SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities and Exchange Act of 1934
Date of Report: December 14, 1998
(Date of earliest event reported)
GS Mortgage Securities Corporation II
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-65921 22-3442024
- --------------------------------------------------------------------------------
(State or Other (Commission (I.R.S. Employer
Jurisdiction of File Number) Identification No.)
Incorporation)
85 Broad Street, New York, N.Y. 10004
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (212) 902-1000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report.)
<PAGE>
Item 5. Other Events.
The Registrant has made three filings of Current Report on Form 8-K,
respectively dated November 10, 1998, December 8, 1998 and December 10, 1998,
relating to certain Collateral Term Sheets and in each case making reference to
the Registrant's proposed offering of its Commercial Mortgage Pass-Through
Certificates, Series 1998-C2 (the "1998-C2 Certificates"). The Registrant has
changed the title of the 1998-C2 Certificates to its Commercial Mortgage
Pass-Through Certificates, Series 1999-C1 (the "1999-C1 Certificates").
Therefore, any references in such Collateral Term Sheets previously filed and in
the Structural Term Sheets and Collateral Term Sheets attached as an exhibit
hereto should be read to be references to the 1999-C1 Certificates.
Attached as an exhibit are Structural Term Sheets and Collateral Term
Sheets (each as defined in the no-action letter dated May 20, 1994 issued by the
Securities and Exchange Commission to Kidder, Peabody Acceptance Corporation-I,
Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation (the
"Kidder Letter") as modified by a no-action letter (the "First PSA No-Action
Letter") issued by the staff of the Commission on May 27, 1994 to the Public
Securities Association (the "PSA") and as further modified by a no-action letter
(the "Second PSA No-Action Letter") issued by the staff of the Commission on
March 9, 1995 to the PSA) furnished to the Registrant by Goldman, Sachs & Co.
(the "Underwriter") in respect of the Registrant's proposed offering of the
1999-C1 Certificates. As stated above, the Structural Term Sheets and Collateral
Term Sheets refer to the 1998-C2 Certificates, but such references should be
read to be references to the 1999-C1 Certificates.
The 1999-C1 Certificates will be offered pursuant to a Prospectus and
related Prospectus Supplement (together, the "Prospectus"), which will be filed
with the Commission pursuant to Rule 424 under the Securities Act of 1933, as
amended (the "Act"). The 1999-C1 Certificates will be registered pursuant to the
Act under the Registrant's Registration Statement on Form S-3 (No. 333-65921)
(the "Registration Statement"). The Registrant hereby incorporates the
Structural Term Sheets and Collateral Term Sheets by reference in the
Registration Statement.
The Structural Term Sheets and Collateral Term Sheets were prepared solely
by the Underwriter, and the Registrant did not prepare or participate in the
preparation of the Structural Term Sheets and Collateral Term Sheets.
Any statement or information contained in the Structural Term Sheets and
Collateral Term Sheets shall be deemed to be modified or superseded for purposes
of the Prospectus and the Registration Statement by statements or information
contained in the Prospectus.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits
(c) Exhibits
Exhibit 99.1 Structural and Collateral Term Sheet
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on behalf of the Registrant
by the undersigned thereunto duly authorized.
GS MORTGAGE SECURITIES CORPORATION II
By: /s/ Jay Strauss
-------------------------
Name: Jay Strauss
------------------
Title: Secretary
------------------
Date: December 16, 1998
<PAGE>
Exhibit Index
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
99.1 Structural and Collateral Term Sheet E
All information in this Term Sheet, whether regarding the assets backing any
securities discussed herein or otherwise, will be superseded by the information
contained in any final prospectus for any securities actually sold to you.
STRUCTURAL AND COLLATERAL TERM SHEET
$712,468,000 (Approximate) December 14, 1998
GS Mortgage Securities Corporation II
Commercial Mortgage Pass-Through Certificates
Series 1998-C2
Approximate Securities Structure:
Expected
Approximate Expected Weighted
Expected Face/Notional Credit Average Expected
Rating Amount Support Life Payment
Class (S&P/Moody's) (MM) (% of UPB) (years)(a) Window(a)
- -------------------------------------------------------------------
Publicly Offered Classes
A1 AAA /Aaa $165.7 30.00% 5.014 02/99-06/07
A2 AAA /Aaa(b) 457.8 30.00 9.467 06/07-10/08
B AA/Aa2 (b) 44.5 25.00 9.744 10/08-10/08
C A /A2 (b) 44.5 20.00 9.744 10/08-10/08
Privately Offered Classes (c)
- -------------------------------------------------------------------
X N/A $890.6(d) N/A N/A
D N/A 57.9 13.50% N/A N/A
E N/A 13.4 12.00 N/A N/A
F N/A 40.1 7.50 N/A N/A
G N/A 31.2 4.00 N/A N/A
H N/A 6.7 3.25 N/A N/A
J N/A 28.9 N/A N/A N/A
Total Securities: $890.6
- -------------------------------------------------------------------
(a) Calculated at 0% CPR, no balloon extension and Hyper-Amortization Loans pay
in full on Anticipated Repayment Dates.
(b) Subject to a cap equal to the weighted average Net Mortgage Rate,
determined without regard to any modification of the mortgage loans, in
effect from time to time on the mortgage loans.
(c) Not offered hereby.
(d) Notional amount on interest only class.
Key Features:
- -------------
Lead Manager: Goldman, Sachs & Co.
