-----------------------------------------------------------------
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 (Date of earliest event reported)
October 29, 1996
Farmer Mac Mortgage Securities Corporation
----------------------------------------------------
(Exact Name of Registrant as Specified in its Charter)
Delaware 333-6325 52-1779791
- ---------------------------- ----------- -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
919 18th Street, N.W. 20006
Washington, DC -------------
- --------------------------- (Zip Code)
(Address of Principal
Executive Offices)
Registrant's telephone number, including area code (202) 872-7700
No Change
-------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
-----------------------------------------------------------------
<PAGE>
Item 99. Other Events
------------
Attached as Exhibit 99.1 to this Current Report are certain materials
(the "Computational Materials") furnished to the Registrant by Bear, Stearns &
Co. Inc. (the "Underwriter") in respect of Guaranteed Agricultural
Mortgage-Backed Securities Series 10/30/96 (the "Certificates"). The
Certificates are being offered pursuant to a Prospectus Supplement, dated
October 29, 1996, which is being filed with the Commission pursuant to Rule
424(b) under the Securities Act of 1933, as amended (the "Act"), and a
Prospectus, dated June 26, 1996, which has previously been filed with the
Commission pursuant to Rule 424(b) under the (the "Act"). The Certificates have
been registered pursuant to the Act under a Registration Statement on Form S-3
(No. 333-6325) (the "Registration Statement"). The Computational Materials are
incorporated by reference in the Registration Statement.
The Computational Materials were prepared solely by the Underwriter,
and the Registrant did not prepare or participate (other than providing the
background information concerning the underlying pool of assets upon which the
Computational Materials are based to the Underwriter) in the preparation of the
Computational Materials.
Any statements or information contained in the Computational Materials
shall be deemed to be modified or superseded for purposes of the prospectus and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
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
FARMER MAC MORTGAGE SECURITIES
CORPORATION
By:/s/ Christopher Dunn
---------------------------
Name: Christopher Dunn
Title: Vice President
Dated: October 30, 1996
EXHIBIT INDEX
-------------
<PAGE>
Exhibit No. Description Page No.
- ----------- ----------- --------
99.1 Computational Materials
EXHIBIT 99.1
Computational Materials
-----------------------
<PAGE>
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES
-------------------------------------------------------------------
AND OTHER INFORMATION
---------------------
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. Should you
receive Information that refers to the "Statement Regarding Assumption and Other
Information", please refer to this statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (econometric prepayment models, single
expected lifetime prepayments or a vector of periodic prepayments), interest
rate assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level date, reported factors or imputed factions), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets and trustee statements). Models used in any analysis may be
proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested at assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the current version of the Information. Offering Documents contain data that
is current as of their publication dates and after publication may no longer be
complete or current. The Information is provided solely by Bear Stearns, not as
agent for any issuer, and although it may be based on data supplied to it by an
issuer, the issuer has not participated in its preparation and makes no
representations regarding its accuracy or completeness. Contact your registered
representative for Offering Documents, current Information or additional
materials, including other models for performance analysis, which are likely to
produce different results, and any further explanation regarding the
Information.
Any pricing estimates Bear Sterns has supplied at your request (a) represent our
view, at the time determined, of the investment value of the securities between
the estimated bid and offer levels, the spread between which may be significant
due to market volatility or illiquidity, (b) do not constitute a bid by any
person for any security, (c) may not constitute prices at which the securities
could have been purchased or sold in any market (d) have not been confirmed by
actual trades, may vary from the value Bear Stearns assigns any such security
while in its inventory, and may not take into account the size of a position you
have in the security, and (e) may have been derived from matrix pricing that
uses data relating to other securities whose process are more readily
ascertainable to produce a hypothetical price based on the estimated yield
spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying
<PAGE>
data or computations based thereon. Bear Stearns and/or individuals thereof may
have positions in these securities while the Information is circulating or
during such period may engage in transactions with the issuer or its affiliates.
We act as principal in transactions with you, and accordingly, you must
determine the appropriateness for you of such transactions and address any
legal, tax or accounting considerations applicable to you. Bear Stearns shall
not be a fiduciary or advisor unless we have agreed in writing to receive
compensation specifically to act in such capacities. If you are subject to
ERISA, the Information is being furnished on the condition that it will not form
a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE>
Bear Stearns & Co October 29, 1996
yap CTSX REPORT 2:43 PM EST
Page 1 of 1
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FM1096-CA101 Class A (________) ANNUAL/1ST CPN 1/97
Orig Bal 2,495,000 Fac 1.00000 #Coup 7.589 Mat 01/01/02 Wac-0.000
(0.000) WAM- / (-22762)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settlement Date 12-Nov-1996 Curve Date 29-Oct-1996 Tranche
A(________)
----------------------- -------------------- ---------------------
0% CPP prepay
Price 5.07 Avg. Life
01/98 1st Prin
----------------------- -------------------- ---------------------
102:11+ 6.793 Yield
4.23 Duration
----------------------- -------------------- ---------------------
102:15+ 6.764 Yield
4.23 Duration
----------------------- -------------------- ---------------------
102:19+ 6.735 Yield
4.23 Duration
----------------------- -------------------- ---------------------
102:23+ 6.707 Yield
4.23 Duration
----------------------- -------------------- ---------------------
102:27+ 6.678 Yield
4.23 Duration
----------------------- -------------------- ---------------------
102:31+ 6.650 Yield
4.24 Duration
----------------------- -------------------- ---------------------
103. 3+ 6.622 Yield
4.24 Duration
----------------------- -------------------- ---------------------
103: 7+ 6.593 Yield
4.24 Duration
----------------------- -------------------- ---------------------
103:11+ 6.565 Yield
4.24 Duration
----------------------- -------------------- ---------------------
103:15+ 6.537 Yield
4.24 Duration
----------------------- -------------------- ---------------------
103:19+ 6.508 Yield
4.24 Duration
----------------------- -------------------- ---------------------
103:23+ 6.480 Yield
4.24 Duration
----------------------- -------------------- ---------------------
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
(the "Statement"), which should
<PAGE>
be attached. Do not use or rely on this information if you have not received and
reviewed the Statement. You may obtain a copy of the Statement from your sales
representative.
