September __, 1996
Lehman Structured Securities Corp.
200 Vesey Street
New York, New York 10285
Re: Commercial Mortgage Pass-Through Certificates, Series 1996-1
Gentlemen:
We have acted as your counsel in connection with the Registration
Statement (File No. 333-10027) and the amendments thereto (the "Registration
Statement"), filed with the Securities and Exchange Commission (the
"Commission") on August 12, 1996, pursuant to the Securities Act of 1933, as
amended. Capitalized terms used and not otherwise defined herein have the
respective meanings ascribed to such terms in the Registration Statement.
In rendering the opinion set forth below, we have examined and relied
upon the following: (1) the Registration Statement and the Prospectus
constituting a part thereof, each substantially in the form being filed with the
Commission; (2) the form of the Trust Agreement, substantially in the form being
filed with the Commission; and (3) such other documents, materials, and
authorities as we have deemed necessary in order to enable us to render our
opinion set forth below. The opinion set forth below assumes that the foregoing
documents and materials are not changed materially prior to execution and that
the Trust Agreement is performed in accordance with its terms.
As counsel to Lehman Structured Securities Corp. ("Lehman"), we have
advised Lehman with respect to certain federal income tax aspects of the
proposed issuance of the Certificates. Such advice has formed the basis for the
description of material federal income tax consequences for holders of the
Certificates that appears under the heading "Certain Federal Income Tax
Consequences" in the Prospectus. Such descriptions do not purport to discuss all
possible federal income tax ramifications of the proposed issuance of the
Certificates, but, with respect to those federal income tax consequences that
are discussed, in our opinion, the description is accurate in all material
respects.
We hereby consent to the filing of this letter as an Exhibit to the
Registration Statement and to the references to our firm under the heading
"Certain Federal Income Tax Consequences" in the Prospectus. This consent is not
to be construed as an admission that we are a person whose consent is required
to be filed with the Registration Statement under the provisions of the Act.
Very truly yours,
s/s Cadwalader, Wickersham & Taft
Cadwalader, Wickersham & Taft
September __, 1996
Lehman Structured Securities Corp.
200 Vesey Street
New York, New York 10285
Re: Commercial Mortgage Pass-Through Certificates, Series 1996-1
Gentlemen:
We have acted as your counsel in connection with the Registration
Statement (File No. 333-10027) (the "Registration Statement") to be filed with
the Securities and Exchange Commission (the "Commission") on August, 12, 1996,
pursuant to the Securities Act of 1933, as amended. The Registration Statement
covers Commercial Mortgage Pass-Through Certificates, Series 1996-1
("Certificates") to be sold by Lehman Structured Securities Corp. ("Lehman").
The Certificates will be issued under a trust agreement (the "Trust Agreement")
among Lehman and State Street Bank and Trust Company (the "Trustee"). A form of
Trust Agreement is included as an Exhibit to the Registration Statement.
Capitalized terms used and not otherwise defined herein have the respective
meanings ascribed to such terms in the Registration Statement.
We have examined originals or copies certified or otherwise identified
to our satisfaction of such documents and records of Lehman, and such public
documents and records as we have deemed necessary as a basis for the opinions
hereinafter expressed.
Based on the foregoing, we are of the opinion that:
1. When the Trust Agreement for the Certificates has been duly and
validly authorized, executed and delivered by Lehman and the
Trustee, such Trust Agreement will constitute a valid and legally
binding agreement of Lehman, enforceable against Lehman in
accordance with its terms, subject to applicable bankruptcy,
reorganization, insolvency, moratorium and other laws affecting
the enforcement of rights of creditors generally and to general
principles of equity and the discretion of the court (regardless
of whether enforceability is considered in a proceeding in equity
or at law); and
2. When the Trust Agreement for the Certificates has been duly and
validly authorized, executed and delivered by Lehman and the
Trustee, and the Certificates have been duly executed,
authenticated, delivered and sold as contemplated in the
Registration Statement, such Certificates will be legally and
validly issued, fully paid and nonassessable, and the holders of
such Certificates will be entitled to the benefits of such Trust
Agreement.
We hereby consent to the filing of this letter as an Exhibit to the
Registration Statement and to the reference to this firm under the heading
"Legal Matters" in the Prospectus forming a part of the Registration Statement.
This consent is not to be construed as an admission that we are a person whose
consent is required to be filed with the Registration Statement under the
provisions of the Act.
Very truly yours,
s/s Cadwalader, Wickersham & Taft
Cadwalader, Wickersham & Taft
As filed with the Securities and Exchange Commission on September [ ], 1996.
Registration No. 333-10027
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------------
Amendment No.1
to
FORM S-11
REGISTRATION STATEMENT
UNDER THE
SECURITIES ACT OF 1933
--------------------
Lehman Structured Securities Corp.
(Exact name of registrant as specified in governing instruments)
--------------------
200 Vesey Street
New York, New York 10285
(Address of principal executive offices)
THEODORE P. JANULIS
Lehman Structured Securities Corp.
200 Vesey Street
New York, New York 10285
(Name and address of agent for service)
--------------------
Copies to:
Karen C. Manson
Senior Counsel and Senior Vice President Karsten P. Giesecke
Lehman Brothers Inc. Cadwalader, Wickersham & Taft
World Financial Center 100 Maiden Lane
New York, New York 10285-1000 New York, New York 10038
Approximate date of commencement of proposed sale to the public: As soon as
practicable after this Registration Statement becomes effective.
If this Form is filed to register additional securities for an offering pursuant
to Rule 462(b) under the Securities Act, please check the following box and list
the Securities Act registration statement number of the earlier effective
registration statement for the same offering. [ ] _____
If this Form is a post-effective amendment filed pursuant to Rule 462(c)
under the Securities Act, check the following box and list the Securities Act
registration statement number of the earlier effective registration statement
for the same offering. [ ] ________
If delivery of the prospectus is expected to be made pursuant to Rule 434,
please check the following box. [ ]
<TABLE>
CALCULATION OF REGISTRATION FEE
<CAPTION>
Title of Proposed maximum Proposed maximum Amount of
securities being Amount being offering aggregate registration
registered registered price per unit (1) offering price (1) fee
- ---------- ---------- ------------------ ------------------ ---
<S> <C> <C> <C> <C>
Commercial Mortgage
Pass-Through Certificates,
Series 1996-1 ............ $1,000,000 100% $1,000,000 $344.83
<FN>
(1) Estimated solely for the purposes of calculating the registration fee.
</FN>
</TABLE>
------------------------------
The registrant hereby amends this registration statement on such date or
dates as may be necessary to delay its effective date until the registrant shall
file a further amendment which specifically states that this registration
statement shall thereafter become effective in accordance with Section 8(a) of
the Securities Act of 1933 or until the registration statement shall become
effective on such date as the Commission, acting pursuant to said Section 8(a),
may determine.
<TABLE>
CROSS REFERENCE SHEET
<CAPTION>
ITEM CAPTION IN PROSPECTUS
<S> <C> <C>
Item 1. Forepart of the Registration Outside Front Cover Page
Statement and Outside Front Cover
Page of Prospectus.
Item 2. Inside Front and Outside Back Inside Front and Outside Back Cover Pages
Cover Pages of Prospectus.
Item 3. Summary Information, Risk Factors Summary of Transaction; Summary of Terms;
and Ratio of Earnings to Fixed Risk Factors and Considerations;
Charges. Summary of Information in Underlying
Prospectus; Considerations in
Underlying Prospectus
Item 4. Determination of Offering Price. *
Item 5. Dilution. *
Item 6. Selling Security Holders. *
Item 7. Plan of Distribution. Underwriting
Item 8. Use of Proceeds. Use of Proceeds
Item 9. Selected Financial Data. *
Item 10. Management's Discussion and *
Analysis of Financial Condition
and Results of Operations.
Item 11. General Information as to The Depositor
Registrant.
Item 12. Policy with Respect to Certain Outside Front Cover Page; Description of
Activities. the Certificates;
Item 13. Investment Policies of Registrant. Outside Front Cover Page; Description of
the Certificates; Description of the
Mortgage Loans
Item 14. Description of Real Estate. Description of the Mortgage Loans;
Description of the Mortgage Loans in
Underlying Prospectus
Item 15. Operating Data. *
Item 16. Tax Treatment of Registrant and Certain Federal Income Tax Consequences
Its Security Holders.
Item 17. Market Price of and Dividends on *
the Registrant's Common Equity
and Related Stockholder Matters.
Item 18. Description of Registrant's Outside Front Cover Page; Risk Factors
Securities. and Considerations; Description
of the Certificates; Description of the
Mortgage Loans; Certain Federal Income
Tax Consequences
Item 19. Legal Proceedings. *
Item 20. Security Ownership of Certain *
Beneficial Owners and Management.
Item 21. Directors and Executive Officers. *
Item 22. Executive Compensation. *
Item 23. Certain Relationships and Related *
Transactions.
Item 24. Selection, Management and Custody Description of the Certificates;
of Registrant's Investments. Description of the Mortgage Loans;
Servicing of the Mortgage Loans
Item 25. Policies with Respect to Certain *
Transactions.
Item 26. Limitations of Liability. Description of the Certificates; The
Resolution Trust Corporation; Description
of the Certificates in Underlying
Prospectus; The Resolution Trust
Corporation in Underlying Prospectus
Item 27. Financial Statements and *
Information.
Item 28. Interests of Named Experts and *
Counsel.
Item 29. Disclosure of Commission Position *
on Indemnification for Securities
Act Liabilities.
<FN>
- ----------
* Not applicable or answer is in the negative
</FN>
</TABLE>
<PAGE>
Information contained herein is subject to completion. These securities
may not be sold nor may offers to buy be accepted prior to the time a
final prospectus is delivered. This prospectus supplement shall not
constitute an offer to sell or the solicitation of an offer to buy nor
shall there be any sale of these securities in any State in which such
offer, solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such State.
<PAGE>
PROSPECTUS
SUBJECT TO COMPLETION, DATED SEPTEMBER 25, 1996
$[____________] (Approximate)
LEHMAN STRUCTURED SECURITIES CORP.
Depositor
Commercial Mortgage Pass-Through Certificates, Series 1996-1
Commercial Mortgage Pass-Through Certificates, Series 1996-1 (the
"Certificates") will consist of three classes, Class E-1 and Class E-2
(collectively, the "Offered Certificates") and Class R (the "Class R
Certificate"). Only the Offered Certificates are being offered hereby. As set
forth herein, the Class E-2 Certificates will be subordinated to the Class E-1
Certificates. It is a condition to the issuance of the Offered Certificates that
the Class E-1 Certificates be rated "BBB" by Duff & Phelps Credit Rating Co.
("D&P"), and that the Class E-2 Certificates be rated "BB" by each of Standard &
Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("S&P"),
and D&P.
The Certificates will represent, in the aggregate, all of the beneficial
ownership interests in a trust (the "Trust") to be established by Lehman
Structured Securities Corp. (the "Depositor") pursuant to a Trust Agreement,
dated as of October 1, 1996, between the Depositor and State Street Bank and
Trust Company, as trustee (the "Trustee"). The primary assets of the Trust (the
"Trust Fund") will consist primarily of certain Resolution Trust Corporation
(the "RTC" and, together with its successors and assigns, the "Seller")
Commercial Mortgage Pass-Through Certificates, Series 1994-C1 (the "Underlying
Certificates"), Class E (the "Underlying Class E Certificates"), which
Underlying Class E Certificates represent [ ]% of the original Certificate
Principal Amount of Class E of the Underlying Certificates, with a current
principal balance of approximately $[__________] as of September 1, 1996 (the
"Information Date"). The Underlying Class E Certificates represent an interest
in a trust fund (the "Underlying Trust Fund"), the assets of which consist
primarily of adjustable and fixed rate, amortizing and balloon payment,
conventional mortgage loans secured by first liens on commercial real estate
properties, multifamily residential properties and mixed residential/commercial
properties and also includes mortgage loans secured by junior liens on such
types of properties (all such mortgage loans, the "Mortgage Loans"). The
Underlying Class E Certificates were acquired by the Depositor in secondary
market transactions at varying prices. The Underlying Class E Certificates are
currently rated "BB" by S&P and D&P. The primary credit support for the
Underlying Class E Certificates is (i) the right to draw on a reserve fund (the
"Reserve Fund") established by the RTC, (ii) the credit support provided by
subordination to the Underlying Class E Certificates of certificates ranking
lower in priority of payments and higher in priority of allocation of losses,
and (iii) the extent to which the current Scheduled Principal Balance of the
Mortgage Loans exceeds the Certificate Principal Amount of the Underlying
Certificates. The Certificates and the Underlying Class E Certificates do not
constitute obligations of the Depositor, the Trustee, the Seller, the RTC or any
depository institution for which the RTC has acted as conservator or receiver.
Neither the Certificates nor the Underlying Class E Certificates will be savings
accounts or deposits and are not insured or guaranteed by the Federal Deposit
Insurance Corporation, the Resolution Trust Corporation or any other
governmental agency or instrumentality.
Lehman Brothers, directly or through one or more of its affiliates, intends
to make a secondary market in the Offered Certificates but is under no
obligation to do so. (cover continued on next page)
<PAGE>
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE
SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION
PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
Prospective investors in the Offered Certificates should consider the
factors discussed under "Risk Factors" beginning on page 11.
- -------- ----------------------- ---------------------- ----------------------
Initial Certificate Certificate Final Scheduled
Class Principal Amount(1) Interest Rate Distribution Date(2)
- --------- ---------------------- ---------------------- ----------------------
Class E-1 $[ ] 7.995% June 25, 2026
Class E-2 $[ ] 7.995% June 25, 2026
(1) As of October 1, 1996 (approximate, based on estimated Certificate
Principal Amounts of the Underlying Certificates).
(2) Determined on the basis of the assumptions set forth herein.
The Offered Certificates will be purchased by Lehman Brothers Inc. or one
of its affiliates ("Lehman Brothers" or the "Underwriter") and will be offered
by Lehman Brothers from time to time in negotiated transactions or otherwise at
varying prices to be determined at the time of sale. The aggregate proceeds
(excluding accrued interest) to the Depositor from the sale of the Offered
Certificates will be approximately $[ ], before deduction of expenses payable by
the Depositor estimated to be approximately $[ ].
The Offered Certificates offered by this Prospectus are offered by Lehman
Brothers subject to prior sale, to withdrawal, cancellation or modification of
the offer without notice, to delivery to and acceptance by Lehman Brothers and
certain further conditions. It is expected that the Class E-2 Certificates will
be delivered in definitive form at the offices of Lehman Brothers, New York, New
York, and that the Class E-1 Certificates will be delivered in book-entry form
through the Same-Day Funds Settlement System of The Depository Trust Company, in
each case on or about October [ ], 1996.
LEHMAN BROTHERS
OCTOBER [ ], 1996
<PAGE>
(cover continued from previous page)
The Offered Certificates will bear interest at the rate per annum (the
"Certificate Interest Rate") set forth on the cover hereof. Interest on the
Offered Certificates will be payable each month on the 25th day of the month (or
the next succeeding Business Day if such 25th day is not a Business Day), which
is the same day on which distributions on the Underlying Class E Certificates
are scheduled to be made (each such date, a "Distribution Date"), commencing
November 25, 1996. Interest will accrue on the Offered Certificates from the
first day of the month preceding the month in which the related Distribution
Date occurs through the last day of such preceding month (each such period, the
"Certificate Interest Accrual Period"), which is the same period over which the
Underlying Class E Certificates will accrue interest. Principal payments on the
Offered Certificates will be made in the amounts and in accordance with the
priorities described herein.
An election will be made to treat the Trust Fund as a "real estate mortgage
investment conduit" (a "REMIC" and, with respect to the Trust Fund, the "Trust
REMIC") for federal income tax purposes. The Offered Certificates will be
designated as "regular interests" and the Class R Certificate will be designated
as the "residual interest" in the Trust REMIC. See "CERTAIN FEDERAL INCOME TAX
CONSEQUENCES."
The transferability of the Offered Certificates is subject to certain
limitations. See "DESCRIPTION OF THE CERTIFICATES -- Restrictions on the
Transfer of the Certificates."
Until ninety days after the date of this Prospectus, all dealers effecting
transactions in the Offered Certificates, whether or not participating in this
distribution, may be required to deliver a Prospectus. This is in addition to
the obligation of dealers acting as underwriters to deliver the Prospectus with
respect to their unsold allotments or subscriptions.
<PAGE>
SUMMARY OF TRANSACTION
The Offered Certificates being offered hereby will evidence the beneficial
ownership interests in the Trust, the assets of which consist of a ___% portion
of a single class of certificates entitled Commercial Mortgage Pass-Through
Certificates, Series 1994-C1, Class E, issued on September 29, 1994, by the
Resolution Trust Corporation. Principal distributed on the Underlying Class E
Certificates (other than with respect to Excess Interest) on each Distribution
Date will be applied first to pay principal on the Class E-1 Certificates, until
such Class E-1 Certificates have been paid in full, and then to pay principal on
the Class E-2 Certificates, until such Class E-2 Certificates have been paid in
full. Principal distributed on the Underlying Class E Certificates resulting
from Excess Interest on any such Distribution Date will be applied to pay
principal on the Class E-1 Certificates and the Class E-2 Certificates, pro
rata.
The Class E-1 Certificates will be assigned a rating of "BBB" by D&P, and
the Class E-2 Certificates will be assigned a rating of "BB" by D&P and S&P (the
"Rating Agencies"). In certain instances, the owner of the Reserve Fund (which
as of the Information Date is the Seller) is permitted, pursuant to the terms of
the Collateral Security Agreement (as defined in the Underlying Prospectus), to
obtain a release of funds on deposit in the Reserve Fund, provided and only to
the extent that any such release does not result in a downgrade of the
Underlying Certificates to a rating level below the initial ratings assigned to
such Underlying Certificates (as indicated below). Amounts released from the
Reserve Fund to the owner of the Reserve Fund would not be recoverable from such
owner once they have been released, and therefore would not be available to
holders of the Underlying Certificates to cover losses. The Depositor has been
advised by the Rating Agencies that (i) their rating of the Offered Certificates
is and will be based on the assumption that the owner of the Reserve Fund will
obtain, from time to time, a release of funds from the Reserve Fund and (ii)
accordingly, since the Underlying Certificates have current ratings equal to
their initial ratings, any such release to such owner will not, solely based on
such release, result in a downgrade or other qualification of the rating of the
Offered Certificates by either of the Rating Agencies to the extent that such
Offered Certificates are then rated by such Rating Agency.
Because an investor in the Certificates will receive all of its payments
from distributions in respect of the Underlying Class E Certificates, the
following table has been prepared to give such investors updated information on
the status of the Resolution Trust Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1994-C1 transaction (the "Underlying Transaction") as of
the Information Date:
<TABLE>
<CAPTION>
Underlying Initial Ratings Current Ratings Pass Through Information Date
Class S&P/D&P S&P/D&P Rate Original Balance Balance
- -------------- --------------- --------------- ------------- ---------------- -----------------
<S> <C> <C> <C> <C> <C>
A-1 AAA/AAA AAA/AAA LIBOR + 0.45%* $141,209,000 [ ]
A-2A AAA/AAA AAA/AAA 6.80% $35,772,000 $0
A-2B AAA/AAA AAA/AAA 7.45% $23,155,000 [ ]
A-2C AAA/AAA AAA/AAA 7.45% $129,291,000 [ ]
A-3 AAA/AAA AAA/AAA LIBOR + 0.55%* $341,663,000 [ ]
A-4 AAA/AAA AAA/AAA 7.25% $68,714,000 $0
B AA/AA+ AA/AA+ 8.00% $56,905,000 [ ]
C A/AA A/AA 8.00% $102,428,000 [ ]
D BBB/A BBB/A 8.00% $68,286,000 [ ]
E BB/BB BB/BB 8.00% $125,190,000 [ ]
F B/BB- B/BB- 8.00% $45,524,000 [ ]
------------
$1,138,137,000 [ ]
<FN>
- --------------------------------
* One month LIBOR calculated in the manner set forth in the Underlying
Prospectus under "DESCRIPTION OF THE CERTIFICATES -- Distributions --
Determination of LIBOR" plus 45 or 55 basis points, as applicable, per annum,
such total amount subject to a cap of 13% per annum.
</FN>
</TABLE>
In addition, the following information about the Underlying Certificates,
the Mortgage Loans and the Reserve Fund is provided as of the Information Date:
<TABLE>
<CAPTION>
Underlying Information Percentage
Closing Date Date Change Change
------------ ----------- ------ ----------
<S> <C> <C> <C> <C>
Balance of the Underlying Certificates $1,138,137,000 $[ ] $[ ] [ ]%
Principal Balance of the Underlying Mortgage Loans $1,138,319,146 $[ ] $[ ] [ ]%
Balance of the Reserve Fund* $294,333,118 $[ ] $[ ] [ ]%
Reserve Fund Balance** 25.9% %
Certificate Principal Amount of Underlying Class F 4.0% % % %
Certificates**
Overcollateralization of the Mortgage Pool** 0.0% % % %
Total Credit Support for Underlying Class E Certificates** 29.9% % % %
<FN>
- --------------------------------
* For a description of the permitted investments of the Reserve Fund, see
"DESCRIPTION OF THE CERTIFICATES -- Reserve Fund -- General" in the
Underlying Prospectus.
** Credit Support for the Underlying Class E Certificates consists of the
available funds in the Reserve Fund, the outstanding principal balance of
the Class F Certificates (as defined in the Underlying Prospectus) and the
amount of overcollateralization of the Mortgage Pool and is expressed as a
percentage of the principal balance of the Underlying Certificates.
</FN>
</TABLE>
For information concerning the level of delinquencies on the Mortgage
Loans, investors are urged to review "SERVICING OF THE MORTGAGE LOANS--
Delinquency Experience" herein.
For additional information regarding the terms and structure of the
Underlying Transaction, see the Prospectus relating to the Underlying
Transaction, attached hereto as Annex A. The prospectus relating to the
Underlying Transaction speaks only as of September 26, 1994, and information
included therein is not current. Prospective investors should refer to this
Prospectus for more current information.
<PAGE>
SUMMARY OF TERMS
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus and in the
prospectus relating to the RTC Commercial Mortgage Pass-Through Certificates,
Series 1994-C1 (the "Underlying Prospectus," annexed hereto as Annex A) pursuant
to which the Underlying Class E Certificates were issued. Capitalized terms used
but not defined herein have the meanings assigned in the text of this
Prospectus, including the Underlying Prospectus attached hereto as Annex A. See
"INDEX OF PRINCIPAL TERMS" herein and "GLOSSARY" in the Underlying Prospectus.
Information on the Mortgage Loans contained herein is based upon publicly
available information, including, in particular, information contained in the
Underlying Prospectus, reports to holders of the Underlying Class E Certificates
(the "Underlying Certificateholders") which will include the Trust, reports of
the Master Servicer and Underlying Trustee and other reports regarding the
Mortgage Loans made available publicly or to holders of the Underlying
Certificates (including the Underlying Class E Certificates). The Depositor has
not independently confirmed, and makes no representation, that the information
presented in such Underlying Prospectus or in such other reports is accurate or
complete. Furthermore, the Underlying Prospectus speaks only as of September 26,
1994, and information included therein is not current. Prospective investors
should refer to this Prospectus for more current information.
SUMMARY OF TERMS
Depositor.................. Lehman Structured Securities Corp. (the
"Depositor"). The Depositor's principal offices
are located at 200 Vesey Street, New York, New
York 10285, telephone (212) 526-5594. See "THE
DEPOSITOR" herein.
Certificates............... Commercial Mortgage Pass-Through Certificates,
Series 1996-1, in the Classes and approximately in
the initial Certificate Principal Amounts set
forth on the cover page of this Prospectus (the
"Certificates"). The Certificates will consist of
three classes (each, a "Class"), Class E-1 and
Class E-2 (the "Offered Certificates") and Class R
(the "Class R Certificate"). The initial
Certificate Principal Amount of each Class of the
Offered Certificates may vary from the amount set
forth on the cover page hereof by up to 10%. The
Class R Certificate is not being offered hereby.
See "DESCRIPTION OF THE CERTIFICATES" herein.
The Offered Certificates will be subject to
certain transfer restrictions. See "DESCRIPTION OF
THE CERTIFICATES -- Restrictions on the Transfer
of the Certificates" herein.
The Certificates will evidence, in the aggregate,
all of the beneficial ownership interests in a
trust (the "Trust") the corpus of which (the
"Trust Fund") will consist primarily of the
Underlying Class E Certificates. The Certificates
will be issued by the Trust pursuant to a Trust
Agreement to be dated as of October 1, 1996 (the
"Trust Agreement"), between the Depositor and the
Trustee (as defined herein). See "DESCRIPTION OF
THE CERTIFICATES -- The Trust Fund" herein.
Trust Fund................. The assets in the Trust Fund will consist
primarily of Resolution Trust Corporation (the
"RTC" and, together with its successors and
assigns, the "Seller") Commercial Mortgage
Pass-Through Certificates, Series 1994-C1, Class E
(the "Underlying Class E Certificates")
representing a portion of Class E of the
Underlying Certificates with a current principal
balance of approximately $[__________] as of
September 1, 1996 (the "Information Date"). The
Underlying Class E Certificates represent an
interest in a trust fund (the "Underlying Trust
Fund"), the assets of which consist primarily of a
pool (the "Mortgage Pool") of adjustable and fixed
rate, amortizing and balloon payment, conventional
mortgage loans secured by first liens on
commercial real estate properties, multifamily
residential properties and mixed residential/
commercial properties and mortgage loans secured
by junior liens on such types of properties (all
such mortgage loans, the "Mortgage Loans").
Midland Data Systems, Inc. and Banc One Management
and Consulting Corporation act as Master Servicer
(the "Master Servicer") and Special Servicer (the
Special Servicer"), respectively, of the Mortgage
Loans, and State Street Bank and Trust Company is
the trustee (the "Underlying Trustee") with
respect to the Underlying Transaction. A brief
summary of the Underlying Certificates is included
above under "Summary of Transaction." For further
information regarding the Underlying Certificates,
see the Underlying Prospectus attached hereto.
The Underlying Class E Certificates were issued on
September 29, 1994 with an original Certificate
Principal Amount of $[ ], which amount constituted
[ ]% of the entire Class when issued.
The Mortgage Loans(1)...... As of the Information Date the Mortgage Pool
consisted of approximately [ ] Mortgage Loans with
an approximate aggregate Scheduled Principal
Balance of $[ ]. Based on the information in the
Underlying Prospectus, substantially all of the
Mortgage Loans are not insured or guaranteed by
any governmental entity or private mortgage
insurer. The Mortgage Loans are secured by first
liens (or: (i) with respect to [ ] Mortgage Loans
with an aggregate Scheduled Principal Balance of
approximately $[ ] representing approximately [ ]%
of the Mortgage Pool by Scheduled Principal
Balance as of the Information Date, by second
liens on Mortgaged Properties with respect to
which the related first liens are not included in
the Mortgage Pool; (ii) with respect to [ ]
Mortgage Loans with an aggregate Scheduled
Principal Balance of approximately $[ ]
representing approximately [ ]% of the Mortgage
Pool by Scheduled Principal Balance as of the
Information Date, by third liens on Mortgaged
Properties with respect to which the related first
and second liens are not included in the Mortgage
Pool; and (iii) with respect to [ ] Mortgage Loans
with an aggregate Scheduled Principal Balance of
approximately $[ ] representing approximately [ ]%
of the Mortgage Pool by Scheduled Principal
Balance as of the Information Date, by liens on
Mortgaged Properties for which the lien position
is unknown) on fee simple or leasehold interests
in multifamily residential properties, office
buildings, retail buildings, warehouses, hotels
and motels, industrial buildings and a variety of
other commercial properties located in
approximately [ ] states and the District of
Columbia.
