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)
January 22, 1997
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 5. 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 1/29/97 (the "Certificates"). The Certificates are being
offered pursuant to a Prospectus Supplement, dated January 24, 1997, 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shall be deemed to be modified or superseded for purposes of the prospectus and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 A. Dunn
Name: Christopher A. Dunn
Title: Vice President
Dated: January 24, 1997
<PAGE>
EXHIBIT INDEX
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 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 January 22, 1997
yap CTSX REPORT 10:13 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
FM0197-MEGA Class A ( )31316QAD8 ANNUAL PMT
Orig Bal 2,618,000 Fac 1.00000 #Coup 7.429 Mat 01/25/02 Wac-0.0000
(0.000) WAM- / (-22765)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settlement Date 29-Jan-1997 Curve Date 22-Jan-1997 Tranche A( )
<TABLE>
<CAPTION>
----------------------------------------------
0% CPP prepay
Price 4.64 Avg. Life
01/98 1st Prin Last
01/02 Prin
----------------------------------------------
<S> <C> <C>
101: 4 6.89 Yield
3.94 Duration
----------------------------------------------
101: 8 6.86 Yield
3.94 Duration
----------------------------------------------
101:12 6.82 Yield
3.94 Duration
----------------------------------------------
101:16 6.79 Yield
3.94 Duration
----------------------------------------------
101:20 6.76 Yield
3.94 Duration
----------------------------------------------
101:24 6.73 Yield
3.94 Duration
----------------------------------------------
101:28 6.70 Yield
3.94 Duration
----------------------------------------------
102: 0 6.67 Yield
3.95 Duration
----------------------------------------------
102: 4 6.64 Yield
3.95 Duration
----------------------------------------------
</TABLE>
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 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 January 22, 1997
yap CTSX REPORT 10:13 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FM0197-CS104 Class A ( )31316RAD6 SEMIANNUAL PMTS Orig Bal
5,300,400 Fac 1.00000 Coup 7.123 Mat 01/25/02 Wac-0.000 (0.000) WAM-
/ (-22765)
Price/Yield View Fact Thru 09/9999 Hist Coupons Settlement Date
29-Jan-1997 Curve Date 22-Jan-1997 Tranche A( )
----------------------------------------------
0% CPP prepay
Price 4.77 Avg. Life
07/97 1st Prin
01/02 Last Prin
----------------------------------------------
<S> <C> <C>
100:14 6.90 Yield
3.97 Duration
----------------------------------------------
100:18 6.86 Yield
3.97 Duration
----------------------------------------------
100:22 6.83 Yield
3.97 Duration
----------------------------------------------
100:26 6.80 Yield
3.97 Duration
----------------------------------------------
100:30 6.77 Yield
3.98 Duration
----------------------------------------------
101: 2 6.74 Yield
3.98 Duration
----------------------------------------------
101: 6 6.71 Yield
3.98 Duration
----------------------------------------------
101:10 6.68 Yield
3.98 Duration
----------------------------------------------
101:14 6.65 Yield
3.98 Duration
----------------------------------------------
</TABLE>
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 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 January 22, 1997
