FWP 1 v181786_fwp.htm Unassociated Document
SEMT 2010-H1
APRIL 21, 2010
 
PRELIMINARY TERM SHEET
$222,378,000
(Approximate)
Sequoia Mortgage Trust 2010-H1
Mortgage Pass-Through Certificates, Series 2010-H1
RWT Holdings, Inc.
Seller and Sponsor
Sequoia Residential Funding, Inc.
Depositor
CitiMortgage, Inc.
Originator and Servicer
Wells Fargo Bank, N.A.
Trustee

The following is a preliminary Term Sheet.  All terms and statements are subject to change.

 
THE DEPOSITOR HAS FILED A REGISTRATION STATEMENT (INCLUDING A BASE PROSPECTUS) WITH THE SECURITIES AND EXCHANGE COMMISSION, OR SEC, FOR THE OFFERING TO WHICH THIS COMMUNICATION RELATES.  BEFORE YOU INVEST, YOU SHOULD READ THE BASE PROSPECTUS IN THAT REGISTRATION STATEMENT AND OTHER DOCUMENTS THE DEPOSITOR HAS FILED WITH THE SEC FOR MORE COMPLETE INFORMATION ABOUT THE DEPOSITOR AND THE OFFERING.  YOU MAY GET THESE DOCUMENTS AT NO CHARGE BY VISITING EDGAR ON THE SEC WEB SITE AT WWW.SEC.GOV. ALTERNATIVELY, THE DEPOSITOR, ANY UNDERWRITER OR ANY DEALER PARTICIPATING IN THE OFFERING WILL ARRANGE TO SEND YOU THE BASE PROSPECTUS AT NO CHARGE IF YOU REQUEST IT BY CALLING THE INVESTOR RELATIONS DEPARTMENT AT 1(877) 858-5407.
 
This term sheet provides a very general overview of certain terms of the offered certificates.  This term sheet is not required to, and does not, contain all information that you should consider in making your investment decision or that is required to be included in the prospectus and the prospectus supplement for the offered certificates.  The information in this term sheet is preliminary and is subject to completion or change.
 
This term sheet is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
 
The related base prospectus may be found by visiting EDGAR on the SEC web site at www.sec.gov.
 
The registration statement to which this offering relates is Commission File Numbers 333-159791 and 333-159791-01.
 
The information in this term sheet, if conveyed prior to the time of your contractual commitment to purchase any of the offered certificates, supersedes any information contained in any prior similar materials relating to such certificates.

The information in the prospectus supplement and base prospectus relating to the offered certificates, which will be conveyed prior to the time of your contractual commitment to purchase any of the offered certificates, will supersede any information contained herein and in any prior similar materials relating to such certificates.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
1

 
SEMT 2010-H1
APRIL 21, 2010
 
Important notice about information presented in any final term sheet for any class of offered certificate and the related base prospectus with respect to the offered certificates
 
The certificates referred to in these materials are being sold when, as and if issued.  The issuing entity is not obligated to issue such certificates or any similar security and the underwriter’s obligation to deliver such certificates is subject to the terms and conditions of the underwriting agreement with the issuing entity and the availability of such certificates when, as and if issued by the issuing entity.  You are advised that the terms of the offered certificates, and the characteristics of the mortgage loan pool backing them, may change (due, among other things, to the possibility that mortgage loans that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different mortgage loans may be added to the pool, and that one or more classes of certificates may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus.  You are advised that certificates may not be issued that have the characteristics described in these materials.  The underwriters’ obligation to sell such certificates to you is conditioned on the mortgage loans and certificates having the characteristics described in these materials.  If for any reason the issuing entity does not deliver such certificates, an underwriter will notify you, and neither the issuing entity nor any underwriter will have any obligation to you to deliver all or any portion of the certificates which you have committed to purchase, and none of the issuing entity nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery.
 
Investors are urged to read the base prospectus, the preliminary prospectus supplement and the prospectus supplement and other relevant documents filed or to be filed with the Securities and Exchange Commission because they contain important information.
 
This term sheet is being delivered to you solely to provide you with information about the offering of the certificates referred to in this term sheet and to solicit an offer to purchase the certificates, when, as and if issued.  Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the certificates until we have accepted your offer to purchase certificates.  We will not accept any offer by you to purchase the certificates, and you will not have any contractual commitment to purchase any of the certificates until after you have received the preliminary prospectus supplement.  You may withdraw your offer to purchase certificates at any time prior to our acceptance of your offer.  The information in this term sheet supersedes any information contained in any prior materials relating to the certificates.
 
Neither the issuing entity of the certificates nor any of its affiliates prepared, provided, approved or verified any statistical or numerical information presented herein, although that information may be based in part on loan level data provided by the issuing entity or its affiliates.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
2

 
SEMT 2010-H1
APRIL 21, 2010
 
 
 
 
 
 
 
 
Citigroup Global Markets Inc.
     
Mortgage Trading
   
Eliot Rubenzahl
(212) 723-6325
eliot.i.rubenzahl@citi.com
Phil Seares
(212) 723-6325
philip.seares@citi.com
Ted Counihan
(212) 723-6325
ted.counihan@citi.com
Bryan Chao
(212) 723-6313
bryan.chao@citi.com
     
Mortgage Finance
   
Peter Steinmetz
(212) 723-6391
peter.steinmetz@citi.com
Kira Granovskaya
(212) 723-7640
kira.granovskaya@citi.com
Shameer Hussein
(212) 723-9552
shameer.hussein@citi.com
Juliana Castelli
(212) 723-6503
juliana.castelli@citi.com
     
Mortgage Analytics
   
Shekhar Shah
(212) 723-5386
shekhar.shah@citi.com
Michael Lam
(212) 723-5293
michael.y.lam@citi.com
     
 
 
 
 
 
 
 
 
 
 

 

This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
3

 
SEMT 2010-H1
APRIL 21, 2010
 
Term Sheet

Sequoia Mortgage Trust 2010-H1
Mortgage Pass-Through Certificates, Series 2010-H1
$222,378,000 (Approximate, Subject to Final Collateral)

