Prime hybrid ARM RMBS (LIBOR certificates, sub-pools 2A/2B/2C)
Sequoia Mortgage Trust 2007-3
424B5 filed 2007-07-27, acc 0001144204-07-038661
machine-encoded from the prospectus by the extraction pipeline and tied out over 4 periods (2007-09-20 to 2007-12-20); not yet expert-verified
Backtested periods
4
2007-09-20 to 2007-12-20
Comparison points within $1
91.2%
272 points
Max principal delta
$0.07
interest $189949.12 · balance $0.12
What the encoder found in the filings
- 1-B6: draft face 441,623.00 -> reported 441,623.09 (pinned from the remittance Original Balance)
- 2-B6: draft face 612,612.00 -> reported 612,612.99 (pinned from the remittance Original Balance)
- class names aligned across report formats: 2-AA1->2A-A1, 2-AA2->2A-A2, 2-BA1->2B-A1, 2-BA2->2B-A2, 2-CA1->2C-A1, 2-CA2->2C-A2
- subordinate stack per loan group: encoded as group 1 (3 senior + 6 subordinate), group (2, 3, 4) (7 senior + 6 subordinate) and tied out separately; cross-collateralization after a group's seniors retire is not modelled
- group 1: window starts at deal month 1 (2007-08-20); earlier reports are not in the machine-readable run
- group (2, 3, 4): backtest window starts at deal month 2 (2007-09-20); state initialized from that report's reported beginning balances. Floor-provision 'initial' fractions are pinned from this window's first period, not closing — inert for this window (floors cannot bind while subordination is growing).
Capital structure · original faces
1-A1
$417,157,000.00
1-A2
$15,875,000.00
1-AR
$100.00
2A-A1
$130,048,000.00
2A-A2
$5,655,000.00
2B-A1
$77,686,000.00
2B-A2
$3,378,000.00
2C-A1
$73,752,000.00
2C-A2
$3,207,000.00
2-AR
$100.00
1-B1
$3,086,000.00
1-B2
$1,764,000.00
1-B3
$662,000.00
1-B4
$1,543,000.00
1-B5
$441,000.00
1-B6
$441,623.09
2-B1
$5,202,000.00
2-B2
$2,448,000.00
2-B3
$1,529,000.00
2-B4
$1,377,000.00
2-B5
$1,071,000.00
2-B6
$612,612.99
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates · IO classes (1-XA, 1-XB) accrue on senior notionals
Worst remaining deltas · computed vs reported
interest
| 2007-12-20 | 1-XA | -189949.12 |
| 2007-12-20 | 1-A1 | +182925.95 |
| 2007-11-20 | 1-XA | -107323.92 |
| 2007-11-20 | 1-A1 | +103389.41 |
| 2007-09-20 | 1-XA | +76463.23 |
principal
| 2007-10-22 | 2A-A1 | +0.07 |
| 2007-11-20 | 2A-A1 | +0.04 |
| 2007-10-22 | 2-B1 | -0.03 |
| 2007-11-20 | 2-B1 | -0.02 |
| 2007-09-20 | 2A-A1 | +0.01 |
ending balance
| 2007-11-20 | 2A-A1 | -0.12 |
| 2007-12-20 | 2A-A1 | -0.12 |
| 2007-10-22 | 2A-A1 | -0.08 |
| 2007-11-20 | 2-B1 | +0.05 |
| 2007-12-20 | 2-B1 | +0.05 |