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Previous: WORLD WIRELESS COMMUNICATIONS INC, SB-2, 1997-10-23 |
Next: LAZARD RETIREMENT SERIES INC, 497, 1997-10-23 |
_________________________________________________________________
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
Date of Report (Date of earliest Event
Reported): October 23, 1997
SEQUOIA MORTGAGE FUNDING CORPORATION, (as depositor).
SEQUOIA MORTGAGE FUNDING CORPORATION
-----------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-22681 91-1771827
- ---------------------------- ------------ -----------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
591 Redwood Highway
Suite 3120
Mill Valley, California 94941
--------------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (415) 381-1765
----- --------
_________________________________________________________________
Item 5. Other Events.
- ---- ------------
Filing of Computational Materials.
- ---------------------------------
In connection with the offering of the Sequoia Mortgage Trust 2
Collateralized Mortgage Bonds, Merrill Lynch, Pierce, Fenner & Smith
Incorporated, as underwriter of the Bonds (the "Underwriter"), has
prepared certain materials (the "Computational Materials") for distribution
to its potential investors. Although Sequoia Mortgage Funding Corporation
provided the Underwriter with certain information regarding the characteristics
of the Loans in the related portfolio, it did not participate in the
preparation of the Computational Materials.
For purposes of this Form 8-K, Computational Materials shall mean
computer generated tables and/or charts displaying, with respect to the
Bonds, any of the following: yield; average life, duration; expected
maturity; interest rate sensitivity; loss sensitivity; cash flow
characteristics; background information regarding the Loans; the proposed
structure; decrement tables; or similar information (tabular or otherwise)
of a statistical, mathematical, tabular or computational nature. The
Computational Materials are attached hereto as Exhibit 99.1.
Item 7. Financial Statements, Pro Forma Financial
- ---- -----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials.
SIGNATURES
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 hereunto duly authorized.
SEQUOIA MORTGAGE FUNDING CORPORATION
By: /s/ Vickie L. Rath
-----------------------------------
Vickie L. Rath
Treasurer and Assistant Secretary
Dated: October 23, 1997
Exhibit Index
-------------
Exhibit
- -------
99.1 Computational Materials
Exhibit 99.1
------------
(LOGO) MERRILL LYNCH COMPUTATIONAL MATERIALS FOR SEQUOIA MORTGAGE TRUST 2
- ------------------------------------------------------------------------------
ABS NEW TRANSACTION
COMPUTATIONAL MATERIALS
-----------------------
$(756,600,000)
SEQUOIA MORTGAGE TRUST 2
MERRILL LYNCH CREDIT CORPORATION
Servicer
NORWEST BANK MINNESOTA, N.A.
Trustee
$(600,000,000) CLASS A-1 BONDS
$(156,600,000) CLASS A-2 BONDS
- -----------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. [THIS PARAGRAPH APPEARS AS FOOTER ON EACH PAGE]
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not
by the issuer of the securities or any of its affiliates. The issuer of
these securities has not prepared or taken part in the preparation of these
materials. Neither Merrill Lynch, the issuer of the securities nor any of
its affiliates makes any representation as to the accuracy or completeness of
the information herein. The information herein is preliminary, and will be
superseded by the applicable Prospectus Supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The information herein may not be provided by the addressees to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated therein. As such, no assurance can be given as to
the accuracy, appropriateness or completeness of the Computational Materials
in any particular context; or as to whether the Computational Materials
and/or the assumptions upon which they are based reflect present market
conditions or future market performance. These Computational Materials
should not be construed as either projections or predictions or as legal,
tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it
is possible that prepayments on the underlying assets will occur at rates
slower or faster than the rates assumed in the attached Computational
Materials. Furthermore, unless otherwise provided, the Computational
Materials assume no losses on the underlying assets and no interest
shortfall. The specific characteristics of the securities may differ from
those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical assets used in preparing the
Computational Materials. The principal amount and designation of any
security described in the Computational Materials are subject to change prior
to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any offer to buy nor shall
there be any sale of the securities discussed in this communication in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained
by contacting the Merrill Lynch Trading Desk at (212) 449-5320.
Please be advised that asset-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
BONDS:
Class: A-1 A-2
--- ---
Size: $(600,000,000) $(156,600,000)
Coupon (30/360) (guaranteed by AMBAC): Rolling CMT + ( ) LIBOR + ( )
Life Cap: 10% 10%
Periodic Cap / Floor: 2% / N.A. N.A.