yap CTSX REPORT 10:13 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FM0197-AS106 Class A ( )31316EAF0 SEMIANNUAL Orig Bal
6,352,400 Fac 1.00000 Coup 7.488 Mat 01/25/12 Wac-0.0000
(0.000) WAM- / (-22765)
Price/Yield View Fact Thru 09/9999 Hist Coupons Settlement Date
29-Jan-1997 Curve Date 2-Jan-1997 Tranche A( )
----------------------------------------------
0% CPP prepay
Price 12.09 Avg. Life
07/97 1st Prin Last
01/12 Prin
----------------------------------------------
<S> <C> <C>
101: 6 7.27 Yield
7.63 Duration
----------------------------------------------
101:10 7.25 Yield
7.63 Duration
----------------------------------------------
101:14 7.24 Yield
7.64 Duration
----------------------------------------------
101:18 7.22 Yield
7.64 Duration
----------------------------------------------
101:22 7.21 Yield
7.64 Duration
----------------------------------------------
101:26 7.19 Yield
7.65 Duration
----------------------------------------------
101:30 7.17 Yield
7.65 Duration
----------------------------------------------
102: 2 7.16 Yield
7.66 Duration
----------------------------------------------
102: 6 7.14 Yield
7.66 Duration
----------------------------------------------
</TABLE>
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 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 January 22, 1997
yap CTSX REPORT 10:13 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FM0197-AA105 Class A ( )31316AAE1 ANNUAL PMT Orig Bal
3,467,000 Fac 1.00000 Coup 7.807 Mat 01/25/12 Wac-0.000 (0.000) WAM-
/ (-22765)
Price/Yield View Fact Thru 09/9999 Hist Coupons Settlement Date
29-Jan-1997 Curve Date 22-Jan-1997 Tranche A( )
----------------------------------------------
0% CPP prepay
Price 11.48 Avg. Life
01/98 1st Prin
01/12 Last Prin
----------------------------------------------
<S> <C> <C>
102:20 7.24 Yield
7.47 Duration
----------------------------------------------
102:24 7.22 Yield
7.47 Duration
----------------------------------------------
102.28 7.20 Yield
7.47 Duration
----------------------------------------------
103: 0 7.19 Yield
7.48 Duration
----------------------------------------------
103: 4 7.17 Yield
7.48 Duration
----------------------------------------------
103: 8 7.16 Yield
7.49 Duration
----------------------------------------------
103:12 7.14 Yield
7.49 Duration
----------------------------------------------
103:16 7.12 Yield
7.49 Duration
----------------------------------------------
103:20 7.11 Yield
7.50 Duration
----------------------------------------------
</TABLE>
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 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 CSS MATRIX REPORT January 22, 1997
leibo 10:23 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AA1005
balance range
CURRENT BALANCE count Balance Percent Avg. Bal Min. Max Balance
Balance
<S> <C> <C> <C> <C> <C> <C>
1-100,000 1 80,000.00 2.31 80,000.00 80,000.00 80,000.00
100,001-200,000 5 697,000.00 20.10 139,400.00 125,000.00 152,000.00
200,001-300,000 1 250,000.00 7.21 250,000.00 250,000.00 250,000.00
300,001-400,000 4 1,345,000.00 38.79 336,250.00 310,000.00 350,000.00
400,001-500,000 1 500,000.00 14.42 500,000.00 500,000.00 500,000.00
500,001-600,000 1 595,000.00 17.16 595,000.00 595,000.00 595,000.00
- ----------------------------------------------------------------------------------------
Total 13 3,467,000.00 100.00 266,692.31 80,000.00 595,000.00