<PAGE>
Bear Stearns & Co October 29, 1996
yap CTSX REPORT 2:43 PM EST
Page 1 of 1
- -------------------------------------------------------------------------------
FM1096-AA102 Class A (________) ANNUAL/1ST CPN 1/97
Orig Bal 2,250,000 Fac 1.00000 Coup 7.891 Mat 01/01/12 Wac-0.000
(0.000) WAM- / (-22762)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settlement Date 12-Nov-1996 Curve Date 29-Oct-1996 Tranche
A(________)
----------------------- -------------------- ---------------------
0% CPP prepay
Price 12.43 Avg. Life
01/98 1st Prin
01/12 Last Prin
----------------------- -------------------- ---------------------
103:19 7.236 Yield
7.87 Duration
----------------------- -------------------- ---------------------
103:23 7.221 Yield
7.87 Duration
----------------------- -------------------- ---------------------
103:27 7.206 Yield
7.87 Duration
----------------------- -------------------- ---------------------
103:31 7.191 Yield
7.88 Duration
----------------------- -------------------- ---------------------
104: 3 7.176 Yield
7.89 Duration
----------------------- -------------------- ---------------------
104: 7 7.161 Yield
7.89 Duration
----------------------- -------------------- ---------------------
104:11 7.145 Yield
7.89 Duration
----------------------- -------------------- ---------------------
104:15 7.130 Yield
7.89 Duration
----------------------- -------------------- ---------------------
104:19 7.115 Yield
7.90 Duration
----------------------- -------------------- ---------------------
104:23 7.100 Yield
7.90 Duration
----------------------- -------------------- ---------------------
104:27 7.085 Yield
7.91 Duration
----------------------- -------------------- ---------------------
104:31 7.017 Yield
7.91 Duration
----------------------- -------------------- ---------------------
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing
<PAGE>
Estimates, and Other Information (the "Statement"), which should be attached. Do
not use or rely on this information if you have not received and reviewed the
Statement. You may obtain a copy of the Statement from your sales
representative.
<PAGE>
Bear Stearns & Co October 29, 1996
yap CTSX REPORT 2:43 PM EST
Page 1 of 1
- -------------------------------------------------------------------------------
FM1096-CS101 Class A (________) SEMIANNUAL/1ST CPN 1/97
Orig Bal 3,325,000 Fac 1.00000 Coup 7.186 Mat 07/01/01 Wac-0.000
(0.000) WAM- / (-22762)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settlement Date 12-Nov-1996 Curve Date 29-Oct-1996 Tranche
A(________)
----------------------- -------------------- ---------------------
0% CPP prepay
Price 4.31 Avg. Life
01/97 1st Prin
07/01 Last Prin
----------------------- -------------------- ---------------------
101:11+ 6.687 Yield
3.63 Duration
----------------------- -------------------- ---------------------
101:15+ 6.653 Yield
3.63 Duration
----------------------- -------------------- ---------------------
101:19+ 6.619 Yield
3.63 Duration
----------------------- -------------------- ---------------------
101:23+ 6.586 Yield
3.63 Duration
----------------------- -------------------- ---------------------
101:27+ 6.552 Yield
3.63 Duration
----------------------- -------------------- ---------------------
101:31+ 6.518 Yield
3.63 Duration
----------------------- -------------------- ---------------------
102: 3+ 6.485 Yield
3.63 Duration
----------------------- -------------------- ---------------------
102: 7+ 6.425 Yield
3.63 Duration
----------------------- -------------------- ---------------------
102:11+ 6.418 Yield
3.64 Duration
----------------------- -------------------- ---------------------
102:15+ 6.385 Yield
3.64 Duration
----------------------- -------------------- ---------------------
102:19+ 6.352 Yield
3.64 Duration
----------------------- -------------------- ---------------------
102:23+ 6.319 Yield
3.64 Duration
----------------------- -------------------- ---------------------
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing
<PAGE>
Estimates, and Other Information (the "Statement"), which should be attached. Do
not use or rely on this information if you have not received and reviewed the
Statement. You may obtain a copy of the Statement from your sales
representative.
<PAGE>
Bear Stearns & Co October 29, 1996
yap CTSX REPORT 2:43 PM EST
Page 1 of 1
- -------------------------------------------------------------------------------
FM1096-AS103 Class A (_________) SEMIANNUAL/1ST CPN 1/97
Orig Bal 4,630,860 Fac 1.00000 Coup 7.722 Mat 07/01/11 Wac-0.000
(0.000) WAM- / (-22762)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settlement Date 12-Nov-1996 Curve Date 29-Oct-1996 Tranche
A(_________)
----------------------- -------------------- ---------------------
0% CPP prepay
Price 12.03 Avg. Life
01/97 1st Prin
07/11 Last Prin
----------------------- -------------------- ---------------------
103:11 7.220 Yield
7.56 Duration
----------------------- -------------------- ---------------------
103:15 7.204 Yield
7.57 Duration
----------------------- -------------------- ---------------------
103:19 7.188 Yield
7.57 Duration
----------------------- -------------------- ---------------------
103:23 7.172 Yield
7.58 Duration
----------------------- -------------------- ---------------------
103:27 7.157 Yield
7.58 Duration
----------------------- -------------------- ---------------------
103:31 7.141 Yield
7.59 Duration
----------------------- -------------------- ---------------------
104: 3 7.125 Yield
7.59 Duration
----------------------- -------------------- ---------------------
104: 7 7.110 Yield
7.59 Duration
----------------------- -------------------- ---------------------
104:11 7.094 Yield
7.60 Duration
----------------------- -------------------- ---------------------
104:15 7.078 Yield
7.60 Duration
----------------------- -------------------- ---------------------
104:19 7.063 Yield
7.61 Duration
----------------------- -------------------- ---------------------
104:23 7.047 Yield
7.61 Duration
----------------------- -------------------- ---------------------
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing
<PAGE>
Estimates, and Other Information (the "Statement"), which should be attached. Do
not use or rely on this information if you have not received and reviewed the
Statement. You may obtain a copy of the Statement from your sales
representative.
<PAGE>
FARMER MAC OFFERINGS
- -----------------------------------------------------------------------------
YIELD MAINTENANCE CHARGES
1. Full Yield Maintenance Charge - The borrower pays yield maintenance if
he prepays his mortgage at any time during the term of the mortgage.
2. Partial Yield Maintenance Charge - The borrower pays yield maintenance
if he prepays his mortgage during the first 4 or 5 years of its term.
Thereafter, the borrower is free to prepay with no penalty.
The yield maintenance formula is generally the same whether the mortgage has
full or partial yield maintenance.
3. Full Yield Maintenance - At the designated time of prepayment the
present value of the future scheduled payments to maturity is
calculated. The future scheduled payments are discounted on each period
at a rate equivalent to the interpolated yield of the CMT having a term
to maturity which is the same as the term to such scheduled payment
date from the prepayment date.
4. Partial Yield Maintenance - The calculation is the same as full yield
maintenance except that the future scheduled payments are discounted
from the date at which the mortgage becomes an "open prepay" mortgage
rather than maturity.
The calculated PV less the outstanding mortgage balance is the yield maintenance
charge.
In addition, if a borrower chooses to prepay between scheduled payment dates he
is obligated to pay the full period's interest accrual.
Farmer Mac does not guarantee to the certificate holders the payment of the
yield maintenance charge and shall pass through to the certificate holders yield
maintenance to the extent it is actually received by Farmer Mac.
The following example illustrates the yield maintenance charge using a
$2,000,000 annual pay loan with a 15-year term and a 25-year amortization term
which prepays immediately.