Avg. Months to Roll: 6 1
Expected Rating (S&P/Moody's): AAA/Aaa AAA/Aaa
Avg. Life (to call): 4.65 yrs. 4.65 yrs.
Prepayment Rate (CPR): 15% 15%
Expected Final (to call): 05/25/06 05/25/06
Legal Final: 10/25/24 10/25/24
TRANSACTION SUMMARY:
Issuer: Sequoia Mortgage Trust 2
Servicer: Merrill Lynch Credit Corporation
Underwriter: Merrill Lynch, Pierce, Fenner & Smith Incorporated
Trustee: Norwest Bank Minnesota, N.A.
Surety Bond Provider: AMBAC
Expected Pricing Date: Week of October 20, 1997
Expected Closing Date: Week of October 27, 1997
Distribution Date: 25th of each month, beginning on November 25, 1997
Cut-off Date: October 1, 1997
Stated Delay: No delay days
Tax Status: Owner Trust
SMMEA: Class A Bonds will constitute "mortgage related
securities" for purposes of SMMEA.
ERISA: Class A Bonds will be eligible for purchase by ERISA
accounts subject to the satisfaction of the conditions
of the underwriter's exemption. A Benefit Plan should
consult with counsel before making a purchase.
STRUCTURE:
Credit Enhancement: Class A Bonds will be supported by a 100% insurance
guarantee provided by an AMBAC Bond Insurance Policy,
which is non-cancelable, in favor of the Trustee.
The AMBAC policy will guarantee timely payment of
interest and ultimate payment of principal. The AMBAC
policy will also guarantee the Class A-1 Interest Rate
and the Class A-2 Interest Rate.
In addition, excess servicing and
overcollateralization of 1.00% is available to cover
losses on the Class A Bonds.
Bond Interest Rate: CLASS A-1
The interest rate for the Class A-1 Bonds for any
Distribution Date (the "Class A-1 Interest Rate") will
be equal to a per annum floating rate equal to the
Rolling One-Year Constant Maturity Treasury Rate for
the related Interest Accrual Period. The Class A-1
Interest Rate for the first Payment Date will equal
6.50% per annum.
The "Rolling One-Year Constant Maturity Treasury Rate"
will be equal to the arithmetic average of twelve
reference rates (each, a "Reference Rate") determined
in the following manner. Each month one of the twelve
Reference Rates will be set and the rate so determined
by the Bond Trustee will remain fixed for the
following twelve months. Only one Reference Rate will
be set each month; the other eleven Reference Rates
will remain constant. For example, the Reference Rate
for January 1998 will be set on the One-Year Constant
Maturity Treasury Rate Determination Date occurring in
January 1998 and will remain fixed for the period of
January 25, 1998 through January 24, 1999.
The Reference Rate determined each month will be set
to a level equal to the One-Year Constant Maturity
Treasury Index in effect for the week ending on Friday
of the first full week (i.e. the week which includes
the first Monday of the month) of the prior month
(i.e. a 45 day look back) plus a fixed margin to be
set at pricing, subject, however, to (i) a maximum
increase not to exceed the sum of the Reference Rate
for such month determined in the immediately preceding
year plus 2.0% and (ii) a maximum rate of 10%. The
method used to determine the Class A-1 Interest Rate
is similar to the way a coupon would be set for a pool
of CMT ARM loans.
The "One-Year Constant Maturity Treasury Index" will
be the average of the published yields for each
business day during the specified one full week of
the yield on United States Treasury securities
adjusted to a constant maturity of one year.
CLASS A-2
The interest rate for the Class A-2 Bonds for
any Distribution Date (the "Class A-2 Interest
Rate") will be equal to the lesser of (i) a per
annum floating rate equal to One Month LIBOR for the
related Interest Accrual Period, plus _.__%, and (ii)
10% per annum.
Principal Payments: On each Payment Date, to the
extent funds are available therefor, principal
payments will be made on a pro rata basis to Class
A-1 and Class A-2 according to the outstanding balance
of each class.