- ----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
gross coupon
CURRENT GROSS COUPON Count Balance Percent GWAC Min Coupon Max Coupon
<S> <C> <C> <C> <C> <C> <C>
8.5001-8.7500 1 500,000.00 14.42 8.6500 8.6500 8.6500
8.7501-9.0000 7 1,835,000.00 52.93 8.8865 8.8300 9.0000
9.0001-9.2500 3 850,000.00 24.52 9.1635 9.1100 9.2500
9.2501-9.5000 1 152,000.00 4.38 9.5000 9.5000 9.5000
9.5001-9.7500 1 130,000.00 3.75 9.7500 9.7500 9.7500
- --------------------------------------------------------------------------------------
Total 13 3,467,000.00 100.00 8.9796 8.6500 9.7500
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
loan to value
LOAN TO VALUE Count Balance Percent WA LTV Min LTV Max LTV
<S> <C> <C> <C> <C> <C> <C>
25.01-30.00 1 500,000.00 14.42 29.40 29.40 29.40
35.01-40.00 1 140,000.00 4.04 35.50 35.50 35.50
40.01-45.00 2 330,000.00 9.52 42.31 41.90 43.60
50.01-55.00 1 150,000.00 4.33 52.40 52.40 52.40
55.01-60.00 2 480,000.00 13.84 57.49 55.30 58.30
65.01-70.00 6 1,867,000.00 53.85 68.72 66.30 70.00
- -------------------------------------------------------------------------------------
Total 13 3,467,000.00 100.00 56.93 29.40 70.00
- -------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
debt service coverage
DSCR Count Balance Percent WA DSCR Min DSCR Max DSCR
<S> <C> <C> <C> <C> <C> <C>
1.26-1.50 5 1,380,000.00 39.80 1.34 1.27 1.43
1.51-1.75 3 417,000.00 12.03 1.66 1.54 1.73
1.76-2.00 3 985,000.00 28.41 1.81 1.76 1.91
2.26-2.50 1 335,000.00 9.66 2.41 2.41 2.41
2.51-2.75 1 350,000.00 10.10 2.73 2.73 2.73
- --------------------------------------------------------------------------------------
Total 13 3,467,000.00 100.00 1.76 1.27 2.73
- --------------------------------------------------------------------------------------
</TABLE>
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 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>
<TABLE>
<CAPTION>
Bear Stearns & Co CSS MATRIX REPORT January 22, 1997
leibo 10:24 AM EST
Page 1 of 1
- ------------------------------------------------------------------
AS1006
balance range
CURRENT BALANCE count Balance Percent Avg. Bal Min. Max Balance
Balance
<S> <C><C> <C> <C> <C> <C>
1-100,000 2 167,000.00 2.63 83,500.00 80,000.00 92,000.00
100,001-200,000 5 782,000.00 12.31 156,400.00 135,000.00 182,000.00
200,001-300,000 5 1,270,400.00 20.00 254,080.00 220,000.00 275,000.00
300,001-400,000 3 1,025,000.00 16.14 341,666.67 305,000.00 370,000.00
400,001-500,000 3 1,408,000.00 22.16 469,333.33 413,000.00 500,000.00
1,600,001-1,700,000 1 1,700,000.00 26.76 1,700,000.00 1,700,00.00 1,700,000.00
- -------------------------------------------------------------------------------------------
Total 19 6,352,400.00 100.00 334,336.84 75,000.00 1,700,000.00
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
gross coupon
CURRENT GROSS COUPON Count Balance Percent GWAC Min Coupon Max Coupon
<S> <C> <C> <C> <C> <C> <C>
8.2501-8.5000 3 688,000.00 10.83 8.4841 8.4500 8.5000
8.5001-8.7500 5 3,045,000.00 47.93 8.7266 8.6000 8.7500
8.7501-9.0000 7 1,762,000.00 27.74 8.8930 8.8000 9.0000
9.0001-9.2500 2 432,000.00 6.80 9.2079 9.1500 9.2500
9.2501-9.5000 2 425,400.00 6.70 9.2836 9.2800 9.2900
- --------------------------------------------------------------------------------------
Total 19 6,352,400.00 100.00 8.8165 8.4500 9.2900
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
loan to value
LOAN TO VALUE Count Balance Percent WA LTV Min LTV Max LTV