Assumptions
- -----------
Loan Balance $2,000,000
Gross Rate 8.320%
Field Servicing 0.370%
Guarantee Fees,
Master Servicing, Trustee 0.950%
Net Rate 7.000%
Prepay Calc Rate 7.250%
Balloon 15
Amort Term 25
Yield Curve:
1 Year 5.83
2 Year 6.29
3 Year 6.49
5 Year 6.72
10 Year 6.94
30 Year 7.09
- -------------------------------------------------------------------------------
The information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and other information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
ANNEX I: DESCRIPTION OF QUALIFIED LOAN POOLS
The description of the Qualified Loans and the related Mortgaged Properties
set forth below is based upon each Pool as constituted at the close of business
on the Cut-off Date, as adjusted for the scheduled principal payments due before
such date. Prior to the issuance of the Certificates, Qualified Loans may be
removed from each Pool as a result of incomplete documentation or otherwise, if
the Depositor deems such removal necessary or appropriate, or as a result of
prepayments in full. A limited number of other Qualified Loans may be added to
each Pool prior to the issuance of the Certificates unless including such
Qualified Loans would materially alter the characteristics of such Pool as
described herein. The Depositor believes that the information set forth herein
will be representative of the characteristics of the related Pool as it will be
constituted at the time the Certificates are issued although the range of
Mortgage Interest Rates and maturities and certain other characteristics of the
Qualified Loans in such Pool may vary.
The composition of each Qualified Loan Pool is subject to adjustment, with
the amount of such variance restricted to no more than 5% of the aggregate
principal balance of the Qualified Loans in such Pool, as stated herein. The
information set forth as to the Qualified Loans will be revised to reflect such
adjustments and included on a Form 8-K to be filed with the Commission within 15
days after the Closing Date and be available to Holders of Certificates promptly
thereafter through the facilities of the Commission as described under
"AVAILABLE INFORMATION" in the Prospectus.
DESCRIPTION OF POOL AA1002
The Qualified Loans in Pool AA1002 will have had individual principal
balances as of the Cut-off Date of not less than $80,000 and not more than
$1,000,000. None of the Qualified Loans in Pool AA1002 will have been originated
prior to July 1, 1996 and all have a scheduled maturity of January 1, 2012. The
Qualified Loans in Pool AA1002 will have a weighted average Administrative Fee
Rate as of the Cut-off Date of approximately 1.358%.
All of the Qualified Loans in Pool AA1002 require the payment of a Yield
Maintenance Charge in connection with any principal prepayment, in whole or in
part, made prior to the maturity date of each such Qualified Loan.
Three of the Qualified Loans in Pool AA1002 (approximately 26% by aggregate
outstanding principal balance as of the Cut-off Date) provide for the annual
payment of principal and interest on a level basis to fully amortize each such
Qualified Loan over its stated term. All of the remaining Qualified Loans in
Pool AA1002 are balloon loans which provide for regular annual payments of
principal and interest computed on the basis of an amortization term that is
longer than the related term to stated maturity, with a "balloon" payment (each,
a "Balloon Payment") due at stated maturity that will be significantly larger
than the annual payments (each, a "Qualified Balloon Loan").
One Qualified Loan included in Pool AA1002 constitutes 44% (by principal
balance as of the Cut-off Date) of the aggregate principal amount of such Pool.
Such Qualified Loan has the following additional characteristics (in each case,
as of the Cut-off Date):
Principal Balance.................... $1,000,000
Mortgage Interest Rate .............. 9.400%
Net Mortgage Rate.................... 8.042%
Year of Maturity..................... 2012
Loan-to-Value Ratio.................. 66.6%
Original term to Maturity............ 15 years
A-1
<PAGE>
The Mortgaged Property securing such Qualified Loan is located in the
State of Indiana; the primary commodities produced on such property are corn and
soybeans. The loan is a Qualified Balloon Loan, with an amortization schedule of
25 years. The total debt service coverage ratio (which ratio gives effect to all
sources of income) for such loan is 1.47. See "RISK FACTORS -- "Relative Loan
Sizes."
The following tables set forth additional information with respect to the
Qualified Loans included in Pool AA1002, in each case as of the Cut-off Date.
Percentages are based on the aggregate principal balance of Qualified Loans in
Pool AA1002.
POOL - AA1002
DISTRIBUTION BY CUT-OFF DATE PRINCIPAL BALANCE
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Cut-off Principal Balance of Loans Cut-off Date Cut-off Date
-------------------------------------------------------------------------
$ 1 to $ 100,000..... 1 $ 80,000 3.55%
100,000 to 200,000..... 3 460,500 20.46
300,000 to 400,000..... 1 310,000 13.77
400,000 to 500,000..... 1 400,000 17.77
1,000,000 to 1,100,000..... 1 1,000,000 44.43
-------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00%
-------------------------------------------------------------------------
Average Loan Amount $ 321,500
Minimum Amount $ 80,000
Maximum Amount $ 1,000,000
POOL - AA1002
DISTRIBUTION BY MORTGAGE INTEREST RATE
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Mortgage Interest Rate of Loans Cut-off Date Cut-off Date
--------------------------------------------------------------------------
8.7501% to 9.0000%..... 1 $ 400,000 17.77%
9.0001 to 9.2500 ..... 5 850,500 37.79
9.2501 to 9.5000 ..... 1 1,000,000 44.43
--------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00%
--------------------------------------------------------------------------
Weighted Average Mortgage Interest Rate 9.249%
Minimum Mortgage Interest Rate 9.000%
Maximum Mortgage Interest Rate 9.400%
A-2
<PAGE>
POOL - AA1002
DISTRIBUTION BY NET MORTGAGE RATE
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Net Mortgage Rate of Loans Cut-off Date Cut-off Date
--------------------------------------------------------------------------
7.5001% to 7.7500% 1 $ 400,000 17.77%
7.7501% to 8.0000%..... 5 850,500 37.79
8.0001% to 8.2500%..... 1 1,000,000 44.43
--------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00%
--------------------------------------------------------------------------
Weighted Average Net Mortgage Rate 7.891%
Minimum Net Mortgage Rate 7.702%
Maximum Net Mortgage Rate 8.042%
POOL - AA1002
DISTRIBUTION BY REMAINING AMORTIZATION TERM
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Remaining Amortization Term of Loans Cut-off Date Cut-off Date
--------------------------------------------------------------------------
180 ................... 3 $ 590,500 26.24%
300 ................... 4 1,660,000 73.76
--------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00%
--------------------------------------------------------------------------
Weighted Average Remaining Amortization Term 269 months
Minimum Remaining Amortization Term 180 months
Maximum Remaining Amortization Term 300 months
A-3
<PAGE>
POOL - AA1002
AMORTIZATION TYPE
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------
Percentage of Weighted
Aggregate Aggregate Weighted Average
Principal Principal Average Cut- Balloon-to
Number Balance As of Balance As of off Date Loan- Value Ratio
Year of Maturity of Loans Cut-off Date Cut-off Date to-Value Ratio (1)
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balloon Loans 2012 .......... 4 $ 1,660,000 73.76% 60.5% 42.3%
Fully Amortizing 2012 .......... 3 590,500 26.24 57.6
------------------------------------------------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00% 59.7% 31.2%
------------------------------------------------------------------------------------------------------------------
</TABLE>
- ----------
(1) The Weighted Average Balloon-to-Value Ratio represents the percentage of
the weighted average of the Balloon Payments of the Qualified Balloon Loans
in the Pool to the weighted average appraised value of the related
Mortgaged Properties.
