1.19

-11.97

-36.83

2.3511

39.35

32.41

25.11

16.97

7.97

-1.89

-12.69

-37.56

2.3824

38.67

31.74

24.45

16.31

7.30

-2.57

-13.38

-38.27

2.4137

38.00

31.10

23.81

15.66

6.64

-3.24

-14.06

-38.96

2.4450

37.36

30.47

23.19

15.03

6.00

-3.89

-14.72

-39.64

2.4763

36.73

29.85

22.58

14.41

5.37

-4.53

-15.37

-40.31

2.5076

36.12

29.25

21.98

13.81

4.76

-5.16

-16.01

-40.96

2.5389

35.52

28.67

21.40

13.22

4.16

-5.77

-16.63

-41.59

2.5702

34.94

28.09

20.83

12.64

3.57

-6.37

-17.24

-42.22

2.6015

34.37

27.54

20.28

12.08

3.00

-6.96

-17.84

-42.83

2.6328

33.82

26.99

19.74

11.53

2.44

-7.53

-18.42

-43.43

2.6641

33.28

26.46

19.21

10.99

1.89

-8.09

-19.00

-44.02

2.6954

32.75

25.94

18.69

10.46

1.35

-8.64

-19.56

-44.60

2.7267

32.23

25.44

18.19

9.95

0.82

-9.18

-20.11

-45.16

2.7580

31.73

24.94

17.69

9.44

0.30

-9.71

-20.65

-45.72

2.7893

31.23

24.45

17.21

8.95

-0.21

-10.23

-21.18

-46.26

         

Mod Duration

1.96

2.01

2.02

2.00

1.96

1.93

1.90

1.85







This Structural Term Sheet, Collateral Term Sheet, or Computational Materials, as appropriate (the “material”), was prepared solely by the Underwriter(s), is privileged and confidential, is intended for use by the addressee only, and 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 such information. Prospective investors are advised to read carefully, and should rely solely on, the final prospectus and prospectus supplement (the “Final Prospectus”) related to the securities (the “Securities”) in making their investment decisions. This material does not include all relevant information relating to the Securities described herein, particularly with respect to the risk and special considerations associated with an investment in the Securities. All information contained herein is preliminary and it is anticipated that such information will change. Any information contained herein will be more fully described in, and will be fully superseded by the preliminary prospectus supplement, if applicable, and the Final Prospectus. Although the information contained in the material is based on sources the Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no representation or warranty that such information is accurate or complete. Such information should not be viewed as projections, forecasts, predictions, or opinions with respect to value. Prior to making any investment decision, a prospective investor shall receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or buy and sell Securities or related securities or perform for or solicit investment banking services from, any company mentioned herein.