 
Balance(1)
WAL (Yrs) (Roll/Mat) (2)
Payment Window (Mths) (Roll/Mat) (2)
Approximate Certificate Interest Rates(3)
Final Scheduled Distribution Date
Class Type
Minimum Denomination or Percentage Interest
Expected Ratings (Moody’s)
A-1
$222,378,000
3.02/5.39
1-57/1-283
4.000% (6)
02/2040
Senior
$100,000
Aaa
A-IO(4) (8)
$222,378,000
3.02/5.39
1-57/1-283
0.545% (7)
02/2040
Notional/Senior
100%
Aaa
R(8)
$50
0.08/0.08
1-1/1-1
4.545%(5)
02/2040
Residual/Senior
100%
Aaa
LT-R(8)
$50
0.08/0.08
1-1/1-1
4.545%(5)
02/2040
Residual/Senior
100%
Aaa
B-1(8)
$5,946,000
4.31/8.53
1-54/1-187
4.545%(5)
02/2040
Subordinate
$100,000
A2
B-2(8)
$2,379,000
4.31/8.53
1-54/1-187
4.545%(5)
02/2040
Subordinate
$100,000
Baa2
B-3(8)
$4,162,000
4.31/8.53
1-54/1-187
4.545%(5)
02/2040
Subordinate
$100,000
Ba2
B-4(8)
$2,973,233
4.44/17.63
1-57/1-357
4.545%(5)
02/2040
Subordinate
$100,000
NR (9)
 
1)  
Class sizes are subject to final collateral and rating agency approval and are subject to +/-5% variance.
2)  
The WAL and Payment Windows to Roll for the Class A-1 Certificates are shown to the pricing speed of 15% CPB which assumes any outstanding principal balances on the Mortgage Loans are expected to be paid in full on the distribution date occurring in Jan 2015.  The WAL and Payment Windows to Maturity for the Class A-1 Certificates are shown at a pricing speed of 15% CPR to maturity (as described herein).
3)  
Interest Rates at the Closing Date.
4)  
The Class A-IO Certificates are interest only certificates; they will not be entitled to distribution of principal and will accrue interest on a notional amount equal to the Class Principal Amount of the Class A-1 Certificates immediately prior to such distribution date.
5)  
The weighted average of the mortgage rates of the Mortgage Loans during the applicable period, less 0.25% in servicing fee and 0.0085% in trustee fee, the “Net WAC”.
6)  
For the first 52 months, the Class A-1 Certificate Interest Rate will be equal to a fixed rate of 4.00%.  For each distribution date thereafter, the Class A-1 Certificate Interest Rate will be equal to the Net WAC for such date less 0.50%; provided however that for any distribution date during the first 52 months where the Net WAC for such date is below 4.00%, the Class A-1 Certificate Interest Rate will be equal to Net WAC.
7)  
For the first 52 months, the Class A-IO Certificate Interest Rate will be equal to the Net WAC less 4.00%; thereafter, the Class A-IO Certificate Interest Rate will be equal to 0.50%; provided however that for any distribution date during the first 52 months where the Net WAC is equal or less than 4.00%, the Class A-IO Certificate Interest Rate will be equal to zero.
8)  
Classes that are not offered by the underwriters.
9)  
The designation "NR" means that the rating agency will not rate that class of certificates.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.

4

 
SEMT 2010-H1
APRIL 21, 2010
 
Depositor:
Sequoia Residential Funding, Inc.

Lead Manager:
Citigroup Global Markets Inc.

Co-Manager:
J.P. Morgan Securities Inc.

Originator and Servicer:
CitiMortgage, Inc.

Trustee:
Wells Fargo Bank, N.A.
 
Paying Agent,
Certificate Registrar and
Authenticating Agent:     
Wells Fargo Bank, N.A.
 
Custodian:
Wells Fargo Bank, N.A.

Controlling Holder:
Any affiliate of the depositor, other than the seller, so long as that entity is the holder of the majority of the Class Principal Amount of the most subordinate class of certificates then outstanding.

Rating Agency:
Moody’s will rate the certificates.  It is expected that the certificates will be assigned the credit ratings on page 4 of this Term Sheet.

Cut-off Date:
April 1, 2010

Closing Date:
On or about April 28, 2010

Distribution Dates:
The 25th day of each month or if not a business day, the next succeeding business day commencing in May 2010.

Accrual Period:
The interest accrual period (the “Accrual Period”) with respect to the Offered Certificates for each Distribution Date will be the calendar month preceding such Distribution Date, calculated on a 30/360 basis.

Residual Certificates:
The Class R and Class LT-R Certificates

Senior Certificates:
The Class A-1, Class A-IO, Class R and Class LT-R Certificates.

Subordinate Certificates:
The Class B-1, Class B-2, Class B-3 and B-4 Certificates.

Offered Certificates:
The Class A-1 Certificates (the “Offered Certificates”) will be offered by the underwriters.

Non-Offered Certificates:
The Class A-IO Certificates, the Residual Certificates and the Subordinate Certificates will not be offered.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
5

 
SEMT 2010-H1
APRIL 21, 2010
 
The Mortgage Loans:
The mortgage loans will consist of approximately 255 hybrid mortgage loans, with an aggregate scheduled principal balance as of the Cut-off Date of approximately $237,838,333 subject to +/- 5% variance, secured by first liens on one-to two-family residential properties, condominiums, cooperative units, planned unit developments, and townhouses (the “Mortgage Loans”).  The mortgage rates on the Mortgage Loans are determined based on a Twelve-Month LIBOR index and have initial payment adjustments occurring five years after their respective first due dates.

Fees and Expenses:
Before distributions are made on the certificates, the Servicer will be paid a monthly fee calculated as 0.25% annually on the principal balances of the mortgage loans.   The Trustee will be paid a monthly fee calculated as 0.0085% annually on the principal balances of the mortgage loans.  The servicer and the trustee fees will be deducted by the Servicer and Trustee from interest collections, including liquidation proceeds and other proceeds from the mortgage loans, prior to remittance of funds to certificateholders.  The Trustee will be entitled to the income earned on amounts on deposit in the certificate distribution account, and will pay the Custodian’s standard fee.  The Trustee and the Custodian will also be entitled to reimbursement of certain expenses from the issuing entity before payments are made on the certificates, subject to an annual cap of $300,000.