<S> <C> <C> <C> <C> <C>
30.01-35.00 1 140,000.00 2.20 33.20 33.20 33.20
35.01-40.00 2 505,000.00 7.95 37.72 37.00 39.70
40.01-45.00 3 740,400.00 11.66 43.09 41.90 43.90
45.01-50.00 2 442,000.00 6.96 46.69 46.50 47.40
50.01-55.00 2 1,775,000.00 27.94 54.23 50.30 54.40
55.01-60.00 3 1,165,000.00 18.34 56.85 55.60 58.50
60.01-65.00 3 735,000.00 11.57 63.09 62.20 64.20
65.01-70.00 3 850,000.00 13.38 69.67 68.90 70.00
- -------------------------------------------------------------------------------------
Total 19 6,352,400.00 100.00 54.20 33.20 70.00
- -------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
debt service coverage
DSCR Count Balance Percent WA DSCR Min DSCR Max DSCR
<S> <C> <C> <C> <C> <C> <C>
1.01-1.25 1 1,700,000.00 26.76 1.25 1.25 1.25
1.26-1.50 9 2,389,000.00 37.61 1.34 1.27 1.49
1.51-1.75 6 1,643,000.00 25.86 1.61 1.52 1.75
2.01-2.25 1 75,000.00 1.18 2.18 2.18 2.18
2.51-2.75 1 270,400.00 4.26 2.58 2.58 2.58
3.01-3.25 1 275,000.00 4.33 3.11 3.11 3.11
- -----------------------------------------------------------------------------------
Total 19 6,352,400.00 100.00 1.53 1.25 3.11
- --------------------------------------------------------------------------------------
</TABLE>
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 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 CSS MATRIX REPORT January 22, 1997
leibo 10:24 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CA1004 (MEGA)
balance range
CURRENT BALANCE count Balance Percent Avg. Bal Min. Max Balance
Balance
<S> <C> <C> <C> <C> <C> <C>
1-100,000 3 283,000.00 10.81 94,333.33 88,000.00 100,000.00
100,001-200,000 3 480,000.00 18.33 160,000.00 110,000.00 188,000.00
200,001-300,000 1 275,000.00 10.50 275,000.00 275,000.00 275,000.00
300,001-400,000 1 400,000.00 15.28 400,000.00 400,000.00 400,000.00
400,001-500,000 1 410,000.00 15.66 410,000.00 410,000.00 410,000.00
700,001-800,000 1 770,000.00 29.41 770,000.00 770,000.00 770,000.00
- ----------------------------------------------------------------------------------------
Total 10 2,618,000.00 100.00 261,800.00 88,000.00 770,000.00
- ----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
gross coupon
CURRENT GROSS COUPON Count Balance Percent GWAC Min Coupon Max Coupon
<S> <C> <C> <C> <C> <C> <C>
7.7501-8.0000 1 182,000.00 6.95 7.9000 7.9000 7.9000
8.0001-8.2500 2 188,000.00 7.18 8.2266 8.2000 8.2500
8.2501-8.5000 2 283,000.00 10.81 8.4496 8.3500 8.5000
8.5001-8.7500 3 920,000.00 35.14 8.5760 8.5400 8.6200
8.7501-9.0000 1 770,000.00 29.41 9.0000 9.0000 9.0000
9.0001-9.2500 1 275,000.00 10.50 9.1000 9.1000 9.1000
- --------------------------------------------------------------------------------------
Total 10 2,618,000.00 100.00 8.6700 7.9000 9.1000
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
loan to value
LOAN TO VALUE Count Balance Percent WA LTV Min LTV Max LTV
<S> <C> <C> <C> <C> <C> <C>
30.01-35.00 1 188,000.00 7.18 30.60 30.60 30.60
40.01-45.00 2 375,000.00 14.32 41.08 40.20 43.50
45.01-50.00 1 95,000.00 3.63 50.00 50.00 50.00
60.01-65.00 1 400,000.00 15.28 61.50 61.50 61.50
65.01-70.00 5 1,560,000.00 59.59 69.76 66.70 70.00
- --------------------------------------------------------------------------------
Total 10 2,618,000.00 100.00 60.86 30.60 70.00
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
debt service coverage
DSCR Count Balance Percent WA DSCR Min DSCR Max DSCR
<S> <C> <C> <C> <C> <C> <C>