Priority of
Payments: The Available Funds will be distributed as
follows: (i) Bond Insurance Premium and fee payable
to Redwood Trust under Management Agreement and the
fee payable to the Owner Trustee and the Custodian
(ii) the Issuer Swap Payment, if any, (iii) Interest
Payment Amount to Bondholders, (iv) Basic Principal
Payment Amount, (v) Insurer Reimbursement Amount,
(vi) Excess Cashflow Principal Amount, (vii)
certain payments necessary to reimburse the Servicer
or Bond Trustee, and (viii) any remaining amounts
to the holder of the Investor Certificate.
Convertible Loans: Convertible Mortgage Loans allow the borrower to
convert the adjustable rate to a fixed rate (0.73% of
the Pool Balance as of the Cut-off Date) and to a
different Index (100% of the Pool Balance as of
the Cut-off Date). Index Convertible Mortgage Loans
allow the borrower to convert its Index to a
different Index. The frequency of the Interest
Adjustment Date may not be changed in connection
with such conversion.
The Servicer is obligated to purchase any mortgage loan
that converts to a fixed rate. The Servicer will not
purchase a mortgage loan upon its conversion to
another index.
Optional
Termination: The Issuer may redeem the Class A Bonds remaining
outstanding on any Distribution Date at the earlier
of: (a) 10 years from the Closing Date, or (b) when
the aggregate unpaid Principal Balance of such Mortgage
Loans is less than 25% of the aggregate unpaid
Principal Balance of the Mortgage Loans on the Cut-off
Date. If an election to redeem the Bonds is made,
the Issuer must redeem both Class A-1 and Class A-2
Bonds.
The Bond Insurer may redeem the Class A Bonds
remaining outstanding on the Distribution Date when
the aggregate unpaid Principal Balance of such
Mortgage Loans is less than 5% of the aggregate unpaid
Principal Balance of the Mortgage Loans on the Cut-off
Date. The Call Price on the Class A-1 Bonds will be
set at the price at which the Class A-1 Bonds are
expected to be offered, (103)%. The Call Price on the
Class A-2 Bonds is par.
COLLATERAL:
All PrimeFirst(Registered Trademark) loans are high balance, adjustable rate
mortgage loans secured by first liens on 1-4 family residential properties.
All the mortgage loans in Sequoia Mortgage Trust 2 are PrimeFirst(Registered
Trademark) loans that were originated by Merrill Lynch Credit Corporation or
acquired by it in the course of its correspondent lending activities. In
general, each PrimeFirst(Registered Trademark) loan acquired as of the
Closing Date will have an original term to maturity of 25 years and is
scheduled to pay only interest for the first 10 years of its term.
Each mortgage loan has an interest rate that adjusts either a) monthly to a
spread over 1 Month LIBOR, Prime or the 1 Year Treasury, or b) semi-annually
to a spread over either 6 Month LIBOR, Prime, or 1 Year Treasury. The
Mortgage Loans have lifetime rate caps but no periodic rate caps.
The following statistics relate to the $764,291,900 of Mortgage Loans
expected to be transferred to the Owner Trust on the Closing Date (subject to
loan substitutions to be completed prior to the Closing Date and expected not
to exceed 5% of the Outstanding Principal Balance).
Outstanding Principal Balance $764,291,900
Number of Loans 2,302
Weighted Average Maximum Mortgage Rate 12.642%
Weighted Average Remaining Term 296 months
Weighted Average Gross Margin 1.917%
Life Cap 12.642%
Weighted Average Months to Roll 2.05
Weighted Average LTV at Origination 80.15%
Weighted Average Constructive LTV at Origination 67.41%
Average Principal Balance $332,012
Maximum Principal Balance $3,150,000
Additional Collateral Loans 41.94%
Convertible to a Fixed Rate 0.73%
Convertible to a Different Index 100%
Occupancy Owner Occupied: 86.91%
Investor: 2.93%
Second Home: 10.16%
Property Type Single Family & de minimis PUD: 87.47%
Condominium: 8.78%
2-4 Family Residence: 0.90%
PUD Project: 1.23%
Loan Purpose Purchase: 63.55%
Cash-out Refinance: 24.51%
Rate and Term Refinance: 11.94%
Mortgage Loans are in 49 States and the District of Columbia. Largest state
concentrations: CA-20.8%, FL-12.08%, NY-9.52%, NJ-5.53%, GA-5.41%, and CT-
5.29%.
COLLATERAL INDEX AND ADJUSTMENT FREQUENCY
<TABLE>
<CAPTION>
Adj. % of Gross Weighted Avg.