- ----------
(1) Statistical information on the Mortgage Loans included in this Prospectus is
as of the Information Date (September 1, 1996). The Underlying Certificates will
be transferred to the Trust as of the Cut-Off Date (October 1, 1996), however,
and accordingly the information with respect to the Mortgage Loans is expected
to vary on the Cut-Off Date from the information presented herein due to
scheduled principal payments, prepayments, negative amortization, losses and
other factors.
<PAGE>
The Mortgage Loans are divided into four Mortgage
Loan Groups on the basis of interest rate and type
of underlying Mortgaged Properties.
Mortgage Loan Groups 1 and 2 consist of Mortgage
Loans secured by first liens (or by junior liens
where all related senior liens secure Mortgage
Loans included in the related Mortgage Loan Group)
on multifamily residential properties ("Eligible
Multifamily Mortgage Loans").
Mortgage Loan Group 1 consists of Mortgage Loans
having Mortgage Interest Rates (the rate at which
interest accrues on each Mortgage Loan) which are
adjustable and generally subject to minimum
interest rates ("Floor Interest Rates") lower than
those of the adjustable rate Group 2 Mortgage
Loans or no Floor Interest Rates. All of the Group
1 Mortgage Loans are Eligible Multifamily Mortgage
Loans. As of the Information Date, the [ ]
Mortgage Loans in Mortgage Loan Group 1 had an
approximate aggregate Scheduled Principal Balance
of $[ ], a weighted average Mortgage Interest Rate
of approximately [ ]% per annum and a weighted
average remaining term to stated maturity of
approximately [ ] years. Approximately [ ]% of the
Group 1 Mortgage Loans, by Scheduled Principal
Balance as of the Information Date, are not fully
amortizing over their terms to maturity.
Mortgage Loan Group 2 consists of Mortgage Loans
having Mortgage Interest Rates which are fixed
(or, in limited cases, which increase or decrease
by fixed amounts after the Cut-Off Date relating
to the Underlying Transaction (the "Underlying
Cut-Off Date") on a predetermined schedule) and
Mortgage Loans having Mortgage Interest Rates
which are adjustable, but subject to a Floor
Interest Rate of at least 8.375% per annum. Based
on the information in the Underlying Prospectus,
all of the Group 2 Mortgage Loans are Eligible
Multifamily Mortgage Loans. As of the Information
Date, the [ ] Mortgage Loans in Mortgage Loan
Group 2 had an approximate aggregate Scheduled
Principal Balance of $[ ], a weighted average
Mortgage Interest Rate of approximately [ ]% per
annum and a weighted average remaining term to
stated maturity of approximately [ ] years.
Approximately [ ]% of the Group 2 Mortgage Loans,
by Scheduled Principal Balance as of the
Information Date, are not fully amortizing over
their terms to maturity.
Mortgage Loan Group 3 consists of Mortgage Loans
having Mortgage Interest Rates which are
adjustable and generally subject to Floor Interest
Rates lower than those of the adjustable rate
Group 4 Mortgage Loans or no Floor Interest Rates.
As of the Information Date, the [ ] Mortgage Loans
in Mortgage Loan Group 3 had an approximate
aggregate Scheduled Principal Balance of $[ ], a
weighted average Mortgage Interest Rate of
approximately [ ]% per annum and a weighted
average remaining term to stated maturity of
approximately [ ] years. Approximately [ ]% of the
Group 3 Mortgage Loans, by Scheduled Principal
Balance as of the Information Date, are not fully
amortizing over their terms to maturity.
Mortgage Loan Group 4 consists of Mortgage Loans
having Mortgage Interest Rates which are fixed
(or, in limited cases, which increase or decrease
by fixed amounts after the Information Date on a
predetermined schedule) and Mortgage Loans having
Mortgage Interest Rates which are adjustable, but
subject to a Floor Interest Rate of at least
8.375% per annum. As of the Information Date, the
[ ] Mortgage Loans in Mortgage Loan Group 4 had an
approximate aggregate Scheduled Principal Balance
of $[ ], a weighted average Mortgage Interest Rate
of approximately [ ]% per annum and a weighted
average remaining term to stated maturity of
approximately [ ] years. Approximately [ ]% of the
Group 4 Mortgage Loans, by Scheduled Principal
Balance as of the Information Date, are not fully
amortizing over their terms to maturity.
Reserve Fund..................The Underlying Certificates have the benefit of
the Reserve Fund as credit enhancement. The
Reserve Fund itself, however, is not an asset of
the Underlying Trust. See "DESCRIPTION OF THE
CERTIFICATES -- Reserve Fund" in the Underlying
Prospectus. For description of the permitted
investments of the Reserve Fund, see "DESCRIPTION
OF THE CERTIFICATES -- Reserve Fund -- General"
in the Underlying Prospectus.
Interest......................On each Distribution Date (as defined below),
distributions in respect of interest will be made
to holders of each Class of the Offered
Certificates, to the extent of funds available
therefor, in accordance with the payment
priorities set forth in "Description of the
Certificates-- Priorities of Distribution" herein,
in an amount equal to interest accrued during the
preceding calendar month (each, a "Certificate
Interest Accrual Period"), net of any Deferred
Interest allocated to such Class as described
below. Interest will accrue on the Offered
Certificates during the same period as on the
Underlying Class E Certificates. Interest will
accrue on the Offered Certificates with respect to
each Distribution Date on its outstanding
certificate principal amount immediately prior to
such Distribution Date at the rate per annum (the
"Certificate Interest Rate") for each such Class
of 7.995%. Distributions of interest to the
holders of the Offered Certificates
("Certificateholders" or "Holders") will be
reduced by the amount of Deferred Interest
allocated to the Underlying Class E Certificates,
and such Deferred Interest will be allocated first
to the Class E-2 Certificates and then to the
Class E-1 Certificates as more fully set forth
under "DESCRIPTION OF THE CERTIFICATES -- Interest
on the Certificates" herein. The amount of any
Deferred Interest allocated to a Class of the
Offered Certificates will be added to the
Certificate Principal Amount thereof. "Deferred
Interest" means, with respect to any Mortgage
Loan, the excess of (x) interest accrued on such
Mortgage Loan at the annual rate at which interest
accrues on the principal balance of such Mortgage
Loan (the "Mortgage Interest Rate") over (y)
accrued interest due on such Mortgage Loan at the
rate at which interest is paid on such Mortgage
Loan (the "Payment Rate"). Interest on the Offered
Certificates will be calculated on the basis of a
360-day year consisting of twelve thirty-day
months. No interest will accrue on the Class R
Certificate.
Interest will accrue on the Class E-1 Certificates
and the Class E-2 Certificates beginning October
1, 1996 and be distributed on each Distribution
Date commencing November 25, 1996.
Principal.................. The amount of principal distributed on the Offered
Certificates on each Distribution Date will equal
the amount of principal distributed on the
Underlying Class E Certificates on each
Distribution Date. Principal distributed on the
Underlying Class E Certificates (other than with
respect to principal distributions which are paid
to the Underlying Class E Certificates from
interest on the Mortgage Loans due to the accrual
of interest on the Mortgage Loans, net of
servicing and trustee fees, in excess of interest
accrued on the Underlying Certificates (such
amounts, "Excess Interest")) on each Distribution
Date will be applied first to pay principal on the
Class E-1 Certificates, until such principal
amount has been paid in full, and then to pay
principal on the Class E-2 Certificates, until
such Class E-2 Certificates have been paid in
full. Principal distributed on the Underlying
Class E Certificates resulting from Excess
Interest on any such Distribution Date will be
applied to pay principal on the Class E-1
Certificates and the Class E-2 Certificates, pro
rata, determined after all other distributions of
principal on such Distribution Date. Distributions
of Excess Interest are made on the Underlying
Certificate only from available funds remaining
after making all other required distributions on
the Underlying Certificates (including the class
subordinate to the Underlying Class E
Certificates) and making any required deposit in
the Reserve Fund to restore it to the Liquidity
Amount or, subject to certain limitations, to
reimburse it for previous Basis Risk Reserve Fund
Draw Amounts. At any such time as the certificate
principal amounts of the Class E-1 Certificates
and the Class E-2 Certificates is equal to zero,
payments of principal made with respect to the
Underlying Class E Certificates will be
distributed to the Class R Certificate.
Denominations; Form.......... The Class E-1 Certificates will be issued in fully
registered form in original denominations of
$100,000 and integral multiples of $1,000 in
excess thereof. The Class E-2 Certificates will be
issued in fully registered certificated form in
original denominations of $250,000 and integral
multiples of $1,000 in excess thereof. The Class
E-1 Certificates initially will be issued in
book-entry form and initially will be represented
by one or more physical certificates registered in
the name of Cede & Co., as the nominee of The
Depository Trust Company ("DTC"). No person
acquiring an interest in any Class E-1 Certificate
(a "Class E-1 Certificate Owner") will be entitled
to receive a fully registered physical certificate
(a "Definitive Certificate") representing such
person's interest in the Trust Fund, except in the
event that Definitive Certificates are issued
under the limited circumstances described herein.
All references herein to Certificateholders and
their rights shall include the rights of Class E-1
Certificate Owners, as such rights may be
exercised through DTC and its participating
organizations, except as otherwise specified
herein. See "DESCRIPTION OF THE CERTIFICATES--
Book-Entry Certificates."
Information Date........... September 1, 1996 (the "Information Date").
Cut-Off Date............... October 1, 1996 (the "Cut-Off Date").
Closing Date............... On or about October [ ], 1996 (the "Closing
Date").
Record Date................ The record date for the Certificates (the "Record
Date") for each Distribution Date will be the
close of business on the last Business Day of the
month immediately preceding the month in which
such Distribution Date occurs, or, for the first
Distribution Date, the Closing Date.
Distribution Date.......... A distribution date (each, a "Distribution Date")
will be, for each month, the 25th day of the month
or, if such 25th day is not a Business Day, the
next succeeding Business Day commencing November
25, 1996. Distributions on the Certificates are
made on the same day as distribution on the
Underlying Class E Certificates.
Trustee.................... State Street Bank and Trust Company. As
compensation for its services, the Trustee will be
entitled to a trustee fee (the "Trustee Fee")
payable on each Distribution Date at a per annum
rate of 0.005% on the aggregate principal balance
of the Certificates. The Trustee Fee will be paid
solely from interest collected on the Underlying
Class E Certificates and will be paid prior to
distributions to Certificateholders.
<PAGE>
Final Scheduled
Distribution Date.......... June 25, 2026, which is the Final Scheduled
Distribution Date for the Underlying Class E
Certificates.
Use of Proceeds............. The Depositor will apply substantially all of the
net proceeds from the sale of the Offered
Certificates to the purchase of the Underlying
Class E Certificates and the payment of expenses
incurred in connection with the issuance and
underwriting of the Offered Certificates.
Optional Termination....... With respect to the Underlying Class E
Certificates, on or after any Distribution Date on
which the principal balance of the Underlying
Certificates is less than 10% of the respective
initial principal balances of such Underlying
Certificates, the Master Servicer, the Servicer
(if it is then servicing all of the Mortgage Loans
remaining in the Underlying Trust Fund), the owner
of the Reserve Fund or of the Class R Certificates
issued in connection with the Underlying
Transaction (the "Underlying Class R
Certificates") will have the option to purchase,
in whole, the assets of the Underlying Trust Fund.
Any such purchase would result in the termination
of the Underlying Trust Fund and the early
retirement of the Underlying Class E Certificates
and thus the termination of the Trust Fund and the
early retirement of the Certificates. No separate
provisions have been made for the optional
termination of the Certificates.
Certain Federal Income Tax
Consequences.............. An election will be made to treat the Trust Fund
as a real estate mortgage investment conduit (a
"REMIC", and with respect to the Trust Fund, the
"Trust REMIC"). The Class E-1 Certificates and
Class E-2 Certificates (the "Regular
Certificates") will be designated as the "regular
interests" in the Trust REMIC and the Class R
Certificate will be designated as the "residual
interest" in the Trust REMIC.
The Regular Certificates generally will be treated
as newly originated debt instruments issued by the
Trust REMIC for federal income tax purposes.
Beneficial owners of the Regular Certificates will
be required to report income thereon in accordance
with the accrual method of accounting. As a
result, beneficial owners will be required to
report interest income unless it reasonably
appears, at the time such interest otherwise would
be earned, that such interest will be
uncollectible, but may be required to report
original issue discount ("OID") as income until
the Regular Certificate is disposed of or becomes
partially or wholly worthless under the bad debt
rules. It is anticipated that the Class E-1
Certificates and Class E-2 Certificates will be
issued with OID in an amount equal to the excess
of the initial principal balances thereof (plus
___ days of interest at the Certificate Interest
Rate) over their respective issue prices
(including accrued interest).
See "CERTAIN FEDERAL INCOME TAX CONSEQUENCES."
Transfer Restrictions on the
Certificates.......... Each purchaser of Class E-1 Certificates
(including beneficial owners thereof) will be
deemed to have represented to the Trustee (a) that
it is not an employee benefit plan or other
retirement arrangement subject to the fiduciary
responsibility provisions of the Employee
Retirement Income Security Act of 1974, as amended
("ERISA"), or Section 4975 of the Internal Revenue
Code of 1986, as amended (the "Code"), or a
governmental plan (as defined in Section 3(32) of
ERISA) subject to any federal, state, or local law
("Similar Law") which is, to a material extent,
similar to the foregoing provisions of ERISA and
the Code (collectively, a "Plan"), and is not
acting on behalf of a Plan or using the assets of
a Plan to acquire such Certificates; or (b) if it
is an insurance company, that the purchase and
holding of Class E-1 Certificates or any interest
therein is exempt from the prohibited transaction
provisions of ERISA and the Code under Prohibited
Transaction Class Exemption 95-60.
The Class E-2 Certificates may only be transferred
to a purchaser who certifies to the Trustee that
such proposed purchaser or transferee (a) is
either (i) not a Plan or a person acting on behalf
of a Plan or using the assets of a Plan to acquire
such Certificates or (ii) is an insurance company
and the purchase and holding of Class E-2
Certificates is exempt from the prohibited
transaction provisions of ERISA and the Code under
Prohibited Transaction Class Exemption 95-60; and
(b) is (i) an institution that is an "accredited
investor" as defined in paragraphs (1), (2), (3)
and (7) of rule 501(a) under the Securities Act of
1933, as amended (the "Act") (or any entity in
which all of the equity owners come within such
paragraphs), (ii) a "qualified institutional
buyer" as defined in rule 144A under the Act
("Qualified Institutional Buyer"), or (iii) is a
person (other than any rating agency rating the
Depositor's securities) involved in the
organization or operation of the Depositor or an
"affiliate", as defined in rule 405 under the Act.
See "DESCRIPTION OF THE CERTIFICATES --
Restrictions on the Transfer of the Certificates."
Legal/Investment........... The Offered Certificates do not constitute
"mortgage related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of 1984
("SMMEA"). The appropriate characterization of the
Offered Certificates under various legal
investment restrictions, and thus the ability of
investors subject to these restrictions to
purchase the Offered Certificates, may be subject
to significant interpretive uncertainties. All
investors whose investment authority is subject to
legal restrictions should consult their own legal
advisors to determine whether, and to what extent,
the Offered Certificates will constitute legal
investments for them. Prospective investors in the
Offered Certificates should consult their own
legal, tax and accounting advisors in determining
the suitability of and consequences to them of the
purchase, ownership and disposition of the Offered
Certificates. See "LEGAL INVESTMENT
CONSIDERATIONS."
ERISA Considerations....... Under current law, the purchase and holding of the
Offered Certificates by or on behalf of any Plan
may result in a "prohibited transaction" within
the meaning of ERISA, the Code or Similar Law.
Consequently, each purchaser or transferee of the
Class E-1 Certificates will be deemed to have made
certain representations, and purchasers and
transferees of the Class E-2 Certificates will be
required to deliver a certification, both as more
fully described under "Restrictions on the
Transfer of the Certificates" herein.
Rating..................... It is a condition to the issuance of the Offered
Certificates that the Class E-1 Certificates be
rated "BBB" by Duff & Phelps Credit Rating Co.
("D&P"), and that the Class E-2 Certificates be
rated "BB" by D&P and Standard & Poor's Ratings
Services, a division of The McGraw-Hill Companies,
Inc. ("S&P") (D&P and S&P are collectively
referred to as the "Rating Agencies").
A security rating addresses the likelihood of the
receipt by Certificateholders of all distributions
to which such Certificateholders are entitled. The
rating takes into consideration the
characteristics of the Offered Certificates, the
characteristics of the Underlying Class E
Certificates and the characteristics of the
Mortgage Loans, as well as the structural and
legal aspects associated with the Offered
Certificates. Each security rating assigned to the
Offered Certificates should be evaluated
independently of any other security rating.
A security rating is not a recommendation to buy,
sell or hold securities and may be subject to
revision or withdrawal at any time by the
assigning rating agency. In addition, a security
rating does not address the likelihood or
frequency of prepayments on the Offered
Certificates as a result of prepayments on the
Mortgage Loans, or the corresponding effect on
yield to investors in the Offered Certificates.
The terms of the instrument establishing the
Reserve Fund permits the owner thereof to request
and to obtain a release of funds in certain
instances, provided that the ratings of the
Underlying Certificates will not, as a result of
such release or otherwise, be rated lower than the
initial ratings assigned to such Underlying
Certificates.
The Depositor has been advised by the Rating
Agencies that (i) their rating of the Offered
Certificates is and will be based on the
assumption that the owner of the Reserve Fund will
obtain, from time to time, a release of funds from
the Reserve Fund and (ii) accordingly, since the
Underlying Certificates have current ratings equal
to their initial ratings, any such release to such
owner will not, solely based on such release,
result in a downgrade or other qualification of
the rating of the Offered Certificates by either
of the Rating Agencies to the extent that such
Offered Certificates are then rated by such Rating
Agency.
RTC Representations;
RTC Guarantee of Seller
Representations........... The RTC, with respect to Mortgage Loans for which
it has acted as Seller in its corporate capacity,
has made certain representations and warranties
and has given certain indemnities to the
Underlying Trust Fund. In addition, the RTC, with
respect to Mortgage Loans for which it has not
acted as Seller in its corporate capacity, has
guaranteed the obligations of the seller of such
Mortgage Loans into the Underlying Trust Fund to
make indemnification payments or to repurchase
affected Mortgage Loans in the event of breaches
of representations and warranties made by such
seller regarding, among other representations,
certain characteristics of the Mortgage Loans, or
to cure such breaches. See "DESCRIPTION OF THE
MORTGAGE LOANS -- Representations and Warranties"
in the Underlying Prospectus.
Pursuant to the RTC Completion Act, the RTC was
terminated as of December 31, 1995, and the FSLIC
Resolution Fund (the "FRF") has assumed all of the
RTC's assets and liabilities, including the
obligations of the RTC as Seller. See "THE
RESOLUTION TRUST CORPORATION" herein.
For a summary of the terms of the Underlying Certificates see "SUMMARY OF
INFORMATION" in the Underlying Prospectus, attached hereto as Annex A.
RISK FACTORS
1. Limited Liquidity. There is currently no market for the Offered
Certificates, and no listing on any securities exchange or other arrangement for
secondary market trading of the Offered Certificates is being made. While the
Underwriter has advised that it (or its affiliates) intends to make a secondary
market in the Offered Certificates, it is under no obligation to do so.
Accordingly, there can be no assurance that such a market will develop or, if it
does develop, that it will provide holders of such Offered Certificates with
liquidity of investment or continue for the life of the Offered Certificates.
2. Draws on the Reserve Fund; Permitted Release of Funds in Reserve Fund;
Impact on Ratings. In certain instances the owner of the Reserve Fund
(currently, the FDIC) is permitted, pursuant to the terms of the Collateral
Security Agreement (as defined in the Underlying Prospectus), to obtain a
release of certain funds on deposit in the Reserve Fund, provided that any such
release does not result in a downgrade of the Underlying Certificates to a
rating level below the initial ratings assigned to such Underlying Certificates.
Amounts released from the Reserve Fund to the owner of the Reserve Fund would
not be recoverable from such owner once they have been released, and therefore
would not be available to holders of the Underlying Certificates to cover
losses. The Depositor has been advised by the Rating Agencies that (i) their
rating of the Offered Certificates is and will be based on the assumption that
the owner of the Reserve Fund will obtain, from time to time, a release of funds
from the Reserve Fund and (ii) accordingly, since the Underlying Certificates
have current ratings equal to their initial ratings, any such release to such
owner will not, solely based on such release, result in a downgrade or other
qualification of the Offered Certificates by either of the Rating Agencies to
the extent that such Offered Certificates are then rated by such Rating Agency.
3. Subordination of Underlying Class E Certificates to the Other Underlying
Certificates Issued by the RTC. The Underlying Class E Certificates, which are
the sole source of payments on the Certificates, are subordinated in right of
distributions to the Class A-1, Class A-2A, Class A-2B, Class A-2C, Class A-3,
Class A-4, Class B, Class C and Class D Certificates (all as defined in the
Underlying Prospectus). In addition, the sources of credit support for the
Underlying Class E Certificates are the right to draw on the Reserve Fund as
well as the subordination of the Class F Certificates (as defined in the
Underlying Prospectus) and the overcollateralization of the Mortgage Pool, which
may not fully protect the Underlying Class E Certificates, and consequently the
Certificates, from losses allocated as a result of realized losses on the
Mortgage Loans. For an indication of the current credit support afforded to the
Underlying Class E Certificates from the Reserve Fund, the Class F Certificates
and overcollateralization of the Mortgage Pool, see "SUMMARY OF TRANSACTION"
herein.
4. Subordination of the Class E-2 Certificates to the Class E-1
Certificates. The rights of the holders of the Class E-2 Certificates to receive
distributions with respect to the Underlying Class E Certificates will be
subordinated to the rights of the Class E-1 Certificateholders to the extent
described herein. The subordination is intended to enhance the likelihood of
regular receipt by the Class E-1 Certificateholders of the full amount of
monthly distributions due to them and to protect the Class E-1
Certificateholders against losses.
5. Variability in Weighted Average Life and Yield of Offered Certificates.
The payment experience on the Mortgage Loans (including payment of principal and
Excess Interest) will affect the actual payment experience on and the weighted
average lives of the Underlying Certificates and, accordingly, the weighted
average lives and yields of the Offered Certificates. Pursuant to the terms of
the Underlying Certificates, principal is distributed on Underlying Certificates
both from principal payable on the Mortgage Loans and from Excess Interest
(generally, the difference between interest accrued on the Mortgage Loans, net
of servicing and trustee fees, and interest accrued on the Underlying
Certificates). Prepayments on the Mortgage Loans (including prepayments
resulting from modifications, defaults or liquidations or repurchases due to
certain breaches of the Seller's representations and warranties) and other
principal payments (including Balloon Payments) on the Mortgage Loans allocated
to the Underlying Class E Certificates are generally applied first to classes of
the Underlying Certificates that are senior to the Underlying Class E
Certificates and are therefore not applied to payment of principal of the
Underlying Class E Certificates until the certificate principal balance of all
senior classes of Underlying Certificates has been reduced to zero. Excess
Interest, however, is required to be distributed to classes of the Underlying
Certificates (after payment in full of all other amounts due to holders of
Underlying Certificates, payment of applicable expenses, and deposits into the
Reserve Fund to restore it to the Liquidity Amount or, subject to certain
limitations, to reimburse it for previous Basis Risk Reserve Fund Draw Amounts,
if any) in the following ratios: Class D 20%, Class E 50% and Class F 30% and,
after the principal balance of any such class has been reduced to zero, the
portion attributable to such class sequentially to Class C, Class D, Class E,
and Class F and then to more senior classes. Accordingly, 50% (or more in cases
described in the preceding sentence) of Excess Interest available for
distribution is required to be applied to the Underlying Class E Certificates as
distributions of principal, and will be applied to the Class E-1 and Class E-2
Certificates pro rata. Accordingly, the rate of principal payments (including
prepayments) on the Mortgage Loans, and the amount of principal distributions on
the Underlying Certificates attributable to Excess Interest, will have a
significant impact on the weighted average lives and maturities, and may have a
significant impact on the yield, of the Certificates. See "Yield, Prepayment and
Maturity Considerations" herein.
6. Delinquency and Historic Loss Information for Mortgage Loans. Investors
in the Offered Certificates are urged to review the delinquency and realized
loss information provided under "SERVICING OF THE MORTGAGE LOANS -- Delinquency
Experience" herein for a better understanding of the delinquency history of the
Mortgage Loans and the current and historic level of realized losses.
7. Prepayment as a Result of Optional Termination. The Offered Certificates
will be prepaid in the event that the optional termination rights relating to
the Underlying Certificates are exercised (generally where the principal balance
of the Underlying Certificates has been reduced to 10% or less of its original
principal balance). Any such purchase would result in the prepayment of the
Underlying Class E Certificates to the extent then outstanding and thus the
prepayment of the Offered Certificates. As of the Information Date, the
principal balance of the Underlying Certificates has been reduced to [__]% of
its original principal balance and the combined principal balance of Class E and
Class F of the Underlying Certificates is ___% of the original principal amount
of the Underlying Certificates, of which ___% is represented by Class E and ___%
is represented by Class F.
8. Limited Access to Mortgage Loan Information. The Depositor's access to
current information on the Mortgage Loans was limited to certain publicly
available information, reports distributed to Underlying Certificateholders
(including monthly Pool Profile Reports and the Quarterly Mortgage Loan
Characteristics Summary) and certain other information provided to the Depositor
by the Master Servicer and the Trustee concerning the Mortgage Loans. As a
result, in some instances information which was deemed relevant to an investor
in the Offered Certificates could not be updated.
The following information relates to "Special Considerations" contained in
the Underlying Prospectus and is intended to update certain statistical
information contained in the Underlying Prospectus. Prospective investors are
urged to read the information set forth below together with the information
relating thereto in the Underlying Prospectus.
1. Delinquent Mortgage Loans; Matured Performing Mortgage Loans. [__]
Mortgage Loans having an aggregate Scheduled Principal Balance of approximately
$[_________], representing approximately [____]% of the aggregate Scheduled
Principal Balance of the Mortgage Loans as of the Information Date, are Mortgage
Loans that are delinquent as to their Balloon Payments as of the Information
Date, that have not yet been the subject of modification as a consequence
thereof and on which the Borrowers continue to make Monthly Payments in
accordance with their original terms ("Matured Performing Mortgage Loans").
2. Borrower Default; Negative Amortization; Balloon Payments. [___]
Mortgage Loans, representing approximately [____]% of the aggregate Scheduled
Principal Balance of all of the Mortgage Loans as of the Information Date,
provide for adjustment of the rate of interest which becomes due (rather than
accrues) on each such Mortgage Loan on each Due Date (the "Payment Rate") on a
date that is different from the date on which the related Mortgage Interest Rate
(which is the rate at which interest accrues on such Mortgage Loan) adjusts.
[___] Mortgage Loans representing approximately [____]% of the aggregate
Scheduled Principal Balance of the Mortgage Loans as of the Information Date are
not fully amortizing over their terms to maturity and, thus, may have
substantial principal balances at maturity.
[__] Mortgage Loans, [___] Mortgage Loans and [___] Mortgage Loans,
representing approximately [____]%,[____]% and [____]%, respectively, of the
aggregate Scheduled Principal Balance of the Mortgage Loans as of the
Information Date, have Balloon Payments due in the years 1998, 1999 and 2000,
respectively.
3. Loans-to-Facilitate; Modified Mortgage Loans. Included in the Mortgage
Pool are Mortgage Loans which were originated for the purpose of facilitating
the sale of mortgaged properties acquired by a Depository Institution upon
foreclosure or otherwise ("Loans-to-Facilitate"). The Loans-to-Facilitate are
composed of (a) [___] Mortgage Loans, representing approximately [____]% of the
aggregate Scheduled Principal Balance of the Mortgage Loans as of the
Information Date, which are Seller-Originated Loans; and (b) [__] Mortgage
Loans, representing approximately [____]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Information Date, which were originated
by entities other than the Seller.