POOL - AA1002
DISTRIBUTION BY CUT-OFF DATE LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Loan-to-Value Ratio of Loans Cut-off Date Cut-off Date Percentage
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
35.01% to 40.00%..... 1 $ 180,000 8.00% 8.00%
50.01 to 55.00 ..... 1 310,500 13.77 21.77
55.01 to 60.00 ..... 3 645,000 28.66 50.43
65.01 to 70.00 ..... 2 1,115,500 49.57 100.00
--------------------------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00%
--------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Loan-to-Value Ratio 59.7%
Minimum Loan-to-Value Ratio 36.0%
Maximum Loan-to-Value Ratio 70.0%
A-4
<PAGE>
<TABLE>
<CAPTION>
POOL - AA1002
DISTRIBUTION BY TOTAL DEBT COVERAGE RATIO(1)
-------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Debt Coverage Ratio of Loans Cut-off Date Cut-off Date Percentage
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1.25 to 1.50 ....... 4 $ 1,425,000 63.32% 63.32%
1.50 to 1.75 ....... 2 425,500 18.91 82.23
1.75 to 2.00 ....... 1 400,000 17.77 100.00
--------------------------------------------------------------------------------------------
Total 7 $ 2,250,500 100.00%
--------------------------------------------------------------------------------------------
Weighted Average Total Debt Coverage Ratio 1.54
Minimum Total Debt Coverage Ratio 1.30
Maximum Total Debt Coverage Ratio 1.81
- ----------
(1) Total Debt Coverage Ratio is the ratio determined by dividing the
borrower's total annual net income (net of living expenses and taxes) from
all sources by the borrower's total annual debt service obligations
(including capital lease payments).
</TABLE>
A-5
<PAGE>
POOL - AA1002
DISTRIBUTION OF QULIFIED LOANS BY STATE AND COMMODITY GROUP (1)
<TABLE>
<CAPTION>
CATTLE AND CALVES FOOD GRAINS OIL SEEDS
----------------- ----------- ---------
%of # of %of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- ---------------- ------------------------------ ------------------------------ ------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Idaho $ 80,000 4% 1 $ 196,250 9% 2 $ 82,500 4% 1
Indiana 0 0% 0 0 0% 0 500,000 22% 1
Ohio 0 0% 0 18,000 1% 1 72,000 3% 1
- ---------------- ------------------------------ ------------------------------ ------------------------------
Grand Total $ 80,000 4% 1 $ 214,250 10% 3 $ 654,500 29% 3
================ ============================== ============================== ==============================
<CAPTION>
FEED GRAINS SUGARBEETS, CANE AND OTHER TOTAL PRINCIPAL AMOUNT
----------- -------------------------- ----------------------
%of # of %of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- ---------------- ------------------------------ ------------------------------ ------------------------------
Idaho $ 175,675 8% 2 $ 536,075 24% 4 $1,070,500 48% 10
Indiana 500,000 22% 1 0 0% 0 1,000,000 44% 2
Ohio 90,000 4% 1 0 0% 0 180,000 8% 3
- ---------------- ------------------------------ ------------------------------ ------------------------------
Grand Total $ 765,675 34% 4 $ 536,075 24% 4 $2,250,500 100% 15
================ ============================== ============================== ==============================
</TABLE>
- ----------
(1) The number of loans in each commodity group will not equal the total number
of loans because a Mortgaged Property may be used to produce multiple
commodities and thus the related Qualified Loan may be allocated to more
than one commodity group. As to any Qualified Loan allocated to more than
one commodity group, the principal balance thereof is allocated among
commodity groups based on the proportion of the Mortgaged Property used for
the production of each commodity.
A-6
<PAGE>
DESCRIPTION OF POOL AS1003
The Qualified Loans in Pool AS1003 will have had individual principal
balances as of the Cut-off Date of not less than $91,000 and not more than
$900,000. None of the Qualified Loans in Pool AS1003 will have been originated
prior to July 1, 1996 and all have a scheduled maturity of July 1, 2011. The
Qualified Loans in Pool AS1003 will have a weighted average Administrative Fee
Rate as of the Cut-off Date of approximately 1.194%.
All of the Qualified Loans in Pool AS1003 require the payment of a Yield
Maintenance Charge in connection with any principal prepayment, in whole or in
part, made prior to the maturity date of each such Qualified Loan.
Five of the Qualified Loans in Pool AS1003 (approximately 20% by aggregate
outstanding principal balance as of the Cut-off Date) provide for the
semi-annual payment of principal and interest on a level basis to fully amortize
each such Qualified Loan over its stated term. All of the remaining Qualified
Loans in Pool AS1003 are balloon loans which provide for regular semi-annual
payments of principal and interest computed on the basis of an amortization term
that is longer than the related term to stated maturity, with a "balloon"
payment (each, a "Balloon Payment") due at stated maturity that will be
significantly larger than the semi-annual payments (each, a "Qualified Balloon
Loan").
The following tables set forth additional information with respect to the
Qualified Loans included in Pool AS1003, in each case as of the Cut-off Date.
Percentages are based on the aggregate principal balance of Qualified Loans in
Pool AS1003.
