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 23, 1998
(Date of earliest event reported)
GS Mortgage Securities Corporation II
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(Exact name of registrant as specified in its charter)
Delaware 333-65921 22-3442024
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(State or Other (Commission (I.R.S. Employer
Jurisdiction of File Number) Identification No.)
Incorporation)
85 Broad Street, New York, N.Y. 10004
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(Address of principal executive offices) (Zip Code)
(212) 902-1000
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(Registrant's telephone number, including area code)
<PAGE>
ITEM 5. OTHER EVENTS.
Attached as an exhibit are Structural Term Sheets and Collateral Term
Sheets (as those terms are 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 Commercial Mortgage Pass-Through Certificates, Series 1999-C1 (the
"Certificates").
The 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 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 28, 1998
<PAGE>
Exhibit Index
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
99.1 Structural and Collateral Term Sheet E
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>
$779,262,000 (APPROXIMATE) DECEMBER 22, 1998
GS MORTGAGE SECURITIES CORPORATION II
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1999-C1
APPROXIMATE SECURITIES STRUCTURE:
EXPECTED
APPROXIMATE EXPECTED WEIGHTED
EXPECTED FACE/NOTIONAL CREDIT AVERAGE EXPECTED
CLASS RATING AMOUNT SUPPORT LIFE PAYMENT
(A) (S&P/MOODY'S) (MM) (% OF UPB) (YEARS)(b) WINDOW(a)
- -------------------------------------------------------------------
PUBLICLY OFFERED CLASSES
X AAAr/Aaa $890.6(c) 9.205 02/99-06/28
A1 AAA/Aaa 165.7 30.25% 5.014 02/99-06/07
A2 AAA/Aaa 455.5 30.25 9.466 06/07-10/08
B AA/Aa2 42.3 25.50 9.744 10/08-10/08
C A/A2 44.5 20.50 9.744 10/08-10/08
D BBB/Baa2 57.9 14.00 9.819 10/08-11/08
E BBB-/Baa3 13.4 12.50 9.828 11/08-11/08
PRIVATELY OFFERED CLASSES (d)
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F BB/Ba2 $ 46.8 7.25% 10.223 11/08-08/10
G B/B2 28.9 4.00 12.659 08/10-04/13
H B-/B3 7.8 3.13 14.425 04/13-09/13
J UR 27.8 N/A 19.843 09/13-06/28
TOTAL SECURITIES: $890.6
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(a) All publicly offered classes except A1 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.
(b) Calculated at 0% CPR, no balloon extension and Hyperamortization Loans pay
in full on Anticipated Repayment Dates.
(c) Notional amount on interest only class.
(d) Not offered hereby.
KEY FEATURES:
Lead Manager: Goldman, Sachs & Co.
Co-Manager: Norwest Investment Services, Inc.
Mortgage Loan Sellers: Goldman Sachs Mortgage Company (GSMC):
Archon Financial, L.P. ($168MM)
Central Park Capital, L.P. ($56MM)
Amresco Capital, L.P. ($363MM)(a)
Daiwa Finance Corp. ($168MM)
Daiwa Real Estate Finance Corp.($137MM)
Master Servicer: GMAC Commercial Mortgage Corp.
Special Servicer: Lennar Partners, Inc.
Trustee: LaSalle National Bank
Launch: Early January
Pricing: Early January
Closing: Mid January
Cut-Off Date: January 10, 1999
Distribution Date: 18th of each month, or following business day
(commencing February 1999)
Payment Delay: 17 days
ERISA Eligible: Classes A1, A2, and X 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
Date: November 18, 2030
Clean up Call: 1.0%
Minimum Denominations: Publicly Offered Classes except
Class X: $10,000 & $1
Class X: $5,000,000 Notional Amount
& $1
Delivery: DTC for publicly traded certificates
(a) Amresco Capital Limited, Inc., will act as direct seller instead of GSMC
for 5 loans with a balance of approximately $20.6 million.
