<PAGE>
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: May 28, 1996
(Date of earliest event reported)
Commission File No. 33-99612-01
CS First Boston Mortgage Securities Corp.
- --------------------------------------------------------------------------------
Delaware 13-3320910
- ------------------------- ------------------------------------
(State of Incorporation) (I.R.S. Employer Identification No.)
55 East 52nd Street, New York, New York 10055
- ------------------------------------------ --------------------------------
(Address of principal executive offices) (Zip Code)
(212) 909-2000
- --------------------------------------------------------------------------------
(Registrant's Telephone Number, including area code)
- --------------------------------------------------------------------------------
(Former name, former address and former fiscal year, if changed since last
report)
<PAGE>
ITEM 5. Other Events
------------
Attached as an exhibit are the Computational Materials (as defined in
the no-action letter dated May 21, 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"))
prepared by CS First Boston Corporation, which are hereby filed pursuant to such
letter.
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------- -----------
(99) Computational Materials prepared by CS First
Boston Corporation in connection with CS First
Boston Mortgage Securities Corp., Adjustable Rate
Certificates, Series 1996-1
<PAGE>
SIGNATURES
----------
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
Date: May 28, 1996
CS FIRST BOSTON MORTGAGE SECURITIES
CORP.
/s/ William Pitofsky
By:________________________________
Name: William Pitofsky
Title: Director
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper
Exhibit No. Description or Electronic
- ----------- ----------- -------------
(99) Computational Materials prepared by E
CS First Boston Corporation in connection
with CS First Boston Mortgage Securities
Corp., Adjustable Rate Certificates,
Series 1996-1.
<PAGE>
CONFIDENTIAL
CS FIRST BOSTON
CSFBMSC Series 1996-1
Computational Material
I. Bond Prepayment Summary
-----------------------
<TABLE>
<CAPTION>
Prepayment Speed/(1)/ 6CPR 12CPR 18CPR 24CPR 30CPR
- --------------------- ---- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Average Life to RTC Maturity/(11)/ 2.55 yrs. 2.33 yrs. 2.11 yrs. 1.89 yrs. 1.68 yrs.
Average Life to RTC Call/(111)/ 2.43 yrs. 2.01 yrs. 1.60 yrs. 1.29 yrs. 1.10 yrs.
Average Life to RTC Maturity/(1111)/ 4.93 yrs. 3.68 yrs. 2.89 yrs. 2.35 yrs. 1.95 yrs.
Average Life to RTC Call/(11111)/ 3.48 yrs. 2.93 yrs. 1.81 yrs. 1.42 yrs. 1.18 yrs.
</TABLE>
- ----------
/(1)/ Calculated using Interest Rate Scenario 1 described below.
/(11)/ Successful Auction Call on Class A Certificates is assumed. Underlying
RTC securities are run to maturity.
/(111)/ Successful Auction Call on Class A Certificates is assumed. Underlying
RTC securities are run to call.
/(1111)/ Assumed Auction Call on Class A Certificates is not successful.
Underlying RTC securities are run to maturity.
/(11111)/ Assumed Auction Call on Class A Certificates is not successful.
Underlying RTC securities are run to call.
II. Auction Call Analysis/(1)/
--------------------------
Interest Rate Scenario 1/(2)/: LIBOR, CMT and COFI all remain at their
present levels (5.5%, 5.7034% and 4.874%, respectively) for
the full three years.
Interest Rate Scenario 2/(2)/: LIBOR remains at its present level for
the full three years, while CMT and COFI both decrease from
their current levels by 3.00% immediately and remain at
those reduced rates for the full three years.
Interest Rate Scenario 3/(2)/: LIBOR increases immediately to the Cap
Rate of 6.77% and remains there for the full three years,
while CMT and COFI both remain at their present levels for
the full three years.
<TABLE>
<CAPTION>
(Dollars in Millions)
- ---------------------
Interest Interest Interest Interest Interest Interest
Rate Rate Rate Rate Rate Rate
CSFBMS 1996-1 at 18 CPR Scenario 1A Scenario 1B Scenario 2A Scenario 2B Scenario 3A Scenario 3B
- ----------------------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Certificates Outstanding (4/99) 21.8 114.1 21.5 114.3 21.8 114.1
----------- ----------- ----------- ----------- ----------- -----------
Reserve Fund Balance (4/99) 8.3 11.4 5.5 6.7 2.1 3.1
</TABLE>
- ----------
/(1)/ The Scenarios are run using April collateral information and assume (i) a
May 30 settlement date and (ii) on the Auction Call date, if any Fixed
Rate Collateral is outstanding, Norwest pays par for the Fixed Rate
Collateral.