<TABLE>
<CAPTION>
POOL - AS1003
DISTRIBUTION BY CUT-OFF DATE PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Cut-off Date Principal Balance of Loans Cut-off Date Cut Off Date
- ----------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
$ 1 to $ 100,000 ......... 1 $ 91,000 1.97%
100,000 to 200,000 ......... 6 766,860 16.56
200,000 to 300,000 ......... 2 400,000 8.64
300,000 to 400,000 ......... 1 350,000 7.56
400,000 to 500,000 ......... 2 963,000 20.80
500,000 to 600,000 ......... 1 560,000 12.09
600,000 to 700,000 ......... 1 600,000 12.96
900,000 to 1,000,000 ......... 1 900,000 19.43
- ---------------------------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00%
- ---------------------------------------------------------------------------------------------
</TABLE>
Average Loan Amount $ 380,724
Minimum Amount $ 91,000
Maximum Amount $ 900,000
A-7
<PAGE>
POOL - AS1003
DISTRIBUTION BY MORTGAGE INTEREST RATE
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Mortgage Interest Rate of Loans Cut-off Date Cut-off Date
--------------------------------------------------------------------------
8.5001% to 8.7500%..... 1 $ 145,000 3.13%
8.7501 to 9.0000 ..... 12 3,647,860 78.77
9.0001 to 9.2500 ..... 2 836,000 18.10
--------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00%
--------------------------------------------------------------------------
Weighted Average Mortgage Interest Rate 8.916%
Minimum Mortgage Interest Rate 8.750%
Maximum Mortgage Interest Rate 9.100%
POOL - AS1003
DISTRIBUTION BY NET MORTGAGE RATE
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Net Mortgage Rate of Loans Cut-off Date Cut-off Date
--------------------------------------------------------------------------
7.2501% to 7.5000% ..... 3 $ 787,360 17.00%
7.5001% to 7.7500% ..... 7 1,305,500 28.19
7.7501% to 8.0000% ..... 5 2,538,000 54.81
--------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00%
--------------------------------------------------------------------------
Weighted Average Net Mortgage Rate 7.722%
Minimum Net Mortgage Rate 7.450%
Maximum Net Mortgage Rate 7.950%
A-8
<PAGE>
POOL - AS1003
DISTRIBUTION BY REMAINING AMORTIZATION TERM
-------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Remaining Amortization Term of Loans Cut-off Date Cut-off Date
--------------------------------------------------------------------------
180 ................... 5 $ 931,360 20.11%
300 ................... 10 3,699,500 79.89
--------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00%
--------------------------------------------------------------------------
Weighted Average Remaining Amortization Term 276 months
Minimum Remaining Amortization Term 180 months
Maximum Remaining Amortization Term 300 months
POOL - AS1003
AMORTIZATION TYPE
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------
Percentage of Weighted
Aggregate Aggregate Weighted Average
Principal Principal Average Cut- Balloon-to
Number Balance As of Balance As of off Date Loan- Value Ratio
Year of Maturity of Loans Cut-off Date Cut-off Date to-Value Ratio (1)
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balloon Loans 2011 .......... 10 $ 3,699,500 79.89% 58.8% 39.9%
Fully Amortizing 2011 .......... 5 931,360 20.11 62.9
------------------------------------------------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00% 59.6% 31.9%
------------------------------------------------------------------------------------------------------------------
</TABLE>
- ----------
(1) The Weighted Average Balloon-to-Value Ratio represents the percentage of
the weighted average of the Balloon Payments of the Qualified Balloon Loans
in the Pool to the weighted average appraised value of the related
Mortgaged Properties.
A-9
<PAGE>
POOL - AA1002
DISTRIBUTION BY CUT-OFF DATE LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Loan-to-Value Ratio of Loans Cut-off Date Cut-off Date Percentage
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10.01% to 15.00% ......... 1 $ 100,000 2.16% 2.16%
35.01 to 40.00 ......... 1 600,000 12.96 15.12
50.01 to 55.00 ......... 1 350,000 7.56 22.67
55.01 to 60.00 ......... 2 1,045,000 22.57 45.24
60.01 to 65.00 ......... 1 116,000 2.50 47.74
65.01 to 70.00 ......... 9 2,419,860 52.26 100.00
--------------------------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00%
--------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Loan-to-Value Ratio 59.6%
Minimum Loan-to-Value Ratio 14.8%
Maximum Loan-to-Value Ratio 70.0%
<TABLE>
<CAPTION>
POOL - AS1003
DISTRIBUTION BY TOTAL DEBT COVERAGE RATIO(1)
-------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Debt Coverage Ratio of Loans Cut-off Date Cut-off Date Percentage
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1.25 to 1.50 ....... 8 $ 2,599,160 56.13% 56.13%
1.50 to 1.75 ....... 3 1,003,500 21.67 77.80
2.25 to 2.50 ....... 1 145,000 3.13 80.93
2.50 to 2.75 ....... 1 560,000 12.09 93.02
3.75 to 4.00 ....... 1 200,000 4.32 97.34
4.00 to 4.25 ....... 1 123,200 2.66 100.00
--------------------------------------------------------------------------------------------
Total 15 $ 4,630,860 100.00%
--------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Total Debt Coverage Ratio 1.78
Minimum Total Debt Coverage Ratio 1.25
Maximum Total Debt Coverage Ratio 4.04
- ------------
(1) Total Debt Coverage Ratio is the ratio determined by dividing the
borrower's total annual net income (net of living expenses and taxes) from
all sources by the borrower's total annual debt service obligations
(including capital lease payments).
A-10
<PAGE>
POOL - AS1003
DISTRIBUTION OF QUALIFIED LOANS BY STATE AND COMMODITY GROUP (1)
<TABLE>
<CAPTION>
CATTLE AND CALVES DAIRY FOOD GRAINS
----------------- ----- -----------
% of # of % of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- ---------------- ------------------------------ ------------------------------ -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California $ 0 0% 0 $ 0 0% 0 $ 0 0% 0
Illinois 0 0% 0 0 0% 0 94,000 2% 2
Kansas 0 0% 0 0 0% 0 47,500 1% 1
Minnesota 0 0% 0 0 0% 0 26,390 1% 1
Missouri 0 0% 0 0 0% 0 20,000 0% 1
Montana 0 0% 0 0 0% 0 900,000 19% 1
Ohio 0 0% 0 0 0% 0 20,000 0% 1
South Dakota 77,885 2% 2 0 0% 0 15,624 0% 1
Washington 0 0% 0 560,000 12% 1 0 0% 0
- ---------------- ------------------------------ ------------------------------ -------------------------------
Grand Total $ 77,885 2% 2 $ 560,000 12% 1 $1,123,514 24% 8
================ ============================== ============================== ===============================
HOGS OIL SEEDS PERMANENT PLANTINGS
---- --------- -------------------
% of # of % of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- ---------------- ------------------------------ ------------------------------ -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California $ 0 0% 0 $ 0 0% 0 $ 450,000 10% 2
Illinois 146,400 3% 1 185,440 4% 1 0 0% 0
Kansas 0 0% 0 190,000 4% 1 0 0% 0
Minnesota 178,500 4% 1 910 0% 1 0 0% 0
Missouri 0 0% 0 60,000 1% 1 0 0% 0
Montana 0 0% 0 0 0% 0 0 0% 0
Ohio 0 0% 0 80,000 2% 1 0 0% 0
South Dakota 71,702 2% 2 41,205 1% 2 0 0% 0
Washington 0 0% 0 0 0% 0 0 0% 0
- ---------------- ------------------------------ ------------------------------ -------------------------------
Grand Total $396,602 9% 4 $ 557,555 12% 7 $ 450,000 10% 2
================ ============================== ============================== ===============================
</TABLE>
(Continued on next page)
A-11
<PAGE>
POOL - AS1003
DISTRIBUTION OF QUALIFIED LOANS BY STATE AND COMMODITY GROUP (1)
<TABLE>
<CAPTION>
POTATOES, TOMATOES, AND OTHER
FEED GRAINS VEGETABLES SUGARBEETS,CANE AND OTHER CROPS
----------- ----------- -------------------------------
% of # of % of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- ---------------- ------------------------------ ------------------------------ -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California $ 0 0% 0 $ 0 0% 0 $ 0 0% 0
Illinois 178,160 4% 2 0 0% 0 0 0% 0
Kansas 237,500 5% 1 0 0% 0 0 0% 0
Minnesota 0 0% 0 63,700 1% 2 0 0% 0
Missouri 120,000 3% 1 0 0% 0 0 0% 0
Montana 0 0% 0 0 0% 0 0 0% 0
Ohio 100,000 2% 1 0 0% 0 0 0% 0
South Dakota 20,944 0% 2 0 0% 0 0 0% 0
Washington 0 0% 0 600,000 13% 1 145,000 3% 1
- ---------------- ------------------------------ ------------------------------ -------------------------------
Grand Total $656,604 14% 7 $ 663,700 14% 3 $ 145,000 3% 1
================ ============================== ============================== ===============================
</TABLE>
TOTAL PRINCIPAL AMOUNT
----------------------
% of # of
State $ of Pool Pool Loans
- ---------------- ------------------------------
California $ 450,000 10% 2
Illinois 604,000 13% 6
Kansas 475,000 10% 3
Minnesota 269,500 6% 5
Missouri 200,000 4% 3
Montana 900,000 19% 1
Ohio 200,000 4% 3
South Dakota 227,360 5% 9
Washington 1,305,000 28% 3
- ---------------- ------------------------------
Grand Total $4,630,860 100% 35
================ ==============================
- ----------
(1) The number of loans in each commodity group will not equal the total number
of loans because a Mortgaged Property may be used to produce multiple
commodities and thus the related Qualified Loan may be allocated to more
than one commodity group. As to any Qualified Loan allocated to more than
one commodity group, the principal balance thereof is allocated among
commodity groups based on the proportion of the Mortgaged Property used for
the production of each commodity.