Mortgage Loan Sellers: Goldman Sachs Mortgage Company:
Archon ($168MM)
CPC ($56MM)
Amresco Capital, L.P. ($363MM)
Daiwa ($304MM)
Master Servicer: TBD
Special Servicer: Lennar
Trustee: TBD
Launch: Early January
Pricing: Early January
Closing: Early January
Cut-Off Date: January 1, 1999
Distribution Date: 18th of each month, or following
business day (commencing February
1999)
ERISA Eligible: Classes A1 and A2 are expected to
be ERISA eligible subject to
certain conditions for eligibility
SMMEA Eligible: No Classes
Structure: Sequential pay
Day Count: 30/360
Tax Treatment: REMIC
Rated Final Distribution January 18, 2031
Date:
Clean up Call: 1.0%
Minimum Denominations: Publicly Offered Classes: $10,000 & $1
Delivery: DTC for publicly traded certificates
<PAGE>
================================================================================
Collateral Facts:
- -----------------
Initial Pool Balance: $890,585,907
Number of Mortgage Loans: 304
Number of Mortgaged Properties: 317
Average Cut-Off Date Balance: $2,929,559
Weighted Average Current Mortgage Rate: 7.20%
Weighted Average U/W DSCR: 1.44x
Weighted Average Cut-Off Date LTV Ratio: 71.5%
Weighted Average Remaining Term to Maturity (months): 124.3
Weighted Average Remaining Amortization Term (months): 319.2
Weighted Average Seasoning (months): 5
Balloon Loans as % of Total: 92.9%
Ten Largest Loans as % of Total: 16.5%
- ---------------------------------------------------------------
Ten Largest Loans:
- ------------------
%
Loan Balance ($MM) by UPB DSCR Property Type
- --------------------------------------------------------------------------------
The Torpedo Factory $ 20,007,359 2.25% 1.26x Office
Whitehall Hotel 18,879,907 2.12 1.36 Lodging
Granada Apartments 18,745,566 2.10 1.30 Multifamily
Roswell Town Center 17,274,576 1.94 1.27 Retail
Renton Portfolio (a) 16,849,268 1.89 1.46 Retail/Office
Salter Nursing 11,886,833 1.33 1.45 Nursing Home
Portfolio
Goodings International 11,883,227 1.33 1.27 Retail
Plaza
The Atrium Hotel 11,474,944 1.29 1.67 Lodging
Bruckner Nursing Home 11,379,636 1.28 1.80 Nursing Home
The Phillips Building 10,805,080 1.21 1.35 Office
----------- ---- ----
Total/Weighted $149,186,396 16.47% 1.40x
Average
- --------------------------------------------------------------------------------
(a) Pool consists of 3 cross-collateralized loans on 2 retail properties and 1
office property.
Selected Loan Data:
- -------------------
Number of Cut-Off Date Balance
Geographic Mortgaged (as of Jan 1, 1999)
Distribution Properties (MM) % by UPB Wtd. Avg. DSCR
- --------------------------------------------------------------------------------
Texas 56 $ 115.8 13.01% 1.47x
California 32 93.3 10.47 1.44
Florida 21 70.1 7.87 1.37
New York 23 65.0 7.29 1.58
Arizona 13 57.3 6.44 1.42
Other 172 489.1 54.92 1.44
--- ----- ------- ----
Total/Wtd. Avg. 317 $890.6 100.00% 1.44x
- --------------------------------------------------------------------------------
Property Type Properties (MM) % by UPB Wtd. Avg. DSCR
- --------------------------------------------------------------------------------
Multifamily 144 $ 289.2 32.47% 1.43x
Retail 66 212.9 23.91 1.41
Office 38 149.0 16.73 1.37
Lodging 31 128.8 14.46 1.58
Industrial 29 75.8 8.51 1.39
Healthcare 7 29.7 3.33 1.72
Self-Storage 2 5.3 0.60 1.49
------ -------- -------- ----
Total/Wtd. Avg. 317 $890.6 100.00% 1.44x
- --------------------------------------------------------------------------------
Prepayment Restrictions (MM) % by UPB Wtd. Avg. DSCR
- --------------------------------------------------------------------------------
Lockout/Defeasance (a) 511.2 57.40% 1.47
Lockout/Greater of YM or 1% (b) 375.3 42.14 1.41
Lockout/Declining Fee 3.2 0.36 1.32
Lockout/Open 0.9 0.11 1.69
-------- -------- ----
Total/Wtd. Avg. $890.6 100.00% 1.44x
- --------------------------------------------------------------------------------
(a) Includes 1 loan with the provision "Defeasance and/or Greater of YM or 1%."
(b) Includes 3 loans with the provision "Greater of YM or Declining Fee."
<PAGE>
This material is for your private information and we are not soliciting any
action based upon it. This material is not to be construed as an offer to sell
or the solicitation of any offer to buy any security in any jurisdiction where
such an offer or solicitation would be illegal. This material is based on
information that we consider reliable, but we do not represent that it is
accurate or complete and it should not be relied upon as such. By accepting this
material the recipient agrees that it will not distribute or provide the
material to any other person. The information contained in this material may be
based on assumptions regarding market conditions and other matters as reflected
therein. We make no representations regarding the reasonableness of such
assumptions or the likelihood that any of such assumptions will coincide with
actual market conditions or events, and this material should not be relied upon
for such purposes. We and our affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including in cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. All information in this Term Sheet, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you.