Index Freq. Pool WAC Gross Margin
<S> <C> <C> <C> <C>
1M LIBOR Monthly 50.92% 7.464% 1.838%
6M LIBOR Semi-Annual 48.70 7.859 1.994
1-YR. CMT Semi-Annual 0.34 8.620 2.716
1-YR. CMT Monthly 0.03 8.125 2.625
PRIME Semi-Annual 0.01 8.75 0.250
Total/Average 100.00% 7.661% 1.917%
====== ====== ======
</TABLE>
COLLATERAL CHARACTERISTICS:
<TABLE>
<CAPTION>
STATE LOANS CURRENT BALANCE % OF POOL
<C> <C> <C> <C>
AK 3 429,862 0.06
AL 16 1,612,994 0.21
AR 16 1,773,589 0.23
AZ 67 20,885,792 2.73
CA 290 158,965,028 20.80
CO 75 29,070,922 3.80
CT 78 40,418,417 5.29
DC 10 5,376,854 0.70
DE 5 927,037 0.12
FL 301 92,317,546 12.08
GA 116 41,384,062 5.41
HI 10 3,603,870 0.47
IA 4 827,469 0.11
ID 17 4,184,038 0.55
IL 76 20,380,024 2.67
IN 26 5,449,926 0.71
KS 8 1,302,905 0.17
KY 13 1,897,620 0.25
LA 25 4,634,028 0.61
MA 50 18,705,408 2.45
MD 28 8,666,451 1.13
ME 11 1,371,703 0.18
MI 83 19,154,328 2.51
MN 16 4,591,659 0.60
MO 31 8,043,333 1.05
MS 5 802,899 0.11
MT 10 1,985,846 0.26
NC 37 9,519,439 1.25
ND 2 336,300 0.04
NE 10 2,414,700 0.32
NH 11 1,538,445 0.20
NJ 122 42,262,995 5.53
NM 13 2,813,659 0.37
NV 31 11,678,936 1.53
NY 234 72,747,527 9.52
OH 31 7,074,776 0.93
OK 25 4,018,297 0.53
OR 7 4,280,960 0.56
PA 60 13,114,898 1.72
RI 7 2,184,802 0.29
SC 25 7,180,230 0.94
TN 15 5,524,691 0.72
TX 139 34,776,452 4.55
UT 29 10,786,473 1.41
VA 39 12,653,082 1.66
VI 9 2,238,291 0.29
VT 13 1,846,080 0.24
WA 35 10,154,558 1.33
WI 11 2,963,226 0.39
WV 2 350,000 0.05
WY 5 3,069,472 0.40
__ __________ ____
2302 $764,291,900 100.00%
==== ============ ======
</TABLE>
<TABLE>
<CAPTION>
CURRENT BALANCE LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
0.01- 25,000.00 20 410,678 0.05
25,000.01- 50,000.00 96 3,986,624 0.52
50,000.01- 75,000.00 146 9,408,948 1.23
75,000.01- 100,000.00 168 15,104,831 1.98
100,000.01- 200,000.00 592 88,306,062 11.55
200,000.01- 300,000.00 404 101,410,836 13.27
300,000.01- 400,000.00 303 106,271,886 13.9
400,000.01- 500,000.00 164 73,545,383 9.62
500,000.01- 600,000.00 106 59,538,156 7.79
600,000.01- 700,000.00 81 52,502,588 6.87
700,000.01- 800,000.00 45 34,523,130 4.52
800,000.01- 900,000.00 29 24,580,666 3.22
900,000.01- 1,000,000.00 59 57,729,089 7.55
1,000,000.01- 1,500,000.00 58 71,060,915 9.30
1,500,000.01- 2,000,000.00 15 26,114,609 3.42
2,000,000.01- 2,500,000.00 10 22,364,999 2.93
2,500,000.01- 3,000,000.00 5 14,282,500 1.87
3,000,000.01- 3,500,000.00 1 3,150,000 0.41
_ _________ ____
Total 2302 $764,291,900 100.00%
==== ============ ======
</TABLE>
AVERAGE BALANCE: 332,012
<TABLE>
<CAPTION>
LTV LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
0.01- 10.00 5 504,863 0.07
10.01- 20.00 15 2,134,671 0.28
20.01- 30.00 28 4,596,623 0.60
30.01- 40.00 73 16,340,994 2.14
40.01- 50.00 144 37,534,930 4.91
50.01- 60.00 143 53,950,408 7.06
60.01- 70.00 264 103,653,576 13.56
70.01- 75.00 167 72,752,130 9.52
75.01- 80.00 451 143,880,770 18.83
80.01- 85.00 38 12,377,225 1.62
85.01- 90.00 111 31,229,636 4.09
90.01- 95.00 73 25,981,609 3.40
95.01- 100.00 773 252,817,998 33.08
100.01- 105.00 11 4,351,356 0.57
105.01- 110.00 3 1,233,293 0.16
110.01- 115.00 1 400,000 0.05
115.01- 120.00 1 139,832 0.02