A-12
<PAGE>
DESCRIPTION OF POOL CA1001
The Qualified Loans in Pool CA1001 will have had individual principal
balances as of the Cut-off Date of not less than $80,000 and not more than
$1,500,000. None of the Qualified Loans in Pool CA1001 will have been originated
prior to July 1, 1996 and all have a scheduled maturity of January 1, 2002. The
Qualified Loans in Pool CA1001 will have a weighted average Administrative Fee
Rate as of the Cut-off Date of approximately 1.296%.
All of the Qualified Loans in Pool CA1001 require the payment of a Yield
Maintenance Charge in connection with any principal prepayment, in whole or in
part, made prior to the maturity date of each such Qualified Loan.
All of the Qualified Loans in Pool CA1001 are balloon loans which provide
for regular annual payments of principal and interest computed on the basis of
an amortization term that is longer than the related term to stated maturity,
with a "balloon" payment (each, a "Balloon Payment") due at stated maturity that
will be significantly larger than the annual payments (each, a "Qualified
Balloon Loan").
One Qualified Loan included in Pool CA1001 constitutes 60% (by principal
balance as of the Cut-off Date) of the aggregate principal amount of such Pool.
Such Qualified Loan has the following additional characteristics (in each case,
as of the Cut-off Date):
Principal Balance............... $1,500,000
Mortgage Interest Rate ......... 9.120%
Net Mortgage Rate............... 7.670%
Year of Maturity................ 2002
Loan-to-Value Ratio............. 44.1%
Original term to Maturity....... 5 years
The Mortgaged Property securing such Qualified Loan is located in the State
of Montana; the primary commodity produced on such property is beef cattle and
calves. The loan is a Qualified Balloon Loan, with an amortization schedule of
25 years. The total debt service coverage ratio (which ratio gives effect to all
sources of income) for such loan is 1.27. See "RISK FACTORS -- "Relative Loan
Sizes."
The following tables set forth additional information with respect to the
Qualified Loans included in Pool CA1001, in each case as of the Cut-off Date.
Percentages are based on the aggregate principal balance of Qualified Loans in
Pool CA1001.
A-13
<PAGE>
POOL - CA1001
DISTRIBUTION BY CUT-OFF DATE PRINCIPAL BALANCE
----------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Cut-off Date Principal Balance of Loans Cut-off Date Cut-off Date
-----------------------------------------------------------------------------
$ 1 to 100,000 ....... 1 $ 80,000 3.21%
100,000 to 200,000 ....... 1 105,000 4.21
300,000 to 400,000 ....... 1 325,000 13.03
400,000 to 500,000 ....... 1 485,000 19.44
1,500,000 to 1,600,000 ....... 1 1,500,000 60.12
-----------------------------------------------------------------------------
Total 5 $ 2,495,000 100.00%
-----------------------------------------------------------------------------
Average Loan Amount $ 499,000
Minimum Amount $ 80,000
Maximum Amount $ 1,500,000
POOL - CA1001
DISTRIBUTION BY MORTGAGE INTEREST RATE
- --------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Mortgage Interest Rate of Loans Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------
8.2501% to 8.5000% ..... 3 $ 670,000 26.85%
8.5001 to 8.7500 ..... 1 325,000 13.03
9.0001 to 9.2500 ..... 1 1,500,000 60.12
- --------------------------------------------------------------------------------
Total 5 $ 2,495,000 100.00%
- --------------------------------------------------------------------------------
Weighted Average Mortgage Interest Rate 8.885%
Minimum Mortgage Interest Rate 8.440%
Maximum Mortgage Interest Rate 9.120%
A-14
<PAGE>
POOL - CA1001
DISTRIBUTION BY NET MORTGAGE RATE
- --------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Net Mortgage Rate of Loans Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------
7.2501% to 7.5000% ........ 4 $ 995,000 39.88%
7.5001 to 7.7500 ........ 1 1,500,000 60.12
- --------------------------------------------------------------------------------
Total 5 $ 2,495,000 100.00%
- --------------------------------------------------------------------------------
Weighted Average Net Mortgage Rate 7.589%
Minimum Net Mortgage Rate 7.370%
Maximum Net Mortgage Rate 7.670%
POOL - CA1001
DISTRIBUTION BY REMAINING AMORTIZATION TERM
- --------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Remaining Amortization Term of Loans Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------
300 ....................... 5 $ 2,495,000 100.00%
- --------------------------------------------------------------------------------
Total 5 $ 2,495,000 100.00%
- --------------------------------------------------------------------------------
Weighted Average Remaining Amortization Term 300 months
Minimum Remaining Amortization Term 300 months
Maximum Remaining Amortization Term 300 months
A-15
<PAGE>
<TABLE>
<CAPTION>
POOL - CA1001
AMORTIZATION TYPE
- --------------------------------------------------------------------------------------------------------
Percentage of Weighted Weighted
Aggregate Aggregate Average Cut- Average
Principal Principal off Date Balloon-to
Number Balance As of Balance As of Loan-to- Value Ratio
Year of Maturity of Loans Cut-off Date Cut-off Date Value Ratio (1)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balloon Loans 2002 ............. 5 $ 2,495,000 100.00% 47.9% 45.2%
- --------------------------------------------------------------------------------------------------------
Grand Total 5 $ 2,495,000 100.00% 47.9% 45.2%
- --------------------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Maturity Date (Balloons) 1/1/02
Minimum Maturity Date (Balloons) 1/1/02
Maximum Maturity Date (Balloons) 1/1/02
- ---------
(1) The Weighted Average Balloon-to-Value Ratio represents the percentage of the
weighted average of the Balloon Payments of the Qualified Balloon Loans in the
Pool to the weighted average appraised value of the related Mortgaged
Properties.