This material is furnished to you by Goldman, Sachs & Co. and not by the issuer
of the securities. Goldman, Sachs & Co. is acting as the sole lead underwriter
and not acting as agent for the issuer or its affiliates in connection with the
proposed transaction. The issuer has not prepared or taken part in the
preparation of these materials.
<PAGE>
- --------------------------------------------------------------------------------
STRUCTURAL OVERVIEW
- --------------------------------------------------------------------------------
|X| For purposes of calculating principal distributions of the Certificates:
-- Available principal will be allocated sequentially to A1, A2, B, C, D,
E, F, G, H, J certificates
-- In case the principal balance of J, H, G, F, E, D, C, B, in that
order, have been reduced to zero due to the allocation of principal
losses, then A1 and A2 will be allocated principal pro rata.
|X| Class X will be entitled to receive payments of interest only and will not
receive any payments of principal. Class X will be entitled to payments of
interest pro rata (based on interest entitlements) with the Class A1 and A2
Certificates each month.
|X| Each class will be subordinate to the Class A1, A2, and X and to each class
with an earlier alphabetic designation than such class. Each of the Class
A1, A2, and X Certificates will be of equal priority.
|X| All classes will pay interest on a 30/360 basis.
|X| Principal Losses will be allocated in reverse alphabetical order to Class
J, H, G, F, E, D, C, B, and then pro rata to Class A1 and A2.
|X| The Master Servicer will cover net prepayment interest shortfalls, for any
month up to the portion of the Master Servicing Fee equal to 4 basis points
per annum on the principal balance of the loans. Net prepayment interest
shortfalls (after application of prepayment interest excesses and other
Servicer coverage from the Master Servicing Fee) will be allocated pro-rata
(based on interest entitlements) to all regular Certificates.
|X| Shortfalls resulting from Master Servicer and Special Servicer
modifications, Special Servicer compensation or other extraordinary trust
fund expenses will be allocated in reverse alphabetical order to classes of
outstanding regular certificates other than to the Class X.
<PAGE>
- --------------------------------------------------------------------------------
ALLOCATION OF PREPAYMENT PENALTIES (a)
- --------------------------------------------------------------------------------
Allocation of Prepayment Penalties for each Loan Group
- ------------------------------------------------------
Prepayment premiums and yield maintenance amounts with respect to a Loan Group
will be allocated between the related Certificates then entitled to principal
distributions and the Class X Certificates as follows:
|X| A percentage of all prepayment premiums (either fixed prepayment premiums
or yield maintenance amounts) with respect to a Loan Group will be
allocated to each class of the Certificates then entitled to principal
distributions, which percentage will be equal to the product of (a) the
percentage of the total principal distribution that such Class receives,
and (b) a percentage (which can be no greater than 100%), the numerator of
which is the excess of the Pass-Through Rate of the Class of the
Certificates currently receiving principal over the relevant Discount Rate,
and the denominator of which is the excess of the Mortgage Rate of the
related Mortgage Loan over the Discount Rate.
------------------------- ---- ----------------------------------------
Prepayment (Pass-Through Rate - Discount Rate )
Premium Allocation = ---------------------------------
Percentage (Mortgage Rate - Discount Rate)
------------------------- ---- ----------------------------------------
|X| The remaining percentage of such prepayment premiums will be allocated to
the Class X Certificates
|X| In general, this formula provides for an increase in the allocation of
prepayment premiums to the Certificates then entitled to principal
distributions relative to the Class X Certificates as Discount Rates
decrease and a decrease in the allocation to such Classes as Discount Rates
rise
Allocation of Prepayment Premiums Example
- -----------------------------------------
Discount Rate Fraction Methodology:
Mortgage Rate = 8%
Bond Class Rate = 6%
Treasury Rate = 5%
Bond Class Allocation | Class X Allocation
- -------------------------------------|------------------------------------------
6% - 5% |
------- = 33 1/3% |Receives excess premiums = 66 2/3% thereof
8% - 5% |
(a) For further information regarding the allocation of prepayment penalties,
refer to the Prospectus supplement.