Structure:
Senior/Subordinate, shifting interest.

Credit Enhancement:
Credit enhancement for the Senior Certificates will be provided by a senior/subordinate, shifting interest structure. The Subordinate Certificates are subordinate to, and provide credit enhancement for, the Senior Certificates.

Certificates
Moody’s
Bond Size
Initial Subordination
Class A-1
Aaa
93.50%
6.50%
 
P&I Advances:
The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans to the extent that such amounts are deemed recoverable.   The Servicer will be entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement.

Reimbursements for
 
Modified Loans:
The Servicer may be entitled to reimburse itself for advances, if any, at the time of modification of any mortgage loan from collections with respect to other mortgage loans.

Class Principal
 
Amount:
For each class of certificates (other than the Class A-IO Certificates) on any distribution date, an amount equal to the aggregate Certificate Principal Amounts of the certificates  of that class immediately prior to such distribution date.

Certificate Principal
Amount:
For any certificate (other than the Class A-IO Certificates) an amount equal to its initial principal amount as of the closing date, as reduced by all amounts previously distributed on that certificate in respect of principal and the principal portion of any Realized Losses previously allocated to that certificate; provided, however, that on any distribution date on which a subsequent recovery is distributed, the Certificate Principal Amount of any certificate then outstanding to which a Realized Loss amount has been applied will be increased, sequentially in order of seniority, by an amount equal to the lesser of (i) the principal portion of any Realized Loss amount previously allocated to that certificate to the extent not previously recovered and (ii) the principal portion of any subsequent recovery allocable to such certificate, after application to more senior classes of certificates. The Certificate Principal Amount of a certificate may be additionally reduced by the Certificate Writedown Amount.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
6

 
SEMT 2010-H1
APRIL 21, 2010
 
Certificate Writedown
Amount:
The amount by which the total Certificate Principal Amount of all the certificates (other than the Class A-IO Certificates) on any distribution date (after giving effect to distributions of principal and allocations of Realized Losses on that distribution date) exceeds the Stated Principal Balance of the mortgage loans for the distribution date.

Stated Principal Balance:
For a mortgage loan at any date of determination, the unpaid principal balance of the mortgage loan as of the most recent due date as determined by the amortization schedule for the mortgage loan at the time relating thereto (before any adjustment to that amortization schedule by reason of any moratorium or similar waiver or grace period) after giving effect to any previous servicing modification, principal prepayments and related liquidation proceeds allocable to principal and to the payment of principal due on such due date (but not unscheduled principal prepayments received on such due date) and irrespective of any delinquency in payment by the related borrower.
 
Senior Percentage:
 
(Senior %)
For any distribution date, the percentage equivalent of a fraction, the numerator of which is the aggregate Class Principal Amount of the Senior Certificates (other than the Class A-IO Certificates) immediately prior to such date and the denominator of which is the aggregate Stated Principal Balance of all of the mortgage loans for such distribution date.
 
Senior Prepayment Percentage:
For any distribution date, the following:
 
Distribution date occurring in the period
Senior Prepayment Percentage
May 2010-April 2017
100%.
May 2017-April 2018
the Senior % plus 70% of the Subordinate %
May 2018-April 2019
the Senior % plus 60% of the Subordinate %
May 2019-April 2020
the Senior % plus 40% of the Subordinate %
May 2020-April 2021
the Senior % plus 20% of the Subordinate %
May 2021 and thereafter
the Senior %
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
7

 
SEMT 2010-H1
APRIL 21, 2010
 
 
provided, however, that there will be no reduction in the Senior Prepayment Percentage unless the Step-Down Test is satisfied; and provided, further, that if on any distribution date on or after the distribution date in May 2017, the Senior Percentage exceeds the initial Senior Percentage, the Senior Prepayment Percentage for that distribution date will again equal 100%.
 
Notwithstanding the above, if the Two Times Test is satisfied on any distribution date (i) before the distribution date in May 2013, the Senior Prepayment Percentage will equal the Senior Percentage for that distribution date plus 50% of the Subordinate Percentage for that distribution date and (ii) on or after the distribution date in May 2013, the Senior Prepayment Percentage will equal the Senior Percentage for that distribution date.
 
Subordinate Percentage:
 
(Subordinate %)
For any distribution date, an amount equal to the difference between 100% and the Senior Percentage on that distribution date.
 
Subordinate
Prepayment Percentage:
For any distribution date, the difference between 100% and the related Senior Prepayment Percentage on that distribution date.
 
Class Subordination
Percentage:
For any distribution date and each class of Subordinate Certificates, an amount equal to a fraction (expressed as a percentage), the numerator of which is the Class Principal Amount of that class immediately before that distribution date and the denominator of which is the aggregate of the Class Principal Amounts of all classes of certificates immediately before that distribution date.
 
Two Times Test:
As to any distribution date, the test that will be satisfied if all the following conditions are met:
(1)   
the Subordinate Percentage is at least two times the Subordinate Percentage as of the closing date;
(2)   
the conditions described in clauses first and second of the definition of “Step-Down Test” are satisfied.

Step-Down Test:
For any distribution date, the test that will be satisfied if both of the following conditions are met:

·    
first, the outstanding principal balance of all mortgage loans delinquent 60 days or more (including mortgage loans in foreclosure, REO property or bankruptcy status), any mortgage loan subject to a servicing modification within the 12 months prior to that distribution date and any mortgage loan 90 or more days delinquent that was purchased by the Controlling Holder within the 12 months prior to that distribution date, averaged over the preceding six-month period, as a percentage of the aggregate Class Principal Amounts on such distribution date (without giving effect to any payments on such distribution date) of the Subordinate Certificates, does not equal or exceed 50%; and
 
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
8

 
SEMT 2010-H1
APRIL 21, 2010
 
·    
second, cumulative Realized Losses on the mortgage loans do not exceed:

Distribution date occurring in the period
Cumulative Realized Losses as a % of the original Aggregate Subordinate Class Principal Amounts
May 2017-April 2018
30%
May 2018-April 2019
35%
May 2019-April 2020
40%
May 2020-April 2021
45%
May 2021 and thereafter
50%
 