<TABLE>
<CAPTION>
POOL - CA1001
DISTRIBUTION BY CUT-OFF DATE LOAN-TO-VALUE RATIO
- ---------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Loan-to-Value Ratio of Loans Cut-off Date Cut-off Date Percentage
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
40.01% to 45.00% ......... 2 $ 1,605,000 64.33% 64.33%
45.01 to 50.00 ......... 1 325,000 13.03 77.35
55.01 to 60.00 ......... 2 565,000 22.65 100.00
- ---------------------------------------------------------------------------------------------
Grand Total 5 $ 2,495,000 100.00%
- ---------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Loan-to-Value Ratio 47.9%
Minimum Loan-to-Value Ratio 44.1%
Maximum Loan-to-Value Ratio 59.8%
A-16
<PAGE>
POOL - CA1001
DISTRIBUTION BY TOTAL DEBT COVERAGE RATIO (1)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Debt Coverage Ratio of Loans Cut-off Date Cut-off Date Percentage
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1.25 to 1.50 ........ 2 $ 1,825,000 73.15% 73.15%
1.50 to 1.75 ........ 1 485,000 19.44 92.59
2.25 to 2.50 ........ 1 105,000 4.21 96.79
4.25 to 4.50 ........ 1 80,000 3.21 100.00
- -------------------------------------------------------------------------------------------------
Total 5 $ 2,495,000 100.00%
- -------------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Total Debt Coverage Ratio 1.50
Minimum Total Debt Coverage Ratio 1.27
Maximum Total Debt Coverage Ratio 4.43
- ----------
(1) Total Debt Coverage Ratio is the ratio determined by dividing the
borrower's total annual net income (net of living expenses and taxes) from
all sources by the borrower's total annual debt service obligations
(including capital lease payments).
A-17
<PAGE>
POOL - CA1001
DISTRIBUTION OF QUALIFIED LOANS BY STATE AND COMMODITY GROUP (1)
<TABLE>
<CAPTION>
CATTLE AND CALVES FOOD GRAINS OILSEEDS
----------------- ----------- --------
% of # of % of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- --------------- ------------------------------- ------------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California $ 0 0% 0 $ 0 0% 0 $ 0 0% 0
Michigan 0 0% 0 0 0% 0 32,500 1% 1
Montana 1,350,000 54% 1 120,000 5% 1 0 0% 0
South Dakota 169,750 7% 1 72,750 3% 1 0 0% 0
Washington 0 0% 0 0 0% 0 0 0% 0
- --------------- ------------------------------- ------------------------------ ----------------------------
Grand Total $ 1,519,750 61% 2 $ 192,750 8% 2 $ 32,500 1% 1
- --------------- ------------------------------- ------------------------------ ----------------------------
</TABLE>
<TABLE>
<CAPTION>
PERMANENT PLANTINGS FEED GRAINS POTATOES, TOMATOES, AND OTHER VEGETABLES
------------------- ----------- ----------------------------------------
% of # of % of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- -------------- -------------------------------- ----------------------------- ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California $ 80,000 3% 1 $ 0 0% 0 0 0% 0
Michigan 0 0% 0 81,250 3% 1 $ 211,250 8% 1
Montana 0 0% 0 30,000 1% 1 0 0% 0
South Dakota 0 0% 0 97,000 4% 1 0 0% 0
Washington 105,000 4% 2 0 0% 0 0 0% 0
- -------------- -------------------------------- ----------------------------- ---------------------------
Grand Total $ 185,000 7% 3 $ 208,250 8% 3 $ 211,250 8% 1
- -------------- -------------------------------- ----------------------------- -----------------------------
<CAPTION>
SUGARBEETS, CANE AND OTHER CROPS TOTAL PRINCIPAL AMOUNT
-------------------------------- ------------------------
% of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans
- -------------- -------------------------------- -----------------------------
California $ 0 0% 0 $ 80,000 3% 1
Michigan 0 0% 0 325,000 13% 3
Montana 0 0% 0 1,500,000 60% 3
South Dakota 145,500 6% 1 485,000 19% 4
Washington 0 0% 0 105,000 4% 2
- -------------- -------------------------------- -----------------------------
Grand Total $ 145,500 6% 1 $ 2,495,000 100% 13
- -------------- -------------------------------- -----------------------------
</TABLE>
- ----------
(1) The number of loans in each commodity group will not equal the total number
of loans because a Mortgaged Property may be used to produce multiple
commodities and thus the related Qualified Loan may be allocated to more
than one commodity group. As to any Qualified Loan allocated to more than
one commodity group, the principal balance thereof is allocated among
commodity groups based on the proportion of the Mortgaged Property used for
the production of each commodity.
A-18
<PAGE>
DESCRIPTION OF POOL CS1001
The Qualified Loans in Pool CS1001 will have had individual principal
balances as of the Cut-off Date of not less than $90,000 and not more than
$2,430,000. None of the Qualified Loans in Pool CS1001 will have been originated
prior to July 1, 1996 and all have a scheduled maturity of July 1, 2001. The
Qualified Loans in Pool CS1001 will have a weighted average Administrative Fee
Rate as of the Cut-off Date of approximately 1.272%.
All of the Qualified Loans in Pool CS1001 require the payment of a Yield
Maintenance Charge in connection with any principal prepayment, in whole or in
part, made prior to the maturity date of each such Qualified Loan.
All of the Qualified Loans in Pool CS1001 are balloon loans which provide
for regular semi-annual payments of principal and interest computed on the basis
of an amortization term that is longer than the related term to stated maturity,
with a "balloon" payment (each, a "Balloon Payment") due at stated maturity that
will be significantly larger than the semi-annual payments (each, a "Qualified
Balloon Loan").
One Qualified Loan included in Pool CS1001 constitutes 73 % (by principal
balance as of the Cut-off Date) of the aggregate principal amount of such Pool.
Such Qualified Loan has the following additional characteristics (in each case,
as of the Cut-off Date):
Principal Balance.................. $2,430,000
Mortgage Interest Rate ............ 8.500%
Net Mortgage Rate.................. 7.200%
Year of Maturity................... 2001
Loan-to-Value Ratio................ 47.6%
Original term to Maturity.......... 5 years
The Mortgaged Property securing such Qualified Loan is located in the State
of California; the primary commodity produced on such property is dairy cattle
and calves. The loan is a Qualified Balloon Loan, with an amortization schedule
of 15 years. The total debt service coverage ratio (which ratio gives effect to
all sources of income) for such loan is 1.69. See "RISK FACTORS -- "Relative
Loan Sizes."
The following tables set forth additional information with respect to the
Qualified Loans included in Pool CS1001, in each case as of the Cut-off Date.
Percentages are based on the aggregate principal balance of Qualified Loans in
Pool CS1001.