================================================================================
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 124.3
(MONTHS):
WEIGHTED AVERAGE REMAINING AMORTIZATION TERM 319.6
(MONTHS):
WEIGHTED AVERAGE SEASONING (MONTHS): 5
BALLOON LOANS AS % OF TOTAL: 92.9%
TEN LARGEST LOANS AS % OF TOTAL: 16.0%
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TEN LARGEST LOANS:
LOAN BALANCE % BY UPB DSCR PROPERTY TYPE
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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
Salter Nursing Portfolio 11,886,833 1.33 1.45 Nursing Home
Goodings
International Plaza 11,883,227 1.33 1.27 Retail
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
Holiday Inn Select 10,359,122 1.16 1.45 Lodging
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TOTAL/WEIGHTED AVERAGE $142,696,249 16.02% 1.39x
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SELECTED LOAN DATA:
NUMBER OF CUT-OFF DATE BALANCE
MORTGAGED (AS OF JAN 10, 1999)
GEOGRAPHIC 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 1.43
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TOTAL/WTD. AVG. 317 $890.6 100.00% 1.44x
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PROPERTY TYPE PROPERTIES (MM) % BY UPB WTD. AVG. DSCR
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MULTIFAMILY 144 $289.2 32.47% 1.43x
RETAIL 67 213.7 24.00 1.42
OFFICE 38 149.0 16.73 1.37
LODGING 31 128.8 14.46 1.58
INDUSTRIAL 28 75.0 8.42 1.39
HEALTHCARE 7 29.6 3.33 1.72
SELF-STORAGE 2 5.3 0.60 1.49
------ -------- --------
TOTAL/WTD. AVG. 317 $890.6 100.00% 1.44X
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PREPAYMENT RESTRICTIONS (MM) % BY UPB WTD. AVG. DSCR
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LOCKOUT/DEFEASANCE $501.2 56.28% 1.47x
LOCKOUT/GREATER OF YM OR 1% (a) 385.2 43.26 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
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(a) Includes 1 loan with the provision "Defeasance or Greater of YM or 1%" and
3 loans with the provision "Greater of YM or Declining Fee."
<PAGE>
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STRUCTURAL OVERVIEW
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|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>
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ALLOCATION OF PREPAYMENT PREMIUMS (A)
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ALLOCATION OF PREPAYMENT PREMIUMS:
Prepayment premiums and yield maintenance amounts with respect to all loans 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 all loans 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.
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Prepayment (Pass-Through Rate - Discount Rate)
Premium Allocation = -------------------------------------
Percentage (Mortgage Rate - Discount Rate)
-----------------------------------------------------------------------
|X| The remaining percentage of such prepayment premiums and yield maintenance
amounts will be allocated to the Class X Certificates.
|X| In general, this formula provides for an increase in the allocation of
prepayment premiums and yield maintenance 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%
% of Principal Distributed to Class = 100%
BOND CLASS ALLOCATION CLASS X ALLOCATION
- --------------------------------------------------------------------------------
6% - 5% x 100% = 33 1/3% Receives excess premiums = 66 2/3% thereof
-------
8% - 5%
(a) For further information regarding the allocation of prepayment premiums,
refer to the Prospectus Supplement.
<PAGE>
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PREPAYMENT PROVISIONS
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PREPAYMENT LOCK-OUT/ PREPAYMENT PREMIUM ANALYSIS / DEFEASANCE
PERCENTAGE OF MORTGAGE POOL BY PREPAYMENT RESTRICTION ASSUMING NO
PREPAYMENT OF PRINCIPAL (a)(b)
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<TABLE>
<CAPTION>
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PREPAYMENT JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY
RESTRICTIONS 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Locked Out 100.00% 100.00% 98.88% 38.73% 5.71% 3.56% 2.64% 2.09% 2.04% 1.81% 7.89%
Defeasance 0.00 0.00 0.00 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%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
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PREPAYMENT JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY
RESTRICTIONS 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
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<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
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 24.97 40.02 42.15 45.03 48.93 54.24 72.72 73.06
Open 8.75% 0.00% 0.00% 22.96% 0.00% 0.00% 0.00% 0.00% 3.46% 0.00% 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 ($MM) 73.85 50.86 46.52 41.86 24.95 22.49 19.85 17.08 14.26 9.72 8.69
% of UPB 8.29% 5.71% 5.22% 4.70% 2.80% 2.53% 2.23% 1.92% 1.60% 1.09% 0.98%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
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PREPAYMENT JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY JANUARY
RESTRICTIONS 2021 2022 2023 2024 2025 2026 2027 2028
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Locked Out 14.19% 15.46% 17.48% 0.00% 0.00% 0.00% 0.00% 0.00%
Defeasance 7.34 5.95 0.00 0.00 0.00 0.00 0.00 0.00
Yield Maintenance 4.91 4.27 0.00 20.87 22.07 24.13 28.61 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
SUBTOTAL 26.44% 25.68% 17.48% 20.87% 22.07% 24.13% 28.61% 0.00%
% Premiums
5.00 - 5.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
4.00 - 4.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3.00 - 3.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
2.00 - 2.99% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
1.00 - 1.99% 73.56 74.32 69.61 79.13 77.93 75.87 71.39 0.00
Open 0.00% 0.00% 12.91% 0.00% 0.00% 0.00% 0.00% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
UPB ($MM) 7.58 6.39 5.10 3.78 3.07 2.30 1.48 0.60
% 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, YIELD MAINTENANCE
AND PENALTY PERIOD, THEN RUN AT THE INDICATED CPRS)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PREPAYMENT ASSUMPTIONS (CPR)
0% CPR 25% CPR 50% CPR 75% CPR 100% PP*
- --------------------------------------------------------------------------------
X 9.20 9.18 9.14 9.10 8.87
A1 5.01 4.99 4.97 4.95 4.88
A2 9.47 9.42 9.37 9.30 9.02
B 9.74 9.74 9.74 9.74 9.37
C 9.74 9.74 9.74 9.74 9.49
D 9.82 9.81 9.79 9.77 9.54
E 9.83 9.83 9.83 9.83 9.58
F 10.22 10.21 10.20 10.18 10.00
G 12.66 12.64 12.61 12.57 12.37
H 14.42 14.40 14.38 14.34 14.02
J 19.84 19.84 19.83 19.82 19.74
-------------------------------------------------------------------------------
*"PP" means 100% of each loan prepays when it becomes freely prepayable.