120.01- 124.99 1 411,985 0.05
_ _______ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
WTD AVERAGE: 80.15
<TABLE>
<CAPTION>
EFFECTIVE LTV LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
0.01- 10.00 5 504,863 0.07
10.01- 20.00 15 2,134,671 0.28
20.01- 30.00 29 4,805,023 0.63
30.01- 40.00 77 18,365,994 2.40
40.01- 50.00 268 60,298,848 7.89
50.01- 60.00 193 74,315,555 9.72
60.01- 70.00 1,019 367,179,298 48.04
70.01- 75.00 179 77,056,177 10.08
75.01- 80.00 432 138,325,702 18.10
80.01- 85.00 13 4,505,104 0.59
85.01- 90.00 63 14,881,951 1.95
90.01- 95.00 6 1,032,473 0.14
95.01- 100.00 2 474,255 0.06
120.01- 125.00 1 411,985 0.05
_ _______ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
WTD AVERAGE: 67.41%
<TABLE>
<CAPTION>
OCCUPANCY STATUS LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
OWNER OCCUPIED 1,877 664,256,811 86.91
SECOND RESIDENCE 250 77,621,879 10.16
INVESTOR 175 22,413,209 2.93
___ __________ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
LOAN PURPOSE LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
PURCHASE 1,499 485,720,845 63.55
CASH-OUT 539 187,339,790 24.51
REFINANCE 264 91,231,264 11.94
___ __________ _____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
PROPERTY TYPE LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
SINGLE FAMILY 1,491 525,902,383 68.81
de minimis PUD 370 142,607,548 18.66
CONDO 278 67,081,275 8.78
CO-OP 79 12,397,367 1.62
PUD 43 9,397,065 1.23
2-4 FAM 41 6,906,263 0.90
__ _________ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
LIFE CAP LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
12.000- 12.249 132 92,135,496 12.06
12.250- 12.499 270 155,412,322 20.33
12.500- 12.749 395 184,272,552 24.11
12.750- 12.999 476 150,682,778 19.72
13.000- 13.249 451 109,298,523 14.30
13.250- 13.499 369 47,890,377 6.27
13.500- 13.749 133 16,411,546 2.15
13.750- 13.999 75 8,021,481 1.05
14.000- 14.249 1 166,825 0.02
_ _______
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
WTD AVERAGE: 12.642
<TABLE>
<CAPTION>
COUPON LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C>
6.500- 6.749 6 3,754,643 0.49
6.750- 6.999 15 11,624,595 1.52
7.000- 7.249 97 71,822,894 9.40
7.250- 7.499 231 139,520,558 18.25
7.500- 7.749 364 178,155,087 23.31
7.750- 7.999 478 161,149,653 21.08
8.000- 8.249 453 110,508,290 14.46
8.250- 8.499 409 55,886,602 7.31
8.500- 8.749 152 22,119,725 2.89
8.750- 8.999 96 9,583,026 1.25
9.000- 9.249 1 166,825 0.02
_ _______ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
WTD AVERAGE: 7.661
<TABLE>
<CAPTION>
STATED REMAINING TERM LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C> <C>
287 4 1,363,107 0.18
288 1 146,398 0.02
289 14 3,816,904 0.50
290 59 15,588,568 2.04
291 148 54,504,091 7.13
292 33 8,790,256 1.15
293 19 8,455,595 1.11
294 266 80,531,093 10.54
295 416 134,408,984 17.59
296 396 127,214,362 16.64
297 520 175,964,564 23.02
298 312 112,664,099 14.74
299 112 40,270,972 5.27
300 2 572,907 0.07
_ _______ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
WTD AVERAGE TERM: 296
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT LOANS CURRENT BALANCE % OF POOL
<S> <C> <C> <C> <C>
11/1/97 1,271 460,282,107 60.22