<PAGE>
- --------------------------------------------------------------------------------
PREPAYMENT PROVISIONS
- --------------------------------------------------------------------------------
Prepayment Lock-Out/ Prepayment Premium Analysis / Defeasance
Percentage of Mortgage Pool by Prepayment Restriction Assuming No
Prepayment of Principal (a)(b)
|X| Aggregate Pool
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Prepayment January January January January January January January January January January January
Restrictions 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
- ------------------------------------------------------------------------------------------------------------------------------------
Locked Out 100.00% 100.00% 81.58% 38.73% 5.71% 3.56% 2.64% 2.09% 2.04% 1.81% 7.89%
Defeasance 0.00 0.00 17.30 55.26 55.29 56.07 54.28 54.49 54.49 44.09 31.97
Yield Maintenance 0.00 0.00 1.12 5.55 37.88 39.91 40.81 42.93 42.98 30.55 49.35
- ------------------------------------------------------------------------------------------------------------------------------------
Subtotal 100.00% 100.00% 100.00% 99.54% 98.88% 99.54% 97.73% 99.51% 99.51% 76.45% 89.21%
% Premiums
5.00 - 5.99% 0.00 0.00 0.00 0.36 0.35 0.36 0.00 0.00 0.00 0.00 0.00
4.00 - 4.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.36 0.00 0.00 0.00 0.00
3.00 - 3.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.37 0.00 0.00 0.00
2.00 - 2.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.37 0.00 0.00
1.00 - 1.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.80
Open 0.00% 0.00% 0.00% 0.11% 0.77% 0.11% 1.91% 0.11% 0.11% 23.54% 0.00%
- ------------------------------------------------------------------------------------------------------------------------------------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
UPB ($MM) 890.59 879.21 867.15 854.01 839.87 819.22 803.12 750.14 732.18 694.74 78.12
% of UPB 100.00% 98.72% 97.37% 95.89% 94.30% 91.99% 90.18% 84.23% 82.21 78.01% 8.77%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment January January January January January January January January January January January
Restrictions 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
- ------------------------------------------------------------------------------------------------------------------------------------
Locked Out 7.95% 10.92% 11.20% 11.55% 9.64% 10.22% 11.01% 12.06% 13.50% 12.66% 13.31%
Defeasance 31.39 33.81 32.84 12.61 14.92 14.27 13.40 12.11 9.17 8.97 8.29
Yield Maintenance 40.78 39.56 32.55 27.92 35.42 33.36 30.56 26.90 19.63 5.64 5.34
- ------------------------------------------------------------------------------------------------------------------------------------
Subtotal 80.12% 84.29% 76.59% 52.08% 59.98% 57.85% 54.97% 51.07% 42.30% 27.27% 26.94%
% Premiums
5.00 - 5.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4.00 - 4.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3.00 - 3.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2.00 - 2.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1.00 - 1.99% 11.13 15.71 23.41 17.86 28.84 30.64 33.09 36.41 41.01 56.09 57.82
Open 8.75% 0.00% 0.00% 30.06% 11.18% 11.51% 11.95% 12.52% 16.69% 16.63% 15.24%
- ------------------------------------------------------------------------------------------------------------------------------------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
UPB ($MM) 73.85 50.86 46.52 41.86 24.95 22.49 19.85 17.08 14.26 9.72 8.69
% of UPB 8.29% 5.71% 5.22% 4.70% 2.80% 2.53% 2.23% 1.92% 1.60% 1.09% 0.98%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment January January January January January January January January
Restrictions 2021 2022 2023 2024 2025 2026 2027 2028
- ------------------------------------------------------------------------------------------------------------------------------------
Locked Out 14.19% 15.46% 17.48% 0.00% 0.00% 0.00% 0.00% 0.00%
Defeasance 7.34 5.95 0.00 0.00 0.00 0.00 0.00 0.00
Yield Maintenance 4.91 4.27 0.00 20.87 22.07 24.13 28.61 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
Subtotal 26.44% 25.68% 17.48% 20.87% 22.07% 24.13% 28.61% 0.00%
% Premiums
5.00 - 5.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4.00 - 4.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3.00 - 3.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2.00 - 2.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1.00 - 1.99% 60.24 63.83 69.61 79.13 77.93 75.87 71.39 0.00
Open 13.32% 10.50% 12.91% 0.00% 0.00% 0.00% 0.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
UPB ($MM) 7.58 6.39 5.1 3.78 3.07 2.3 1.48 0.6
% of UPB 0.85% 0.72% 0.57% 0.42% 0.34% 0.26% 0.17% 0.07%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Table calculated using modeling assumptions.
(b) Differences in totals may exist due to rounding.
<PAGE>
-------------------------------------------------------------------------------
AVERAGE LIFE TABLE (in years)
(Prepayments Locked Out through Lock Out period, Defeasance and Yield
Maintenance period, then run at the indicated CPRs)
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
Prepayment Assumptions (CPR)
0% CPR 25% CPR 50% CPR 75% CPR 100% PP*
---------------- ---------------------- ---------------------- ----------------------- ---------------------- ---------------------
<S> <C> <C> <C> <C> <C>
X 9.20 9.16 9.13 9.08 8.85
A1 5.01 4.99 4.97 4.95 4.88
A2 9.47 9.43 9.38 9.30 9.02
B 9.74 9.74 9.74 9.74 9.38
C 9.74 9.74 9.74 9.74 9.49
D 9.83 9.81 9.80 9.77 9.54
E 9.83 9.83 9.83 9.83 9.58
F 10.20 10.19 10.17 10.15 9.98
G 12.57 12.55 12.51 12.46 12.26
H 14.39 14.32 14.27 14.23 13.80
J 19.64 19.26 19.12 19.05 18.93
---------------- ---------------------- ---------------------- ----------------------- ---------------------- ---------------------
</TABLE>
*"PP" means 100% of each loan prepays when it becomes freely prepayable.