Realized Loss:                 (a)
with respect to each liquidated mortgage loan, an amount (not less than zero or more than the Stated Principal Balance of the mortgage loan plus accrued interest) as of the date of such liquidation, equal to (i) the unpaid principal balance of the liquidated mortgage loan as of the date of such liquidation, plus (ii) interest at the net mortgage rate from the due date as to which interest was last paid by the borrower up to the due date in the month in which liquidation proceeds are required to be distributed on the Stated Principal Balance of such liquidated mortgage loan from time to time, minus (iii) the liquidation proceeds received during the month in which such liquidation occurred, to the extent not previously applied as recoveries of interest at the net mortgage rate and to principal of the liquidated mortgage loan,
 
(b)    
the amount by which, in the event of bankruptcy of a borrower, a bankruptcy court reduces the secured debt to the value of the related mortgaged property
 
or
 
 
 (c)    
with respect to a mortgage loan that has been the subject of a servicing modification, any principal due on the mortgage loan that has been written off by the servicer and any principal forbearance amount.

Payment Priority:
On each distribution date, the available distribution amount in respect of the mortgage loans will be distributed generally in the following order of priority:  
 
·    
first, accrued and unpaid interest to the Class A-1, Class R and Class LT-R Certificates pro rata, and then to the Class A-IO Certificates; and
 
·    
second, sequentially, to the Class R, Class LT-R and Class A-1 Certificates, in that order, the Senior Principal Distribution amount, until their respective Class Principal Amounts have been reduced to zero; and
 
·    
third, sequentially, to the Class B Certificates, in order of numerical priority, interest and then principal, with both interest and principal being paid to one class before any payments are made to the next class.

Interest Distribution
 
Amount:
On each distribution date, to the extent of the available distribution amount, each class of certificates will, subject to the limitations described herein, be entitled to receive accrued and unpaid interest determined on the basis of the outstanding Class Principal Amount (or class notional amount, in the case of the Class A-IO Certificates) of such class immediately prior to such distribution date, the applicable certificate interest rate and the related accrual period.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
9

 
SEMT 2010-H1
APRIL 21, 2010
 
Net Interest Shortfall:
With respect to any distribution date, the “Net Interest Shortfall” is equal to the sum of:

(1)   
Any net prepayment interest shortfalls for that distribution date; and
 
(2)   
the amount of interest which would otherwise have been received with respect to any mortgage loan that was subject to a reduction in the amount of monthly interest payment on a mortgage loan pursuant to the Servicemembers Civil Relief Act Relief Act or similar state or local law (any such reduction, a “Relief Act Reduction”) .
 
Net Interest Shortfalls for any distribution date will be allocated among all classes of Senior Certificates and all classes of Subordinate Certificates proportionately based on current interest otherwise distributable on each class on such distribution date.
 
Unpaid Interest:
Any unpaid interest accrued on a class of certificates will be carried forward and added to the amount which holders of such certificates will be entitled to receive on the next distribution date.  Any unpaid interest amount so carried forward will not bear interest.
 
Senior Principal
 
Distribution Amount:
On each distribution date, the available distribution amount remaining after payment of interest with respect to the Senior Certificates, up to the amount of the Senior Principal Distribution Amount for such distribution date, will be distributed as principal of the Senior Certificates (other than the Class A-IO Certificates) as described above and will equal the sum of:
 
(1)   
the product of (a) the Senior Percentage and (b) the principal portion of the scheduled payment due on each mortgage loan on the related due period, whether or not received;
 
(2)   
the product of (a) the Senior Prepayment Percentage and (b) each of the following amounts: (i) the principal portion of each full and partial principal prepayment made by a borrower on a mortgage loan during the related prepayment period; (ii) each other unscheduled collection, including subsequent recoveries, insurance proceeds and net liquidation proceeds (other than with respect to any mortgage loan that was finally liquidated during the related prepayment period) representing or allocable to recoveries of principal of the related mortgage loans received during the related prepayment period; and (iii) the principal portion of the purchase price of each mortgage loan purchased by the originator or seller due to a material breach of a representation and warranty with respect to such mortgage loan or, in the case of a permitted substitution of a defective mortgage loan, the amount representing any principal adjustment in connection with any such replaced mortgage loan included in the available distribution amount for such distribution date; and (iv) the principal portion of the purchase price for mortgage loans that are at least 90 days delinquent that the Controlling Holder may elect to purchase and the principal portion of the purchase price for the mortgage loans paid by the party exercising its rights to terminate the trust fund;
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
10

 
SEMT 2010-H1
APRIL 21, 2010
 
 
(3)   
with respect to each mortgage loan which became a liquidated mortgage loan during the related prepayment period, the lesser of (a) the net liquidation proceeds allocable to principal and (b) the product of (i) the Senior Prepayment Percentage for that distribution date and (ii) the remaining principal balance of the mortgage loan at the time of liquidation; and

(4)   
any amounts described in clauses (1) through (3) above that remain unpaid with respect to the Senior Certificates from prior distribution dates.
 
If on any distribution date the allocation to the Senior Certificates then entitled to distributions of principal of related full and partial principal prepayments and other amounts in the percentage required above would reduce the sum of the Class Principal Amounts of the Senior Certificates below zero, the distribution to the class or classes of Senior Certificates of the related Senior Prepayment Percentage of those amounts for that distribution date will be limited to the percentage necessary to reduce the related Class Principal Amounts to zero.
 
In addition, if on any distribution date the aggregate of the Class Principal Amounts of the Subordinate Certificates was reduced to less than or equal to 0.75% of the Stated Principal Balance of the mortgage loans as of the closing date, the Senior Principal Distribution Amount for the next succeeding distribution date will include all principal collections on the mortgage loans distributable on such succeeding distribution date, and the Subordinate Principal Distribution Amount will be zero, until the aggregate of the Class Principal Amounts of the Senior Certificates (other than the Class A-IO Certificates) is reduced to zero.
 