12/1/97 229 65,090,427 8.52
1/1/98 320 96,355,489 12.61
2/1/98 222 64,401,396 8.43
3/1/98 112 37,379,881 4.89
4/1/98 148 40,782,598 5.34
___ __________ ____
Total 2,302 $764,291,900 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT
<S> <C> <C> <C> <C>
2/1/98 1 54,400 100.00
_ ______ ______
Total 1 $54,400 100.00%
= ======= ======
</TABLE>
GROSS WAC: 8.750%
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT
<S> <C> <C> <C> <C>
12/1/97 2 607,048 23.28
1/1/98 1 2,000,000 76.72
- --------- -----
Total 3 $2,607,048 100.00%
= ========== ======
</TABLE>
GROSS WAC: 8.620%
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT
(1YR CMT MONTHLY) LOANS CURRENT BALANCE PERCENTAGE
<S> <C> <C> <C> <C>
11/1/97 1 260,000 100.00
- ------- ------
Total 1 $260,000 100.00%
= ======== ======
</TABLE>
GROSS WAC: 8.125%
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT
<S> <C> <C> <C> <C>
11/1/97 243 70,858,199 19.04
12/1/97 227 64,483,379 17.32
1/1/98 319 94,355,489 25.35
2/1/98 221 64,346,996 17.29
3/1/98 112 37,379,881 10.04
4/1/98 148 40,782,598 10.96
--- ---------- -----
Total 1,270 $372,206,543 100.00%
===== ============ ======
GROSS WAC: 7.859%
</TABLE>
<TABLE>
<CAPTION>
MARGIN - PRIME LOANS CURRENT BALANCE PERCENTAGE
<S> <C> <C> <C> <C>
0.25 1 54,400 100.00
- ------ ------
Total 1 $54,400 100.00%
= ======= ======
WTD AVG: 0.250%
</TABLE>
<TABLE>
<CAPTION>
MARGIN - 1M LIBOR LOANS CURRENT BALANCE PERCENTAGE
<S> <C> <C> <C> <C>
0.875 3 2,162,709 0.56
1.000 1 600,000 0.15
1.125 5 2,988,000 0.77
1.250 2 1,168,435 0.30
1.375 26 28,896,308 7.43
1.500 60 33,809,182 8.69
1.625 135 82,401,773 21.17
1.750 57 33,063,642 8.50
1.875 167 73,625,554 18.92
2.000 71 33,564,443 8.62
2.125 216 49,484,892 12.72
2.250 26 8,313,659 2.14
2.375 93 21,692,246 5.57
2.500 30 3,904,387 1.00
2.625 135 13,488,680 3.47
--- ------------ ----
Total 1,027 $389,163,908 100.00%
===== ============ ======
WTD AVG: 1.838%
</TABLE>
<TABLE>
<CAPTION>
MARGIN - 6MO LIBOR LOANS CURRENT BALANCE PERCENTAGE
<S> <C> <C> <C> <C>
0.750 1 1,232,000 0.33
1.000 3 2,145,660 0.58
1.125 1 800,000 0.21
1.250 12 5,607,470 1.51
1.375 3 1,982,920 0.53
1.500 23 17,165,223 4.61
1.625 46 31,924,858 8.58
1.750 172 79,089,775 21.25
1.875 42 26,989,040 7.25
2.000 203 65,376,821 17.56
2.125 45 26,541,108 7.13
2.250 385 61,686,798 16.57
2.375 23 6,750,162 1.81
2.500 103 18,688,830 5.02
2.625 20 1,879,735 0.51
2.750 185 21,809,319 5.86
2.875 1 170,000 0.05
3.000 1 166,825 0.04
3.250 1 2,200,000 0.59
_ --------- ----
Total 1,270 $372,206,543 100.00%
===== ============ ======
WTD AVG: 1.994%
</TABLE>
<TABLE>
<CAPTION>
MARGIN - 1YR CMT (SEMI-ANNUALLY)
<S> <C> <C> <C> <C>
2.500 1 94,548 3.63
2.625 1 512,500 19.66
2.750 1 2,000,000 76.72
- --------- -----
Total 3 2,607,048 100.00%
= ========= ======
WTD AVG: 2.716%
</TABLE>
<TABLE>
<CAPTION>
MARGIN - 1YR CMT (MONTHLY) LOANS CURRENT BALANCE PERCENTAGE
<S> <C> <C> <C> <C>
2.625 1 260,000 100.00
- ------- ------
Total 1 $260,000 100.00%
= ======== ======
WTD AVG: 2.625%
</TABLE>
AVERAGE LIFE AND YIELD ANALYSIS
The Class A-1 and Class A-2 Bonds will be priced using a 15% constant
prepayment rate (CPR) assumption.