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF CUT-OFF DATE BALANCE
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Weighted Weighted Average Average
Number of Percentage Average Cut- Average Average Remaining Cut-Off
Range of Current Mortgage Current of Cut-Off Off Date Underwritten Mortgage Term to Date LTV
Principal Balances Loans Cut-Off Date Date Balance Balance DSCR Rate Maturity Ratio
Balance (mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 500,000 - 999,999 82 $ 60,172,426 6.76% $ 733,810 1.48x 7.76% 128.3 68.57%
1,000,000 - 1,999,999 76 111,643,664 12.54 1,468,996 1.46 7.31 142.2 71.09
2,000,000 - 2,999,999 51 128,032,363 14.38 2,510,438 1.52 7.12 122.4 70.45
3,000,000 - 3,999,999 29 102,601,264 11.52 3,537,975 1.43 7.21 120.4 70.61
4,000,000 - 4,999,999 19 86,392,906 9.70 4,546,995 1.38 7.08 126.0 71.08
5,000,000 - 5,999,999 15 83,039,184 9.32 5,535,946 1.49 7.04 107.8 72.67
6,000,000 - 6,999,999 5 32,794,403 3.68 6,558,881 1.42 6.96 116.0 74.24
7,000,000 - 7,999,999 7 54,225,944 6.09 7,746,563 1.42 7.04 118.9 74.63
8,000,000 - 8,999,999 6 50,791,123 5.70 8,465,187 1.45 6.86 116.5 74.51
9,000,000 - 9,999,999 4 38,196,381 4.29 9,549,095 1.40 6.73 168.1 74.49
10,000,000 - 11,999,999 6 67,788,843 7.61 11,298,140 1.50 7.55 124.7 68.18
17,000,000 - 19,999,999 3 54,900,048 6.16 18,300,016 1.31 7.51 109.8 71.33
20,000,000 - 24,999,999 1 20,007,359 2.25 20,007,359 1.26 7.22 110.0 74.38
----- ------------- --------- ----------- ---- ---- ------ -----
Total/Wtd. Avg. 304 $890,585,907 100.00% $ 2,929,559 1.44x 7.20% 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION BY CUT-OFF DATE BALANCE
- --------------------------------------------------------------------------------
Weighted
Average
Weighted Weighted Remaining Weighted
Number of Percentage of Average Average Average Term to Average
Mortgage Current Cut-Off Date Cut-Off Underwritten Mortgage Maturity Cut-Off
State Properties Cut-Off Date Balance Date Balance DSCR Rate (mos) Date LTV
Balance Ratio
- ----------------------------------------------------------------------------------------------------------- ------------ -----------
Texas 56 $115,832,720 13.01% $2,068,441 1.47x 7.16% 116.6 73.03%
California 32 93,268,451 10.47 2,914,639 1.44 7.24 124.5 68.30
Florida 21 70,095,478 7.87 3,337,880 1.37 7.27 126.2 71.75
New York 23 64,964,839 7.29 2,824,558 1.58 7.50 124.9 69.13
Arizona 13 57,330,008 6.44 4,410,001 1.42 7.00 114.1 74.62
Georgia 12 46,625,164 5.24 3,885,430 1.44 7.46 128.5 73.52
Washington 10 44,268,684 4.97 4,426,868 1.39 7.03 117.6 70.68
Massachusetts 14 36,701,118 4.12 2,621,508 1.46 7.27 115.9 68.30
Illinois 6 34,015,000 3.82 5,669,167 1.39 7.38 124.2 68.09
Maryland 10 33,607,473 3.77 3,360,747 1.45 7.11 117.8 70.99
Pennsylvania 14 31,893,366 3.58 2,278,098 1.33 7.24 120.1 75.99
Tennessee 6 30,991,018 3.48 5,165,170 1.54 6.76 117.0 75.41
New Jersey 14 30,435,474 3.42 2,173,962 1.40 7.05 207.8 72.15
Virginia 4 24,458,888 2.75 6,114,722 1.27 7.18 111.1 74.03
Nevada 9 21,853,511 2.45 2,428,168 1.38 7.11 134.8 71.37
Colorado 7 19,128,161 2.15 2,732,594 1.41 6.96 116.3 70.96
Wisconsin 4 18,014,985 2.02 4,503,746 1.39 7.12 108.8 73.79
Oklahoma 5 15,096,519 1.70 3,019,304 1.30 7.15 120.2 76.59
Kentucky 7 13,729,821 1.54 1,961,403 1.36 7.45 115.1 73.48
Ohio 7 13,071,839 1.47 1,867,406 1.37 7.14 107.9 72.83
North Carolina 4 10,921,114 1.23 2,730,279 1.50 7.42 116.8 70.27
Mississippi 4 8,926,327 1.00 2,231,582 2.28 7.47 191.8 59.35
Missouri 6 6,662,940 0.75 1,110,490 1.38 7.29 147.4 74.24
Oregon 4 6,634,457 0.74 1,658,614 1.58 7.24 137.4 53.98
Idaho 2 6,428,307 0.72 3,214,154 1.30 6.47 117.0 71.79
Connecticut 3 6,291,702 0.71 2,097,234 1.44 7.52 116.0 68.12
Michigan 3 4,993,127 0.56 1,664,376 1.55 7.05 116.8 67.20
Utah 3 4,051,863 0.45 1,350,621 1.33 7.74 114.5 71.90
Maine 1 3,477,937 0.39 3,477,937 1.35 6.94 115.0 72.46
Indiana 4 2,795,597 0.31 698,899 1.36 7.12 116.6 76.61
South Carolina 1 2,694,387 0.30 2,694,387 1.78 7.50 118.0 56.13
Louisiana 2 2,345,985 0.26 1,172,992 1.72 7.19 167.0 73.14
New Mexico 1 2,193,040 0.25 2,193,040 2.72 7.27 117.0 73.10