Subordinate Principal
Distribution Amount:
 
Distributions of principal with respect to the Subordinate Certificates will be made on each distribution date sequentially to the Subordinate Certificates in order of their numerical class designations, beginning with the Class B-1 Certificates, until each such class has received its pro rata share of the Subordinate Principal Distribution Amount for that distribution date. Distributions to each such class’ share of the aggregate Subordinate Principal Distribution Amount will be made only after payments of interest and principal to each class ranking senior to such class, and interest to such class, have been paid.
 
The “Subordinate Principal Distribution Amount” for each distribution date is equal to the sum of:
 
(1)   
the product of (a) the Subordinate Percentage and (b) the principal portion of each scheduled payment on each mortgage loan due during the related due period, whether or not received;
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
11

 
SEMT 2010-H1
APRIL 21, 2010
 
(2)   
the product of (a) the related Subordinate Prepayment Percentage and (b) each of the following amounts: (i) the principal portion of each full and partial principal prepayment made by a borrower on a mortgage loan during the related prepayment period, (ii) each other unscheduled collection, including subsequent recoveries, Insurance proceeds and net liquidation proceeds (other than with respect to any mortgage loan that was finally liquidated during the related prepayment period), representing or allocable to recoveries of principal of mortgage loans received during the related prepayment period; and  (iii) the principal portion of the purchase price of each mortgage loan that was purchased by the originator or seller due to a material breach of a representation and warranty with respect to such mortgage loan or, in the case of a permitted substitution of a defective mortgage loan, the amount representing any principal adjustment in connection with any such replaced mortgage loan included in the available distribution amount for such distribution date; and (iv) the principal portion of the purchase price for mortgage loans that are at least 90 days delinquent that the Controlling Holder may elect to purchase and the principal portion of the purchase price for mortgage loans paid by a party exercising its rights to terminate the trust fund;
 
(3)   
with respect to unscheduled recoveries allocable to principal of any mortgage loan that was finally liquidated during the related prepayment period, the related net liquidation proceeds allocable to principal, to the extent not distributed pursuant to clause (3) of the definition of Senior Principal Distribution Amount); and

(4)   
any amounts described in clauses (1) through (3) for any previous distribution date that remain unpaid.
 
Notwithstanding the above, with respect to each class of Subordinate Certificates other than the Class B-1 Certificates, if on any distribution date the Class Principal Amount of that class and the aggregate of the Class Principal Amounts of all classes of subordinate certificates which have a lower payment priority than that class was reduced to less than or equal to 0.75% of the Stated Principal Balance of the mortgage loans as of the closing date, the portion of the Subordinate Principal Distribution Amount otherwise distributable to such class or classes on the next succeeding distribution date will, on such succeeding distribution date, be allocated among the subordinate certificates with a higher payment priority, pro rata, based on their respective Class Principal Amounts.

If on any distribution date the aggregate of the Class Principal Amounts of the subordinate certificates was reduced to less than or equal to 0.75% of the Stated Principal Balance of the mortgage loans as of the closing date, the Senior Principal Distribution Amount for the next succeeding distribution date will include all principal collections on the mortgage loans distributable on such succeeding distribution date, and the Subordinate Principal Distribution Amount will be zero, until the aggregate of the Class Principal Amounts of the Senior Certificates is reduced to zero.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
12

 
SEMT 2010-H1
APRIL 21, 2010
 
Applicable Credit
 
Support Percentage:
For each class of Subordinate Certificates and any distribution date, the sum of the class subordination percentage of that class and the aggregate class subordination percentage of all other classes of Subordinate Certificates having higher numerical class designations than that class.  The approximate original applicable credit support percentages for each class of the Subordinate Certificates on the date of issuance of such certificates are expected to be as follows:
 
Class
Approximate Credit Support Percentage
B-1
6.50%
B-2
4.00%
B-3
3.00%
B-4
1.25%
 
Allocation of Realized
 
Losses:
If a Realized Loss occurs on the mortgage loans (including a servicing modification resulting in a reduction of the outstanding principal amount of such mortgage loan or a principal forbearance), then, on each distribution date, the principal portion of that Realized Loss will be allocated first, to reduce the Class Principal Amount of each class of Subordinate Certificates, in inverse order of priority, until the Class Principal Amount thereof has been reduced to zero (that is, such Realized Losses will be allocated to the Class B-4 Certificates while those certificates are outstanding, then to the Class B-3 Certificates while those certificates are still outstanding, and so forth) and second, to the Senior Certificates (other than the Class A-IO Certificates). In determining whether a Realized Loss is a loss of principal or of interest, liquidation proceeds and other recoveries on a mortgage loan will be applied first to outstanding expenses incurred with respect to such mortgage loan, then to accrued, unpaid interest, and finally to principal.

 
The Class Principal Amount of the lowest ranking class of certificates then outstanding will also be reduced by the Certificate Writedown Amount.

 
Any class of certificates whose Class Principal Amount has been reduced to zero due to the allocation of Realized Losses will nonetheless remain outstanding under the pooling agreement and will continue to be entitled to receive subsequent recoveries until the termination of the trust fund, but will have no voting rights

Sponsor’s Risk Retention:
The sponsor (or affiliates of the sponsor) will initially retain the following certificates: (i) all of the Non-Offered Certificates, representing 6.50% of the original principal balance of the securitization, and (ii) 5% of the original principal balance of Offered Certificates.  Following the Closing Date, the sponsor (or affiliates of the sponsor) will continue to retain these certificates until such time as regulations governing sponsor risk retention (or “skin-in-the-game”) have been finalized and become effective.  Once regulations have become effective, the sponsor (and its affiliates) may sell or transfer any portion of these retained certificates that is in excess of what is then required to be retained under applicable regulations.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
13

 
SEMT 2010-H1
APRIL 21, 2010
 
Dispute Resolution: 
In the event there is a dispute arising from an unresolved repurchase request for a potential violation of any representation or warranty made at the time of closing by the Originator, the Originator and the Seller have agreed to submit to binding arbitration by a non-affiliated third party to resolve the dispute.