Included in the Mortgage Pool are [___] Mortgage Loans, representing
approximately [____]% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Information Date, which the Seller believes to have
been modified subsequent to their origination and prior to the closing date for
the Underlying Transaction ("Previously Modified Mortgage Loans"). The Seller
does not publicly provide information concerning the number of Mortgage Loans
which have been modified since such closing date.
4. Environmental Law Considerations. [___] Mortgage Loans, representing
approximately [____]% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Information Date, are secured by multifamily Mortgaged
Properties located in Los Angeles County that were built before 1978, after
which it is generally believed that lead-based paint was no longer used in such
buildings.
5. Geographic Concentration; Regional Considerations Affecting Mortgage
Loans. [___] Mortgage Loans, [___] Mortgage Loans and [___] Mortgage Loans,
representing approximately [____]%, [____]%, [____]% and [____]%, respectively,
of the aggregate Scheduled Principal Balance of the Mortgage Loans as of the
Information Date, are secured by Mortgaged Properties located in the States of
California (especially Southern California), Texas, Florida and Virginia.
For a complete discussion of the risk factors with respect to the
Underlying Certificates, see "SPECIAL CONSIDERATIONS" in the Underlying
Prospectus, attached hereto as Annex A.
DESCRIPTION OF THE CERTIFICATES
The Trust Fund
The Certificates will be issued pursuant to a Trust Agreement (the "Trust
Agreement"), to be dated as of October 1, 1996, between the Depositor and the
Trustee. The summary of provisions of the Trust Agreement contained herein does
not purport to be complete and is subject to, and qualified in its entirety by
reference to, the provisions of the Trust Agreement.
The Trust Fund created pursuant to the Trust Agreement will consist of the
Underlying Class E Certificates and a special account (the "Certificate
Account") to be established and maintained by the Trustee in the name of the
Trust. As described in the Trust Agreement, the Certificate Account will be
either (i) an account or accounts maintained with a federal or state depository
institution or trust company or (ii) a segregated trust account or accounts. The
Trustee is required to deposit each distribution received by the Trustee with
respect to the Underlying Class E Certificates in the Certificate Account.
The Trustee
State Street Bank and Trust Company will act as Trustee for the Trust Fund.
The mailing address of the Trustee's Corporate Trust Office is 225 Franklin
Street, Boston, MA 02110.
As compensation for its services, the Trustee will be entitled to a trustee
fee (the "Trustee Fee") payable on each Distribution Date at a per annum rate of
0.005% on the aggregate principal balance of the Certificates. The Trustee Fee
will be paid solely from interest collected on the Underlying Class E
Certificates and will be paid prior to distributions to Certificateholders.
State Street Bank and Trust Company also will act as REMIC administrator for the
Certificates (in such capacity, the "REMIC Administrator") and will perform
certain ministerial, administrative and limited accounting duties relating to
the Certificates on behalf of the Trustee. The REMIC Administrator also will
perform certain tax reporting duties with respect to the Certificates. The
Trustee will perform any public filing requirements of the Trust.
Book-Entry Certificates
The Class E-1 Certificates will initially be issued in book-entry form (a
"Book-Entry Certificate"). One certificate representing the Class E-1
Certificates will be registered in the name of a nominee of The Depository Trust
Company ("DTC" and, together with any successor depository selected by the
Depositor, the "Depository"), and beneficial interests will be held by investors
through the book-entry facilities of the Depository. The Depositor has been
informed by the Depository that its nominee will be Cede & Co. ("Cede").
Accordingly, Cede is expected to be the Holder of record of the Class E-1
Certificates. No person acquiring a Class E-1 Certificate (each a " Class E-1
Certificate Owner") will be entitled to receive a physical certificate
representing such Certificate except under the limited circumstances described
in the Trust Agreement. A beneficial owner will evidence its interest in a Class
E-1 Certificate by appropriate entries on the books and records of one or more
financial intermediaries (including a Depository participant). Distributions on
Book-Entry Certificates will be effected by credits to accounts maintained on
the books and records of such financial intermediaries for the benefit of the
beneficial owners.
DTC is a limited purpose trust company organized under the laws of the
State of New York and is a member of the Federal Reserve System, a "clearing
corporation" within the meaning of the New York Uniform Commercial Code, and a
"clearing agency" registered pursuant to Section 17A of the Securities Exchange
Act of 1934. DTC was created to hold securities for its participating
organizations (each, a "Participant") and to facilitate the clearance and
settlement of securities transactions between Participants through electronic
book-entries, thereby eliminating the need for physical movement of
certificates. Participants include securities brokers and dealers (including
Lehman Brothers Inc. (the "Underwriter")), banks, trust companies and clearing
corporations. Indirect access to the DTC system also is available to others such
as banks, brokers, dealers and trust companies that clear through or maintain a
custodial relationship with a Participant, either directly or indirectly
("Indirect Participants").
Class E-1 Certificate Owners that are not Participants or Indirect
Participants and that desire to purchase, sell or otherwise transfer ownership
of, or other interests in, the Book-Entry Certificates may do so only through
Participants and Indirect Participants. In addition, Class E-1 Certificate
Owners will receive all distributions of principal and interest on the
Book-Entry Certificates through a Participant or an Indirect Participant. Under
a book-entry format, Class E-1 Certificate Owners may experience some delay in
their receipt of payments, since such payments will be forwarded to Cede, as
nominee for DTC. DTC will forward such payments to its Participants, which
thereafter will forward them to Class E-1 Certificate Owners directly or through
an Indirect Participant. It is anticipated that the only "Certificateholder" of
a Book-Entry Certificate will be Cede, as nominee of DTC. Class E-1 Certificate
Owners will not be recognized by the Trustee as Certificateholders, as such term
is used in the Trust Agreement, and Class E-1 Certificate Owners will be
permitted to exercise the rights of Book-Entry Certificateholders only
indirectly through DTC and its Participants.
Under the rules, regulations and procedures creating and affecting DTC and
its operations (the "Rules"), DTC will be required to make book-entry transfers
of Book-Entry Certificates among Participants and to receive and transmit
distributions of principal of, and interest on, Book-Entry Certificates.
Participants and Indirect Participants with which Class E-1 Certificate Owners
have accounts with respect to the Book-Entry Certificates similarly are required
to make book-entry transfers and receive and transmit such payments on behalf of
their respective Class E-1 Certificate Owners. Accordingly, although Class E-1
Certificate Owners will not possess physical certificates, the Rules provide a
mechanism by which Participants and Class E-1 Certificate Owners will receive
payments and will be able to transfer their interests.
Because DTC can only act on behalf of Participants, who in turn act on
behalf of Indirect Participants, and on behalf of certain banks, the ability of
a Class E-1 Certificate Owner to pledge Book-Entry Certificates to persons or
entities that do not participate in the DTC system, or to otherwise act with
respect to such Certificates, may be limited due to the absence of physical
certificates for such Certificates.
DTC has advised the Depositor that it will take any action permitted to be
taken by a Certificateholder under the Trust Agreement only at the direction of
one or more Participants to whose accounts with DTC the Book-Entry Certificates
are credited. Additionally, DTC has advised the Depositor that it will take such
action where the consent of specified percentages of the Certificates is
required under the Trust Agreement only at the direction of and on behalf of
Participants whose interests represent such specified percentages. DTC may take
conflicting actions on behalf of other Participants.
Neither the Depositor nor the Trustee will have any liability to any aspect
of the records relating to or payments made on account of beneficial ownership
interests of the Book-Entry Certificates held by Cede, as nominee for DTC, or
for maintaining, supervising or reviewing any records relating to such
beneficial ownership interests.
Class E-1 Definitive Certificates
The Book-Entry Certificates will be issued in fully registered,
certificated form ("Definitive Certificates") to Class E-1 Certificate Owners or
their nominees, rather than to DTC or its nominee, only if (i) the Depositor
advises the Trustee in writing that DTC is no longer willing or able to
discharge properly its responsibilities as depository with respect to the
Book-Entry Certificates and the Depositor is unable to locate a qualified
successor within 30 days or (ii) the Depositor, at its option, elects to
terminate the book-entry system through DTC.
Upon the occurrence of either event described in the immediately preceding
paragraph, the Trustee is required to notify DTC which in turn will notify all
Class E-1 Certificate Owners through Participants of the availability of
Definitive Certificates in exchange for Book-Entry Certificates. Upon surrender
by Cede, as nominee of DTC, of the definitive certificates representing the
Book-Entry Certificates and receipt of instructions for re-registration, the
Trustee will reissue the Book-Entry Certificates as Definitive Certificates to
Class E-1 Certificate Owners.
Denominations; Form
The Class E-1 Certificates will be issued in book-entry form in original
denominations of $100,000 and in integral multiples of $1,000 in excess thereof.
One certificate of the Class E-1 Certificates may be issued in a different
principal amount to accommodate the remainder of the initial principal amount of
the Class E-1 Certificates. One certificate of the Class E-1 Certificates may be
issued in certificated form to the extent that the aggregate principal balance
of the Class E-1 Certificates does not equal a denomination accepted by the
Depository.
The Class E-2 Certificates will be issued in fully registered, certificated
form in original denominations of $250,000 and in integral multiples of $1,000
in excess thereof. One certificate of the Class E-2 Certificates may be issued
in a different principal amount to accommodate the remainder of the initial
principal amount of the Class E-2 Certificates.
Restrictions on the Transfer of the Certificates
Each purchaser of Class E-1 Certificates (including beneficial owners
thereof) will be deemed to have represented to the Trustee (a) that it is not an
employee benefit plan subject to the fiduciary responsibility provisions of the
Employee Retirement Income Security Act of 1974, as amended ("ERISA"), or
Section 4975 of the Internal Revenue Code of 1986, as amended (the "Code"), or a
governmental plan (as defined in Section 3(32) of ERISA) subject to any federal,
state or local law ("Similar Law") which is, to a material extent, similar to
the foregoing provisions of ERISA and the Code (collectively, a "Plan"), and is
not acting on behalf of any such Plan or using the assets of any such Plan to
acquire such Certificates; or (b) if it is an insurance company, that the
purchase and holding of Class E-1 Certificates or any interest therein is exempt
from the prohibited transaction provisions of ERISA and the Code under
Prohibited Transaction Class Exemption 95-60.
The Class E-2 Certificates may only be transferred to a purchaser who
certifies to the Trustee that such proposed purchaser or transferee (a) is
either (i) not a Plan or any person acting on behalf of any such Plan or using
the assets of any such Plan to acquire such certificates or (ii) is an insurance
company and the purchase and holding of Class E-2 Certificates is exempt from
the prohibited transaction provisions of ERISA and the Code under Prohibited
Transaction Class Exemption 95-60; and (b) is (i) an institution that is an
"accredited investor" as defined in paragraphs (1), (2), (3) and (7) of rule
501(a) under the Act (or any entity in which all of the equity owners come
within such paragraphs), (ii) a Qualified Institutional Buyer, or (iii) is a
person (other than any rating agency rating the Depositor's securities) involved
in the organization or operation of the Depositor or an "affiliate", as defined
in rule 405 under the Act.
The Trust Agreement will provide that any attempted or purported transfer
in violation of these transfer restrictions will be null and void and will vest
no rights in any purported transferee. Any transferor or agent to whom the
Trustee provides information as to any applicable tax imposed on such transferor
or agent may be required to bear the cost of computing or providing such
information.
Priorities of Distributions
Interest and Principal distributable to holders of the Certificates will be
distributed according to the following priorities:
first, to the Class E-1 Certificates in an aggregate amount
up to its Interest Accrual Amount (as defined below) with respect to such
Distribution Date;
second, to the Class E-1 Certificates in an aggregate amount
up to its previously unpaid Interest Shortfall Amount (as defined below);
third, to the Class E-2 Certificates in an aggregate amount
up to its Interest Accrual Amount with respect to such Distribution Date;
fourth, to the Class E-2 Certificates in an aggregate amount
up to its previously Tunpaid Interest Shortfall Amount;
fifth, to the Class E-1 Certificates, until the Certificate
Principal Amount thereof has been reduced to zero, up to the amount of
principal distributed on the Underlying Class E Certificates that is not
attributable to Excess Interest;
sixth, to the Class E-2 Certificates, until the Certificate
Principal Amount thereof has been reduced to zero, up to the amount of
principal distributed on the Underlying Class E Certificates that is not
attributable to Excess Interest, less the amount distributed on such
Distribution Date under fifth above;
seventh, to each Class of Offered Certificates in reduction
of their principal balances, pro rata, based on their respective
Certificate Principal Amounts after taking into account distributions under
fifth and sixth above, in an aggregate amount up to the amount of Excess
Interest distributed on the Underlying Class E Certificates with respect to
such Distribution Date; and
eighth, to the Class R Certificate.
As described above, the "Interest Shortfall Amount" with respect to any
Class is the aggregate amount of interest that was distributable to such Class
on all preceding Distribution Dates less the aggregate amount thereof actually
distributed to such Class on all prior Distribution Dates, plus interest accrued
thereon at the applicable Certificate Interest Rate, compounded monthly as of
the end of each Certificate Interest Accrual Period, to the end of the
Certificate Interest Accrual Period preceding the Distribution Date when paid.
Interest on the Certificates
Interest accrued during the calendar month preceding each Distribution Date
on the Offered Certificates (each, a "Certificate Interest Accrual Period" and
such amount, the "Interest Accrual Amount") will be distributed on each
Distribution Date as described herein. Interest will accrue on the Offered
Certificates during the same period as on the Underlying Class E Certificates.
Interest will accrue on the Offered Certificates with respect to each
Distribution Date on its outstanding certificate principal amount immediately
prior to such Distribution Date at the rate per annum (the "Certificate Interest
Rate") for each such Class of Offered Certificates of 7.995% and will be
allocated sequentially to the Class E-1 Certificates and the Class E-2
Certificates, in that order, in accordance with the payment priorities set forth
in "Description of the Certificates -- Priorities of Distribution" herein.
Distributions of interest to the holders of the Offered Certificates
("Certificateholders") will be reduced by the amount of Deferred Interest
allocated to the Underlying Class E Certificates, and such Deferred Interest
will be allocated sequentially to the Class E-2 Certificates and then to the
Class E-1 Certificates. The amount of any Deferred Interest allocated to a class
of the Offered Certificates will be added to the Certificate Principal Amount
thereof. "Deferred Interest" means, with respect to any Mortgage Loan, the
excess of (x) interest accrued on such Mortgage Loan at the annual rate at which
interest accrues on the principal balance of such Mortgage Loan (the "Mortgage
Interest Rate") over (y) accrued interest due on such Mortgage Loan at the rate
at which interest is paid on such Mortgage Loan (the "Payment Rate"). Interest
on the Offered Certificates will be calculated on the basis of a 360-day year
consisting of twelve thirty-day months. No interest will accrue on the Class R
Certificate.
Interest will accrue on the Class E-1 Certificates and the Class E-2
Certificates beginning October 1, 1996 and be paid on each Distribution Date
commencing November 25, 1996.
Principal on the Certificates
The amount of principal distributed on the Offered Certificates on each
Distribution Date will equal the amount of principal distributed on the
Underlying Class E Certificates on each Distribution Date. Principal distributed
on the Underlying Class E Certificates (other than with respect to principal
distributions which are paid to the Underlying Class E Certificates from
interest accrued on the Mortgage Loans due to the accrual of interest on the
Mortgage Loans, net of servicing and trustee fees, in excess of interest accrued
on the Underlying Certificates (such amounts, "Excess Interest")) on each
Distribution Date will be applied first to pay principal on the Class E-1
Certificates, until such principal amount has been paid in full, and then to pay
principal on the Class E-2 Certificates, until such Class E-2 Certificates have
been paid in full. Principal distributed on the Underlying Class E Certificates
resulting from Excess Interest on any such Distribution Date will be applied to
pay principal on the Class E-1 Certificates and the Class E-2 Certificates on
each Distribution Date, pro rata, determined after all other distribution of
principal on such Distribution Date. Distributions of Excess Interest are made
on the Underlying Certificates only from available funds remaining after making
all other required distributions on the Underlying Certificates (including the
class subordinate to the Underlying Class E Certificates) and making any
required deposit in the Reserve Fund to restore it to the Liquidity Amount or,
subject to certain limitations, to reimburse it for previous Basic Risk Reserve
Fund Draw Amounts. At any such time as the Certificate Principal Amounts of the
Class E-1 Certificates and the Class E-2 Certificates is equal to zero, payments
of principal made with respect to the Underlying Class E Certificates will be
distributed to the Class R Certificate.
Reports to Certificateholders
On each Distribution Date the Trustee shall forward a statement by mail to
each holder of a Certificate and to each Rating Agency, setting forth among
other things: (i) the amount of any distribution to the Holders of the
Certificates of each Class to be applied to reduce the Certificate Principal
Amount thereof, separately identifying any reduction thereof on account of
Excess Interest; (ii) the amount of any distribution to the Holders of the
Certificates of each Class allocable to accrued interest; (iii) the amount of
the Trustee Fee to be paid to the Trustee on such Distribution Date; (iv) the
aggregate Certificate Principal Amount of each Class of Certificates after
giving effect to the Distribution to be made on such Distribution Date,
separately identifying any reduction thereof on account of Realized Losses, and
any increase thereof on account of Deferred Interest; (v) the Realized Loss, if
any, allocated to each Class of Certificates, after giving effect to the
distribution made on such Distribution Date; (vi) the amount of Deferred
Interest, if any, allocated to each Class of Certificates, after giving effect
to the distribution made on such Distribution Date; and (vii) the Interest
Shortfall Amount, if any, for each Class of Certificates, after giving effect to
the distribution made on such Distribution Date. In the case of information
furnished pursuant to clauses (i), (ii) and (iii) above, the amounts shall be
expressed, with respect to any Certificate, as a dollar amount per $1,000
denomination. In addition, the Trustee shall forward or cause to be forwarded by
mail to each Certificateholder a copy of the periodic statements issued by the
Underlying Trustee with respect to the Underlying Certificates.
Within a reasonable period of time after the end of each calendar year, the
Trustee shall prepare and furnish to each entity who at any time during the
calendar year was a Certificateholder, a statement containing the information
set forth in clauses (i) through (iii) above, aggregated for such calendar year
thereof during which such entity was a Holder of the Certificates. Such
obligation of the Trustee shall be deemed to have been satisfied to the extent
that substantially comparable information shall be provided by the Trustee
pursuant to any requirements of the Code as from time to time are in force.
Optional Termination
With respect to the Underlying Class E Certificates, on or after any
Distribution Date on which the principal balance of the Underlying Certificates
is less than 10% of the respective initial principal balances of such Underlying
Certificates, the Master Servicer, the Special Servicer (if it is then servicing
all of the Mortgage Loans remaining in the Underlying Trust Fund), the owner of
the Reserve Fund or of the Underlying Class R Certificate will have the option
to purchase, in whole, the assets of the Underlying Trust Fund. Any such
purchase would result in the prepayment of the Underlying Class E Certificates
and thus the prepayment of the Certificates. No separate provisions have been
made for the optional termination of the Certificates.
For a detailed description of the Underlying Certificates, see "DESCRIPTION
OF THE CERTIFICATES" in the Underlying Prospectus, attached hereto as Annex A.
USE OF PROCEEDS
The net proceeds from the sale of the Offered Certificates will be applied
by the Depositor towards the purchase price of the Underlying Class E
Certificates and the payment of expenses incurred in connection with the
issuance and underwriting of the Offered Certificates. The Underlying Class E
Certificates will have been acquired by the Depositor in privately negotiated
transactions.
DESCRIPTION OF THE MORTGAGE LOANS
THE FOLLOWING INFORMATION CONCERNING THE MORTGAGE LOANS WAS INCLUDED IN THE
UNDERLYING PROSPECTUS BUT HAS BEEN UPDATED TO THE BEST OF THE DEPOSITOR'S
ABILITY BASED UPON PUBLICLY AVAILABLE INFORMATION, REPORTS DELIVERED TO HOLDERS
OF THE UNDERLYING CERTIFICATES AND THE MONTHLY PORTFOLIO PERFORMANCE REPORTS AS
WELL AS DATA TAPES PROVIDED TO THE DEPOSITOR BY THE TRUSTEE AND THE MASTER
SERVICER.
Prospective investors should read this section together with "DESCRIPTION
OF THE MORTGAGE LOANS" in the Underlying Prospectus. Information contained
herein supplements the description of the Mortgage Loans in the Underlying
Prospectus.
Information regarding the Mortgage Loans included herein is as of the
Information Date (September 1, 1996), the most recent date as of which
information was available as of the date hereof. The Underlying Class E
Certificates will be transferred to the Trust Fund as of the Cut-off Date
(October 1, 1996), one month later, and accordingly the Scheduled Principal
Balances and other characteristics of the Mortgage Loans underlying the
Underlying Class E-Certificates are expected to differ from the information set
forth herein.
General
The Mortgage Loans are adjustable and fixed rate, amortizing and Balloon
Payment mortgage loans. Based on information contained in the Underlying
Prospectus, substantially all of the Mortgage Loans are not insured or
guaranteed by the United States, any governmental agency or any private mortgage
insurer.
Each Mortgage Loan is evidenced by a Note and is secured primarily by a
first lien on (or: (i) in the case of [ ] Mortgage Loans having an aggregate
Scheduled Principal Balance of $[ ], representing [ ]% of the Mortgage Pool by
Scheduled Principal Balance as of the Information Date, by second liens on
Mortgaged Properties with respect to which the related first liens are not
included in the Mortgage Pool; (ii) in the case of [ ] Mortgage Loans having an
aggregate Scheduled Principal Balance of $[ ], representing [ ]% of the Mortgage
Pool by Scheduled Principal Balance as of the Information Date, by third liens
on Mortgaged Properties with respect to which the related first and second liens
are not included in the Mortgage Pool; and (iii) in the case of [ ] Mortgage
Loans having an aggregate Scheduled Principal Balance of $[ ], representing [ ]%
of the Mortgage Pool by Scheduled Principal Balance as of the Information Date,
by liens on Mortgaged Properties for which the lien position is unknown), or is
an Installment Contract for the sale of, a Mortgaged Property located in one of
approximately [ ] states and the District of Columbia.
[ ] Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $[ ], representing [ ]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Information Date, will have a payment
which is more than 60 days past due and will therefore be considered Specially
Serviced Mortgage Loans.
[ ] Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $[ ], representing [ ]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Information Date, are Matured Performing
Mortgage Loans. Such Mortgage Loans will be Specially Serviced Mortgage Loans as
of the Closing Date.
[ ] Mortgage Loans, having a Scheduled Principal Balance of approximately
$[ ], representing [ ]% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Information Date, are "wraparound" mortgage loans.
The adjustable rate Mortgage Loans bear interest at a per annum rate which
is adjusted periodically to equal the index ("Index") plus or minus, in most
cases, a fixed percentage set forth in the related Note (the "Margin"), the sum
of which may be subject to a rounding convention provided for in the related
Note, subject, however, to certain limitations described below. The respective
Index on which each such adjustment will be based, and the intervals between the
dates of such adjustments (each such date, an "Adjustment Date"; the first
Adjustment Date with respect to each adjustable rate Mortgage Loan is
hereinafter referred to as the "First Adjustment Date") are described in
Exhibits A, B, C, D and E hereto.
[ ] of the Group 1 Mortgage Loans, [ ] of the Group 2 Mortgage Loans, [ ]
of the Group 3 Mortgage Loans and [ ] of the Group 4 Mortgage Loans,
collectively representing approximately [ ]% of the aggregate Scheduled
Principal Balance of the Mortgage Loans as of the Information Date, bear
interest as of the Information Date at rates lower than their Floor Interest
Rates.
The Mortgage Pool
The Mortgage Pool will consist of approximately [ ] Mortgage Loans, which
had an approximate aggregate original principal balance of $[ ] and had an
approximate aggregate Scheduled Principal Balance as of the Information Date of
$[ ]. Of these Mortgage Loans:
(i) [ ] Mortgage Loans are Group 1 Mortgage Loans with an approximate
aggregate original principal balance of $[ ] and an approximate aggregate
Scheduled Principal Balance as of the Information Date of $[ ],
representing approximately [ ]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans; the Group 1 Mortgage Loans are generally
subject to lower Floor Interest Rates than the adjustable rate Group 2
Mortgage Loans or no Floor Interest Rates; the Group 1 Mortgage Loans
consist of adjustable rate Mortgage Loans secured by multifamily
residential properties;
(ii) [ ] Mortgage Loans are Group 2 Mortgage Loans with an approximate
aggregate original principal balance of $[ ] and an approximate aggregate
Scheduled Principal Balance as of the Information Date of $[ ],
representing approximately [ ]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Information Date; a portion of the
Group 2 Mortgage Loans have fixed interest rates (or, in limited cases, are
subject to increases or decreases by fixed amounts based on predetermined
schedules) for the remaining terms of the loans and the remaining portion
of the Group 2 Mortgage Loans have adjustable interest rates subject to
Floor Interest Rates of at least 8.375% per annum; the Group 2 Mortgage
Loans are secured by multifamily residential properties;
(iii) [ ] Mortgage Loans are Group 3 Mortgage Loans with an
approximate aggregate original principal balance of $[ ] and an approximate
aggregate Scheduled Principal Balance as of the Information Off Date of $[
], representing approximately [ ]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Information Date; the Group 3
Mortgage Loans are generally subject to lower Floor Interest Rates than the
adjustable rate Group 4 Mortgage Loans or no Floor Interest Rates; and
(iv) [ ] Mortgage Loans are Group 4 Mortgage Loans with an approximate
aggregate original principal balance of $[ ] and an approximate aggregate
Scheduled Principal Balance as of the Information Date of $[ ],
representing approximately [ ]% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date; a portion of the
Group 4 Mortgage Loans have fixed interest rates (or, in limited cases, are
subject to increases or decreases by fixed amounts based on predetermined
schedules) for the remaining terms of the loans and the remaining portion
of the Group 4 Mortgage Loans have adjustable interest rates subject to
Floor Interest Rates of at least 8.375% per annum.
In addition, the Mortgage Pool will contain [ ] additional Mortgage Loans
(each, an "Excess Cash Flow Mortgage Loan") with approximate Scheduled Principal
Balances as of the Information Date of $[ ] and $[ ], respectively.
Exhibit E hereto sets forth certain information with respect to the
Mortgage Pool as a whole.
Exhibit F hereto sets forth certain information with respect to Mortgage
Loans secured by properties located in Southern California.
Exhibits H and I hereto set forth certain characteristics of the 50 largest
Mortgage Loans included in Mortgage Loan Groups 1 and 2 and Mortgage Loan Groups
3 and 4, respectively.
Group 1 Mortgage Loans
With respect to approximately [ ]% of the aggregate Scheduled Principal
Balance as of the Information Date of the Group 1 Mortgage Loans, the maximum
principal balance which is permitted under the Note as a result of negative
amortization (the "Maximum Negative Amortization Amount") is generally not
permitted to exceed a specified maximum amount of 125% of the principal amount
of the Mortgage Loan on the date of origination. With respect to approximately [
]% of the aggregate Scheduled Principal Balance as of the Information Date of
the Group 1 Mortgage Loans, no Maximum Negative Amortization Amount is
specified. With respect to approximately [ ]% of the aggregate Scheduled
Principal Balance of the Group 1 Mortgage Loans as of the Information Date, no
negative amortization is permitted.
All of the [ ] Mortgage Loans in Mortgage Loan Group 1 that had a debt
service coverage ratio known to be at or below 1.0, representing approximately [
]% of the aggregate Scheduled Principal Balance of the Group 1 Mortgage Loans as
of the Information Date, nevertheless met the representation of the Seller that,
as of the Underlying Cut-Off Date, all Monthly Payments due on or before June 1,
1994 had been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated and a discussion of the levels of net
operating income used to determine the debt service coverage ratio, see Exhibit
G hereto.
[ ] of the Group 1 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 1 Mortgage Loans as of
the Information Date, are Matured Performing Mortgage Loans.
[ ] of the Group 1 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 1 Mortgage Loans as of
the Information Date, will be Specially Serviced Mortgage Loans because the
monthly payments with respect to such Mortgage Loans are more than 60 days past
due as of the Information Date.