/(2)/ The A Scenario assumes that the auction calls on the Collateral have
been exercised. The B Scenario assumes that the auction calls on the
Collateral have not been exercised.
<PAGE>
CONFIDENTIAL
CS FIRST BOSTON
<TABLE>
<CAPTION>
(Dollars in Millions)
- ---------------------
Interest Interest Interest Interest Interest Interest
Rate Rate Rate Rate Rate Rate
CSFBMS 1996-1 at 18 CPR Scenario 1A Scenario 1B Scenario 2A Scenario 2B Scenario 3A Scenario 3B
- ----------------------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Reserve Fund (as % of Total Balance) 38.03% 9.98% 25.54% 5.82% 9.54% 27.2%
----------- ----------- ----------- ----------- ----------- -----------
ARM Collateral Outstanding (4/99) 21.8 59.8 21.5 59.8 21.8 59.8
----------- ----------- ----------- ----------- ----------- -----------
Required Auction Price for ARM
Collateral to Pay Par (as % of ARM
Collateral Balance) 61.97% 80.95% 74.46% 88.86% 90.46% 94.81%
</TABLE>
III. Reserve Fund Analysis /(1)/
---------------------
<TABLE>
<CAPTION>
(Dollars in Millions)
- ---------------------
Prepayment Speed/(1)/ 12 CPR A 12 CPR B 18 CPR A 18 CPR B 24 CPR A 24 CPR B
--------------------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Certificates Outstanding (4/99) 51.1 158.4 21.8 114.1 17.4 76.0
-------- -------- -------- -------- -------- --------
Reserve Fund Balance (4/99) 10.6 12.7 8.3 11.4 6.8 10.1
-------- -------- -------- -------- -------- --------
Reserve Fund as a % of Total Balance 20.81% 8.04% 38.03% 9.98% 39.07% 13.27%
-------- -------- -------- -------- -------- --------
ARM Collateral Outstanding (4/99) 37.4 70.2 21.8 59.8 17.4 50.8
Required Auction Price for ARM
Collateral to Pay Par (as % of ARM
Collateral Balance) 71.53% 81.86% 61.97% 80.95% 60.93% 80.13%
</TABLE>
- ----------
/(1)/ The A Scenario assumes that the auction calls on the Collateral have
been exercised. The B Scenario assumes that the auction calls on the
Collateral have not been exercised.
IV. Price/Yield Table
-----------------
<TABLE>
<CAPTION>
Prepayment Speed/(1)/ 6CPR 12CPR 18CPR 24CPR 30CPR
--------------------- ---- ----- ----- ----- -----
Discount Margin Price
- --------------- -----
<S> <C> <C> <C> <C> <C>
15 100-06 100-05+ 100-05 100-04+ 100-04
16 100-05 100-04+ 100-04+ 100-04 100-03+
17 100-04+ 100-04 100-03+ 100-03+ 100-03
18 100-03+ 100-03+ 100-03 100-02+ 100-02+
19 100-03 100-02+ 100-02+ 100-02 100-02
20 100-02 100-02 100-02 100-01+ 100-01+
</TABLE>
- ----------
/(1)/ Calculation assume Interest Rate Scenario 1 and that the auction calls on
the Collateral have not been exercised.
<PAGE>
CONFIDENTIAL
CS FIRST BOSTON
<TABLE>
<CAPTION>
Prepayment Speed/(1)/ 6CPR 12CPR 18CPR 24CPR 30CPR
--------------------- ---- ----- ----- ----- -----
Discount Margin Price
- --------------- -----
<S> <C> <C> <C> <C> <C>
21 100-01+ 100-01 100-01 100-01 100-01
22 100-00+ 100-00+ 100-00+ 100-00+ 100-00+
23 100-00 100-00 100-00 100-00 100-00
</TABLE>
- ----------
/(1)/ Calculations assume that the auction calls on Collateral have not been
exercised.