West Virginia 1 1,637,348 0.18 1,637,348 1.39 7.88 112.0 71.19
Rhode Island 1 1,364,770 0.15 1,364,770 1.50 6.28 117.0 68.24
Alabama 1 1,356,840 0.15 1,356,840 1.58 6.57 117.0 79.81
Kansas 1 1,307,700 0.15 1,307,700 1.46 8.10 234.0 74.30
Alaska 1 1,119,948 0.13 1,119,948 1.33 7.12 116.0 74.66
------ -------------- -------- ----------- ---- ---- ----- -----
Total/Wtd. Avg. 317 $ 890,585,907 100.00% $2,809,419 1.44x 7.20% 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION BY CUT-OFF DATE BALANCE
- --------------------------------------------------------------------------------
[GRAPHIC OMITTED INDICATING PROPERTY CONCENTRATIONS ON A MAP OF THE UNITED
STATES AS FOLLOWS:
STATE PERCENTAGE
----- ----------
AL 0.15%
AZ 6.44%
CA 10.47%
CO 2.15%
CT 0.71%
FL 7.87%
GA 5.24%
ID 0.72%
IL 3.82%
IN 0.31%
KS 0.15%
KY 1.54%
LA 0.26%
MA 4.12%
MD 3.77%
ME 0.39%
MI 0.56%
MO 0.75%
MS 1.00%
NC 1.23%
NJ 3.42%
NM 0.25%
NV 2.45%
NY 7.29%
OH 1.47%
OK 1.70%
OR 0.74%
PA 3.58%
RI 0.15%
SC 0.30%
TN 3.48%
TX 13.01%
UT 0.45%
VA 2.75%
WA 4.97%
WI 2.02%
WV 0.18%]
[GRAPHIC OMITTED INDICATING PROPERTY CONCENTRATIONS ON A PIE CHART AS FOLLOWS:
STATE PERCENTAGE
----- ----------
Texas 13.01%
California 10.47%
Florida 7.87%
New York 7.29%
Arizona 6.44%
Georgia 5.24%
Washington 4.97%
Other 44.71%]
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF PROPERTY TYPES
- --------------------------------------------------------------------------------
[GRAPHIC OMITTED INDICATING PROPERTY CONCENTRATIONS ON A PIE CHART AS FOLLOWS:
PROPERTY TYPES PERCENTAGE
-------------- ----------
Healthcare 3.33%
Industrial 8.51%
Lodging 14.46%
Multifamily 32.47%
Office 16.73%
Retail 23.91%
Self-Storage 0.60%]
<TABLE>
<CAPTION>
Weighted Weighted
Weighted Weighted Average Average
Number of Percentage of Average Average Remaining Cut-Off
Mortgage Current Cut-Off Cut-Off Date Average Underwritten Mortgage Term to Date LTV
Property Type Props Date Balance Balance Cut-Off Date DSCR Rate Maturity (mos) Ratio
Balance
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Multifamily 144 $289,156,086 32.47% $2,008,028 1.43x 7.21% 132.3 73.78%
Retail 66 212,894,688 23.91 3,225,677 1.41 7.02 124.0 71.42
Office 38 148,989,033 16.73 3,920,764 1.37 7.20 115.1 71.09
Lodging 31 128,792,046 14.46 4,154,582 1.58 7.45 125.4 66.90
Industrial 29 75,783,497 8.51 2,613,224 1.39 7.00 114.4 73.37
Healthcare 7 29,648,648 3.33 4,235,521 1.72 7.95 115.5 66.75
Self-Storage 2 5,321,909 0.60 2,660,955 1.49 7.03 126.7 66.53
------ -------------- -------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 317 $890,585,907 100.00% $2,809,419 1.44x 7.20% 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted
Approximate Range Weighted Average Weighted
of Current Debt Number of Current Percentage of Average Weighted Remaining Average
Service Coverage Mortgage Cut-Off Date Cut-Off Date Average Underwritten Average Term to Cut-Off
Ratios Loans Balance Balance Cut-Off Date DSCR Mortgage Rate Maturity Date LTV
Balance (mos) Ratio
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.00 - 1.10x(a) 4 $ 5,632,391 0.63% $1,408,098 1.04x 6.37% 189.9 90.82%
1.11 - 1.20 5 12,711,340 1.43 2,542,268 1.17 7.09 146.3 68.97
1.21 - 1.30 41 162,512,586 18.25 3,963,722 1.27 7.32 121.9 74.24
1.31 - 1.40 114 294,141,767 33.03 2,580,191 1.36 7.21 126.6 71.98
1.41 - 1.50 61 212,291,966 23.84 3,480,196 1.45 7.15 115.3 71.95
1.51 - 1.60 34 101,245,136 11.37 2,977,798 1.55 7.04 127.7 70.64
1.61 - 1.70 17 37,446,223 4.20 2,202,719 1.66 7.28 129.7 65.37
1.71 - 1.80 9 29,023,620 3.26 3,224,847 1.78 7.45 121.6 73.46
1.81 - 1.90 3 5,160,364 0.58 1,720,121 1.87 7.39 245.4 71.12
1.91 - 2.00 6 9,467,783 1.06 1,577,964 1.94 7.29 124.3 63.28
2.01 - 2.10 2 3,766,988 0.42 1,883,494 2.04 8.45 117.6 64.99
2.11 - 2.20 2 2,918,407 0.33 1,459,204 2.20 7.83 132.1 43.80
2.21 - 2.30 1 1,985,429 0.22 1,985,429 2.21 7.50 113.0 43.07
2.51 - 5.41 5 12,281,906 1.38 2,456,381 2.78 6.63 117.1 47.50
------ ------------- -------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $ 890,585,907 100.00% $2,929,559 1.44x 7.20% 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) There are four credit tenant loans in the pool.