[ ] of the Group 1 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 1 Mortgage Loans as of
the Information Date, are secured by Mortgaged Properties located in the
Counties of Contra Costa, Los Angeles, Orange, San Bernadino, San Diego, San
Francisco or Santa Clara in the State of California.
In addition, [ ] of the Group 1 Mortgage Loans, representing approximately
$[ ] or [ ]% of the aggregate Scheduled Principal Balance of the Group 1
Mortgage Loans as of the Information Date, is a Seller-Originated Loan.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$[ ] or [ ]% of the aggregate Scheduled Principal Balance of the Group 1
Mortgage Loans as of the Information Date. [ ] of the Group 1 Mortgage Loans,
representing approximately $[ ] or [ ]% of the aggregate Scheduled Principal
Balance of the Group 1 Mortgage Loans as of the Information Date, are Previously
Modified Mortgage Loans.
A description of certain additional characteristics of the Group 1 Mortgage
Loans as of the Information Date is set forth in Exhibit A hereto.
Group 2 Mortgage Loans
With respect to approximately [ ]% of the aggregate Scheduled Principal
Balance as of the Information Date of the Group 2 Mortgage Loans, the Maximum
Negative Amortization Amount is not generally permitted to exceed a specified
maximum amount of 125% of the principal amount of the Mortgage Loan on the date
of origination. With respect to approximately [ ]% of the aggregate Scheduled
Principal Balance as of the Information Date of the Group 2 Mortgage Loans, no
Maximum Negative Amortization Amount is specified. With respect to approximately
[ ]% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans
as of the Information Date, no negative amortization is permitted.
All of the [ ] Mortgage Loans in Mortgage Loan Group 2 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately [
]% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans as
of the Information Date, nevertheless met the representation of the Seller that,
as of the Underlying Cut-Off Date, all Monthly Payments due on or before June 1,
1994 had been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated and a discussion of the levels of net
operating income used to determine the debt service coverage ratio, see Exhibit
G hereto.
[ ] of the Group 2 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans as of
the Information Date, will be Specially Serviced Mortgage Loans because the
monthly payments with respect to such Mortgage Loans are more than 60 days past
due as of the Information Date.
[ ] of the Group 2 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans as of
the Information Date, are Matured Performing Mortgage Loans.
[ ] of the Group 2 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans as of
the Information Date, are secured by Mortgaged Properties located in the
Counties of Los Angeles, Orange, San Diego or Solano in the State of California.
In addition, [ ] of the Group 2 Mortgage Loans, representing approximately
$[ ] or [ ]% of the aggregate Scheduled Principal Balance of the Group 2
Mortgage Loans as of the Information Date, are Seller-Originated Loans.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$[ ] or [ ]% of the aggregate Scheduled Principal Balance of the Group 2
Mortgage Loans as of the Information Date. [ ] of the Group 2 Mortgage Loans,
representing approximately $[ ] or [ ]% of the aggregate Scheduled Principal
Balance of the Group 2 Mortgage Loans as of the Information Date, are Previously
Modified Mortgage Loans.
A description of certain additional characteristics of the Group 2 Mortgage
Loans as of the Information Date is set forth in Exhibit B hereto.
Group 3 Mortgage Loans
With respect to approximately [ ]% of the aggregate Scheduled Principal
Balance as of the Information Date of the Group 3 Mortgage Loans, the Maximum
Negative Amortization Amount is generally not permitted to exceed a specified
maximum amount of 125% of the principal amount of the Mortgage Loan on the date
of origination. With respect to approximately [ ]% of the aggregate Scheduled
Principal Balance as of the Information Date of the Group 3 Mortgage Loans, no
Maximum Negative Amortization Amount is specified. With respect to approximately
[ ]% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans
as of the Information Date, no negative amortization is permitted.
All of the [ ] Mortgage Loans in Mortgage Loan Group 3 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately [
]% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans as
of the Information Date, nevertheless met the representation of the Seller that,
as of the Underlying Cut-Off Date, all Monthly Payments due on or before June 1,
1994 had been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated and a discussion of the levels of net
operating income used to determine the debt service coverage ratio, see Exhibit
G hereto.
[ ] of the Group 3 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans as of
the Information Date, are secured in whole or in part by leasehold mortgages.
[ ] of the Group 3 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans as of
the Information Date, will be Specially Serviced Mortgage Loans because the
monthly payments with respect to such Mortgage Loans are more than 60 days past
due as of the Information Date.
[ ] of the Group 3 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans as of
the Information Date, are Matured Performing Mortgage Loans.
[ ] of the Group 3 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans as of
the Information Date, are secured by Mortgaged Properties located in the
Counties of Los Angeles, Orange, San Bernadino or San Diego in the State of
California.
In addition, none of the Group 3 Mortgage Loans are Seller-Originated
Loans. Loans-to-Facilitate other than Seller-Originated Loans represent
approximately $[ ] or [ ]% of the aggregate Scheduled Principal Balance of the
Group 3 Mortgage Loans as of the Information Date. [ ] of the Group 3 Mortgage
Loans, representing approximately $[ ] or [ ]% of the aggregate Scheduled
Principal Balance of the Group 3 Mortgage Loans as of the Information Date, are
Previously Modified Mortgage Loans.
A description of certain additional characteristics of the Group 3 Mortgage
Loans as of the Information Date is set forth in Exhibit C hereto.
Group 4 Mortgage Loans
With respect to approximately [ ]% of the aggregate Scheduled Principal
Balance as of the Information Date of the Group 4 Mortgage Loans, the Maximum
Negative Amortization Amount is not generally permitted to exceed a specified
maximum amount of 125% of the principal amount of the Mortgage Loan on the date
of origination. With respect to approximately [ ]% of the aggregate Scheduled
Principal Balance as of the Information Date of the Group 4 Mortgage Loans, no
Maximum Negative Amortization Amount is specified. With respect to approximately
[ ]% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans
as of the Information Date, no negative amortization is permitted.
All of the [ ] Mortgage Loans in Mortgage Loan Group 4 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately [
]% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans as
of the Information Date, nevertheless met the representation of the Seller that,
as of the Underlying Cut-Off Date, all Monthly Payments due on or before June 1,
1994 had been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated and a discussion of the levels of net
operating income used to determine the debt service coverage ratio, see Exhibit
G hereto.
[ ] of the Group 4 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans as of
the Information Date, are secured in whole or in part by leasehold mortgages.
[ ] of the Group 4 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans as of
the Information Date, will be Specially Serviced Mortgage Loans because the
monthly payments with respect to such Mortgage Loans are more than 60 days past
due as of the Information Date.
[ ] of the Group 4 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans as of
the Information Date, are Matured Performing Mortgage Loans.
[ ] of the Group 4 Mortgage Loans, representing approximately $[ ] or [ ]%
of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans as of
the Information Date, are secured by Mortgaged Properties located in the
Counties of Alameda, Los Angeles or Santa Clara in the State of California.
In addition, [ ] of the Group 4 Mortgage Loans, representing approximately
$[ ] or [ ]% of the aggregate Scheduled Principal Balance of the Group 4
Mortgage Loans as of the Information Date, are Seller-Originated Loans.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$[ ] or [ ]% of the aggregate Scheduled Principal Balance of the Group 4
Mortgage Loans as of the Information Date. [ ] of the Group 4 Mortgage Loans,
representing approximately $[ ] or [ ]% of the aggregate Scheduled Principal
Balance of the Group 4 Mortgage Loans as of the Information Date, are Previously
Modified Mortgage Loans.
A description of certain additional characteristics of the Group 4 Mortgage
Loans as of the Information Date is set forth in Exhibit D hereto.
For further information regarding the Mortgage Loans, including credit,
appraisal and underwriting policies, see "DESCRIPTION OF THE MORTGAGE LOANS" in
the Underlying Prospectus, attached hereto as Annex A.
SERVICING OF THE MORTGAGE LOANS
THE FOLLOWING INFORMATION CONCERNING THE MASTER SERVICER AND THE SPECIAL
SERVICER WAS OBTAINED FROM PUBLICLY AVAILABLE INFORMATION PUBLISHED BY THE
MASTER SERVICER AND THE SPECIAL SERVICER. THE DEPOSITOR HAS NOT INDEPENDENTLY
CONFIRMED, AND MAKES NO REPRESENTATION THAT THE INFORMATION PUBLISHED BY THE
MASTER SERVICER AND THE SPECIAL SERVICER IS ACCURATE OR COMPLETE. THE FOLLOWING
IS INTENDED TO UPDATE INFORMATION ABOUT THE MASTER SERVICER AND THE SPECIAL
SERVICER FOUND IN THE UNDERLYING PROSPECTUS.
The Master Servicer
Midland Loan Services, L.P. (the "Servicer" or "Midland") was organized
under the laws of Missouri in 1992 as a limited partnership. Midland is a real
estate financial services company which provides loan servicing and asset
management for large pools of commercial and multifamily real estate assets and
originates commercial real estate loans. Midland's address is 210 West 10th
Street, 6th Floor, Kansas City, Missouri 64105.
Midland's general partner, Midland Data Systems, Inc., a Missouri
corporation, was established in 1990 for the purpose of providing systems
development, data processing and commercial loan servicing primarily to the
Resolution Trust Corporation. As of October 31, 1995, Midland had 350 employees.
The company's loan operations are centralized in Kansas City, Missouri. A
business development and marketing office is maintained in Washington, D.C.
As of December 31, 1995, Midland and its affiliates were responsible for
servicing approximately 11,460 commercial and multifamily loans with an
aggregate principal balance of approximately $9.0 billion, the collateral for
which is located in 50 states. With respect to such loans, approximately 9,920
loans with an aggregate principal balance of approximately $5.9 billion pertain
to commercial and multifamily mortgage-backed securities. Property type
concentrations within the portfolio include multifamily, office, retail, and
other types of income producing properties.
Midland has been approved as a master and special servicer for investment
grade commercial and multifamily mortgage-backed securities rated by Fitch
Investors Service, L.P. ("Fitch") and S&P. Midland is ranked "Above Average" as
a commercial loan servicer and asset manager by S&P. Midland is ranked
"Acceptable" as a master servicer and "Above Average" as a special servicer by
Fitch. S&P rates commercial loan servicers and special servicers in one of five
rating categories, Strong, Above Average, Average, Below Average and Weak. Fitch
rates special servicers in one of five categories: Superior, Above Average,
Average, Below Average and Unacceptable. Fitch rates master servicers as
Acceptable or Unacceptable. Such ratings are subject to change and there is no
assurance that Midland will maintain its current ratings.
A substantial percentage of the commercial and multifamily loans included
in the portfolio of Midland and its affiliates are serviced on behalf of the
Resolution Trust Corporation acting as conservator or receiver for various
depository institutions and on behalf of various trust funds with respect to
mortgage-backed securities transactions that involved mortgage loans acquired
from the Resolution Trust Corporation acting in such capacity. Midland also
provides commercial loan servicing for newly-originated loans and loans acquired
in the secondary market on behalf of issuers of commercial and multifamily
mortgage-backed securities, financial institutions and private investors. Recent
servicing assignments with respect to mortgage-backed securities transactions
include servicing as master servicer for the Resolution Trust Corporation
Commercial Pass-Through Certificates Series 1995-C1, 1994-C2 and 1994-C1
transactions, and for the CS First Boston Mortgage Securities Corp. Commercial
Mortgage Pass-Through Certificates Series 1995-AEWI transaction, and as servicer
for the PS CMO Trust 94-C1 Commercial Mortgage Pay-Through Bonds Series 1994-C1
transaction, the JDN REMIC Trust Commercial Mortgage Pass-Through Certificates
transaction, the Nomura Asset Securities Corporation Commercial Pass-Through
Certificates Series 1994-C3 transaction, the Structured Asset Securities
Corporation Multiclass Pass-Through Certificates Series 1995-C1 transaction, the
Prudential Securities Secured Financing Corporation Commercial Mortgage
Pass-Through Certificates Series 1995-C1 transaction, and the Asset
Securitization Corporation Commercial Mortgage Pass-Through Certificates Series
1995-D1 transaction.
The Special Servicer
Banc One Corporation is a bank holding company with bank subsidiaries in
several states, as well as non-bank subsidiaries engaged in mortgage banking,
finance, leasing and other related businesses. Banc One Corporation's bank and
non-bank subsidiaries engage in lending and related activities in a substantial
part of the United States. Banc One or its affiliates own and are in the
business of acquiring assets similar in type to the assets of the Underlying
Trust Fund. To the extent that assets owned, managed and/or serviced by Banc One
or its affiliates are of a type similar to the assets held by the Underlying
Trust Fund, such assets might, depending upon the particular circumstances
(including, for example, the location of such assets), compete with the
Mortgaged Properties for tenants, purchasers, financing and the like.
Banc One is engaged in asset management, lending, servicing, liquidation,
collection, asset valuation and consulting and related activities with
nonaffiliated companies and governmental entities, including the Federal Deposit
Insurance Corporation and Resolution Trust Corporation. Banc One or its
subsidiaries have operating offices in Dallas, Texas and Manchester, New
Hampshire; and have managed and serviced assets in all fifty states, the
District of Columbia and Puerto Rico.
As of September 30, 1995, Banc One was responsible for managing and
servicing a portfolio of approximately 8,599 assets, consisting of loans,
foreclosed real estate assets and other assets with a total balance in excess of
$4.4 billion. Loan concentrations within such portfolio included commercial
office buildings, retail centers, industrial, and multifamily projects.
Foreclosed real estate assets under management exceeded $42.9 million, with
significant concentrations in land, office buildings and retail centers.
Approximately $3.2 billion of Banc One's assets under management were
administered under contracts that may be characterized as master, primary or
general servicing contracts (approximately $200 million of which Banc One is
servicing in multiple capacities), with the remaining $1.2 billion under
contracts which may be characterized as special servicing contracts. Banc One
has provided servicing in some capacity under 16 commercial mortgage backed
securities transactions.
Delinquency Experience
Generally, when a mortgagor fails to make a required payment on a mortgage
loan and does not cure the deficiency promptly, the loan is classified as
delinquent. In many cases, delinquencies are cured promptly, but if not,
foreclosure proceedings are generally commenced. The procedural steps necessary
for foreclosure vary from state to state, but generally, if the loan is not
reinstated within certain periods specified by the relevant mortgage loan
documents, the property securing the loan can be acquired by the lender. If a
mortgagee takes title to the mortgaged property through foreclosure but the
mortgaged property has a value lower than the outstanding amount of the debt,
the law in certain states permits such mortgagee to obtain a deficiency judgment
in the amount of the difference. The laws of certain other states restrict or
prohibit such deficiency judgments.
As of the Information Date, realized losses on the Mortgage Loans have
totalled $[ ], which represents [ ]% of the original aggregate Principal Balance
of the Mortgage Loans in the Mortgage Pool as of the Underlying Closing Date.
The following table summarizes the foreclosure and delinquency experience of the
Mortgage Loans since the Underlying Cut-Off Date.
<TABLE>
<CAPTION>
As of August 1,
---------------
1995 1996
---- ----
(Dollar Amounts in Thousands)
<S> <C> <C>
Total Principal Balance (End of Period)................... $ $
Total Number of Mortgage Loans............................
Delinquencies and Foreclosures
Period of Delinquency: 30-59 days
Principal Balance.................................... $ $
Number of Mortgage Loans.............................
Percent Delinquent by Number of Mortgage Loans % %
Period of Delinquency: 60-89 Days
Principal Balance.................................... $ $
Number of Mortgage Loans.............................
Percent Delinquent by Number of Mortgage Loans % %
Period of Delinquency: 90 Days or More
Principal Balance.................................... $ $
Number of Mortgage Loans.............................
Percent Delinquent by Number of Mortgage Loans....... % %
In Foreclosure
Principal Balance.................................... $ $
Number of Mortgage Loans.............................
Percent in Foreclosure by Number of Mortgage Loans % %
Total Delinquent or in Foreclosure
Principal Balance.................................... $ $
Number of Mortgage Loans.............................
Percent Delinquent or in Foreclosure by Number of
Mortgage Loans % %
</TABLE>
For further discussion of the servicing of the Mortgage Loans, see
"SERVICING OF THE MORTGAGE LOANS" in the Underlying Prospectus, attached hereto
as Annex A.
YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS
Prospective investors should read this section together with "YIELD,
PREPAYMENT AND MATURITY CONSIDERATIONS" in the Underlying Prospectus.
General
The yield to maturity on the Class E-1 Certificates and the Class E-2
Certificates will depend upon the price paid by the Certificateholder, the
Certificate Interest Rate and the rate and timing of the repayment of principal
in respect of such Certificates. The rate and timing of the repayment of
principal of the Certificates will be affected both by the rate of principal
payments on the Underlying Class E Certificates and the source of the principal
so distributed. Principal distributions on the Underlying Class E Certificates
are made both from (x) principal receipts with respect to the Mortgage Loans
(including amounts drawn on the Reserve Fund with respect thereto) which are
allocated to the Underlying Class E Certificates and (y) Excess Interest
distributed as principal on the Underlying Class E Certificates. Principal
distributions on the Underlying Class E Certificates which are attributable to
principal received with respect to the Mortgage Loans will be allocated first to
the Class E-1 Certificates until the Certificate Principal Amount thereof has
been reduced to zero, and thereafter to the Class E-2 Certificates. In contrast,
principal distributions on the Underlying Class E Certificates attributable to
Excess Interest will be allocated pro rata between the Class E-1 Certificates
and the Class E-2 Certificates. See "Description of Certificates" herein.
Distributions of principal attributable to principal receipts with respect
to the Mortgage Loans will be made to the Underlying Class E Certificates only
after distributions to more senior classes of the Underlying Certificates have
reduced the Certificate Principal Amounts thereof to zero. Accordingly, there
will initially not be any such principal distributions on the Certificates, and
distributions of principal on the Certificates will initially be attributable
solely to Excess Interest and will therefore be allocated pro rata between the
Class E-1 and Class E-2 Certificates.
Impact of Prepayments and Extensions of Receipt of Mortgage Loan Principal
Principal receipts with respect to the Mortgage Loans may vary from the
dates on which principal (including Balloon Payments) is scheduled to be due
either (x) due to prepayments (including voluntary full or partial prepayments
by borrowers and prepayments resulting from modifications, defaults, or
liquidations or repurchases due to certain breaches of the Seller's
representations and warranties) or (y) due to extensions because of
delinquencies, including in particular delinquencies with respect to Balloon
Payments. Pursuant to the terms of the Underlying Certificates, principal
distributions may be made on the Underlying Certificates with respect to any
Mortgage Loan, from funds drawn on the Reserve Fund, prior to final liquidation
of or other payments on such Mortgage Loan in connection with defaults or
modifications of such Mortgage Loan. In particular, such principal distributions
are required to be made (and may result in earlier return of principal than
would have been the case were they not required) (x) upon foreclosure or other
acquisition of the related Mortgaged Property to the extent the appraised value
thereof at such time is less than the last principal balance of the Mortgage
Loan and (y) upon modification to the extent the discounted present value of
remaining cash flows as modified, net of applicable servicing fees (including
special servicing fees), is less than the unmodified principal balance of such
Mortgage Loan. In contrast, the Seller is required to repurchase Mortgage Loans
for breaches of representations and warranties only in very limited
circumstances, and is instead required only to cover any loss on a Mortgage Loan
with respect to which there is such a breach, payable upon realization of such
loss. Accordingly, breaches of representations and warranties are unlikely to
significantly accelerate receipt of principal on the Underlying Certificates.
Furthermore, while advances of delinquent payments are generally required for
scheduled payments other than Balloon Payments, advances of full Balloon
Payments are not required, and accordingly delinquent Balloon Payments may
extend the weighted average lives of the Certificates. For a full understanding
of the terms of the Underlying Class E Certificates, potential investors should
thoroughly review the Underlying Prospectus attached hereto as Exhibit A.
Principal prepayments may be influenced by a variety of economic,
geographic, demographic, social, tax, legal and other factors. In general, if
prevailing interest rates fall significantly below the interest rates on the
Mortgage Loans (and in particular Mortgage Loans with fixed Mortgage Interest
Rates or with minimum adjustable Mortgage Interest Rates that are higher than
prevailing interest rates), the Mortgage Loans are likely to be subject to
higher prepayments than if prevailing rates remain at or above the interest
rates on such Mortgage Loans. Conversely, if prevailing interest rates rise
significantly above the Mortgage Interest Rates on the Mortgage Loans, the rate
of prepayment would be expected to decrease. Other factors affecting prepayment
of the Mortgage Loans include the availability of credit for mortgage
refinancing, changes in tax laws (including depreciation benefits), changes in
Borrowers' net equity in the Mortgaged Properties, servicing decisions,
prevailing general economic conditions and the relative economic vitality of the
areas in which the Mortgaged Properties are located, the terms of the Mortgage
Loans (for example, the existence of prepayment premiums or due-on-sale and
due-on-encumbrance clauses), the quality of management of the Mortgaged
Properties and the availability of other opportunities for investment.
Some of the Mortgage Loans may be prepaid at any time without premium or
penalty, or provide for small prepayment premiums or penalties which are not
expected to be an effective deterrent to prepayment. Some of the Mortgage Loans,
however, may continue to have prepayment premiums or penalties which act as a
deterrent to prepayment. The ability of Borrowers to make scheduled Balloon
Payments will be affected by many the of the foregoing factors and, in
particular, the Borrower's ability to refinance or to sell the related Mortgaged
Property and thereby generate sufficient funds to pay all amounts due under the
Mortgage Loan. Such ability may be influenced by, in particular, the value of
the Mortgaged Property at that time and the net income received with respect
thereto, general market conditions, and the availability and terms (including in
particular available interest rates) of financing.
Impact of Excess Interest
The rate of return of principal on the Certificates, and accordingly the
weighted average life and yield thereof, may be significantly affected by the
amount of principal distributions on the Underlying Class E Certificates
attributable to Excess Interest. Pursuant to the terms of the Underlying
Certificates, principal is distributed on Underlying Certificates both from
principal received with respect to the Mortgage Loans and from Excess Interest
(generally, the difference between interest accrued on the Mortgage Loans, net
of servicing and trustee fees, and interest accrued on the Underlying
Certificates). Excess Interest distributable to holders of Underlying
Certificates is payable only from available funds remaining after distribution
of all other amounts due to holders of Underlying Certificates (including Class
F Certificates) and after deposit into the Reserve Fund of amounts required to
be deposited therein (including amounts required to restore the Reserve Fund to
the Liquidity Amount and reimbursements of certain prior draws related to Basis
Risk Reserve Fund Draw Amounts), and therefore is reduced by any delinquencies
or losses not covered by the Reserve Fund or overcollateralization. While
principal received with respect to the Mortgage Loans is generally applied first
to classes of the Underlying Certificates that are senior to the Underlying
Class E Certificates and are therefore not applied to payment of principal of
the Underlying Class E Certificates until the Certificate Principal Amount of
all senior classes of Underlying Certificates has been reduced to zero, Excess
Interest is required to be distributed (after payment in full of all other
amounts due to Certificateholders) in the following ratios to classes of the
Underlying Certificates: Class D 20%, Class E 50% and Class F 30%, and after the
principal balance for any such class has been reduced to zero, the amount which
would have been distributed thereto is distributed to Class C, then Class D,
then Class E, Class F and then to more senior classes of the Underlying
Certificates. Accordingly, 50% (or more, in circumstances described in the
preceding sentence) of Excess Interest that is distributed is required to be
applied to the Underlying Class E Certificates as distributions of principal,
and will be applied to the Class E-1 and Class E-2 Certificates pro rata.
The amount of Excess Interest is generally higher to the extent (i) the
difference between the Net Mortgage Interest Rate and the weighted average
pass-through rate of the Underlying Certificates is higher, (ii) the total
Mortgage Loan balance to which such difference is applied remains higher, and
(iii) the amount of overcollateralization increases due to previous applications
of Excess Interest to reduce principal. Over time, the reduction in the
aggregate Scheduled Principal Balance of Mortgage Loans will tend to reduce
Excess Interest (though increases thereof due to negative amortization may
increase Excess Interest), while increased overcollateralization due to prior
applications of Excess Interest to principal will tend to increase Excess
Interest (all interest then due on such excess Mortgage Loan Scheduled Principal
Balance, net of servicing and trustee fees, being included in Excess Interest).
Because interest rates on Mortgage Loans which bear adjustable interest rates
may adjust less frequently than interest rates on adjustable rate Underlying
Certificates (which adjust monthly) or by smaller amounts (due to periodic or
lifetime caps on Mortgage Loans), Excess Interest will tend to be reduced in
rising interest rate environments where interest rates on the adjustable rate
Underlying Certificates increase more rapidly than interest rates on the
adjustable rate Mortgage Loans. In addition, because interest on adjustable rate
Mortgage Loans is generally determined based on indexes other than those used
for the adjustable rate Underlying Certificates (which are based on one-month
LIBOR), Excess Interest will tend to be greater in cases where indexes on which
interest rates for the adjustable rate Mortgage Loans are determined increase
less, or decrease more, than one-month LIBOR.
Excess Interest distributed on the Underlying Certificates on September 25,
1996 was $_______. As of the Information Date, the difference between the
weighted average Net Mortgage Interest Rate (____% per annum) and the weighted
average pass-through rate of the Underlying Certificates was _____% per annum,
and the difference between the aggregate Scheduled Principal Balance of the
Mortgage Loans and the aggregate Certificate Principal Amount of the Underlying
Certificates (after reduction for distributions of principal to be made on
September 25, 1996) was $____. If the amount of Excess Interest were to remain
at such levels, and prepayment rates were to remain at the average prepayment
rate at which the Mortgage Loans have prepaid since the closing date for the
Underlying Transaction, absent credit losses which are not covered by the
Reserve Fund, the principal of a substantial portion of the Offered Certificates
would be paid from distributions of Excess Interest.
Weighted Average Life of the Offered Certificates
Prepayments on mortgage loans are commonly measured by a prepayment standard
or model. The model used in this Prospectus in the tables below (the "Prepayment
Model" or "CPR") represents an assumed constant rate of prepayments each month,
expressed as an annual rate, relative to the then outstanding principal balance
of a pool of mortgage loans for the life of such mortgage loans. CPR does not
purport to be either an historical description of the prepayment experience of
any pool of mortgage loans or a prediction of the anticipated rate of prepayment
of any mortgage loans, including the Mortgage Loans to be included in the
Mortgage Pool.
The tables of percentages of initial Certificate Principal Amount
outstanding set forth on pages [ ] through [ ] (the "Declining Balance Tables"),
the tables set forth on pages [ ] through [ ] (the "Price/Yield Tables") and the
tables set forth on pages [ ] through [ ] (the "Loss/Yield Tables") have been
prepared on the basis of the "Mortgage Loan Assumptions," which are the
assumptions set forth in the following two paragraphs.
All such tables were based on actual Mortgage Loans, calculated on a
Mortgage Loan-by-Mortgage Loan basis, based on their Scheduled Principal
Balances and other characteristics as of the Information Date (September 1,
1996). The following assumptions as to behavior of the Mortgage Loans and the
Underlying Certificates following the Information Date includes assumptions as
to the behavior thereof for one month prior to the Cut-Off Date, and accordingly
different prepayment and other assumptions will result in different initial
principal balances of Certificates as of the Cut-Off Date. Percentages shown in
the tables reflect percentages of the Certificate Principal Amounts of the
Offered Certificates that would exist as of the Cut-Off Date of October 1, 1996
based on application of the relevant assumptions to the month of [September
1996]. Weighted average lives are shown from the Cut-Off Date.