Clean-up Call:
The terms of the transaction allow the Servicer to purchase all of the mortgage loans from the trust fund, thereby causing an early retirement of the certificates on any distribution date on which the aggregate principal balance of the mortgage loans is less than 10% of the aggregate principal balance of the mortgage loans as of the Cut-off Date.  If the Servicer does not exercise the clean-up call, an affiliate of the Sponsor may purchase all of the mortgage loans from the trust fund, thereby causing an early retirement of the certificates on any distribution date on which the aggregate principal balance of the mortgage loans is less than 5% of the aggregate principal balance of the mortgage loans as of the Cut-off Date.

Registration:
The Offered Certificates will be issued in book-entry form through DTC.

Federal Tax Treatment:
The Offered Certificates will represent ownership of regular interests in a REMIC.  The Class R Certificate will be designated as the sole class of residual interest in the REMIC.

ERISA Eligibility:
The Offered Certificates are expected to be eligible for purchase by employee benefit plans and other retirement plans and arrangements subject to Title I of ERISA and Section 4975 of the Code. 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 Offered Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA, so long as they are rated in one of the two highest rating categories by at least one rating agency.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
14

 
SEMT 2010-H1
APRIL 21, 2010
 

 
 
Structuring Tables

 Class A1 to Roll
Price = 100-00
10 CPB
15 CPB
20 CPB
25 CPB
30 CPB
Weighted Average Life (WAL)
3.40
3.02
2.68
2.38
2.11
Modified Duration
3.09
2.76
2.46
2.19
1.95
Principal Window
1 - 57
1 - 57
1 - 57
1 - 56
1 - 56
 
 Class A1 to Maturity
Price = 100-00
10 CPR
15 CPR
20 CPR
25 CPR
30 CPR
Weighted Average Life (WAL)
7.58
5.39
4.07
3.20
2.59
Modified Duration
5.98
4.44
3.46
2.79
2.31
Principal Window
1 - 327
1 - 283
1 - 232
1 - 191
1 - 159
 
 
Assumption:
1-Year LIBOR:  0.941%
 
 
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
15

 
SEMT 2010-H1
APRIL 21, 2010
 
 
Collateral Summary
Statistics for the Mortgage Loans listed below are based on Cut-off Date scheduled balances.
   
Minimum
Maximum
       
Scheduled Principal Balance:
$237,838,333.27
   
Number of Mortgage Loans:
255
   
Hybrid 5 Years Fixed Percentage:
100.00%
   
Average Scheduled Principal Balance:
$932,699.35
$299,990.00
$2,500,000.00
Weighted Average Gross Coupon:
4.803%
4.000%
6.000%
Weighted Average Seasoning:
8 months
3 months
11 months
Weighted Average Months to Next Rate Adjustment:
52 months
49 month
57 months
Weighted Average Original LTV Ratio:
56.57%
7.96%
80.00%
Weighted Average Original Combined LTV Ratio(1):
60.42%
7.96%
80.00%
Weighted Average Original Credit Score:
768
702
816
Weighted Average Debt-to-Income Ratio:
27.32%
3.23%
48.63%
Interest Only (10 Years) Loans Percentage:
73.74%
   
Weighted Average Gross Margin:
2.250%
2.250%
2.250%
Weighted Average Initial Periodic Rate Cap:
5.000%
5.000%
5.000%
Weighted Average Subsequent Periodic Rate Cap:
2.011%
2.000%
5.000%
Weighted Average Gross Maximum Lifetime Rate:
9.803%
9.000%
11.000%
Weighted Average Gross Minimum Lifetime Rate:
2.250%
2.250%
2.250%
Weighted Average Original Term:
360 months
360 months
360 months
Weighted Average Stated Remaining Term:
352 months
349 months
357 months
First Lien Percentage:
100.00%
   
Silent Second Percentage:
27.16%
   
 
(1)  
The original combined loan-to-value was calculated using full lien amount (drawn and undrawn) for the second mortgage. Using only the drawn amount of the second mortgage at the time of origination, the original combined loan-to-value ratio would have been approximately 58.44%.
 
 
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
16

 
SEMT 2010-H1
APRIL 21, 2010
 
Product Type of the Mortgage Loans
 
Product Type
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
Hybrid 5 Years Fixed
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  
 
 
Principal Balances of the Mortgage Loans at Origination
 
 
Range of Original
Principal Balances ($)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
428,000.00 - 500,000.00
      13       6,027,351.16       2.53       463,642.40       4.726       774       64.46       67.42  
500,000.01 - 600,000.00
      20       10,882,882.65       4.58       544,144.13       4.704       784       63.35       64.35  
600,000.01 - 700,000.00
      28       18,261,916.59       7.68       652,211.31       4.761       768       58.11       63.26  
700,000.01 - 800,000.00
      30       22,544,338.04       9.48       751,477.93       4.811       776       57.87       60.54  
800,000.01 - 900,000.00
      32       26,088,603.84       10.97       815,268.87       4.874       773       55.11       61.57  
900,000.01 - 1,000,000.00
      53       51,666,336.37       21.72       974,836.54       4.815       766       55.99       60.79  
1,000,000.01 - 1,100,000.00
      15       16,052,467.88       6.75       1,070,164.53       4.700       756       49.74       55.37  
1,100,000.01 - 1,200,000.00
      22       24,314,703.30       10.22       1,105,213.79       4.672       761       61.08       63.08  
1,200,000.01 - 1,300,000.00
      9       11,127,198.71       4.68       1,236,355.41       4.944       758       55.66       60.68  
1,300,000.01 - 1,400,000.00
      5       6,794,417.31       2.86       1,358,883.46       5.127       770       63.98       69.60  
1,400,000.01 - 1,500,000.00
      19       26,778,831.24       11.26       1,409,412.17       4.800       772       53.26       55.72  
1,600,000.01 - 1,700,000.00
      1       1,598,191.80       0.67       1,598,191.80       4.875       774       68.04       68.04  
1,700,000.01 - 1,800,000.00
      1       1,760,000.00       0.74       1,760,000.00       5.000       748       62.86       62.86  
1,800,000.01 - 1,900,000.00
      2       3,719,000.00       1.56       1,859,500.00       4.814       786       54.53       54.53  
1,900,000.01 - 2,000,000.00
      2       3,494,494.38       1.47       1,747,247.19       4.943       744       61.64       61.64  
2,000,000.01 - 2,100,000.00
      1       2,027,600.00       0.85       2,027,600.00       4.875       769       36.87       45.96  
2,100,000.01 - 2,200,000.00
      1       2,200,000.00       0.92       2,200,000.00       4.875       737       42.31       42.31  
2,400,000.01 - 2,500,000.00
      1       2,500,000.00       1.05       2,500,000.00       4.625       766       43.86       43.86  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  
 
The average loan balance of the mortgage loans at origination was approximately $952,280.08.
 