The Bond Equivalent Effective Margin ("BEEM") analysis for the Class A-1
Bonds was determined using a 103% bond price and call price. One Year
CMT is assumed to be 5.56%.
The Class A-2 Bonds is assumed to have a bond price and call price of
par.
The average life sensitivities apply to both Class A-1 and Class A-2.
TO 25% CALL
<TABLE>
<CAPTION>
CPR
Margin (bps) 0% 9% 12% 15% 18% 20% 24%
<S> <C> <C> <C> <C> <C> <C> <C>
123 104 80 70 60 48 41 24
129 109 85 76 65 53 46 29
135 115 91 81 70 58 51 34
141 121 96 86 75 64 55 39
146 125 101 91 80 68 60 43
152 131 106 96 85 73 65 48
158 137 112 101 90 78 70 52
164 143 117 107 95 83 75 57
169 147 122 111 100 87 79 61
Beg. Am. (mos.) 02/25/07 11/25/97 11/25/97 11/25/97 11/25/97 11/25/97 11/25/97
End. Am. (mos.) 01/25/20 12/25/10 05/25/08 05/25/06 10/25/04 01/25/04 11/25/02
WAL (yrs.) 18.26 7.48 5.82 4.65 3.80 3.39 2.76
</TABLE>
TO MATURITY
<TABLE>
<CAPTION>
CPR
Margin (bps) 0% 9% 12% 15% 18% 20% 24%
<S> <C> <C> <C> <C> <C> <C> <C>
123 102 78 68 58 47 40 24
129 108 83 74 64 53 45 29
135 114 89 79 69 58 50 34
141 119 94 85 74 63 55 39
146 124 99 89 79 67 60 43
152 130 104 94 84 73 65 48
158 136 110 100 89 78 70 53
164 141 115 105 94 83 75 58
169 146 120 110 99 87 79 63
Beg. Am. (mos.) 02/25/07 11/25/97 11/25/97 11/25/97 11/25/97 11/25/97 11/25/97
End. Am. (mos.) 06/25/22 01/25/22 07/25/21 07/25/20 01/25/19 11/25/17 05/25/15
WAL (yrs.) 18.54 8.54 6.91 5.70 4.79 4.31 3.55
</TABLE>
FOR ADDITIONAL INFORMATION PLEASE CALL:
ASSET BACKED SECURITIES GROUP
- ------------------------------
Rob DiOrio (212) 449-1646
Mike Murphy (212) 449-0843
Ted Hsueh (212) 449-9177
Scott Henderson (212) 449-3780
MBS TRADING
- ---------
Vince Mora (212) 449-5320
Dan Pace (212) 449-5320
ASSET BACKED RESEARCH
- ------------------
Chris Flanigan (212) 449-1655
Ralph Diserio (212) 449-1629
Ryan Asato (212) 449-9622
BROWN & WOOD LLP
One World Trade Center
New York, New York 10048
Telephone: (212) 839-5300
Facsimile: (212) 839-5599
October 23, 1997
BY MODEM
- --------
Securities and Exchange Commission
Judiciary Plaza
450 Fifth Street, N.W.
Washington, D.C. 20549
Re: Sequoia Mortgage Funding Corporation
Sequoia Mortgage Trust 2
Collateralized Mortgage Bonds
------------------------------------
Ladies and Gentlemen:
On behalf of Sequoia Mortgage Funding Corporation (the "Company"), we
enclose herewith for filing, pursuant to the Securities and Exchange Act of
1934, as amended, the Company's Current Report on Form 8-K, for Computational
Materials in connection with the above-referenced transaction.
Very truly yours,
/s/ Steven Z. Hodaszy
Steven Z. Hodaszy
Enclosure
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