- --------------------------------------------------------------------------------
DISTRIBUTION OF LOAN TO VALUE RATIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted
Average
Weighted Weighted Remaining Weighted
Number of Percentage Average Average Term to Average
Range of Mortgage Current Cut-Off of Cut-Off Average Underwritten Mortgage Maturity Cut-Off
Loan to Value Ratios Loans Date Balance Date Balance Cut-Off Date DSCR Rate (mos) Date LTV
Balance
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15.1 - 30.0 1 $ 598,989 0.07% $ 598,989 5.41x 8.57% 118.0 17.62%
30.1 - 50.0 9 16,296,287 1.83 1,810,699 2.16 6.95 152.4 41.79
50.1 - 60.0 15 52,916,836 5.94 3,527,789 1.59 7.42 117.8 57.82
60.1 - 65.0 29 85,630,418 9.62 2,952,773 1.46 7.48 117.5 63.18
65.1 - 70.0 60 137,760,490 15.47 2,296,008 1.46 7.33 123.3 67.85
70.1 - 75.0 113 323,050,311 36.27 2,858,852 1.39 7.26 125.6 73.09
75.1 - 80.0 67 242,940,017 27.28 3,625,970 1.41 6.98 124.7 77.96
80.1 - 85.0(a) 7 26,940,783 3.03 3,848,683 1.47 6.81 116.9 80.49
85.1 - 90.0(a) 1 1,561,882 0.18 1,561,882 1.06 6.35 180.0 89.76
90.1 - 95.0(a) 1 1,348,733 0.15 1,348,733 1.01 6.35 168.0 91.44
95.1 - 100.0(a) 1 1,541,161 0.17 1,541,161 1.06 6.41 236.0 96.32
------ -------------- --------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $ 890,585,907 100.00% $2,929,559 1.44x 7.20% 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) There are four credit tenant loans in the pool.
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF CURRENT MORTGAGE RATES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted
Average
Weighted Weighted Remaining Weighted
Number of Percentage of Average Average Average Term to Average
Range of Mortgage Current Cut-Off Date Cut-Off Date Underwritten Mortgage Maturity Cut-Off
Mortgage Rates Loans Cut-Off Date Balance Balance DSCR Rate (mos) Date LTV
Balance Ratio
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.7500 - 6.0000 4 $ 13,251,740 1.49% $3,312,935 1.93x 5.83% 109.8 58.62%
6.0001 - 6.2500 2 4,222,799 0.47 2,111,399 1.61 6.16 117.0 73.06
6.2501 - 6.5000 9 35,617,449 4.00 3,957,494 1.38 6.41 128.3 73.42
6.5001 - 6.7500 27 101,069,475 11.35 3,743,314 1.45 6.64 118.5 75.72
6.7501 - 7.0000 64 220,378,475 24.75 3,443,414 1.41 6.89 127.6 74.34
7.0001 - 7.2500 41 159,066,299 17.86 3,879,666 1.43 7.15 118.7 70.47
7.2501 - 7.5000 45 133,586,366 15.00 2,968,586 1.46 7.38 135.2 70.60
7.5001 - 7.7500 35 85,096,000 9.56 2,431,314 1.41 7.67 116.4 68.44
7.7501 - 8.0000 36 77,088,293 8.66 2,141,341 1.42 7.90 118.7 67.93
8.0001 - 8.2500 24 29,370,225 3.30 1,223,759 1.42 8.18 142.1 68.73
8.2501 - 8.5000 9 20,294,424 2.28 2,254,936 1.60 8.35 126.1 73.19
8.5001 - 8.7500 7 10,948,337 1.23 1,564,048 1.84 8.60 119.4 60.16
9.2501 - 9.5000 1 596,025 0.07 596,025 1.28 9.25 111.0 69.31
------ --------------- -------- ----------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $890,585,907 100.00% $2,929,559 1.44x 7.20% 124.3 71.46%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF REMAINING AMORTIZATION TERM (in months)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Weighted Weighted Average Average
Range of Number of Percentage of Average Average Remaining Cut-Off
Amortization Terms Mortgage Current Cut-Off Date Average Underwritten Mortgage Term to Date LTV
(months) Loans Cut-Off Date Balance Cut-Off Date DSCR Rate Maturity Ratio
Balance Balance (mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
151 - 170 3 $ 7,129,922 0.80% $2,376,641 1.16x 7.00 % 169.3 78.01%
171 - 190 9 11,370,432 1.28 1,263,381 1.45 7.10 169.4 62.06
191 - 210 1 1,880,881 0.21 1,880,881 1.17 6.90 80.0 78.37
211 - 230 2 2,980,109 0.33 1,490,055 1.34 7.20 215.6 71.72
231 - 250 23 41,452,034 4.65 1,802,262 1.58 7.28 169.7 67.36
251 - 270 5 25,657,537 2.88 5,131,507 1.45 7.93 110.7 62.65
271 - 290 14 35,841,185 4.02 2,560,085 1.49 7.45 137.3 70.00
291 - 310 133 308,096,700 34.59 2,316,517 1.49 7.39 120.3 69.16
331 - 360 114 456,177,108 51.22 4,001,554 1.40 7.02 120.4 74.09
---- ------------ ------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $890,585,907 100.00% $2,929,559 1.44x 7.20 % 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF ORIGINAL TERMS TO MATURITY
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Average Cut Weighted Weighted Average Average
Number of Percentage - Off Date Average Average Remaining Cut-Off
Mortgage Current Cut-Off of Cut-Off Principal Underwritten Mortgage Term to Date LTV
Original Term to Maturity Loans Date Balance Date Balance Balance DSCR Rate Maturity Ratio
(mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
60 - 83 months 1 $ 5,926,346 0.67% $5,926,346 1.44x 7.42% 49.0 77.98%
84 - 120 months 255 772,660,454 86.76 3,030,041 1.44 7.20 113.2 71.37
121 - 180 months 25 64,298,362 7.22 2,571,934 1.43 7.15 156.1 71.38
181 - 240 months 16 27,569,563 3.10 1,723,098 1.40 7.34 230.6 72.72
241 - 360 months 7 20,131,183 2.26 2,875,883 1.50 7.25 327.0 71.30
------ ------------- -------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $ 890,585,907 100.00% $2,929,559 1.44x 7.20 % 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF REMAINING TERMS TO MATURITY
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Average Cut Weighted Weighted Average Average
Number of Percentage - Off Date Average Average Remaining Cut-Off
Mortgage Current Cut-Off of Cut-Off Principal Underwritten Mortgage Term to Date LTV
Stated Remaining Term Loans Date Balance Date Balance Balance DSCR Rate Maturity Ratio
(mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
49 - 50 months 1 $ 5,926,346 0.67 % $5,926,346 1.44x 7.42 % 49.0 77.98%
71 - 90 months 11 40,011,713 4.49 3,637,428 1.40 6.92 79.0 74.52
91 - 110 months 17 77,573,579 8.71 4,563,152 1.33 7.53 108.7 71.23
111 - 120 months 229 660,149,530 74.13 2,882,749 1.47 7.18 115.8 71.05
131 - 150 months 6 23,055,679 2.59 3,842,613 1.33 6.98 139.0 77.27
151 - 170 months 3 7,129,922 0.80 2,376,641 1.16 7.00 169.3 78.01
171 - 190 months 15 30,600,276 3.44 2,040,018 1.37 7.22 173.5 69.66
211 - 230 months 2 2,980,109 0.33 1,490,055 1.34 7.20 215.6 71.72
231 - 250 months 13 23,027,571 2.59 1,771,352 1.43 7.43 236.0 71.70
271 - 353 months 7 20,131,183 2.26 2,875,883 1.50 7.25 327.0 71.30
------ ------------- -------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $ 890,585,907 100.00% $2,929,559 1.44x 7.20 % 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF AMORTIZATION TYPES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Average Cut Weighted Weighted Average Average
Number of Percentage - Off Date Average Average Remaining Cut-Off
Mortgage Current Cut-Off of Cut-Off Principal Underwritten Mortgage Term to Date LTV
Amortization Type Loans Date Balance Date Balance Balance DSCR Rate Maturity Ratio
(mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Balloon 270 $827,155,616 92.88% $3,063,539 1.45x 7.20 % 115.6 71.57%
Fully Amortizing 32 59,114,989 6.64 1,847,343 1.41 7.24 247.4 70.70
Hyperamortizing 2 4,315,302 0.48 2,157,651 1.56 7.32 117.6 60.42
------ -------------- -------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $890,585,907 100.00% $2,929,559 1.44x 7.20 % 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF PREPAYMENT PROVISIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Average Cut Weighted Weighted Average Average
Number of Percentage of - Off Date Average Average Remaining Cut-Off
Prepayment Restriction Mortgage Current Cut-Off Date Principal Underwritten Mortgage Term to Date LTV
Loans Cut-Off Date Balance Balance DSCR Rate Maturity Ratio
Balance (mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Lockout/Defeasance(a) 132 $511,175,733 57.40% $3,872,543 1.47x 7.27% 121.6 71.55%
Lockout/Greater of YM or 1%(b) 170 375,287,370 42.14 2,207,573 1.41 7.11 128.1 71.34
Lockout/Declining Fee 1 3,179,729 0.36 3,179,729 1.32 7.31 114.0 75.71
Lockout/Open 1 943,077 0.11 943,077 1.69 8.13 112.0 52.39
------ --------------- -------- ----------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $890,585,907 100.00% $2,929,559 1.44x 7.20 124.3 71.46%
%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes 1 loan with the provision "Defeasance and/or Greater or YM or 1%."
(b) Includes 3 loans with the provision "Greater of YM or Declining Fee."
- --------------------------------------------------------------------------------
DISTRIBUTION OF ORIGINATION YEARS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Weighted Weighted
Average Cut Weighted Weighted Average Average
Number of Percentage - Off Date Average Average Remaining Cut-Off
Mortgage Current Cut-Off of Cut-Off Principal Underwritten Mortgage Term to Date LTV
Origination Year Loans Date Balance Date Balance Balance DSCR Rate Maturity Ratio
(mos)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1998 303 $887,444,308 99.65% $2,928,859 1.44x 7.20% 124.4 71.50%
1997 1 3,141,599 0.35 3,141,599 1.49 8.62 105.0 60.77
------ -------------- -------- ---------- ---- ---- ----- -----
Total/Wtd. Avg. 304 $890,585,907 100.00% $2,929,559 1.44x 7.20% 124.3 71.46%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