 
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
17

 
SEMT 2010-H1
APRIL 21, 2010
 
Principal Balances of the Mortgage Loans as of the Cut-off Date
 
 
Range of Current
Principal Balances ($)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
299,990.00 - 300,000.00
      1       299,990.00       0.13       299,990.00       5.000       796       45.30       45.30  
400,000.01 - 500,000.00
      15       6,934,507.84       2.92       462,300.52       4.705       775       61.87       65.14  
500,000.01 - 600,000.00
      21       11,520,630.91       4.84       548,601.47       4.693       782       62.77       64.48  
600,000.01 - 700,000.00
      29       19,110,484.56       8.04       658,982.23       4.778       768       58.17       62.62  
700,000.01 - 800,000.00
      31       23,441,567.45       9.86       756,179.60       4.854       777       58.33       61.54  
800,000.01 - 900,000.00
      28       24,013,003.93       10.10       857,607.28       4.839       773       56.11       62.29  
900,000.01 - 1,000,000.00
      54       52,703,336.37       22.16       975,987.71       4.816       766       55.99       61.13  
1,000,000.01 - 1,100,000.00
      18       19,299,094.79       8.11       1,072,171.93       4.653       761       52.77       57.45  
1,100,000.01 - 1,200,000.00
      19       21,958,432.73       9.23       1,155,706.99       4.724       759       58.39       59.57  
1,200,000.01 - 1,300,000.00
      9       11,290,442.75       4.75       1,254,493.64       4.903       765       56.14       61.08  
1,300,000.01 - 1,400,000.00
      9       12,348,987.33       5.19       1,372,109.70       4.957       775       51.49       57.85  
1,400,000.01 - 1,500,000.00
      12       17,618,568.43       7.41       1,468,214.04       4.827       765       58.17       59.62  
1,500,000.01 - 1,600,000.00
      2       3,186,315.80       1.34       1,593,157.90       4.875       767       69.02       69.02  
1,700,000.01 - 1,800,000.00
      1       1,760,000.00       0.74       1,760,000.00       5.000       748       62.86       62.86  
1,800,000.01 - 1,900,000.00
      2       3,719,000.00       1.56       1,859,500.00       4.814       786       54.53       54.53  
1,900,000.01 - 2,000,000.00
      1       1,906,370.38       0.80       1,906,370.38       5.000       732       54.67       54.67  
2,000,000.01 - 2,100,000.00
      1       2,027,600.00       0.85       2,027,600.00       4.875       769       36.87       45.96  
2,100,000.01 - 2,200,000.00
      1       2,200,000.00       0.92       2,200,000.00       4.875       737       42.31       42.31  
2,400,000.01 - 2,500,000.00
      1       2,500,000.00       1.05       2,500,000.00       4.625       766       43.86       43.86  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  

The average loan balance of the mortgage loans as of the cut-off date was approximately $932,699.35.
 

Gross Mortgage Rates of the Mortgage Loans as of the Cut-off Date
 
 
Range of Gross
Mortgage Rates (%)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
4.000 or Less
      1       937,370.67       0.39       937,370.67       4.000       796       76.53       76.53  
4.001 - 4.250
      3       2,862,077.89       1.20       954,025.96       4.202       786       68.61       68.61  
4.251 - 4.500
      31       28,371,195.29       11.93       915,199.85       4.474       766       56.46       60.97  
4.501 - 4.750
      122       108,053,965.76       45.43       885,688.24       4.688       768       52.88       58.34  
4.751 - 5.000
      68       67,362,563.65       28.32       990,625.94       4.920       767       59.45       61.78  
5.001 - 5.250
      18       18,447,259.44       7.76       1,024,847.75       5.188       767       60.83       62.84  
5.251 - 5.500
      6       6,010,892.22       2.53       1,001,815.37       5.446       759       58.87       59.63  
5.501 - 5.750
      3       3,518,668.65       1.48       1,172,889.55       5.625       782       68.72       68.72  
5.751 - 6.000
      3       2,274,339.70       0.96       758,113.23       5.930       778       64.64       64.64  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  

The weighted-average gross mortgage rate of the mortgage loans as of the cut-off date was approximately 4.803%.
 
 
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
18

 
SEMT 2010-H1
APRIL 21, 2010
 
Seasoning of the Mortgage Loans
 
 
Seasoning (Months)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
3
      3       3,410,000.00       1.43       1,136,666.67       5.500       754       69.32       69.32  
4
      8       7,054,949.21       2.97       881,868.65       5.168       757       61.37       61.37  
5
      8       7,077,103.20       2.98       884,637.90       4.959       788       59.86       64.22  
6
      24       24,183,799.26       10.17       1,007,658.30       4.953       768       56.52       59.67  
7
      55       52,991,791.02       22.28       963,487.11       4.802       763       53.41       58.96  
8
      60       57,581,235.08       24.21       959,687.25       4.730       765       55.57       61.93  
9
      59       54,404,519.07       22.87       922,110.49       4.707       774       57.53       59.16  
10
      37       30,246,810.78       12.72       817,481.37       4.788       771       58.28       60.27  
11
      1       888,125.65       0.37       888,125.65       5.125       777       80.00       80.00  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  

The weighted-average seasoning of the mortgage loans as of the cut-off date was approximately 8 months.