1.26-1.50 6 1,815,000.00 69.33 1.41 1.29 1.50
1.51-1.75 1 410,000.00 15.66 1.63 1.63 1.63
2.26-2.50 1 95,000.00 3.63 2.41 2.41 2.41
3.01-3.25 1 110,000.00 4.20 3.17 3.17 3.17
4.76-5.00 1 188,000.00 7.18 4.79 4.79 4.79
- --------------------------------------------------------------------------------------
Total 10 2,618,000.00 100.00 1.80 1.29 4.79
- --------------------------------------------------------------------------------------
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
(the"Statemen"), 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 CSS MATRIX REPORT January 22, 1997
leibo 10:24 AM EST
Page 1 of 1
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CS1004
balance range
CURRENT BALANCE count Balance Percent Avg. Bal Min. Balance Max Balance
<S> <C> <C> <C> <C> <C> <C>
1-100,000 1 82,600.00 1.56 82,600.00 82,600.00 82,600.00
100,001-200,000 6 1,048,000.00 19.77 177,666.67 160,000.00 200,000.00
200,001-300,000 4 1,073,788.00 20.26 268,447.00 224,800.00 300,000.00
300,001-400,000 1 385,000.00 7.26 385,000.00 385,000.00 385,000.00
400,001-500,000 3 1,404,048.00 26.49 468,016.00 450,000.00 494,048.00
500,001-600,000 1 506,964.00 9.56 506,964.00 506,964.00 506,964.00
700,001-800,000 1 800,000.00 15.09 800,000.00 800,000.00 800,000.00
- -------------------------------------------------------------------------------------------
Total 17 5,300,400.00 100.00 311,788.24 82,600.00 800,000.00
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
gross coupon
CURRENT GROSS COUPON Count Balance Percent GWAC Min Coupon Max Coupon
<S> <C> <C> <C> <C> <C> <C>
8.0001-8.2500 7 2,202,800.00 41.56 8.0891 8.0100 8.2200
8.2501-8.5000 7 2,227,600.00 42.03 8.4225 8.4000 8.5000
8.5001-8.7500 2 710,000.00 13.40 8.7500 8.7500 8.7500
8.7501-9.0000 1 160,000.00 3.02 8.9500 8.9500 8.9500
- --------------------------------------------------------------------------------------
Total 17 5,300,400.00 100.00 8.3437 8.0100 8.9500
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
loan to value
LOAN TO VALUE Count Balance Percent WA LTV Min LTV Max LTV
<S> <C> <C> <C> <C> <C> <C>
20.01-25.00 1 800,000.00 15.09 23.00 23.00 23.00
30.01-35.00 1 176,000.00 3.32 34.80 34.80 34.80
45.01-50.00 1 160,000.00 3.02 45.30 45.30 45.30
50.01-55.00 3 795,000.00 15.00 53.64 51.50 55.00
55.01-60.00 6 2,230,000.00 42.07 58.19 55.30 59.90
60.01-65.00 1 224,800.00 4.24 64.20 64.20 64.20
65.01-70.00 4 914,600.00 17.26 69.13 66.70 70.00
- -------------------------------------------------------------------------------------
Total 17 5,300,400.00 100.00 53.17 23.00 70.00
- -------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
debt service coverage
DSCR Count Balance Percent WA DSCR Min DSCR Max DSCR
<S> <C> <C> <C> <C> <C> <C>
1.01-1.25 4 1,760,000.00 33.21 1.25 1.25 1.25
1.26-1.50 6 1,575,000.00 29.71 1.35 1.28 1.41
1.76-2.00 2 500,000.00 9.43 1.97 1.95 1.98
2.01-2.25 1 182,000.00 3.43 2.18 2.18 2.18
2.76-3.00 1 82,600.00 1.56 2.91 2.91 2.91
3.76-4.00 1 800,000.00 15.09 3.93 3.93 3.93
4.01-4.25 1 224,800.00 4.24 4.19 4.19 4.19
7.51-7.75 1 176,000.00 3.32 7.61 7.61 7.61
- -------------------------------------------------------------------------------------
Total 17 5,300,400.00 100.00 2.15 1.25 7.61
- --------------------------------------------------------------------------------------
</TABLE>
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 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.