In addition, it was assumed that, beginning on the Information Date: (i) the
Mortgage Loans prepay (without prepayment penalties) at the indicated percentage
of the CPR; (ii) distributions on the Certificates are received, in cash, on the
25th day of each month, commencing in October 1996; (iii) master servicing fees
and trustee fees for the Underlying Certificates are payable with respect to all
Mortgage Loans at the rate of 0.117% per annum (with no special servicing fees
being payable) and trustee fees are payable with respect to the Certificates at
the rate of 0.005% per annum; (iv) no Mortgage Loans have converted to REO
Loans, have been modified, or have otherwise become Discontinued Mortgage Loans,
and all Mortgage Loans which are 30 or more days delinquent as of the
Information Date are liquidated 12 months after the Information Date with a 50%
recovery from liquidation proceeds; (v) with respect to the table assuming no
extensions, that no defaults or delinquencies in, or modifications, waivers or
amendments respecting, the payment by the Borrowers of principal and interest on
the Mortgage Loans occur (except that, with respect to Matured Performing Loans,
each related Balloon Payment is assumed to be paid on the first semiannual
anniversary of its original due date which occurs after the Information Date);
(vi) with respect to the tables assuming extensions, that with respect to
Balloon Mortgage Loans (a) (1) in the case of the tables assuming three year
extensions, the maturity dates of such Mortgage Loans are extended on their
maturity dates to the earlier of a date three years after their original
maturity dates and the original amortization term, (2) in the case of the tables
assuming five year extensions, the maturity dates of such Mortgage Loans are
extended on their maturity dates to the earlier of a date five years after their
original maturity dates and the original amortization term and (3) with respect
to Matured Performing Loans as of the Information Date, each related Balloon
Payment is paid on the later of a date three or five years after its original
maturity date, as applicable, or the first semiannual anniversary of its
original due date which occurs after the Information Date, (b) (1) in the case
of the Group 2 and Group 4 Mortgage Loans, such extensions do not result in such
Mortgage Loans becoming Discounted Mortgage Loans and do not require reductions
in the Scheduled Principal Balances thereof and (2) in the case of the Group 1
and Group 3 Mortgage Loans, such extensions result in each such Mortgage Loan
becoming a Discounted Mortgage Loan and require a 25% reduction on the Scheduled
Principal Balance thereof and an immediate withdrawal from the Reserve Fund, as
described in the Underlying Prospectus under "DESCRIPTION OF THE CERTIFICATES --
Reserve Fund -- Credit Draws," in an amount equal to the reduction in the
Scheduled Principal Balance thereof (calculated assuming that there are no other
recoveries in respect of such Mortgage Loan), (c) in the case of ARMs, their
Mortgage Interest Rates after extension are based on the same indices, margins,
caps and floors and their Monthly Payments are calculated in the same manner as
they were prior to such extension, (d) in the case of fixed rate Mortgage Loans,
their Monthly Payments after extension are the same as they were prior to
extension, (e) servicing fees following extension continue to be payable at the
same rate as prior to extension, and no Workout Fee is payable with respect
thereto and (f) apart from the assumed extensions, there are no defaults or
delinquencies in, or modifications, waivers or amendments respecting, the
payment by the Borrowers of principal and interest on such Mortgage Loans; (vii)
the Mortgage Interest Rate stays constant until the first Adjustment Date, if
any, and then adjusts to a Mortgage Interest Rate equal to the applicable Index
for such assumed Mortgage Loan as set forth below plus the applicable Margin for
such assumed Mortgage Loan, subject to the applicable Floor Interest Rates and
Maximum Interest Rates; (viii) LIBOR equals [ ]% and remains at that rate or
adjusts as set forth in the tables; (ix) prepayments represent payment in full
of individual Mortgage Loans and are received on the respective Due Dates and
include 30 days' interest thereon; (x) there are no repurchases of Mortgage
Loans; (xi) the Certificates are purchased on [ ]; (xii) no right of optional
termination is exercised; (xiii) the Index for each assumed Group 1 and Group 3
Mortgage Loan will adjust immediately to [ ]% per annum in the case of ARMs
assumed to have a cost-of-funds index, [ ]% for Mortgage Loans assumed to have a
one-year treasury index, [ ]% for Mortgage Loans assumed to have a three-year
treasury index, [ ]% for Mortgage Loans assumed to have a five-year treasury
index, [ ]% for Mortgage Loans assumed to have a prime rate-based index and [ ]%
for Mortgage Loans assumed to have miscellaneous other indexes; and (xiv) the
Index for each assumed Group 2 and Group 4 Mortgage Loan with an adjustable
Mortgage Interest Rate will adjust immediately to [ ]% per annum.
The Mortgage Loan Assumptions are expected to vary from the actual
characteristics of the Mortgage Loans as of the Cut-Off Date due to the passage
of one month between the Information Date and the Cut-Off Date. Furthermore, the
performance of the Mortgage Loans following the Information Date is expected to
vary from the Mortgage Loan Assumptions. Any such discrepancies may have an
effect upon the percentages of the initial certificate principal amounts
outstanding and the weighted average lives of and other factors with respect to
the Certificates set forth in the tables below. Furthermore, actual prepayments
are not likely to occur at constant rates or at the assumed rates and the terms
of extensions are not likely to be uniform. Variations in prepayment speeds and
extension terms, even if averaging to the same constant prepayment rate over
time and to the same weighted average extension term, may have different effects
on the payment rates of the Certificates. In particular, an uneven rate of
prepayments may impact the weighted average lives of the Certificates, since a
higher rate of prepayments earlier in any given period will have a greater
effect on the amount of Excess Interest available for distribution to the
Underlying Class E Certificates than prepayments received later in such period.
Furthermore, not all Balloon Mortgage Loans are expected to be extended or to be
extended for the suggested terms, and prepayments and extensions may apply
disproportionately to Mortgage Loans with different Mortgage Interest Rates. To
the extent fixed rate Mortgage Loans with higher Mortgage Interest Rates prepay
at higher rates or are extended less frequently or for shorter terms, the Excess
Interest available to make distributions in reduction of the certificate
principal amounts of the Underlying Class E Certificates may be reduced even at
the same constant prepayment rates. There can be no assurance as to the actual
rates of prepayment or extension of the Mortgage Loans or as to variations in
applicable interest rates. There can be no assurance as to the actual rates of
prepayment or extension of the Mortgage Loans or as to variations in applicable
interest rates.
Furthermore, the Mortgage Loan Assumptions vary to some degree from the
actual terms of the Mortgage Loans and the Pooling and Servicing Agreement with
respect to the Underlying Certificates (the "Pooling Agreement") in that: (i)
any extension of a Mortgage Loan will occur only under circumstances in which
such Mortgage Loan has become a Specially Serviced Mortgage Loan subject to
deduction of a Workout Fee from all future Monthly Payments, except in the case
of certain Mortgage Loans whose remaining terms are to be extended by the Master
Servicer as described in the Underlying Prospectus under "SERVICING OF THE
MORTGAGE LOANS -- Modifications, Waivers and Amendments;" (ii) upon extension,
and in contrast to the assumptions, some of the Group 1 and Group 3 Mortgage
Loans might not be Discounted Mortgage Loans and some of the Group 2 and Group 4
Mortgage Loans might be Discounted Mortgage Loans, depending upon the modified
terms thereof; (iii) the terms of any extension permitted under the Pooling
Agreement may require an increase or allow a decrease in the Mortgage Interest
Rate or the Monthly Payment, rather than providing for continuation of the same
terms; and (iv) the actual servicing fee available for payment with respect to
the Mortgage Loans other than Specially Serviced Mortgage Loans is 0.175% per
annum, although the initial Master Servicer will receive a fee for such Mortgage
Loans equal to that described above under the Mortgage Loan Assumptions.
Based on the Mortgage Loan Assumptions and on the allocation rules for the
Underlying Certificates described in the Underlying Prospectus under
"DESCRIPTION OF THE CERTIFICATES -- Distributions -- Allocation Among Classes"
and the allocation rules for the Certificates described in this Prospectus under
"DESCRIPTION OF THE CERTIFICATES," the Declining Balance Tables indicate the
weighted average life of the Offered Certificates and set forth the percentages
of the initial Certificate Principal Amount of each such Class of Certificates
that would be outstanding after the Distribution Date in September of each of
the years indicated, at various percentages of CPR and under various LIBOR and
years-of-extension scenarios. None of the indicated percentages of CPR purports
to be a historical description of prepayment experience or a prediction of the
anticipated rate of prepayment of the Mortgage Loans included in the Mortgage
Pool. Variations in the actual prepayment experience and extension experience
and the balance of the Mortgage Loans that prepay or are extended may increase
or decrease the percentage of initial certificate principal amount (and weighted
average life) shown in the following tables. Such variations may occur even if
the average prepayment experience of all such Mortgage Loans equals any of the
specified percentages of the CPR and the average extension experience of all
such Mortgage Loans equals any of the specified years of extension. In addition,
as described above under "DESCRIPTION OF THE MORTGAGE LOANS -- General," the
Mortgage Loans may be subject to periods of slower amortization or to negative
amortization, in which case the weighted average lives of the Certificates will
be increased, and to periods of accelerated amortization, in which case the
weighted average lives of the Certificates will be decreased.
Percentage of Initial Certificate Principal Amount Outstanding at the
Respective Percentages of CPR Assuming Current LIBOR and Assuming No Extensions
Class E-1 Class E-2
--------- ---------
0% 5% 10% 15% 18% 0% 5% 10% 15% 18%
-- -- --- --- --- -- -- --- --- ---
Closing Date...........
September 25, 1997.....
September 25, 1998.....
September 25, 1999.....
September 25, 2000.....
September 25, 2001.....
September 25, 2002.....
September 25, 2003.....
September 25, 2004.....
September 25, 2005.....
September 25, 2006.....
September 25, 2007.....
September 25, 2008.....
September 25, 2009.....
Weighted average
life (years) (1)
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each distribution in reduction of the outstanding certificate
principal amount of such Certificate by the number of years from the date
of issuance of the Certificates to the related Distribution Date, (ii)
adding the results and (iii) dividing the sum by the initial certificate
principal amount of the Certificate.
Percentage of Initial Certificate Principal Amount Outstanding at
the Respective Percentages of CPR Assuming Current LIBOR
and Assuming 3-Year Balloon Extensions
Class E-1 Class E-2
--------- ---------
0% 5% 10% 15% 18% 0% 5% 10% 15% 18%
-- -- --- --- --- -- -- --- --- ---
Closing Date..........
September 25, 1997.....
September 25, 1998.....
September 25, 1999.....
September 25, 2000.....
September 25, 2001.....
September 25, 2002.....
September 25, 2003.....
September 25, 2004.....
September 25, 2005.....
September 25, 2006.....
September 25, 2007.....
September 25, 2008.....
September 25, 2009.....
Weighted average
life (years) (1)
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each distribution in reduction of the outstanding certificate
principal amount of such Certificate by the number of years from the date
of issuance of the Certificates to the related Distribution Date, (ii)
adding the results and (iii) dividing the sum by the initial certificate
principal amount of the Certificate.
Percentage of Initial Certificate Principal Amount Outstanding at
the Respective Percentages of CPR Assuming Current LIBOR
and Assuming 5-Year Balloon Extensions
Class E-1 Class E-2
--------- ---------
0% 5% 10% 15% 18% 0% 5% 10% 15% 18%
-- -- --- --- --- -- -- --- --- ---
Closing Date...........
September 25, 1997.....
September 25, 1998.....
September 25, 1999.....
September 25, 2000.....
September 25, 2001.....
September 25, 2002.....
September 25, 2003.....
September 25, 2004.....
September 25, 2005.....
September 25, 2006.....
September 25, 2007.....
September 25, 2008.....
September 25, 2009.....
Weighted average
life (years) (1)
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each distribution in reduction of the outstanding certificate
principal amount of such Certificate by the number of years from the date of
issuance of the Certificates to the related Distribution Date, (ii) adding
the results and (iii) dividing the sum by the initial certificate principal
amount of the Certificate.
Percentage of Initial Certificate Principal Amount Outstanding at
the Respective Percentages of CPR Assuming Current LIBOR Decreases 1%
and Assuming 3-Year Balloon Extensions
Class E-1 Class E-2
--------- ---------
0% 5% 10% 15% 18% 0% 5% 10% 15% 18%
-- -- --- --- --- -- -- --- --- ---
Closing Date...........
September 25, 1997.....
September 25, 1998.....
September 25, 1999.....
September 25, 2000.....
September 25, 2001.....
September 25, 2002.....
September 25, 2003.....
September 25, 2004.....
September 25, 2005.....
September 25, 2006.....
September 25, 2007.....
September 25, 2008.....
September 25, 2009.....
Weighted average
life (years) (1)
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each distribution in reduction of the outstanding certificate
principal amount of such Certificate by the number of years from the date
of issuance of the Certificates to the related Distribution Date, (ii)
adding the results and (iii) dividing the sum by the initial certificate
principal amount of the Certificate.
Percentage of Initial Certificate Principal Amount Outstanding at
the Respective Percentages of CPR Assuming Current LIBOR Increases 1%
and Assuming 3-Year Balloon Extensions
Class E-1 Class E-2
--------- ---------
0% 5% 10% 15% 18% 0% 5% 10% 15% 18%
-- -- --- --- --- -- -- --- --- ---
Closing Date...........
September 25, 1997.....
September 25, 1998.....
September 25, 1999.....
September 25, 2000.....
September 25, 2001.....
September 25, 2002.....
September 25, 2003.....
September 25, 2004.....
September 25, 2005.....
September 25, 2006.....
September 25, 2007.....
September 25, 2008.....
September 25, 2009.....
Weighted average
life (years) (1)
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each distribution in reduction of the outstanding certificate
principal amount of such Certificate by the number of years from the date
of issuance of the Certificates to the related Distribution Date, (ii)
adding the results and (iii) dividing the sum by the initial certificate
principal amount of the Certificate.
Percentage of Initial Certificate Principal Amount Outstanding at
the Respective Percentages of CPR Assuming Current LIBOR Increases 2%
and Assuming 3-Year Balloon Extensions
Class E-1 Class E-2
--------- ---------
0% 5% 10% 15% 18% 0% 5% 10% 15% 18%
-- -- --- --- --- -- -- --- --- ---
Closing Date...........
September 25, 1997.....
September 25, 1998.....
September 25, 1999.....
September 25, 2000.....
September 25, 2001.....
September 25, 2002.....
September 25, 2003.....
September 25, 2004.....
September 25, 2005.....
September 25, 2006.....
September 25, 2007.....
September 25, 2008.....
September 25, 2009.....
Weighted average
life (years) (1)
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of a Certificate is determined by (i) multiplying
the amount of each distribution in reduction of the outstanding certificate
principal amount of such Certificate by the number of years from the date
of issuance of the Certificates to the related Distribution Date, (ii)
adding the results and (iii) dividing the sum by the initial certificate
principal amount of the Certificate.
The tables set forth below show the weighted average life, first principal
payment date and last principal payment date of the Offered Certificates under
various prepayment, LIBOR and years-of-extension scenarios. In addition, the
tables show the yield and duration of the Offered Certificates at various
assumed offering prices under the same prepayment, LIBOR and years-of-extension
scenarios. The yields set forth in the following tables were calculated by
determining the monthly discount rates which, when applied to the assumed stream
of cash flows to be paid on each Class of Certificates, would cause the
discounted present value of such assumed stream of cash flows as of September
30, 1996 to equal the assumed purchase prices and converting such monthly rates
to corporate bond equivalent rates. Such calculation does not take into account
variations that may occur in the interest rates at which investors may be able
to reinvest funds received by them as reductions of the certificate principal
amount on such Classes of Certificates and consequently does not purport to
reflect the return on any investment in such Classes of Certificates when such
reinvestment rates are considered. For purposes of these tables, "duration" has
been calculated using the modified Macaulay Duration as specified in the "PSA
Standard Formulas." The Macaulay Duration is calculated as the present
value-weighted average time to receive future payments of principal and
interest, and the PSA Standard Formula modified duration is calculated by
dividing the Macaulay Duration by the appropriate semi-annual compounding
factor. "Discounted margin" has been calculated as specified in the "PSA
Standard Formulas" to present the increment over the index rate (LIBOR) that
causes the assumed purchase price of a Certificate to equal the discounted
present value of its cash flows (discounting to the Cut-Off Date), compounded
monthly, and is set forth in basis points. None of the prices in the tables take
into account any accrued interest that may be payable in excess of the stated
offering or purchase prices. Duration and discounted margin, like yield, will be
affected by the LIBOR levels, prepayment rates and Balloon extensions that
actually occur during the life of the Certificates and by the actual performance
of the Mortgage Loans, all of which may differ, and may differ significantly,
from the assumptions used in preparing the tables below.
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal
Payment Date and Discount Margin of Class E-1 Certificates
at Various Assumed Prices, LIBOR Levels and Balloon Extensions
No Extension
Unchanged LIBOR
---------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
Unchanged LIBOR
---------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
5 Year Extension
Unchanged LIBOR
---------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
LIBOR Decreases 1%
------------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
LIBOR Increases 1%
------------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
LIBOR Increases 2%
------------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date and Discount Margin of Class E-2 Certificates at Various Assumed Prices,
LIBOR Levels and Balloon Extensions
No Extension
Unchanged LIBOR
---------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
Unchanged LIBOR
---------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
5 Year Extension
Unchanged LIBOR
---------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
LIBOR Decreases 1%
------------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
LIBOR Increases 1%
------------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
3 Year Extension
LIBOR Increases 2%
------------------
Price (%) 0% 5% 10% 15% 18%
- --------- -- -- --- --- ---
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
.............. Discount Margin (bps)
<PAGE>
Special Yield Considerations
The yields on the Class E-1 and Class E-2 Certificates will be affected by
(x) the rate of return of principal on the Underlying Class E Certificates
(which will be affected principally by the amount of Mortgage Loan principal and
Excess Interest available for payment of principal of such Underlying Class E
Certificates, which in turn will be affected by changes in LIBOR and other
indexes, the level of prepayments of the Mortgage Loans and other factors) and
(y) the amount of Mortgage Loan payment and interest rate shortfalls, if any,
not covered by the Reserve Fund or other credit enhancement and allocable to the
Underlying Class E Certificates.
Because the Class E-1 and Class E-2 Certificates are being offered at a
discount, the yield to purchasers will be increased if principal is paid faster
than anticipated, and will be decreased if principal payments are slower than
anticipated. Collections in respect of interest on the Mortgage Loans, net of
Servicing Fees, may exceed interest due on the Underlying Certificates and any
such Excess Interest will be used, to the extent described herein, to prepay the
Underlying Class E Certificates, to the extent not required to pay interest or
principal on, or be used as a reserve for, Underlying Certificates (including
the Class F Certificates) after the Reserve Fund has been reduced to or below
the Liquidity Amount. Thus, the yield on the Underlying Class E Certificates is
favorably impacted when Excess Interest is above expectations and is negatively
impacted when Excess Interest is below expectations. The tables on pages [ ]
through [ ] set forth the timing of the reduction of the Certificate Principal
Amounts of the Certificates under certain assumptions set forth therein,
including the assumption that no delinquencies or defaults occur on the Mortgage
Loans other than for Mortgage Loans delinquent 30 days or more as of the
Information Date. The simplifying assumptions made in preparing those tables and
the yield tables which follow are expected to vary from the actual performance
of the Mortgage Loans. Excess Interest may be reduced if: (i) interest rates on
the Floating Rate Certificates increase faster than interest rates on the
Mortgage Loans, (ii) Mortgage Loans with high interest rates prepay more quickly
than Mortgage Loans with lower rates or experience a higher rate of default, or
(iii) principal prepayments reduce the balances of Mortgage Loans and
Certificate Principal Amounts from which Excess Interest is generated. Excess
Interest may be increased to the extent the aggregate Certificate Principal
Amount of the Underlying Certificates is reduced below the aggregate Scheduled
Principal Balance of the Mortgage Loans. Excess Interest available for
distribution to Certificateholders will be reduced or eliminated to the extent
the Reserve Fund is reduced to below the Liquidity Amount or reimbursements to
the Reserve Fund are required in connection with previous Basic Risk Reserve
Fund Draw Amounts.
The yield tables set forth on pages [ ] through [ ] are designed to
illustrate the impact of losses and delinquencies on the Mortgage Loans and
changes in Excess Interest (resulting from changes in LIBOR) on the yields of
the Class E-1 and Class E-2 Certificates. In preparing the tables, the Mortgage
Loan Annual Default Rates (converted to monthly rates) are applied to the
principal balance of the Mortgage Loans for each month from 13 months after the
Cut-Off Date until 72 months after the Cut-Off Date. It is assumed that upon
default, 50% of the current principal balance of the Mortgage Loans is
immediately recovered from liquidation and no further proceeds are recovered
relative to that month's loan defaults. The yield tables have otherwise been
prepared using the "Mortgage Loan Assumptions" set forth on pages [ ] through
[ ] of this Prospectus, except it was assumed that non-defaulted loans prepay
according to the CPRs set forth in the tables. It was assumed that (i) all
required payments are made during the applicable Due Period, except those due on
Mortgage Loans which are to be liquidated, (ii) for loans which are to be
liquidated, no payment is received prior to liquidation, other than Reserve Fund
withdrawals, (iii) liquidation occurs in the month the Mortgage Loan defaults,
(iv) upon liquidation 50% of the principal balance of the Mortgage Loan is
recovered, (v) a draw is made on the Reserve Fund in the month each Mortgage
Loan is defaulted equal to the difference between the current Mortgage Loan
principal balance and the amount recovered from liquidation, (vi) none of the
Mortgage Loans are Simple Interest Loans, and all Mortgage Loans require monthly
payments, and payment of interest in arrears, (vii) there are no Debt Service
Reductions or Deficiency Valuations, (viii) defaults are spread pro rata among
all Mortgage Loan Groups and, within each Mortgage Loan Group, among Mortgage
Loans having interest rates and interest rate adjustment terms that are
representative of the Mortgage Loan Group as a whole and (ix) LIBOR equals [ ]%
and remains at that rate or adjusts as set forth in the tables. Thus, Mortgage
Loans are assumed to incur no delinquency period prior to liquidation, and
hence, no Reserve Fund draws are made for delinquent Monthly Payments on
Mortgage Loans.
The rate of distributions in reduction of Certificate Principal Amount on
the Class E-1 and Class E-2 Certificates will be directly related to the actual
amortization schedule of the Mortgage Loans, the rate of deposits in and
withdrawals from the Reserve Fund and the rate and timing of receipt of Excess
Interest on the Mortgage Loans; accordingly, the interest distributions and
distributions in reduction of Certificate Principal Amount received on the Class
E-1 and Class E-2 Certificates may result in yields and maturities which differ
from those reflected below. The Mortgage Loans will not have the exact
characteristics assumed, and it is unlikely that they will prepay at any of the
rates specified or that each Index will stay constant at any assumed rate or
that losses and delinquencies will occur at constant rates or that liquidation
will occur in the month the Mortgage Loan defaults. The assumed percentages of
liquidations and loss severities on the Mortgage Loans shown in the tables below
are for illustrative purposes only and the Depositor makes no representations
with respect to the reasonableness of such assumptions or that the actual
liquidation and loss severity experience of the Mortgage Loans will in any way
correspond to any of the assumptions made herein. Consequently, there can be no
assurance that the pre-tax yield to an investor in the Class E-1 or Class E-2
Certificates will correspond to any of the pre-tax yields shown below.
Because the foregoing assumptions include the assumption that each
defaulted Mortgage Loan is liquidated as soon as it becomes delinquent (other
than Mortgage Loans delinquent 30 days or more as of the Information Date, which
are treated as set forth in the Mortgage Loan Assumptions), they do not take
into account losses attributable to accrued interest during the period from the
date a Mortgage Loan becomes delinquent to the date of final liquidation. Draws
on the Reserve Fund resulting from such accrual of interest are reduced by the
requirement that a draw be made on the Reserve Fund, to the extent funds are
available therefor, for distribution of principal on the Certificates at the
time of foreclosure for the difference between the actual principal balance of
the Mortgage Loan and the appraised value of the underlying Mortgaged Property.
Nevertheless, due to the additional losses incurred as a result of such accrual
of interest, the 50% loss rate assumption applied in the tables corresponds to a
significantly lower rate of loss of principal as a percentage of the principal
balance of the Mortgage Loan. Similarly, draws on the Reserve Fund will tend to
occur primarily at the time of foreclosure on or final liquidation of a
Mortgaged Property, and from time to time for accrued interest on the Scheduled
Principal Balance of such Mortgage Loan, rather than entirely at the time the
Mortgage Loan becomes delinquent. Accordingly, the assumptions will produce
results which are more likely to correspond to a scenario in which Mortgage
Loans default at earlier dates and are subject to foreclosure at or about the
dates assumed for default and liquidation in the tables.
The yields set forth in the following tables were calculated by determining
the monthly discount rates which, when applied to the assumed stream of cash
flows to be paid on the Class E-1 and Class E-2 Certificates, would cause the
discounted present value of such assumed stream of cash flows as of September
30, 1996 to equal the assumed purchase prices and converting such monthly rates
to corporate bond equivalent rates. In each case, the assumed purchase price
does not include accrued interest; an investor in a Class of Certificates would
be required to add accrued interest to the applicable purchase price. Such
calculation does not take into account variations that may occur in the interest
rates at which investors may be able to reinvest funds received by them as
reductions of the Certificate Principal Amount on the Class E-1 and Class E-2
Certificates and consequently does not purport to reflect the return on any
investment in Class E-1 and Class E-2 Certificates when such reinvestment rates
are considered. Where the Certificate Principal Amounts are not projected to be
repaid to zero, no weighted average life is stated and the principal balance
remaining unpaid after the assets of the Underlying Trust Fund are exhausted is
indicated rather than a maturity date.
The following tables assume constant rates of prepayments and defaults.
Variable rates of default which create the same overall prepayment or default
rate for a given period of time may not generate the same result as constant
prepayment and default rates.
<PAGE>
<TABLE>
Table 1
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class
E-1 Certificates at Various Assumed Prices and
Mortgage Loan Default Rates and Assuming Unchanged
LIBOR and No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 2
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Decreases 1% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 3
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Increases 1% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 4
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Increases 2% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
Table 5
<TABLE>
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Increases 3% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
Table 6
<TABLE>
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming Unchanged LIBOR and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 7
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Decreases 1% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 8
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Increases 1% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 9
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Increases 2% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 10
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-1
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Increases 3% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 11
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class
E-2 Certificates at Various Assumed Prices and
Mortgage Loan Default Rates and Assuming Unchanged
LIBOR and No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 12
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Decreases 1% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 13
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Increases 1% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 14
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Increases 2% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 15
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage
Loan Default Rates and Assuming LIBOR Increases 3% and
No Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 16
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming Unchanged LIBOR and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 17
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Decreases 1% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 18
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Increases 1% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 19
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Increases 2% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
<TABLE>
Table 20
Weighted Average Life, First Principal Payment Date, Last
Principal Payment Date, Yield and Duration of Class E-2
Certificates at Various Assumed Prices and Mortgage Loan
Default Rates and Assuming LIBOR Increases 3% and 3-Year
Balloon Extensions*
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
from Month 13
Through Month 72 % % % % % % % %
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
......................... Yield to Maturity (%)
Duration
</TABLE>
<PAGE>
THE DEPOSITOR
The Depositor was incorporated in the State of Delaware on August 9, 1996.
The principal office of the Depositor is located at 200 Vesey Street, New York,
New York 10285.
The Certificate of Incorporation of the Depositor will, at the time of
issuance of the Certificates, provide that the Depositor may not conduct any
activities other than those related to the issue and sale of one or more series
of bonds or certificates and to serve as depositor of one or more trusts that
may issue and sell bonds or certificates.
THE RESOLUTION TRUST CORPORATION
Prospective investors should read this section together with "THE RESOLUTION
TRUST CORPORATION" in the Underlying Prospectus.