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF CUT-OFF DATE BALANCES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
PERCENTAGE AVERAGE WEIGHTED
OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
RANGE OF CUT-OFF DATE MORTGAGE CUT-OFF DATE CUT-OFF CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
BALANCES LOANS BALANCE DATE BALANCE BALANCE DSCR RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <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 71.08
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%
=== ============ ======
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</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF MORTGAGED PROPERTIES BY STATE
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
PERCENTAGE WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
MORTGAGED CUT-OFF DATE CUT-OFF DATE CUT-OFF UNDERWRITTEN MORTGAGE MATURITY DATE LTV
STATE PROPERTIES BALANCE BALANCE DATE BALANCE DSCR RATE (MOS) RATIO
- --------------------- ------------ ---------------- -------------- ------------- -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
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>
- --------------------------------------------------------------------------------
DISTRIBUTION OF MORTGAGED PROPERTIES BY STATE
- --------------------------------------------------------------------------------
[GRAPHIC OMITTED INDICATING PROPERTY CONCENTRATIONS
ON A MAP OF THE UNITED STATES AS FOLLOWS:
STATE PERCENTAGE
- ----- ----------
WA 4.97%
OR 0.74%
ID 0.72%
CA 10.47%
NV 2.45%
UT 0.45%
AZ 6.44%
AK 0.13%
CO 2.15%
NM 0.25%
KS 0.15%
OK 1.70%
TX 13.01%
MO 0.75%
LA 0.26%
WI 2.02%
IL 3.82%
MS 1.00%
MI 0.56%
IN 0.31%
KY 1.54%
TN 3.48%
AL 0.15%
WV 0.18%
OH 1.47%
GA 5.24%
FL 7.87%
SC 0.30%
NC 1.23%
VA 2.75%
MD 3.77%
PA 3.58%
NJ 3.42%
NY 7.29%
ME 0.39%
MA 4.12%
RI 0.15%
CT 0.71%]
[GRAPHIC OMITTED INDICATING PROPERTY CONCENTRATIONS ON A PIE CHART AS FOLLOWS:
STATE PERCENTAGE
- ----- ----------
Georgia 5.24%
Arizona 6.44%
New York 7.29%
Washington 4.97%
Other 44.71%
Florida 7.87%
California 10.47%
Texas 13.01%]
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF PROPERTY TYPES
- --------------------------------------------------------------------------------
[GRAPHIC OMITTED INDICATING PROPERTY CONCENTRATIONS ON A PIE CHART AS FOLLOWS:
Healthcare 3.33%
Self-Storage 0.60%
Industrial 8.42%
Lodging 14.46%
Office 16.73%
Retail 24.00%
Multifamily 32.47%]
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
PERCENTAGE WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
MORTGAGED CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
PROPERTY TYPE PROPERTIES BALANCE BALANCE BALANCE DSCR RATE (mos) RATIO
- --------------------------------------------------------------------------------------------------------------------------------
<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 67 213,697,597 24.00 3,189,516 1.42 7.02 124.0 74.72
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 28 74,980,587 8.42 2,677,878 1.39 7.00 114.3 73.36
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 66.73
--- ------------ ------
TOTAL/WTD. AVG. 317 $890,585,907 100.00% $2,809,419 1.44x 7.20% 124.3 71.46%
=== ============ ======
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF ANNUALIZED DEBT SERVICE COVERAGE RATIOS (NCF)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
PERCENTAGE OF WEIGHTED REMAINING AVERAGE
RANGE OF DEBT NUMBER OF AGGREGATE AVERAGE WEIGHTED TERM TO CUT-OFF DATE
SERVICE COVERAGE MORTGAGE CUT-OFF DATE CUT-OFF DATE AVERAGE CUT-OFF UNDERWRITTEN AVERAGE MATURITY LTV
RATIOS LOANS BALANCE BALANCE DATE BALANCE DSCR MORTGAGE RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <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 63.27
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 included in this range.
