EX-99 2 exhibit991.htm EXHIBIT 99.1 EXHIBIT 99.1

MORGAN STANLEY

Securitized Products Group

[exhibit991002.jpg]

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



Class

Principal/Notional

   Balance (1)

WAL (Yrs)

(Call/Mat) (2)

Pymt Window

(Mths) (Call/Mat) (2)

Certificate Interest Rates


Tranche Type

Expected Ratings

S&P/Moody’s

1-A1

$135,116,000

3.77 / 4.09

1-119 / 1-359

Floater (3)

Super Senior

AAA/Aaa

1-A2

$15,013,000

3.77 / 4.09

1-119 / 1-359

Floater (3)

Senior Mezzanine

AAA/Aaa

1-XA

$150,129,000 (5), (6)

Information Not Provided Hereby

Notional/Senior

AAA/Aaa

1-XB

$3,532,000 (5), (7)

Notional/Senior

AAA/Aa2

1-AR

$50

Residual

AAA/Aaa

1-B1

$2,119,000

6.44 / 7.10

37-119 / 37-359

Floater (4)

Subordinate

AA/Aa2

1-B2

$1,413,000

6.44 / 7.10

37-119 / 37-359

Floater (4)

Subordinate

A/A2

1-B3

$1,727,000

Information Not Provided Hereby

Subordinate

BBB/NR

1-B4

$706,000

Subordinate

BB/NR

1-B5

$549,000

Subordinate

B/NR

1-B6

$314,603

Subordinate

NR/NR

Total

$156,957,653

     



(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 the Class 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:

The Class 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:

The Class 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 instead 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 however that 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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