Upon termination of the RTC, pursuant to the RTC Completion Act, as of
December 31, 1995, by operation of law, the FDIC succeeded the RTC as
conservator or receiver of any institution for which the RTC was then acting in
such capacity. In addition, pursuant to the RTC Completion Act, all assets and
liabilities of the RTC were transferred to the FRF, which is managed by the
FDIC. Accordingly, the liability for the representations and warranties of the
RTC with respect to the Mortgage Loans has been assumed by the FRF.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
General
The following is a general discussion of the anticipated material federal
income tax consequences of the purchase, ownership and disposition of the
Offered Certificates. The discussion below does not purport to address all
federal income tax consequences that may be applicable to particular categories
of investors, some of which may be subject to special rules. In addition, this
discussion does not address state, local or foreign tax issues with respect to
the acquisition, ownership or disposition of the Offered Certificates. The
authorities on which this discussion is based are subject to change or differing
interpretations, and any such change or interpretation could apply
retroactively. This discussion reflects the applicable provisions of the Code,
as well as temporary and final regulations (the "REMIC Regulations") promulgated
by the U. S. Department of the Treasury. Investors should consult their own tax
advisors in determining the federal, state, local, foreign or any other tax
consequences to them of the purchase, ownership and disposition of the Offered
Certificates.
An election will be made to treat the Trust Fund as a REMIC (a "REMIC", and
with respect to the Trust Fund, the "Trust REMIC") within the meaning of Code
Section 860D. Qualification as a REMIC requires ongoing compliance with certain
conditions. Assuming (i) the making of an appropriate election, (ii) compliance
with the Pooling Agreement and the Trust Agreement and (iii) compliance with any
changes in the law, including any amendments to the Code or applicable Treasury
regulations thereunder, in the opinion of Cadwalader, Wickersham & Taft, counsel
to the Depositor, the Trust Fund will qualify as a REMIC. Accordingly, the Class
E-1 and Class E-2 Certificates (the "Regular Certificates") will constitute the
"regular interests" in the Trust REMIC and generally will be treated for federal
income tax purposes as newly originated debt instruments. The Class R
Certificate will constitute the sole class of "residual interest" in the Trust
REMIC.
Status of Certificates
Certificates held by a domestic building and loan association will
constitute "a regular or residual interest in a REMIC" within the meaning of
Code Section 7701(a)(19)(C)(xi) in the same proportion that the assets of the
Trust Fund would be treated as "loans ... secured by an interest in real
property which is...residential real property" within the meaning of Code
Section 7701(a)(19)(C)(v) or as other assets described in Code Section
7701(a)(19)(C). Certificates held by a real estate investment trust will
constitute "real estate assets" within the meaning of Code Sections 856(c)(5)(A)
and 856(c)(6) and interest on the Regular Certificates and income with respect
to the Class R Certificate will be considered "interest on obligations secured
by mortgages on real property or on interests in real property" within the
meaning of Code Section 856(c)(3)(B) in the same proportion that, for both
purposes, the assets of the Trust Fund would be so treated. If at all times 95%
or more of the assets of the Underlying Trust Fund, and therefore of the
Underlying Class E Certificates, qualify for each of the foregoing treatments,
the Certificates will qualify for the corresponding status in their entirety. It
is anticipated, however, that [a substantial portion] of the assets of the
Underlying Trust Fund will qualify for treatment under Code Section
7701(a)(19)(C)(v). Certificates held by a regulated investment company will not
constitute "government securities" within the meaning of Code Section 851
(b)(4)(A)(i). Certificates held by certain financial institutions will
constitute an "evidence of indebtedness" within the meaning of Code Section
582(c)(1). The Small Business Job Protection Act of 1996 (the "SBJPA of 1996")
repealed the reserve method for bad debts of domestic building and loan
associations and mutual savings banks, and thus has eliminated the asset
category of "qualifying real property loans" in former Code Section 593(d) for
taxable years beginning after December 31, 1995. The requirement in the SBJPA of
1996 that such institutions must "recapture" a portion of their existing bad
debt reserves is suspended if a certain portion of their assets are maintained
in "residential Loans" under Code Section 7701(a)(19)(C)(v), but only if such
loans were made to acquire, construct or improve the related real property and
not for the purpose of refinancing. However, no effort will be made to identify
the portion of the Mortgage Loans of any underlying certificates meeting this
requirement, and no representation is made in this regard.
Qualification as a REMIC
In order for the Trust Fund to qualify as a REMIC, there must be ongoing
compliance on the part of the Trust Fund with the requirements set forth in the
Code. The REMIC must fulfill an asset test, which requires that no more than a
de minimis portion of the assets of the REMIC, as of the close of the third
calendar month beginning after the "Startup Day" (which for purposes of this
discussion is the date of the issuance of the Certificates) and at all times
thereafter, may consist of assets other than "qualified mortgages" and
"permitted investments." The REMIC also must provide "reasonable arrangements"
to prevent its residual interest from being held by "disqualified organizations"
or agents thereof and must furnish applicable tax information to transferors or
agents that violate this requirement. The Trust Agreement will provide that no
legal or beneficial interest in the Class R Certificate may be transferred or
registered unless certain conditions, designed to prevent violation of this
requirement, are met.
A qualified mortgage is any obligation that is principally secured by an
interest in real property and that is either transferred to the REMIC on the
Startup Day or is purchased by the REMIC within a three-month period thereafter
pursuant to a fixed price contract in effect on the Startup Day. Qualified
mortgages include regular interests in another REMIC, such as the Underlying
Class E Certificates.
Permitted investments include cash flow investments, qualified reserve
assets and foreclosure property. A cash flow investment is an investment,
earning a return in the nature of interest, of amounts received on or with
respect to qualified mortgages for a temporary period, not exceeding 13 months,
until the next scheduled distribution to holders of interests in the REMIC.
Because the assets of the Trust REMIC will consist primarily of the Underlying
Class E Certificates, it is not anticipated that the Trust REMIC will hold
foreclosure property. The Trust REMIC will not hold any qualified reserve
assets.
In addition to the foregoing requirements, the various interests in a REMIC
also must meet certain requirements. All of the interests in a REMIC must be
either of the following: (i) one or more classes of regular interests or (ii) a
single class of residual interests on which distributions, if any, are made pro
rata. A regular interest is an interest in a REMIC that is issued on the Startup
Day with fixed terms, is designated as a regular interest, and unconditionally
entitles the holder to receive a specified principal amount (or other similar
amount), and provides that interest payments (or other similar amounts), if any,
at or before maturity either are payable based on a fixed rate or a qualified
variable rate, or consist of a specified, nonvarying portion of the interest
payments on the qualified mortgages. A residual interest is an interest in a
REMIC other than a regular interest that is issued on the Startup Day that is
designated as a residual interest. An interest in a REMIC may be treated as a
regular interest even if payments of principal with respect to such interest are
subordinated to payments on other regular interests or the residual interest in
the REMIC, and are dependent on the absence of defaults or delinquencies on
qualified mortgages or permitted investments, lower than reasonably expected
returns on permitted investments, unanticipated expenses incurred by the REMIC
or prepayment interest shortfalls. Accordingly, the Regular Certificates will
constitute the "regular interests" in the Trust REMIC and the Class R
Certificate will constitute the sole class of "residual interest" in the Trust
REMIC.
If an entity fails to comply with one or more of the requirements of the
Code for status as a REMIC during any taxable year, the Code provides that the
entity will not be treated as a REMIC for such year and thereafter. In this
event, any entity with debt or pay-through obligations with two or more
maturities, such as the Trust Fund, may be treated as a separate association
taxable as a corporation under Treasury regulations, and the Certificates may be
treated as equity interests therein. The Code, however, authorizes the Treasury
Department to issue regulations that address situations where failure to meet
one or more of the requirements for REMIC status occurs inadvertently and in
good faith. Investors should be aware, however, that the Conference Committee
Report to the Tax Reform Act of 1986 (the "1986 Act") indicates that the relief
may be accompanied by sanctions, such as the imposition of a corporate tax on
all or a portion of the Trust Fund's income for the period of time in which the
requirements for REMIC status are not satisfied.
Taxation of Regular Certificates
General
The Regular Certificates generally will be treated for federal income tax
purposes as newly originated debt instruments. In general, interest, original
issue discount ("OID") and market discount on a Regular Certificate will be
treated as ordinary income to the holder of a Regular Certificate, and principal
payments (other than partial principal payments that do not exceed accrued
market discount) on a Regular Certificate will be treated as a return of capital
to the extent of the Certificateholder's basis allocable thereto.
Certificateholders must use the accrual method of accounting with respect to
Regular Certificates, regardless of the method of accounting otherwise used by
such Certificateholders.
Original Issue Discount
Holders of debt instruments issued with OID generally must include OID in
ordinary income for federal income tax purposes as it accrues, in accordance
with a constant interest method that takes into account the compounding of
interest, in advance of receipt of the cash attributable to such income. The
following discussion is based in part on Treasury regulations issued on February
2, 1994, as amended on June 14, 1996 (the "OID Regulations") under Code Sections
1271 through 1273 and 1275 and in part on the provisions of the 1986 Act.
Holders of the Regular Certificates should be aware, however, that the OID
Regulations do not adequately address certain issues relevant to prepayable
securities, such as the Regular Certificates. To the extent such issues are not
addressed in such Regulations, the Depositor intends to apply the methodology
described in the Conference Committee Report to the 1986 Act. No assurance can
be provided that the Internal Revenue Service will not take a different position
as to those matters not currently addressed by the OID Regulations and the
proposed OID Regulations. Moreover, the OID Regulations include an anti-abuse
rule allowing the Internal Revenue Service to apply or depart from the OID
Regulations where necessary or appropriate to ensure a reasonable tax result in
light of the applicable statutory provisions. A tax result will not be
considered unreasonable under the anti-abuse rule in the absence of a
substantial effect in the present value of a taxpayer's tax liability. Investors
are advised to consult their own tax advisors as to the discussion herein and
the appropriate method for reporting interest and OID with respect to the
Regular Certificates.
The total amount of OID on a Regular Certificate is the excess of the
"stated redemption price at maturity" of the Regular Certificate over its "issue
price." The issue price of a Class of Regular Certificates is the price at which
a substantial amount of such Class of Regular Certificates is first sold to
investors (other than bond houses, brokers or underwriters). The stated
redemption price at maturity of a Regular Certificate is the sum of all payments
provided by the debt instrument other than qualified stated interest payments.
Under the OID Regulations, qualified stated interest generally means interest
payable at a single fixed rate or a qualified variable rate provided that such
interest payments are unconditionally payable at the intervals of one year or
less during the entire term of the Regular Certificate. Because there is no
penalty or default remedy in the case of nonpayment of interest with respect to
a Regular Certificate, it is possible that no interest on any Class of Regular
Certificates will be treated as qualified stated interest. However, because the
Mortgage Loans underlying the Underlying Class E Certificates provide for
remedies in the event of default, the Depositor intends that the Master Servicer
will treat interest with respect to the Regular Certificates as qualified stated
interest, [except to the extent the interest payable on the first Distribution
Date exceeds interest for the number of days between the Startup Day and the
first Distribution Date]. Based on the foregoing, it is anticipated that the
Class E-1 and Class E-2 Certificates will be issued with OID in an amount equal
to the excess of the initial principal balances thereof [(plus ___ days of
interest at the pass-through rates thereon) over their respective issue prices
(including accrued interest).] The determination of whether the Regular
Certificates bear qualified stated interest or OID may have an effect on how
long such income must be accrued in the event of a delinquency. See "Treatment
of Losses."
Under a de minimis rule, OID on a Regular Certificate will be considered to
be zero if such OID is less than 0.25% of the stated redemption price at
maturity of the Regular Certificate multiplied by the weighted average maturity
of the Regular Certificate. For this purpose, the weighted average maturity of
the Regular Certificate is computed as the sum of the amounts determined by
multiplying the number of full years (i.e., rounding down partial years) from
the issue date until each distribution in reduction of stated redemption price
at maturity is scheduled to be made by a fraction, the numerator of which is the
amount of each distribution included in the stated redemption price at maturity
of the Regular Certificate and the denominator of which is the stated redemption
price at maturity of the Regular Certificate. The Conference Committee Report to
the 1986 Act provides that the schedule of such distributions should be
determined in accordance with the assumed rate of prepayment of the Mortgage
Loans underlying the Pooled Certificates (the "Pooled Certificates"). The
prepayment assumption for the Regular Certificates will be [ ](the "Prepayment
Assumption"). No representation is made as to the actual rate, if any, at which
the Mortgage Loans underlying the Underlying Class E Certificates will prepay.
[If the Internal Revenue Service does not permit a maturity extension in
determining the Prepayment Assumption, it is less likely that any OID on a
Regular Certificate would be de minimis and OID would accrue at a higher yield
to maturity.] Holders generally must report de minimis OID pro rata as principal
payments are received, and such income will be capital gain if the Regular
Certificate is held as a capital asset. Under the OID Regulations, however,
Holders of Regular Certificates may elect to accrue all de minimis OID, as well
as market discount and market premium, under the constant yield method. See
"Election to Treat All Interest Under the Constant Yield Method."
A holder of a Regular Certificate issued with OID generally must include in
gross income for any taxable year the sum of the "daily portions," as defined
below, of the OID on the Regular Certificate accrued during an accrual period
for each day on which it holds the Regular Certificate, including the date of
purchase but excluding the date of disposition. With respect to each Class of
Regular Certificates, a calculation will be made of the OID that accrues during
each successive full accrual period that ends on the day prior to each
Distribution Date with respect to the Regular Certificate. Under Code Section
1272(a)(6), OID is to be calculated initially based on a principal payment
schedule that takes into account the Prepayment Assumption. No representation is
made as to the actual rate, if any, at which the Mortgage Loans underlying the
Underlying Class E Certificates will prepay. The assumed reinvestment rate for
the transaction is zero. The OID accruing in a full accrual period will be the
excess, if any, of (i) the sum of (a) the present value of all of the remaining
distributions to be made on the Regular Certificate as of the end of that
accrual period and (b) the distributions made on the Regular Certificate during
the accrual period that are included in the Regular Certificate's stated
redemption price at maturity, over (ii) the adjusted issue price of the Regular
Certificate at the beginning of the accrual period. The present value of the
remaining distributions referred to in the preceding sentence is calculated
based on (i) the yield to maturity of the Regular Certificate as of the Startup
Day, (ii) events (including actual prepayments, if any) that have occurred prior
to the end of the accrual period and (iii) the Prepayment Assumption. For these
purposes, the adjusted issue price of a Regular Certificate at the beginning of
any accrual period equals the issue price of the Regular Certificate, increased
by the aggregate amount of OID with respect to the Regular Certificate that
accrued in all prior accrual periods and reduced by the amount of distributions
included in the Regular Certificate's stated redemption price at maturity that
were made on the Regular Certificate that were attributable to such prior
periods. The OID accruing during any accrual period (as determined in this
paragraph) will be divided by the number of days in the period to determine the
daily portion of OID for each day in the period. [OID attributable to the short
first accrual period will be determined using the exact method.]
Acquisition Premium
A subsequent purchaser of a Regular Certificate issued with OID at a price
greater than its adjusted issue price and less than its remaining stated
redemption price at maturity will be required to include in gross income the
daily portions of the OID on the Regular Certificate reduced pro rata by a
fraction, the numerator of which is the excess of its purchase price over such
adjusted issue price and the denominator of which is the excess of the remaining
stated redemption price at maturity over the adjusted issue price.
Alternatively, such a subsequent purchaser may elect to treat all such
acquisition premium under the constant yield method, as described below under
the heading "Election to Treat All Interest Under the Constant Yield Method."
Market Discount
A purchaser of a Regular Certificate may be subject to the market discount
rules of Code Sections 1276 through 1278. Under these Code sections and the
principles applied by the OID Regulations in the context of OID, "market
discount" is the amount by which the purchaser's original basis in the Regular
Certificate (i) is exceeded by the then-current principal amount of the Regular
Certificate, or (ii) in the case of a Regular Certificate having OID, is
exceeded by the adjusted issue price of such Regular Certificate at the time of
purchase. Such purchaser generally will be required to recognize ordinary income
to the extent of accrued market discount on such Regular Certificate as
distributions includible in the stated redemption price at maturity thereof are
received, in an amount not exceeding any such distribution. Such market discount
would accrue in a manner to be provided in Treasury regulations and should take
into account the Prepayment Assumption. The Conference Committee Report to the
1986 Act provides that until such regulations are issued, such market discount
would accrue either (i) on the basis of a constant interest rate or (ii) in the
ratio of stated interest allocable to the relevant period to the sum of the
interest for such period plus the remaining interest as of the end of such
period, or, in the case of a Regular Certificate issued with OID, in the ratio
of OID accrued for the relevant period to the sum of the OID accrued for such
period plus the remaining OID as of the end of such period. Such purchaser also
generally will be required to treat a portion of any gain on a sale or exchange
of the Regular Certificate as ordinary income to the extent of the market
discount accrued to the date of disposition under one of the foregoing methods,
less any accrued market discount previously reported as ordinary income as
partial distributions in reduction of the stated redemption price at maturity
were received. Such purchaser will be required to defer deduction of a portion
of the excess of the interest paid or accrued on indebtedness incurred to
purchase or carry the Regular Certificate over the interest (including OID)
distributable thereon. The deferred portion of such interest expense in any
taxable year generally will not exceed the accrued market discount on the
Regular Certificate for such year. Any such deferred interest expense is, in
general, allowed as a deduction not later than the year in which the related
market discount income is recognized or the Regular Certificate is disposed of.
As an alternative to the inclusion of market discount in income on the foregoing
basis, the Certificateholder may elect to include market discount in income
currently as it accrues on all market discount instruments acquired by such
Certificateholder in that taxable year or thereafter, in which case the interest
deferral rule will not apply. See "Election to Treat All Interest Under the
Constant Yield Method" below regarding an alternative manner in which such
election may be deemed to be made.
Market discount with respect to a Regular Certificate will be considered to
be zero if such market discount is less than 0.25% of the remaining stated
redemption price at maturity of such Regular Certificate multiplied by the
weighted average maturity of the Regular Certificate (determined as described
above in the third paragraph under "Original Issue Discount") remaining after
the date of purchase. De minimis market discount should be reportable in a
manner similar to de minimis OID. See "Original Issue Discount." Treasury
regulations implementing the market discount rules have not yet been issued, and
investors should therefore consult their own tax advisors regarding the
application of these rules as well as the advisability of making any of the
elections with respect thereto. Investors should also consult Revenue Procedure
92-67 concerning the election to include market discount on the basis of a
constant interest rate.
Premium
A Regular Certificate purchased at a cost greater than its remaining stated
redemption price at maturity generally is considered to be purchased at a
premium. If the Holder of the Regular Certificate holds such Regular Certificate
as a "capital asset" within the meaning of Code Section 1221, the Holder of the
Regular Certificate may elect under Code Section 171 to amortize such premium
under the constant yield method. Such election will apply to all debt
obligations acquired by the Holder of the Regular Certificate at a premium held
in that taxable year or thereafter, unless revoked with the permission of the
Internal Revenue Service. The Conference Committee Report to the 1986 Act
indicates a Congressional intent that the same rules that apply to the accrual
of market discount on installment obligations will also apply to amortizing bond
premium under Code Section 171 on installment obligations such as the Regular
Certificates, although it is unclear whether the alternatives to the constant
interest method described above under "Market Discount" are available.
Amortizable bond premium will be treated as an offset to interest income on a
Regular Certificate, rather than as a separate deduction item. See "Election to
Treat All Interest Under the Constant Yield Method" below regarding an
alternative manner in which the Code Section 171 election may be deemed to be
made.
Treatment of Losses
Certificateholders will be required to report income with respect to the
Regular Certificates on the accrual method of accounting, without giving effect
to delays or reductions in distributions attributable to defaults or
delinquencies on the Mortgage Loans, except to the extent it can be established
that such losses are uncollectible. Accordingly, the holder of a Regular
Certificate may have income, or may incur a diminution in cash flow as a result
of a default or delinquency, but may not be able to take a deduction (subject to
the discussion below) for the corresponding loss until a subsequent taxable
year. In this regard, investors are cautioned that while they may generally
cease to accrue interest income if it reasonably appears that the interest will
be uncollectible, the Internal Revenue Service may take the position that OID
must continue to be accrued in spite of its uncollectibility until the debt
instrument is disposed of in a taxable transaction or becomes worthless in
accordance with the rules of Code Section 166.
To the extent the rules of Code Section 166 regarding bad debts are
applicable, it appears that Certificateholders that are corporations or that
otherwise hold the Regular Certificates in connection with a trade or business
should in general be allowed to deduct as an ordinary loss such loss with
respect to principal sustained during the taxable year on account of any such
Regular Certificates becoming wholly or partially worthless, and that, in
general, Certificateholders that are not corporations and do not hold the
Regular Certificates in connection with a trade or business will be allowed to
deduct as a loss, which may be a short-term capital loss, any loss sustained
during the taxable year on account of any such Regular Certificates becoming
wholly worthless. The Internal Revenue Service could take the position that such
non-corporate holders will be allowed a bad debt deduction only after the
Underlying Class E Certificates have been liquidated or the applicable Class of
Regular Certificates has been otherwise retired. The Internal Revenue Service
could also assert that losses on the Regular Certificates are deductible based
on some other method that may defer such deductions for all holders, such as
reducing future cash flow for purposes of computing OID. This may have the
effect of creating "negative" OID which would be deductible only against future
positive OID or otherwise upon termination of the Class. Certificateholders are
urged to consult their own tax advisors regarding the appropriate timing, amount
and character of any loss sustained with respect to such Regular Certificates.
While losses attributable to interest previously reported as income should be
deductible as ordinary losses by both corporate and non-corporate holders, the
Internal Revenue Service may take the position that losses attributable to
accrued OID may only be deducted as short-term capital losses by non-corporate
holders not engaged in a trade or business. Special loss rules are applicable to
banks and thrift institutions, including rules regarding reserves for bad debts.
Such taxpayers are advised to consult their tax advisors regarding the treatment
of losses on Regular Certificates.
Election to Treat All Interest Under the Constant Yield Method
A holder of a debt instrument such as a Regular Certificate may elect to
treat all interest that accrues on the instrument using the constant yield
method, with none of the interest being treated as qualified stated interest.
For purposes of applying the constant yield method to a debt instrument subject
to such an election, (i) "interest" includes stated interest, OID, de minimis
OID, market discount and de minimis market discount, as adjusted by any
amortizable bond premium or acquisition premium and (ii) the debt instrument is
treated as if the instrument were issued on the holder's acquisition date in the
amount of the holder's adjusted basis or for a class or group of debt
instruments. A holder generally may make such an election on an instrument by
instrument basis or for a class or group of debt instruments. However, if the
holder makes such an election with respect to a debt instrument with amortizable
bond premium or with market discount, the holder is deemed to have made
elections to amortize bond premium or to report market discount income currently
as it accrues under the constant yield method, respectively, for all premium
obligations held or market discount obligations acquired by the holder in the
same taxable year or thereafter. The election is made on the holder's federal
income tax return for the year in which the debt instrument is acquired and is
irrevocable except with the approval of the Internal Revenue Service. Investors
should consult their own tax advisors regarding the advisability of making such
an election.
Sale or Exchange of Regular Certificates
If a Certificate sells or exchanges a Regular Certificate, the
Certificateholder will recognize gain or loss equal to the difference, if any,
between the amount received and its adjusted basis in the Regular Certificate.
The adjusted basis of a Regular Certificate generally will equal the cost of the
Regular Certificate to the Seller, increased by any OID or market discount
previously included in the seller's gross income with respect to the Regular
Certificate and reduced by amounts included in the stated redemption price at
maturity of the Regular Certificate that were previously received by the seller,
by losses and by any amortized premium.
Except as described above with respect to market discount, and except as
provided in this paragraph, any gain or loss on the sale or exchange of a
Regular Certificate realized by an investor who holds the Regular Certificate as
a capital asset will be gain or loss and will be long-term or short-term
depending on whether the Regular Certificate has been held for the long-term
capital gain holding period (more than one year). Such gain will be treated as
ordinary income (i) if a Regular Certificate is held as part of a "conversion
transaction" as defined in Code Section 1258(c), up to the amount of interest
that would have accrued on the holder's net investment in the conversion
transaction at 120% of the appropriate applicable Federal rate under Code
Section 1274(d) in effect at the time the holder entered into the transaction
minus any amount previously treated as ordinary income with respect to any prior
disposition of property that was held as a part of such transaction, (ii) in the
case of an noncorporate taxpayer, to the extent such taxpayer has made an
election under Code Section 163(d) (4) to have net capital gains taxed as
investment income at ordinary income rates, or (iii) to the extent that such
gain does not exceed the excess, if any, of (a) the amount that would have been
includible in the gross income of the holder if its yield on such Regular
Certificate were 110% of the applicable Federal rate as of the date of purchase,
over (b) the amount of income actually includible in the gross income of such
holder with respect to such Regular Certificate. In addition, gain or loss
recognized from the sale of a Regular Certificate by certain banks or thrift
institutions will be treated as ordinary income or loss pursuant to Code Section
582(c). Capital gains of certain non-corporate taxpayers are subject to a lower
tax rate than ordinary income of such taxpayers. The maximum tax rate for
corporations is the same with respect to both ordinary income and capital gains.
Taxes That May Be Imposed on the Trust REMIC
Prohibited Transactions
Income from certain transactions by the Trust REMIC, called prohibited
transactions, will not be part of the calculation of income or loss includible
in the federal income tax returns of the holder of a Class R Certificate (a
"Residual Holder"), but rather will be taxed directly to the Trust REMIC at a
100% rate. Prohibited transactions generally include (i) the disposition of a
qualified mortgage other than for (a) substitution within two years of the
Startup Day for a defective (including a defaulted) obligation (or repurchase in
lieu of substitution of a defective (including a defaulted) obligation at any
time) or for any qualified mortgage within three months of the Startup Day, (b)
foreclosure. default, or imminent default of a qualified mortgage, (c)
bankruptcy or insolvency of the Trust REMIC, or (d) a qualified (complete)
liquidation, (ii) the receipt of income from assets that are not the type of
mortgages or investments that the Trust REMIC is permitted to hold, (iii) the
receipt of compensation for services, or (iv) the receipt of gain from
disposition of cash flow investments other than pursuant to a qualified
liquidation. Notwithstanding (i) and (iv), it is not a prohibited transaction to
sell Trust REMIC property to prevent a default on regular interests as a result
of a default on qualified mortgages or to facilitate a clean-up call (generally,
an optional termination to save administrative costs when no more than a small
percentage of the regular interests is outstanding). It is not anticipated that
the Trust REMIC will engage in any prohibited transaction.
Contributions to the Trust REMIC After the Startup Day
In general, the Trust REMIC will be subject to a tax at a 100% rate on the
value of any property contributed to the Trust REMIC after the Startup Day.
Exceptions are provided for cash contributions to a REMIC (i) during the three
months following the Startup Day, (ii) made to a qualified reserve fund by a
Residual Holder, (iii) in the nature of a guarantee, (iv) made to facilitate a
qualified liquidation or clean-up call, and (v) as otherwise permitted in
Treasury regulations yet to be issued. It is not anticipated that there will be
any taxable contributions to the Trust REMIC.
Net Income from Foreclosure Property
The Trust REMIC will be subject to federal income tax at the highest
corporate rate on "net income from foreclosure property," determined by
reference to the rules applicable to real estate investment trusts. Because the
Trust REMIC's assets will consist primarily of the Underlying Class E
Certificates, it is not anticipated that the Trust REMIC will hold any
foreclosure property.
Liquidation of the Trust REMIC
If the Trust REMIC adopts a plan of complete liquidation, within the meaning
of Code Section 860F(a)(4)(A)(i), which may be accomplished by designating in
the Trust REMIC's final tax return a date on which such adoption is deemed to
occur, and sells all of its assets (other than cash) within a 90-day period
beginning on such date, the Trust REMIC will not be subject to the prohibited
transaction rules on the sale of its assets, provided, that the Trust REMIC
credits or distributes in liquidation all of the sale proceeds plus its cash
(other than amounts retained to meet claims) to holders of regular and residual
interests within the 90-day period.