- --------------------------------------------------------------------------------
DISTRIBUTION OF CUT-OFF DATE LOAN TO VALUE AT ORIGINATION RATIOS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
PERCENTAGE WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
RANGE OF CUT-OFF DATE MORTGAGE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
LOAN TO VALUE RATIOS LOANS BALANCE BALANCE BALANCE DSCR RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <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 this pool of which some are included
in this range.
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF MORTGAGE INTEREST RATES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
PERCENTAGE OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
RANGE OF MORTGAGE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
MORTGAGE RATES LOANS BALANCE BALANCE BALANCE DSCR RATE (MOS) RATIO
-----------------------------------------------------------------------------------------------------------------------------------
<S> <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 74.33
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 TERMS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
PERCENTAGE OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
RANGE OF MORTGAGE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE UNDERWRITTEN MORTGAGE RATE MATURITY DATE LTV
AMORTIZATION TERMS LOANS BALANCE BALANCE BALANCE DSCR (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
151 - 170 months 3 $ 7,129,922 0.80% $2,376,641 1.16x 7.00% 169.3 78.01%
171 - 190 months 9 11,370,432 1.28 1,263,381 1.45 7.10 169.4 62.06
191 - 210 months 1 1,880,881 0.21 1,880,881 1.17 6.90 80.0 78.37
211 - 230 months 2 2,980,109 0.33 1,490,055 1.34 7.20 215.6 71.72
231 - 250 months 23 41,452,034 4.65 1,802,262 1.58 7.28 169.7 67.36
251 - 270 months 5 25,657,537 2.88 5,131,507 1.45 7.93 110.7 62.65
271 - 290 months 14 35,841,185 4.02 2,560,085 1.49 7.45 137.3 70.00
291 - 310 months 132 301,415,775 33.84 2,283,453 1.49 7.39 120.4 69.10
331 - 360 months 115 462,858,033 51.97 4,024,852 1.40 7.02 120.3 74.06
--- ------------ ------
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
PERCENTAGE AVERAGE WEIGHTED
OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
RANGE OF ORIGINAL TERMS MORTGAGE CUT-OFF DATE CUT-OFF CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
TO MATURITY LOANS BALANCE DATE BALANCE BALANCE DSCR RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <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
PERCENTAGE AVERAGE WEIGHTED
OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
RANGE OF REMAINING TERMS MORTGAGE CUT-OFF DATE CUT-OFF CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
TO MATURITY LOANS BALANCE DATE BALANCE BALANCE DSCR RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <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 74.51
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
AVERAGE WEIGHTED
PERCENTAGE WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF OF AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
MORTGAGE CUT-OFF DATE AGGREGATE CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
AMORTIZATION TYPE LOANS BALANCE CUT-OFF DATE BALANCE DSCR RATE (MOS) RATIO
BALANCE
- ------------------------------------------------------------------------------------------------------------------------------------
<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
AVERAGE WEIGHTED
PERCENTAGE OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
MORTGAGE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
PREPAYMENT PROVISION LOANS BALANCE BALANCE BALANCE DSCR RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Lockout/Defeasance 131 $501,235,736 56.28% $3,826,227 1.47x 7.28% 117.0 71.47%
Lockout/Greater of YM or 1%(a) 171 385,227,366 43.26 2,252,792 1.41 7.11 133.9 71.46
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 or Greater or YM or 1%" and
3 loans with the provision "Greater of YM or Declining Fee."
<PAGE>
- --------------------------------------------------------------------------------
DISTRIBUTION OF ORIGINATION YEARS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
PERCENTAGE AVERAGE WEIGHTED
OF WEIGHTED WEIGHTED REMAINING AVERAGE
NUMBER OF AGGREGATE AVERAGE AVERAGE AVERAGE TERM TO CUT-OFF
MORTGAGE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE UNDERWRITTEN MORTGAGE MATURITY DATE LTV
ORIGINATION YEAR LOANS BALANCE BALANCE BALANCE DSCR RATE (MOS) RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
<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>