Months to Next Rate Adjustment Date of the Mortgage Loans
 
 
Months to Next Rate
Adjustment Date (Months)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
49
      1       888,125.65       0.37       888,125.65       5.125       777       80.00       80.00  
50
      37       30,246,810.78       12.72       817,481.37       4.788       771       58.28       60.27  
51
      59       54,404,519.07       22.87       922,110.49       4.707       774       57.53       59.16  
52
      60       57,581,235.08       24.21       959,687.25       4.730       765       55.57       61.93  
53
      55       52,991,791.02       22.28       963,487.11       4.802       763       53.41       58.96  
54
      24       24,183,799.26       10.17       1,007,658.30       4.953       768       56.52       59.67  
55
      8       7,077,103.20       2.98       884,637.90       4.959       788       59.86       64.22  
56
      8       7,054,949.21       2.97       881,868.65       5.168       757       61.37       61.37  
57
      3       3,410,000.00       1.43       1,136,666.67       5.500       754       69.32       69.32  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  

The weighted-average months to next rate adjustment date of the mortgage loans as of the cut-off date was approximately 52 months.
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
19

 
SEMT 2010-H1
APRIL 21, 2010
 
 Loan-To-Value Ratio of the Mortgage Loans at Origination
 
 
Range of Original
Loan-To-Value Ratios (%)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
7.96 - 10.00
      1       526,450.70       0.22       526,450.70       4.500       804       7.96       7.96  
15.01 - 20.00
      3       2,710,152.66       1.14       903,384.22       4.742       757       17.36       24.13  
20.01 - 25.00
      7       6,659,128.54       2.80       951,304.08       4.634       760       22.96       31.56  
25.01 - 30.00
      11       9,870,219.74       4.15       897,292.70       4.781       766       28.22       40.11  
30.01 - 35.00
      6       5,307,272.04       2.23       884,545.34       4.843       764       33.20       41.45  
35.01 - 40.00
      15       15,477,549.99       6.51       1,031,836.67       4.871       776       37.54       46.16  
40.01 - 45.00
      25       26,924,506.90       11.32       1,076,980.28       4.726       760       43.21       48.98  
45.01 - 50.00
      17       14,161,986.61       5.95       833,058.04       4.701       774       48.34       54.06  
50.01 - 55.00
      23       23,711,040.43       9.97       1,030,914.80       4.739       760       52.24       57.94  
55.01 - 60.00
      22       21,891,289.11       9.20       995,058.60       4.831       773       57.81       61.79  
60.01 - 65.00
      24       21,297,670.62       8.95       887,402.94       4.832       765       63.06       65.37  
65.01 - 70.00
      36       36,265,587.61       15.25       1,007,377.43       4.934       766       68.18       69.25  
70.01 - 75.00
      29       28,035,325.38       11.79       966,735.36       4.761       774       73.80       73.80  
75.01 - 80.00
      36       25,000,152.94       10.51       694,448.69       4.830       775       79.05       79.05  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  

The weighted-average original loan-to-value ratio of the mortgage loans at origination was approximately 56.57%.


Combined Loan-To-Value Ratio of the Mortgage Loans at Origination
 
 
Range of Original Combined
Loan-To-Value Ratios (%)
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
7.96 - 10.00
      1       526,450.70       0.22       526,450.70       4.500       804       7.96       7.96  
15.01 - 20.00
      1       888,152.66       0.37       888,152.66       4.625       780       16.26       16.26  
20.01 - 25.00
      5       4,470,000.00       1.88       894,000.00       4.733       764       21.58       23.93  
25.01 - 30.00
      6       5,273,890.36       2.22       878,981.73       4.900       772       28.87       28.87  
30.01 - 35.00
      5       4,972,499.96       2.09       994,499.99       4.839       765       28.55       32.77  
35.01 - 40.00
      8       7,082,925.79       2.98       885,365.72       4.840       776       35.74       38.10  
40.01 - 45.00
      19       20,800,444.70       8.75       1,094,760.25       4.785       758       41.43       43.30  
45.01 - 50.00
      17       16,064,290.74       6.75       944,958.28       4.681       762       41.79       47.87  
50.01 - 55.00
      19       20,804,173.94       8.75       1,094,956.52       4.746       768       49.16       52.65  
55.01 - 60.00
      18       18,705,378.14       7.86       1,039,187.67       4.816       765       53.62       57.67  
60.01 - 65.00
      35       30,912,555.21       13.00       883,215.86       4.785       772       56.53       63.12  
65.01 - 70.00
      36       36,058,536.43       15.16       1,001,626.01       4.925       768       65.08       68.24  
70.01 - 75.00
      42       41,198,227.89       17.32       980,910.19       4.759       767       69.00       73.51  
75.01 - 80.00
      43       30,080,806.75       12.65       699,553.65       4.835       775       76.32       78.96  
Total:
      255       237,838,333.27       100.00       932,699.35       4.803       768       56.57       60.42  

The weighted-average combined loan-to-value ratio of the mortgage loans at origination was approximately 60.42%. The original combined loan-to-value was calculated using full lien amount (drawn and undrawn) for the second mortgage. Using only the drawn amount of the second mortgage at the time of origination, the original combined loan-to-value ratio would have been approximately 58.44%.
 
 
 
 
 
This page must be accompanied by a disclaimer.  If you did not receive such a disclaimer, please contact your Citigroup Global Markets Inc.
Financial Advisor immediately.
 
20

 
SEMT 2010-H1
APRIL 21, 2010
 
Credit Score of the Mortgage Loans at Origination
 
 
Credit Score
   
Number
of Mortgage Loans
   
Aggregate
Principal Balance ($)
   
% of Aggregate Principal Balance
   
Average 
Principal Balance ($)
   
Weighted Average Mortgage Rate (%)
   
 Weighted Average Original Credit Score
   
Weighted Average Original Loan-to-Value Ratio (%)
   
Weighted Average Original Combined Loan-to-Value Ratio (%)
 
702 - 720
      16       15,330,427.32       6.45       958,151.71       4.749       713       56.92       60.46  
721 - 740
      20       23,318,116.34       9.80       1,165,905.82       4.816       732       52.58       56.27  
741 - 760
      43       39,423,024.69       16.58       916,814.53       4.841       751       55.57       60.74  
761 - 780
      73       69,740,923.78       29.32       955,355.12       4.825       770       55.96       59.86  
781 - 800
      82       74,145,153.18       31.17       904,209.19       4.756       789       58.32       62.05  
801 - 816
      21       15,880,687.96       6.68       756,223.24