Administrative Matters
Treasury regulations provide that, except where there is a single Residual
Holder for an entire taxable year, the Trust REMIC will be subject to the
procedural and administrative rules of the Code applicable to partnerships,
including the determination by the Internal Revenue Service of any adjustments
to, among other things, items of Trust REMIC income, gain, loss, deduction or
credit in a unified administrative proceeding. The holder of the Class R
Certificate will be obligated to act as the "tax matters person" for the Trust
REMIC. Any holder of the Class R Certificate, as a condition of its acceptance
thereof, will be required to irrevocably designate the Certificate Administrator
as its agent in performing the functions of the tax matters person of the Trust
REMIC.
Taxation of Certain Foreign Investors
Interest, including OID, distributable to holders of Regular Certificates
who are non-resident aliens, foreign corporations, or other Non-U.S. Person
(i.e., any person who is not a "U.S. Person," as defined below), will be
considered "portfolio interest" and, therefore, generally will not be subject to
a 30% United States withholding tax, provided, that such Non-U.S. Person (i) is
not a "10-percent shareholder" within the meaning of Code Section 871 (h)(3)(B)
or a controlled foreign corporation described in Code Section 881 (c)(3)(C) and
(ii) provides the Underlying Trustee, or the person who would otherwise be
required to withhold tax from such distributions under Code Section 1441 or
1442, with an appropriate statement, signed under penalties of perjury,
identifying the beneficial owner and stating. among other things, that the
beneficial owner of the Regular Certificates is a Non-U.S. Person. If such
statement, or any other required statement, is not provided, 30% withholding
will apply unless reduced or eliminated pursuant to an applicable tax treaty or
unless the interest on the Regular Certificate is effectively connected with the
conduct of a trade or business within the United States by such Non-U.S. Person.
In the latter case, such Non-U.S. Person will be subject to United States
federal income tax at regular rates. Investors who are Non-U.S. Persons should
consult their own tax advisors regarding the specific tax consequences to them
of owning a Regular Certificate. The term "U.S. Person" means a citizen or
resident of the United States, a corporation, partnership or other entity
created or organized in or under the laws of the United States or any political
subdivision thereof, an estate that is subject to U.S. federal income tax
regardless of the source of its income, or a trust if (A) for taxable years
beginning after December 31, 1996 (or after August 20, 1996, if the trustee has
made an applicable election), a court within the United States is able to
exercise primary supervision over the administration of such trust, and one or
more United States fiduciaries have the authority to control all substantial
decisions of such trust, or (B) for all other taxable years, such trust is
subject to U.S. federal income tax regardless of the source of its income.
Backup Withholding
Distributions made on the Regular Certificates and proceeds from the sale of
the Regular Certificates to or through certain brokers, may be subject to a
"backup" withholding tax under Code Section 3406 at the rate of 31% on
"reportable payments" (including interest distributions, OID, and, under certain
circumstances, principal distributions) unless the Certificateholder complies
with certain reporting and/or certification procedures, including the provision
of its taxpayer identification number to the Underlying Trustee, its agent or
the broker who effected the sale of the Regular Certificate, or such
Certificateholder is otherwise an exempt recipient under applicable provisions
of the Code. Any amounts to be withheld from distribution on the Regular
certificates would be refunded by the Internal Revenue Service or allowed as a
credit against the Certificateholder's federal income tax liability.
Reporting Requirements
The Trust REMIC will be required to maintain its books on a calendar year
basis and to file federal income tax returns in a manner similar to a
partnership. The form for such returns is Form 1066, U.S. Real Estate Mortgage
Investment Conduit Income Tax Return. The Underlying Trustee will be required to
sign the Trust REMIC's returns.
Reports of accrued interest, OID and information necessary to compute the
accrual of any market discount on the Regular Certificates will be made annually
to the Internal Revenue Service and to individuals, estates, non-exempt and
non-charitable trusts, and partnerships who are either holders of record of
Regular Certificates or beneficial owners who own Regular Certificates through a
broker or middleman as nominee. All brokers, nominees and all other non-exempt
holders of record of Regular Certificates (including corporations, non-calendar
year taxpayers, securities or commodities dealers, real estate investment
trusts, investment companies, common trust funds, thrift institutions and
charitable trusts) may request such information for any calendar quarter by
telephone or in writing by contacting the person designated in Internal Revenue
Service Publication 938 with respect to the Trust REMIC. Holders through
nominees must request such information from the nominee.
Treasury regulations require that, in addition to the foregoing
requirements, information must be furnished annually to holders of Regular
Certificates, and filed annually with the Internal Revenue Service concerning
the percentage of the Trust REMIC's assets meeting the qualified asset tests
described above under "Status of Certificates."
DUE TO THE COMPLEXITY OF THESE RULES AND THE CURRENT UNCERTAINTY AS TO THE
MANNER OF THEIR APPLICATION TO THE TRUST AND CERTIFICATEHOLDERS, IT IS
PARTICULARLY IMPORTANT THAT POTENTIAL INVESTORS CONSULT THEIR OWN TAX ADVISORS
REGARDING THE TAX TREATMENT OF THEIR ACQUISITION, OWNERSHIP AND DISPOSITION OF
THE CERTIFICATES.
ERISA CONSIDERATIONS
Under current law the purchase and holding of Offered Certificates by or on
behalf of a Plan may result in "prohibited transactions" within the meaning of
ERISA and Section 4975 of the Code or Similar Law. A person who participates in
a prohibited transaction with a Plan and is a "party in interest" (as defined in
Section 3(14) of ERISA) or "disqualified person" (as defined in section
4975(e)(2) of the Code) with respect to such Plan may be subject to civil
penalties or excise taxes under ERISA or the Code, and may also be assessed
damages for any breach of a fiduciary duty owed to such Plan. Consequently, each
purchaser or transferee of a Class E-1 Certificate (including any beneficial
owner thereof) will be deemed to have represented to the Trustee (a) that it is
not a Plan and is not acting on behalf of a Plan or using the assets of a Plan
to effect such purchase; or (b) if it is an insurance company, that the purchase
and holding of Class E-1 Certificates or any interest therein is exempt from the
prohibited transaction provisions of ERISA and the Code under Prohibited
Transaction Class Exemption 95-60. In addition, no sale or transfer of a Class
E-2 Certificate will be made unless the purchaser or transferee delivers a
certification in form and substance satisfactory to the Trustee stating that (a)
it is not a Plan and is not acting on behalf of any such Plan or using the
assets of any such Plan to acquire such Certificate or (b) if it is an insurance
company, that the purchase and holding of such Certificate is exempt from the
prohibited transaction provisions of ERISA and the Code under Prohibited
Transaction Class Exemption 95-60, 60 Fed. Reg. 35925 (July 12, 1995).
LEGAL INVESTMENT CONSIDERATIONS
Investors should consult their own legal advisors in determining whether
and to what extent a Class of Offered Certificates constitutes a legal
investment or is subject to restrictions on investment.
The Offered Certificates will not constitute "mortgage related securities"
for purposes of SMMEA.
The Depositor makes no representation as to the proper characterization of
the Offered Certificates for legal investment or financial institution
regulatory purposes, or as to the ability of particular investors to purchase
the Offered Certificates under applicable legal investment restrictions. The
uncertainties described above (and any unfavorable future determinations
concerning legal investment or financial institution regulatory characteristics
of the Offered Certificates) may adversely affect the liquidity of the
Certificates.
UNDERWRITING
Under the terms and subject to the conditions set forth in an underwriting
agreement (the "Underwriting Agreement") among the Depositor and the
Underwriter, the Depositor has agreed to sell to the Underwriter, and the
Underwriter has agreed to purchase, all of the Class E-1 Certificates, the Class
E-2 Certificates and the Class R Certificate.
There is currently no secondary market for the Offered Certificates. The
Underwriter, either directly or through its affiliates, intends to make a
secondary market in the Offered Certificates, but has no obligation to do so.
There can be no assurance that an active secondary market for any of the Offered
Certificates will develop or that any such market, if established, will
continue.
The distribution of the Offered Certificates by the Underwriter will be
effected from time to time in one or more negotiated transactions, or otherwise,
at varying prices to be determined, in each case, at the time of sale. The
Underwriter may effect such transactions by selling the Offered Certificates to
or through dealers, and such dealers may receive from the Underwriter, for whom
they act as agent, compensation in the form of underwriting discounts,
concessions or commissions. The Underwriter and any dealers that participate
with the Underwriter in the distribution of the Offered Certificates may be
deemed to be an underwriter, and any discounts, concessions or commissions
received by them, and any profit on the resale of the Offered Certificates
purchased by them, may be deemed to be underwriting discounts and commissions
under the Securities Act of 1933, as amended (the "Act"). The Underwriting
Agreement provides that the Depositor will indemnify the Underwriter against
certain civil liabilities, including liabilities under the Act.
CERTIFICATE RATINGS
It is a condition to the issuance of the Offered Certificates that the
Class E-1 Certificates be rated "BBB" by D&P, and that the Class E-2
Certificates be rated "BB" by S&P and D&P.
The terms of the instrument establishing the Reserve Fund permits the owner
thereof to request and to obtain a release of funds in certain instances,
provided that the ratings of the Underlying Certificates will not, as a result
of such release or otherwise, be rated lower than the initial ratings assigned
to such Underlying Certificates.
The Depositor has been advised by the Rating Agencies that (i) their rating
of the Offered Certificates is and will be based on the assumption that the
owner of the Reserve Fund will obtain, from time to time, a release of funds
from the Reserve Fund and (ii) accordingly, since the Underlying Certificates
have current ratings equal to their initial ratings, any such release to such
owner will not, solely based on such release, result in a downgrade or other
qualification of the rating of the Offered Certificates by either of the Rating
Agencies to the extent that such Offered Certificates are then rated by such
Rating Agency.
A security rating is not a recommendation to buy, sell or hold securities
and may be subject to revision or withdrawal at any time by the assigning rating
organization. The security rating assigned to the Underlying Certificates should
be evaluated independently of similar security ratings assigned to other kinds
of securities.
The ratings assigned by S&P to mortgage pass-through certificates address
the likelihood of the receipt of all distributions on the underlying mortgage
loans by the related certificateholders under the agreements pursuant to which
such certificates are issued. S&P's ratings take into consideration the credit
quality of the related mortgage pool, including any credit support providers,
structural and legal aspects associated with such certificates, and the extent
to which the payment stream on such mortgage pool is adequate to make payments
required by such certificates. S&P's ratings on such certificates do not,
however, constitute a statement regarding frequency of prepayments on the
related mortgage loans.
The ratings assigned by D&P to mortgage pass-through certificates address
the likelihood of the receipt by certificate holders of all distributions to
which such certificate holders are entitled. The ratings assigned to mortgage
pass-through certificates by D&P do not constitute a statement regarding the
likelihood, frequency or extent of principal prepayments. The ratings do not
address the possibility that certificate holders might receive a lower than
expected yield.
For a discussion regarding the ratings of the Underlying Certificates, see
"CERTIFICATE RATINGS" in the Underlying Prospectus, attached hereto as Annex A.
LEGAL MATTERS
Certain legal matters relating to the Offered Certificates will be passed
upon by Cadwalader, Wickersham & Taft, New York, New York.
ADDITIONAL INFORMATION
The Depositor has filed with the Securities and Exchange Commission (the
"Commission") Registration Statement 333-10027 under the Act with respect to the
Offered Certificates (the "Registration Statement"). This Prospectus, which
forms a part of the Registration Statement, omits certain information contained
in such Registration Statement pursuant to the rules and regulations of the
Commission. Statements contained in this Prospectus as to the content of any
contract or other document referred to are summaries and in each instance
reference is made to the copy of the contract or other document filed as an
exhibit to the Registration Statement, each such statement being qualified in
all respects by such reference. The Registration Statement can be inspected and
copied at the public reference facilities maintained by the Commission at 450
Fifth Street, N.W., Washington, D.C. 20549, and at certain of its Regional
Offices located as follows: Chicago Regional Office, Northwestern Atrium Center,
500 Madison Street, Suite 1400, Chicago, Illinois 60661-2511; and New York
Regional Office, 75 Park Place, 14th Floor, New York, New York 10007. Copies of
such material can also be obtained from the Public Reference Section of the
Commission, 450 Fifth Street, N.W., Washington, D.C. 20549, at prescribed rates.
The Commission maintains a Web site at http://www.sec.gov, which contains
reports and other information regarding registrants that file electronically
with the Commission. Copies of the Trust Agreement will be provided to each
person to whom a Prospectus is delivered, upon written or oral request of such
person directed to: Lehman Structured Securities Corp., 200 Vesey Street, New
York, New York 10285, Attention: [Title].
The prospectus with respect to the Underlying Certificates has been filed
with the Commission under the Act (registration statement 33-82066) and can be
inspected and copied at the public reference facilities listed in the preceding
paragraph.
The Depositor will file or cause to be filed with the Commission such
periodic reports with respect to the Trust Fund as are required under the
Securities Exchange Act of 1934, as amended (the "Exchange Act"), and the rules
and regulations of the Commission thereunder or such other reports as are agreed
to by the Depositor and the Commission. The Depositor's obligations to file
periodic reports with the Commission pursuant to the Exchange Act will be
suspended if the Certificates are held of record by fewer than 300 holders.
Accordingly, if there are fewer than 300 holders of the Certificates at January
1, 1997 or as of the first day of any fiscal year thereafter, the Depositor may
cease to file reports with the Commission in respect of the fiscal year
beginning on that date.
Information concerning the Mortgage Loans may be obtained for a fee from
Univest, 10809 Executive Center Drive, Suite 200, Little Rock, Arkansas 72211.
INDEX OF PRINCIPAL TERMS
Act............................................................................8
Adjustment Date...............................................................20
Book-Entry Certificate........................................................13
Cede..........................................................................14
Certificate Account...........................................................13
Certificate Interest Accrual Period...........................................ii
Certificate Interest Rate.....................................................ii
Certificate Principal Amount...............................................cover
Certificateholder..............................................................4
Certificateholders.............................................................4
Certificates...............................................................cover
Class A-1 Certificates.......................................................iii
Class A-2A Certificates......................................................iii
Class A-2B Certificates......................................................iii
Class A-2C Certificates......................................................iii
Class A-3 Certificates.......................................................iii
Class A-4 Certificates.......................................................iii
Class B Certificates ........................................................iii
Class C Certificates.........................................................iii
Class D Certificates.........................................................iii
Class E-1 Certificate Holder...................................................5
Class E-1 Certificate Owner...................................................14
Class E-1 Certificates.....................................................cover
Class E-2 Certificates.....................................................cover
Class F Certificates.........................................................iii
Class R Certificates.......................................................cover
Closing Date...................................................................6
Code...........................................................................7
Commission....................................................................91
CPR...........................................................................30
Cut-Off Date...................................................................2
D&P........................................................................cover
Declining Balance Tables......................................................30
Deferred Interest..............................................................4
Definitive Certificate.........................................................5
Depositor..................................................................cover
Depository....................................................................14
Depository Trust Company, DTC.................................................14
Distribution Date.............................................................ii
Eligible Multifamily Mortgage Loans............................................3
ERISA..........................................................................7
Excess Cash Flow Mortgage Loan................................................21
Excess Interest................................................................5
Exchange Act..................................................................91
Final Schedule Distribution Date...............................................6
First Adjustment Date.........................................................20
Fitch.........................................................................24
Floor Interest Rates...........................................................3
FRF...........................................................................10
Holder.........................................................................4
Index.........................................................................20
Indirect Participant..........................................................14
Information Date...........................................................cover
Information Off Date..........................................................20
Interest.......................................................................4
Interest Accrual Amount.......................................................17
Interest Shortfall Amount.....................................................17
Legal Investment...............................................................8
Lehman Brothers............................................................cover
LIBOR........................................................................iii
Loans-to-Facilitate...........................................................12
Macaulay Duration.............................................................36
Margin........................................................................20
Master Servicer................................................................2
Matured Performing Mortgage Loans.............................................12
Matured Performing Mortgage Loans.............................................20
Maximum Negative Amortization Amount..........................................21
Midland.......................................................................24
Mortgage Interest Rate.........................................................3
Mortgage Loan Assumptions.....................................................30
Mortgage Loan Group 1..........................................................3
Mortgage Loan Group 2..........................................................3
Mortgage Loan Group 3..........................................................3
Mortgage Loan Group 4..........................................................4
Mortgage Loan Groups...........................................................3
Mortgage Loans.............................................................cover
Mortgage Pool..................................................................2
Non-U.S. Person...............................................................88
Note..........................................................................19
Offered Certificates.......................................................cover
OID............................................................................7
OID Regulations...............................................................82
Optional Termination...........................................................6
Participant...................................................................14
Payment Rate...................................................................4
Plan...........................................................................8
Pooled Certificates...........................................................83
Pooling Agreement.............................................................31
Prepayment Assumption.........................................................83
Prepayment Model..............................................................30
Previously Modified Mortgage Loans............................................13
Price Yield Tables............................................................30
Principal......................................................................4
Principal Balance............................................................iii
Qualified Institutional Buyer..................................................8
Rating.........................................................................9
Rating Agencies..............................................................iii
Record Date....................................................................6
Registration Statement........................................................91
Regular Certificates...........................................................7
REMIC.........................................................................ii
REMIC Administrator...........................................................13
REMIC Regulations.............................................................80
Reserve Fund...............................................................cover
Residual Holder...............................................................87
RTC........................................................................cover
Rules.........................................................................14
S&P........................................................................cover
Seller.....................................................................cover
Seller-Originated Loans.......................................................12
Servicer......................................................................24
Similar Law....................................................................7
SBJPA of 1996.................................................................81
SMMEA..........................................................................8
Special Servicer...............................................................2
Specially Serviced Mortgage Loans.............................................20
Startup Day...................................................................81
Trust......................................................................cover
Trust Agreement................................................................1
Trust Fund.................................................................cover
Trust REMIC...................................................................ii
Trustee....................................................................cover
Trustee Fee....................................................................6
U.S. Person...................................................................16
Underlying Trustee.............................................................2
Underlying Certificateholders..................................................1
Underlying Certificates....................................................cover
Underlying Class E Certificates............................................cover
Underlying Class R Certificates................................................6
Underlying Cut-Off Date........................................................3
Underlying Prospectus..........................................................1
Underlying Transaction.......................................................iii
Underlying Trust Fund......................................................cover
Underwriter................................................................cover
Underwriting Agreement........................................................90
<PAGE>
EXHIBITS
The information set forth in Exhibits A through J is based on Scheduled
Principal Balances, Mortgage Interest Rates and other information as of the
Information Date with respect to Mortgage Loans expected to be included in the
Trust Fund; provided that the Mortgage Interest Rates for certain of the
adjustable rate Mortgage Loans are as of the Due Period preceding the
Information Date. Not all the Mortgage Loans upon which Exhibits A through J are
based may be included in the Trust Fund and consequently the information set
forth below may vary from comparable information on the Mortgage Loans
ultimately included in the Trust Fund. In addition, the information set forth
below may change as a result of principal payments, Mortgage Interest Rate
adjustments and other factors relating to the Mortgage Loans prior to the
Closing Date. The Seller will file a report on Form 8-K with the Commission in
accordance with the rules thereof which will set forth information with respect
to the Mortgage Loans included in the Trust Fund on the Closing Date. The
information expressed as a percentage of the aggregate Scheduled Principal
Balance may not total 100% due to rounding, and the sum of the amounts listed as
the aggregate Scheduled Principal Balance of the Mortgage Loans as of the
Information Date may not total the indicated amount due to rounding. For
purposes of the following exhibits, weighted average original term calculations
do not include contractual extensions.
<PAGE>
<TABLE>
Exhibit A
Mortgage [____]Loan Group 1
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 1
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Information Date Information Date Information Date
- --------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ 50,000 or less......... $ %
$ 50,001 to $ 100,000...
$ 100,001 to $ 200,000...
$ 200,001 to $ 400,000...
$ 400,001 to $ 600,000 ..
$ 600,001 to $ 800,000 ..
$ 800,001 to $ 1,000,000.
$ 1,000,001 to $ 2,000,000.
$ 2,000,001 to $ 3,000,000.
$ 3,000,001 to $ 4,000,000.
$ 4,000,001 to $ 5,000,000.
$ 5,000,001 to $10,000,000.
$10,000,001 or more........
Total............ $ %
Average Original Principal Balance is $[ ].
</TABLE>
<TABLE>
Distribution of Scheduled Principal Balances as of the Information Date
of Mortgage Loans in Mortgage Loan Group 1
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Loans Principal Balance Principal Balance
Principal Balances As of As of As of
as of Information Date Information Date Information Date Information Date
- ------------------------- ---------------- ----------------- -----------------
<S> <C> <C> <C>
$ 50,000 or less.......... $ %
$ 50,001 to $ 100,000.....
$ 100,001 to $ 200,000.....
$ 200,001 to $ 400,000.....
$ 400,001 to $ 600,000.....
$ 600,001 to $ 800,000.....
$ 800,001 to $ 1,000,000...
$ 1,000,001 to $ 2,000,000...
$ 2,000,001 to $ 3,000,000...
$ 3,000,001 to $ 4,000,000...
$ 4,000,001 to $ 5,000,000...
$ 5,000,001 to $10,000,000...
$10,000,001 or more..........
Total.............. $ %
Average Scheduled Principal Balance as of
the Information Date is $[ ].
</TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 1*
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Information Date Information Date Information Date
- ------------------ ---------------- ---------------- -----------------
5 years or less. $ %
5+ to 7 years..
7+ to 10 years..
10+ to 15 years..
15+ to 20 years..
20+ to 30 years..
30 years or more.
Total.. $ %
Weighted Average Original Term to Stated Maturity is [ ] years.
- ----------
* Without giving effect to any modification or extension of maturity date.
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 1
Percentage of
Balloon Mortgage
Loans in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date Information Date Information Date Information Date
------------------ ---------------- ------------------ -----------------
1+ to 2 years... $ %
2+ to 3 years...
3+ to 4 years...
4+ to 5 years*..
5+ to 10 years...
10+ to 15 years...
15+ to 20 years...
20+ to 30 years...
Total... $ %
Weighted Average Remaining Term to Stated Maturity is [ ] years.
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 1
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date Information Date Information Date Information Date
- ------------------- ---------------- ------------------ ----------------
5 years or less... $ %
5+ to 10 years....
10+ to 15 years....
15+ to 20 years....
20+ to 30 years....
Total.... $ %
Weighted Average Remaining Term to Stated Maturity is [ ] years.
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
Seasoning of Mortgage Loans
in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Number of Years Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date Information Date Information Date Information Date
- ------------------ ---------------- ------------------ ----------------
1 + to 2 years... $ %
2 + to 3 years...
3 + to 4 years...
4 + to 5 years...
5 + to 6 years...
6 + to 7 years...
7 + to 8 years...
8 + to 9 years...
9 + to 10 years...
Over 10 years.....
Total... $ %
Weighted Average Seasoning is [ ] years.
Mortgage Interest Rates as of Information Date
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
Less than 4.00%........ $ %
5.00% to 5.99%.......
6.00% to 6.99%.......
7.00% to 7.99%.......
8.00% to 8.99%.......
9.00% to 9.99%.......
10.00% to 10.99%.......
11.00% to 11.99%.......
Total........ $ %
Weighted Average Mortgage Interest Rate is [ ]%.
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- -----------------
50.00% or less....... $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total....... $ %
Weighted Average Loan-to-Value Ratio at Origination is [ ]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
Range of Ratios of Current Loan Balance-to-Original Value
as of Information Date in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Information Date Information Date Information Date
- -------------------------- ---------------- ---------------- ----------------
50.00% or less........... $ %
50.01% to 60.00%........
60.01% to 70.00%........
70.01% to 80.00%........
80.01% to 90.00%........
90.01% to 100.00%........
Unknown..................
Total............ $ %
Weighted Average Current Loan Balance-to-Original Value Ratio is [ ]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
Lien Positions of Mortgage Loans
in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Information Date Information Date Information Date
- -------------- ---------------- ---------------- -----------------
First lien**.. $ %
$ %
Total.........
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
Property Type
of Mortgaged Properties in Mortgage Loan Group 1
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Type of Mortgaged Properties Information Date Information Date Information Date
- ----------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Multifamily (5-36 Units)..... $ %
Multifamily (37-200 Units)...
Multifamily (Over 200 Units).
Multifamily -- Other.........
Total.............. $ %
</TABLE>
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Information Date Information Date Information Date
- -------------- ---------------- ----------------- -----------------
Arizona....... $ %
California....
Colorado......
Connecticut...
Florida.......
Louisiana.....
New Jersey....
New Mexico....
New York......
North Carolina
Ohio..........
Oregon........
Pennsylvania..
Texas.........
Virginia......
$ %
Total.........
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration* Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
Los Angeles County $ %
90019 Los Angeles...
90028 Los Angeles...
90034 Los Angeles...
91401 Van Nuys......
Other Zip Codes.....
Total Los Angeles
County.................
San Diego County
92117 San Diego.....
Other Zip Codes.....
Total San Diego County.
All Other Counties.....
Total........ $ %
- ----------
* Zip Code concentrations are indicated above only if the percentage exceeds
[ ]% in the counties noted.
<PAGE>
<TABLE>
Monthly Payments Delinquent as of the Information Date
of Mortgage Loans in Mortgage Loan Group 1
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Information Date Information Date Information Date
- -------------------------------- ---------------- ----------------- -----------------
<S> <C> <C> <C>
None (0-29 days past due)....... $ %
One Payment (30-59 days past
due)............................
Total................. $ %
</TABLE>
<TABLE>
Delinquency History for the Past Twenty-Four Months as of the Information Date
of Mortgage Loans in Mortgage Loan Group 1
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Information Date Information Date Information Date
- -------------------------------------------- ---------------- ---------------- ------------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 24 $ %
months.....................................
One Payment Delinquent (30-59 days) in last
last 24 months
1 time 30-day delinquent in last 24
months................................
2 times 30-day delinquent in last 24
months................................
More than 2 times 30-day delinquent in
last 24 months........................
Two Payments Delinquent (60-89 days) in
last 24 months**
1 time 60-day delinquent in last 24
months................................
2 times 60-day delinquent in last 24
months................................
Three or more Payments Delinquent (90
Days+) in last 24 months**
1 time 90-day delinquent in last 24
months................................
2 times 90-day delinquent in last 24
months................................
More than 2 times 90-day delinquent in
last 24 months........................
Total............................. $ %
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Mortgage Loans in
Mortgage Loan Group 1, based on the Aggregate Scheduled Principal Balance as
of the Information Date, did not have twelve months of delinquency history
and were not modified.
** Approximately [____]% and [___]% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
Margins of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins I Information Date Information Date Information Date
- ---------------- ---------------- ---------------- -----------------
No Stated Margin $ %
Less than Zero..
0.01% to 0.99%..
1.00% to 1.99%..
2.00% to 2.99%..
3.00% to 3.99%..
4.00% or more...
Total...... $ %
Weighted Average Margin is [ ]%.
Maximum Rates of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Information Date Information Date Information Date
- ------------------ ---------------- ---------------- ----------------
No Maximum Rate... $ %
Less than 11.99%..
12.00% to 12.99%..
13.00% to 13.99%..
14.00% to 14.99%..
15.00% to 15.99%..
16.00% to 16.99%..
17.00% to 17.99%..
18.00% to 18.99%..
19.00% to 19.99%..
Total... $ %
Weighted Average Maximum Rate is [ ]%.*
- ----------
* Excludes ARMs with no Maximum Rate.
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage Loan
Group by
Aggregate Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
No Minimum Rate.... $ %
Less than 6.00%....
6.00% to 6.99%.....
7.00% to 7.99%.....
8.00% to 8.99%.....
Total.... $ %
Weighted Average Floor Interest Rate is [ ]%.*
- ----------
* Excludes ARMs with no Floor Interest Rate.
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Information Date Information Date Information Date
- ------------------------ ---------------- ---------------- ----------------
No Periodic Adjustment $ %
Cap.....................
Less than 1.00%.........