A-19
<PAGE>
POOL - CS1001
DISTRIBUTION BY CUT-OFF DATE PRINCIPAL BALANCE
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Cut-off Date Principal Balance of Loans Cut-off Date Cut-off Date
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 1 to $ 100,000 ............... 1 $ 90,000 2.71%
300,000 to 400,000 ............... 1 350,000 10.53
400,000 to 500,000 ............... 1 455,000 13.68
2,400,000 to 2,500,000 ............... 1 2,430,000 73.08
- ------------------------------------------------------------------------------------------------------
Total 4 $ 3,325,000 100.00%
- ------------------------------------------------------------------------------------------------------
</TABLE>
Average Loan Amount $ 831,250
Minimum Amount $ 90,000
Maximum Amount $ 2,430,000
POOL - CS1001
DISTRIBUTION BY MORTGAGE INTEREST RATE
- --------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Mortgage Interest Rate of Loans Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------
8.0001% to 8.2500% 2 $ 545,000 16.39%
8.2501 to 8.5000 2 2,780,000 83.61
- --------------------------------------------------------------------------------
Total 4 $ 3,325,000 100.00%
- --------------------------------------------------------------------------------
Weighted Average Mortgage Interest Rate 8.458%
Minimum Mortgage Interest Rate 8.220%
Maximum Mortgage Interest Rate 8.500%
A-20
<PAGE>
POOL - CS1001
DISTRIBUTION BY NET MORTGAGE RATE
- --------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Net Mortgage Rate of Loans Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------
7.0001% to 7.2500% ...... 4 $ 3,325,000 100.00%
- --------------------------------------------------------------------------------
Total 4 $ 3,325,000 100.00%
- --------------------------------------------------------------------------------
Weighted Average Net Mortgage Rate 7.186%
Minimum Net Mortgage Rate 7.100%
Maximum Net Mortgage Rate 7.210%
POOL - CS1001
DISTRIBUTION BY YEAR OF MATURITY
- --------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Year of Maturity of Loans Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------
2001 ..................... 4 $ 3,325,000 100.00%
- --------------------------------------------------------------------------------
Total 4 $ 3,325,000 100.00%
- --------------------------------------------------------------------------------
Weighted Average Maturity Date 7/1/01
Minimum Maturity Date 7/1/01
Maximum Maturity Date 7/1/01
A-21
<PAGE>
POOL - CS1001
DISTRIBUTION BY REMAINING AMORTIZATION TERM
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of
Remaining Amortization Term of Loans Cut-off Date Cut-off Date
- -----------------------------------------------------------------------------------------------
<C> <C> <C> <C>
180 ..................... 3 $ 2,870,000 86.32%
300 ..................... 1 455,000 13.68
- -----------------------------------------------------------------------------------------------
Total 4 $ 3,325,000 100.00%
- -----------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Remaining Amortization Term 196 months
Minimum Remaining Amortization Term 180 months
Maximum Remaining Amortization Term 300 months
POOL - CS1001
AMORTIZATION TYPE
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
Percentage of Weighted Weighted
Agggregate Aggregate Average Cut- Average
Principal Principal off Date Balloon-to
Number Balance As of Balance As of Loan-to- Value Ratio
Year of Maturity of Loans Cut-off Date Cut-off Date Value Ratio (1)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balloon Loans 2001 .......... 4 $ 3,325,000 100.00% 46.4% 38.9%
- ---------------------------------------------------------------------------------------------------------------------------
Grand Total 4 $ 3,325,000 100.00% 46.4% 38.9%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Maturity Date (Balloons) 7/1/01
Minimum Maturity Date (Balloons) 7/1/01
Maximum Maturity Date (Balloons) 7/1/01
- ----------
(1) The Weighted Average Balloon-to-Value Ratio represents the percentage of
the weighted average of the Balloon Payments of the Qualified Balloon Loans
in the Pool to the weighted average appraised value of the related
Mortgaged Properties.
A-22
<PAGE>
POOL - CS1001
DISTRIBUTION BY CUT-OFF DATE LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Loan-to-Value Ratio of Loans Cut-off Date Cut-off Date Percentage
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
20.01% to 25 ....... 1 $ 350,000 10.53% 10.53%
45.01 to 50 ....... 2 2,520,000 75.79 86.32
55.01 to 60 ....... 1 455,000 13.68 100.00
- ------------------------------------------------------------------------------------------------
Total 4 $ 3,325,000 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Loan-to-Value Ratio 46.4%
Minimum Loan-to-Value Ratio 23.0%
Maximum Loan-to-Value Ratio 57.6%
POOL - CS1001
DISTRIBUTION BY TOTAL DEBT COVERAGE RATIO (1)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
Percentage of
Aggregate Aggregate
Principal Principal
Number Balance As of Balance As of Cumulative
Debt Coverage Ratio of Loans Cut-off Date Cut-off Date Percentage
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1.50 to 1.75 ....... 2 $ 2,885,000 86.77% 86.77%
2.00 to 2.25 ....... 2 440,000 13.23 100.00
- -------------------------------------------------------------------------------------------------------
Total 4 3,325,000 100.00%
- -------------------------------------------------------------------------------------------------------
</TABLE>
Weighted Average Total Debt Coverage Ratio 1.74
Minimum Total Debt Coverage Ratio 1.69
Maximum Total Debt Coverage Ratio 2.05
- ----------
(1) Total Debt Coverage Ratio is the ratio determined by dividing the
borrower's total annual net income (net of living expenses and taxes) from
all sources by the borrower's total annual debt service obligations
(including capital lease payments).
A-23
<PAGE>
POOL - CS1001
DISTRIBUTION OF QUALIFIED LOANS BY STATE AND COMMODITY GROUP (1)
<TABLE>
<CAPTION>
DAIRY PERMANENT PLANTINGS FEED GRAINS
----- ------------------- -----------
% of # of % of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans $ of Pool Pool Loans
- --------------- ------------------------------- ------------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California $ 1,579,500 48% 1 $ 805,000 24% 2 $ 0 0% 0
Minnesota 0 0% 0 0 0% 0 90,000 3% 1
- --------------- ------------------------------- ------------------------------ ----------------------------
Grand Total $ 1,579,500 48% 1 $ 805,000 24% 2 $ 90,000 3% 1
- --------------- ------------------------------- ------------------------------ ----------------------------
<CAPTION>
SUGARBEETS, CANE AND OTHER CROPS TOTAL PRINCIPAL AMOUNT
-------------------------------- ------------------------
% of # of % of # of
State $ of Pool Pool Loans $ of Pool Pool Loans
- --------------- ------------------------------- ------------------------------
California $ 850,500 26% 1 $ 3,235,000 97% 4
Minnesota 0 0% 0 90,000 3% 1
- --------------- ------------------------------- ------------------------------
Grand Total $ 850,500 26% 1 $ 3,325,000 100% 5
- --------------- ------------------------------- ------------------------------
</TABLE>
- ----------
(1) The number of loans in each commodity group will not equal the total number
of loans because a Mortgaged Property may be used to produce multiple
commodities and thus the related Qualified Loan may be allocated to more
than one commodity group. As to any Qualified Loan allocated to more than
one commodity group, the principal balance thereof is allocated among
commodity groups based on the proportion of the Mortgaged Property used for
the production of each commodity.
A-24