1.00% to 1.99%..........
2.00% to 2.99%..........
3.00% to 3.99%..........
Total......... $ %
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Information Date Information Date Information Date
- --------------------- ---------------- ---------------- -----------------
Monthly............. $ %
Quarterly...........
Semi-Annually.......
Annually............
Two Years...........
Three Years.........
Five Years..........
Adjusts with Index..
Total..... $ %
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Information Date Information Date Information Date
- --------------------- ---------------- ---------------- -----------------
Semi-Annually........ $ %
Annually.............
Two Years............
Three Years..........
Five Years...........
Adjusts with Index...
Total...... $ %
<PAGE>
<TABLE>
Indexes
of Mortgage Loans in Mortgage Loan Group 1
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Information Date Information Date Information Date
- ---------------------------------------- ---------------- ------------------ ----------------
<S> <C> <C> <C>
COFI 11th District Weighted Average..... $ %
FHLB 5th District COFI..................
FHLB Advance Rate.......................
FHLMC 30 year Mortgage Commitment.......
LIBOR 1 Month...........................
LIBOR 1 Year............................
LIBOR 6 Month...........................
National Average of Lenders -- FHLB
(Previously Occupied Homes)...........
PRIME As Stated In Wall Street Journal..
PRIME Chase Manhattan Bank..............
PRIME Citibank..........................
Treasury -- 1 Year Weekly Average.......
Treasury -- 3 Year Weekly Average.......
Treasury -- 5 Year Weekly Average.......
Treasury -- 91 Day T-Bill...............
Weighted Average COFI for CA Members of
SF FHLB...............................
Total......................... $ %
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Negative Amortization Information Date Information Date Information Date
- ------------------------ ---------------- ----------------- -----------------
Negative Amortization... $ %
No Negative
Amortization............
Total......... $ %
<PAGE>
<TABLE>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 1
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Information Date Information Date Information Date
- ----------------------------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated $ %
Loans)(1)...................................
Loans-to-Facilitate (Non-RTC)(2)..............
Modified Mortgage Loans(3)....................
Not Applicable................................
Total............................... $ %
- ----------
<FN>
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
Exhibit B
<TABLE>
Mortgage Loan Group 2
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 2
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Information Date Information Date Information Date
- --------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ 50,000 or less....... $ %
$ 50,001 to $ 100,000
$ 100,001 to $ 200,000
$ 200,001 to $ 400,000
$ 400,001 to $ 600,000
$ 600,001 to $ 800,000
$ 800,001 to $ 1,000,000
$ 1,000,001 to $ 2,000,000
$ 2,000,001 to $ 3,000,000
$ 3,000,001 to $ 4,000,000
$ 5,000,001 to $10,000,000
Total........... $ %
Average Original Principal Balance is $[ ].
</TABLE>
<TABLE>
Distribution of Scheduled Principal Balances as of the Information Date
of Mortgage Loans in Mortgage Loan Group 2
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Loans Principal Balance Principal Balance
Principal Balances As of As of As of
As of Information Date Information Date Information Date Information Date
- ------------------------------ ---------------- ----------------- -----------------
<S> <C> <C> <C>
$ 50,000 or less........... $ %
$ 50,001 to $ 100,000......
$ 100,001 to $ 200,000......
$ 200,001 to $ 400,000......
$ 400,001 to $ 600,000......
$ 600,001 to $ 800,000......
$ 800,001 to $ 1,000,000....
$ 1,000,001 to $ 2,000,000....
$ 2,000,001 to $ 3,000,000....
$ 3,000,001 to $ 4,000,000....
$ 5,000,001 to $10,000,000....
Total......... $ %
Average Scheduled Principal Balance as of the Information Date is $[ ].
</TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 2*
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Information Date Information Date Information Date
- ----------------- ---------------- ---------------- -----------------
5 years or less. $ %
5+ to 7 years..
7+ to 10 years..
10+ to 15 years..
15+ to 20 years..
20+ to 30 years..
30 years or more.
Total.. $ %
Weighted Average Original Term to Stated Maturity is [ ] years.
- ----------
* Without giving effect to any modification or extension of maturity date.
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 2
Percentage of
Balloon
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
As of Information As of As of As of
Date Information Date Information Date Information Date
------------------- ---------------- ----------------- -----------------
1 year or less.... $ %
1+ to 2 years....
2+ to 3 years....
3+ to 4 years....
4+ to 5 years*...
5+ to 10 years....
10+ to 15 years....
Total.... $ %
Weighted Average Remaining Term to Stated Maturity is [ ] years.
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 2
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage
Loan Group
by Aggregate
Aggregate Scheduled
Number of Scheduled Principal
Mortgage Loans Principal Balance Balance
Years Remaining As of As of As of
As of Information Date* Information Date Information Date Information Date
- ----------------------- ------------------ ------------------ ----------------
5 years or less.... $ %
5+ to 10 years.....
10+ to 15 years.....
15+ to 20 years.....
20+ to 30 years.....
Total..... $ %
Weighted Average Remaining Term to Stated Maturity is [ ] years.
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
Seasoning of Mortgage Loans
in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Number of Years As of As of As of
As of Information Date Information Date Information Date Information Date
- ----------------- --------------------- ---------------- ----------------
1 year or less... $ %
1+ to 2 years...
2+ to 3 years...
3+ to 4 years...
4+ to 5 years...
5+ to 6 years...
6+ to 7 years...
7+ to 8 years...
8+ to 9 years...
9+ to 10 years...
Over 10 years....
Total... $ %
Weighted Average Seasoning is [ ] years.
Mortgage Interest Rates As of Information Date
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
5.00% to 5.99%....... $ %
6.00% to 6.99%.......
7.00% to 7.99%.......
8.00% to 8.99%.......
9.00% to 9.99%.......
10.00% to 10.99%.......
11.00% to 11.99%.......
12.00% to 12.99%.......
13.00% to 13.99%.......
Total........ $ %
Weighted Average Mortgage Interest Rate is [ ]%.
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- -----------------
50.00% or less....... $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total....... $ %
Weighted Average Loan-to-Value Ratio at Origination is [ ]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
<TABLE>
Range of Ratios of Current Loan Balance-to-Original Value
As of Information Date in Mortgage Loan Group 2
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Information Date Information Date Information Date
- -------------------------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
50.00% or less........... $ %
50.01% to 60.00%........
60.01% to 70.00%........
70.01% to 80.00%........
80.01% to 90.00%........
90.01% to 100.00%........
100.01% or more...........
Unknown...................
Total........... $ %
Weighted Average Current Loan Balance-to-Original Value Ratio is [ ]%.**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
</FN>
</TABLE>
Lien Positions of Mortgage Loans
in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Information Date Information Date Information Date
- -------------- ---------------- ----------------- -----------------
First lien**.. $ %
$ %
Total.........
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
<PAGE>
Property Type
of Mortgaged Properties in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Type of As of As of As of
Mortgaged Properties Information Date Information Date Information Date
- -------------------------- ---------------- ---------------- -----------------
Multifamily (5-36 Units).. $ %
Multifamily (37-200 Units)
Multifamily (Over 200
Units)....................
Multifamily -- Other......
Total........... $ %
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Information Date Information Date Information Date
- ------------------- ---------------- ---------------- -----------------
Arizona............ $ %
Arkansas...........
California.........
Colorado...........
Connecticut........
District of
Columbia...........
Florida............
Georgia............
Illinois...........
Kentucky...........
Louisiana..........
Maryland...........
Massachusetts......
Mississippi........
Missouri...........
Nebraska...........
New Jersey.........
New York...........
North Carolina.....
Ohio...............
Oregon.............
Pennsylvania.......
Rhode Island.......
South Carolina.....
Tennessee..........
Texas..............
Utah...............
Virginia...........
Total.... $ %
County Concentrations (Over [ ]%)
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration* Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
Los Angeles County $ %
90027 Los Angeles.
90028 Los Angeles.
Other Zip Codes...
Total Los Angeles
County.................
All Other Counties.....
Total........ $ %
- ----------
* Zip Code concentrations are indicated above only if the percentage exceeds
[ ]% in the counties noted.
<TABLE>
Monthly Payments Delinquent as of the Information Date
of Mortgage Loans in Mortgage Loan Group 2.
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Information Date Information Date Information Date
- -------------------------------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
None (0-29 days past due)....... $ %
One Payment (30-59 days past
due)............................
Total................. $ %
</TABLE>
<TABLE>
Delinquency History for the Past Twenty-Four Months as of the Information Date
of Mortgage Loans in Mortgage Loan Group 2
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Information Date Information Date Information Date
- --------------------------------------------- ---------------- ----------------- -----------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 24 $ %
months....................................
One Payment Delinquent (30-59 days) in last
24 months.................................
1 time 30-day delinquent in last 24
months...............................
2 times 30-day delinquent in last 24
months...............................
More than 2 times 30-day delinquent in
last 24 months.......................
Two Payments Delinquent (60-89 days) in
last 24 months**..........................
1 time 60-day delinquent in last 24
months...............................
Three or more Payments Delinquent (90
Days+) in last 24 months**...............
1 time 90-day delinquent in last 24
months...............................
2 times 90-day delinquent in last 24
months...............................
More than 2 times 90-day delinquent in
last 24 months.......................
Total............................. $ %
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Mortgage Loans in
Mortgage Loan Group 2, based on the Aggregate Scheduled Principal Balance as
of the Information Date, did not have twelve months of delinquency history
and were not modified.
** Approximately 0.00% and [____]% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
Margins of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Information Date Information Date Information Date
- ------------------------- ---------------- ---------------- -----------------
Fixed Rate Mortgage Loans $ %
No Stated Margin.........
0.01% to 0.99%...........
1.00% to 1.99%...........
2.00% to 2.99%...........
3.00% to 3.99%...........
Total.......... $ %
Weighted Average Margin is [ ]%.*
- ----------
* Excludes Fixed Rate Mortgage Loans.
Maximum Rates of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Information Date Information Date Information Date
- ------------------------- ---------------- ---------------- -----------------
Fixed Rate Mortgage Loans $ %
No Maximum Rate..........
12.00% to 12.99%.........
14.00% to 14.99%.........
15.00% to 15.99%.........
16.00% to 16.99%.........
18.00% to 18.99%.........
19.00% to 19.99%.........
Total.......... $ %
Weighted Average Maximum Rate is [ ]%.*
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Information Date Information Date Information Date
- ------------------------ ---------------- --------------- ------------------
Fixed Rate Mortgage Loans $ %
8.00% to 8.99%........
9.00% to 9.99%........
10.00% to 10.99%........
11.00% to 11.99%........
Total......... $ %
Weighted Average Floor Interest Rate is [ ]%.*
- ----------
* Excludes Fixed Rate Mortgage Loans.
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Information Date Information Date Information Date
- ------------------------ ---------------- ---------------- -----------------
Fixed Rate Mortgage Loans $ %
No Periodic Adjustment
Cap......................
Less than 1.00%..........
1.00% to 1.99%...........
2.00% to 2.99%...........
Total.......... $ %
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Information Date Information Date Information Date
- ------------------------ ---------------- ---------------- -----------------
Fixed Rate Mortgage Loans $ %
Monthly.................
Semi-Annually...........
Annually................
Three Years.............
Adjusts with Index......
Total......... $ %
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Information Date Information Date Information Date
- ------------------------ ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans $ %
Semi-Annually............
Annually.................
Three Years..............
Adjusts with Index.......
Total.......... $ %
<TABLE>
Indexes
of Mortgage Loans in Mortgage Loan Group 2
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Information Date Information Date Information Date
- ---------------------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans............... $ %
COFI 11th District Weighted Average.....
LIBOR 1 Month...........................
National Average of Lenders -- FHLB
(Previously
Occupied Homes).......................
PRIME Frost National Bank...............
PRIME As Stated In Wall Street Journal..
PRIME Citibank..........................
Treasury -- 1 Year Weekly Average.......
Treasury -- 3 Year Weekly Average.......
Total......................... $ %
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Negative Amortization Information Date Information Date Information Date
- ------------------------ ---------------- ---------------- -----------------
Negative Amortization... $ %
No Negative
Amortization............
Total......... $ %
<TABLE>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 2
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Information Date Information Date Information Date
- ----------------------------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated $ %
Loans)(1)...................................
Loans-to-Facilitate (Non-RTC)(2)..............
Affordable Housing Disposition Program
(Seller - Originated Loans)(3)..............
Affordable Housing Disposition Program
(Non-RTC)(4)................................
Modified Mortgage Loans(5)....................
Not Applicable................................
Total............................... $ %
- ----------
<FN>
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans originated by an RTC institution to facilitate the sale of multifamily
REO under the Affordable Housing Disposition Program Guidelines.
(4) Loans originated by a non-RTC institution to facilitate the sale of
multifamily REO under the Affordable Housing Disposition Program Guidelines.
(5) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
Exhibit C
<TABLE>
Mortgage Loan Group 3
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 3
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Information Date Information Date Information Date
- --------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ 50,000 or less......... $ %
$ 50,001 to $ 100,000...
$ 100,001 to $ 200,000..
$ 200,001 to $ 400,000...
$ 400,001 to $ 600,000 ..
$ 600,001 to $ 800,000 ..
$ 800,001 to $ 1,000,000.
$ 1,000,001 to $ 2,000,000.
$ 2,000,001 to $ 3,000,000.
$ 3,000,001 to $ 4,000,000.
$ 4,000,001 to $ 5,000,000.
$ 5,000,001 to $10,000,000.
$10,000,001 or more........
Total............ $ %
Average Original Principal Balance is $[ ].
</TABLE>
<TABLE>
Distribution of Scheduled Principal Balances as of the Information Date
of Mortgage Loans in Mortgage Loan Group 3
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Loans Principal Balance Principal Balance
Principal Balances As of As of As of
as of Information Date Information Date Information Date Information Date
- ------------------------- ---------------- ----------------- -----------------
<S> <C> <C> <C>
$ 50,000 or less..... $ %
$ 50,001 to $ 100,000.....
$ 100,001 to $ 200,000.....
$ 200,001 to $ 400,000.....
$ 400,001 to $ 600,000.....
$ 600,001 to $ 800,000.....
$ 800,001 to $ 1,000,000...
$ 1,000,001 to $ 2,000,000...
$ 2,000,001 to $ 3,000,000...
$ 3,000,001 to $ 4,000,000...
$ 4,000,001 to $ 5,000,000...
$ 5,000,001 to $10,000,000...
$10,000,001 or more..........
Total............... $ %
Average Scheduled Principal Balance as of the Information Date is $[ ].
</TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 3*
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Information Date Information Date Information Date
- ------------------ ---------------- ---------------- -----------------
5 years or less. $ %
5+ to 7 years..
7+ to 10 years..
10+ to 15 years..
15+ to 20 years..
20+ to 30 years..
30 years or more.
Total.. $ %
Weighted Average Original Term to Stated Maturity is [ ] years.
- ----------
* Without giving effect to any modification or extension of maturity date.
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 3
Percentage of
Balloon Mortgage
Loans in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date Information Date Information Date Information Date
------------------ ---------------- ------------------ -----------------
1 year or less... $ %
1+ to 2 years...
2+ to 3 years...
3+ to 4 years...
4+ to 5 years*..
5+ to 10 years...
10+ to 15 years...
15+ to 20 years...
20+ to 30 years...
Total... $ %
Weighted Average Remaining Term to Stated Maturity is [ ] years.
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 3
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date* Information Date Information Date Information Date
- ------------------- ---------------- ------------------ ----------------
5 years or less... $ %
5+ to 10 years....
10+ to 15 years....
15+ to 20 years....
20+ to 30 years....
Total.... $ %
Weighted Average Remaining Term to Stated Maturity is [ ] years.
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
Seasoning of Mortgage Loans
in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Number of Years Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date Information Date Information Date Information Date
- ------------------ ---------------- ------------------ ----------------
1 year or less.... $ %
1 + to 2 years...
2 + to 3 years...
3 + to 4 years...
4 + to 5 years...
5 + to 6 years...
6 + to 7 years...
7 + to 8 years...
8 + to 9 years...
9 + to 10 years...
Over 10 years.....
Total... $ %
Weighted Average Seasoning is [ ] years.
Mortgage Interest Rates as of Information Date
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
4.00% to 4.99%........ $ %
5.00% to 5.99%.......
6.00% to 6.99%.......
7.00% to 7.99%.......
8.00% to 8.99%.......
9.00% to 9.99%.......
10.00% to 10.99%.......
11.00% to 11.99%.......
12.00% to 12.99%.......
Total........ $ %
Weighted Average Mortgage Interest Rate is [ ]%.
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- -----------------
50.00% or less....... $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total....... $ %
Weighted Average Loan-to-Value Ratio at Origination is [ ]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
LIBOR -- 1 Month Range of Ratios of Current Loan Balance-to-
Original Value as of Information Date in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Information Date Information Date Information Date
- -------------------------- ---------------- ---------------- ----------------
50.00% or less........... $ %
50.01% to 60.00%........
60.01% to 70.00%........
70.01% to 80.00%........
80.01% to 90.00%........
90.01% to 100.00%........
100.01% or more..........
Unknown..................
Total............ $ %
Weighted Average Current Loan Balance-to-Original Value Ratio is [ ]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
Lien Positions of Mortgage Loans
in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Information Date Information Date Information Date
- -------------- ---------------- ---------------- -----------------
First lien**.. $ %
Second Lien...
Third Lien....
Not Available.
$ %
Total.....
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
<TABLE>
Property Type
of Mortgaged Properties in Mortgage Loan Group 3
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Type of Mortgaged Properties Information Date Information Date Information Date
- ----------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Industrial/Warehouse......... $ %
Lodging......................
Mini Warehouse...............
Mixed Use Building...........
Mobile Home Park.............
Multifamily (5-36 Units).....
Multifamily (37-200 Units)...
Multifamily (Over 200 Units).
Multifamily -- Other.........
Hospital/Nursing Home........
School/Religious Building....
Office.......................
Retail.......................
Land.........................
Other Commercial.............
Not Available................
Total.............. $ %
</TABLE>
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Information Date Information Date Information Date
- -------------- ---------------- ----------------- -----------------
Alabama............ $ %
California.........
Colorado...........
Connecticut........
Delaware...........
District of
Columbia...........
Florida............
Georgia............
Illinois...........
Indiana............
Kansas.............
Louisiana..........
Maryland...........
Massachusetts......
Mississippi........
New Jersey.........
New Mexico.........
New York...........
North Carolina.....
Ohio...............
Oklahoma...........
Pennsylvania.......
Rhode Island.......
Tennessee..........
Texas..............
Utah...............
Virginia...........
Washington.........
Total.... $ %
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration* Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
Los Angeles County $ %
90006 Los Angeles..
90706 Bellflower...
91355 Valencia.....
Other Zip Codes....
Total Los Angeles
County................
All Other Counties....
Total......... $ %
- ----------
* Zip Code concentrations are indicated above only if the percentage exceeds
1.5% in the counties noted. Monthly Payments Delinquent as of the
Information Date of Mortgage Loans in Mortgage Loan Group 3.
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Information Date Information Date Information Date
--------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
None (0-29 days past due)....... $ %
One Payment (30-59 days past
due)............................
Total................. $ %
</TABLE>
<TABLE>
Delinquency History for the Past Twenty-Four Months As of the Information Date
of Mortgage Loans in Mortgage Loan Group 3
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Information Date Information Date Information Date
- -------------------------------------------- ---------------- ---------------- ------------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 24 $ %
months.....................................
One Payment Delinquent (30-59 days) in last
last 24 months
1 time 30-day delinquent in last 24
months................................
2 times 30-day delinquent in last 24
months................................
More than 2 times 30-day delinquent in
last 24 months........................
Two Payments Delinquent (60-89 days) in
last 24 months**
1 time 60-day delinquent in last 24
months................................
2 times 60-day delinquent in last 24
months................................
More than 2 times 60-day delinquent
in the last 24 months ................
Three or more Payments Delinquent (90
Days+) in last 24 months**
1 time 90-day delinquent in last 24
months................................
2 times 90-day delinquent in last 24
months................................
More than 2 times 90-day delinquent in
last 24 months........................
Total............................. $ %
- ----------
<FN>
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Mortgage Loans in
Mortgage Loan Group 3, based on the Aggregate Scheduled Principal Balance as
of the Information Date, did not have twelve months of delinquency history
and were not modified.
** Approximately [___]% and [_____]% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
<PAGE>
Margins of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Information Date Information Date Information Date
------- ---------------- ---------------- ----------------
No Stated Margin $ %
Less than Zero..
0.01% to 0.99%..
1.00% to 1.99%..
2.00% to 2.99%..
3.00% to 3.99%..
4.00% or more...
Total. $ %
Weighted Average Margin is [____]%.
Maximum Rates of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Information Date Information Date Information Date
------------- ---------------- ---------------- ----------------
No Maximum Rate... $ %
12.00% to 12.99%..
13.00% to 13.99%..
14.00% to 14.99%..
15.00% to 15.99%..
16.00% to 16.99%..
17.00% to 17.99%..
18.00% to 18.99%..
19.00% to 19.99%..
Total... $ %
Weighted Average Maximum Rate is [____]%.*
- ----------
* Excludes ARMs with no Maximum Rate.
<PAGE>
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
No Minimum Rate.... $ %
Less than 6.00%....
6.00% to 6.99%.....
7.00% to 7.99%.....
8.00% to 8.99%.....
Total.... $ %
Weighted Average Floor Interest Rate is [____]%.*
- ----------
* Excludes ARMs with no Floor Interest Rates.
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Information Date Information Date Information Date
- --------------- ---------------- ---------------- ----------------
No Periodic Adjustment $ %
Cap....................
Less than 1.00%........
1.00% to 1.99%.........
2.00% to 2.99%.........
3.00% to 3.99%.........
4.00% or more..........
Total........ $ %
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
Monthly............... $ %
Quarterly.............
Semi-Annually.........
Annually..............
Two Years.............
Thirty Months.........
Thirty-Five Months....
Three Years...........
Five Years............
Adjusts with Index....
Total....... $ %
<PAGE>
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
Monthly............... $ %
Quarterly.............
Semi-Annually.........
Annually..............
Two Years.............
Thirty Months.........
Thirty-Five Months....
Three Years...........
Five Years............
Fixed Payment.........
Adjusts with Index....
Total....... $ %
<TABLE>
Indexes
of Mortgage Loans in Mortgage Loan Group 3
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Treasury -- 5 Year Bond Rate................ $ %
COFI 9th District Dallas....................
COFI 11th District Weighted Average.........
COFI 4th District Atlanta...................
COFI 5th District Cincinnati 3 Year
Borrowing...................................
FHLB 3 Year Advance Rate Pittsburgh.........
FHLB 3 Year Fixed Advance Rate Dallas.......
FHLB 5 Year Advance Rate Atlanta............
FHLB 5th District COFI......................
FHLB Advance Rate...........................
FHLB Contract...............................
LIBOR 1 Year................................
National Average of Lenders -- FHLB
(Previously Occupied Homes)...............
PRIME Bank of Boston........................
PRIME Mercantile Safe Deposit & Trust,
Maryland..................................
PRIME As Stated In Wall Street Journal......
PRIME Bank One of Dallas....................
PRIME Chase Manhattan Bank..................
PRIME Chemical Bank of New York.............
PRIME Citibank..............................
Treasury -- 1 Year Monthly Average..........
Treasury -- 1 Year Weekly Average...........
Treasury -- 1 Year Auction Yield............
Treasury -- 1 Year T-Bill 6 Month Average...
Treasury -- 13 Week T-Bill..................
Treasury -- 2 Year Constant Maturity........
Treasury -- 26 Week T-Bill Weekly Average...
Treasury -- 3 Year Monthly Average..........
Treasury -- 3 Year Weekly Average...........
Treasury -- 5 Year Weekly Average...........
Treasury -- 6 Month Constant Maturity.......
Treasury -- 6 Month Monthly Average.........
Treasury -- 91 Day T-Bill...................
Weighted Average COFI for CA Members
of SF FHLB................................
Total............................. $ %
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Negative Amortization Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
Negative Amortization... $ %
No Negative
Amortization............
Total......... $ %
<TABLE>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 3
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loans-to-Facilitate and As of As of As of
Modified Mortgage Loans Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Loans-to-Facilitate (Non-RTC)(1).. $ %
Modified Mortgage Loans(2)........
Not Applicable....................
Total................... $ %
<FN>
- ----------
(1) Loans originated by a non-RTC institution to facilitate the sale of REO.
(2) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
Exhibit D
Mortgage Loan Group 4
<TABLE>
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Information Date Information Date Information Date
- --------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ 50,000 or less......... $ %
$ 50,001 to $ 100,000...
$ 100,001 to $ 200,000..
$ 200,001 to $ 400,000...
$ 400,001 to $ 600,000 ..
$ 600,001 to $ 800,000 ..
$ 800,001 to $ 1,000,000.
$ 1,000,001 to $ 2,000,000.
$ 2,000,001 to $ 3,000,000.
$ 3,000,001 to $ 4,000,000.
$ 4,000,001 to $ 5,000,000.
$ 5,000,001 to $10,000,000.
$10,000,001 or more........
Total............ $ %
Average Original Principal Balance is $651,882.
</TABLE>
<TABLE>
Distribution of Scheduled Principal Balances as of the Information Date
of Mortgage Loans in Mortgage Loan Group 4
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Loans Principal Balance Principal Balance
Principal Balances As of As of As of
as of Information Date Information Date Information Date Information Date
- ------------------------- ---------------- ----------------- -----------------
<S> <C> <C> <C>
$ 50,000 or less..... $ %
$ 50,001 to $ 100,000.....
$ 100,001 to $ 200,000.....
$ 200,001 to $ 400,000.....
$ 400,001 to $ 600,000.....
$ 600,001 to $ 800,000.....
$ 800,001 to $ 1,000,000...
$ 1,000,001 to $ 2,000,000...
$ 2,000,001 to $ 3,000,000...
$ 3,000,001 to $ 4,000,000...
$ 4,000,001 to $ 5,000,000...
$ 5,000,001 to $10,000,000...
$10,000,001 or more..........
Total............... $ %
Average Scheduled Principal Balance as of the Information Date is $[_________].
</TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 4*
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Information Date Information Date Information Date
--------------- ---------------- ---------------- ----------------
5 years or less. 138 $111,314,910 30.44%
5+ to 7 years.. 214 169,848,608 46.44
7+ to 10 years.. 62 31,196,380 8.53
10+ to 15 years.. 37 21,667,987 5.92
15+ to 20 years.. 45 6,581,606 1.80
20+ to 30 years.. 150 25,091,078 6.86
30 years or more. 1 24,776 0.01
--- ------------ ------
Total.. 647 $365,725,345 100.00%
=== ============ ======
Weighted Average Original Term to Stated Maturity is 8.1 years.
- ----------
* Without giving effect to any modification or extension of maturity date.
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 4
Percentage of
Balloon
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
As of As of As of As of
Information Date Information Date Information Date Information Date
- ---------------- ---------------- ---------------- ----------------
1 year or less.... $ %
1+ to 2 years....
2+ to 3 years....
3+ to 4 years....
4+ to 5 years*...
5+ to 10 years....
10+ to 15 years....
15+ to 20 years....
Total.... $ %
Weighted Average Remaining Term to Stated Maturity is [___] years.
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 4
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Years Remaining Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date* Information Date Information Date Information Date
- ------------------- ---------------- ------------------ ----------------
5 years or less... $ %
5+ to 10 years....
10+ to 15 years....
15+ to 20 years....
20+ to 30 years....
Total.... $ %
Weighted Average Remaining Term to Stated Maturity is [____] years.
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
Seasoning of Mortgage Loans
in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Number of Years Mortgage Loans Principal Balance Principal Balance
as of Information As of As of As of
Date Information Date Information Date Information Date
- ------------------ ---------------- ------------------ ----------------
1 year or less.... $ %
1 + to 2 years...
2 + to 3 years...
3 + to 4 years...
4 + to 5 years...
5 + to 6 years...
6 + to 7 years...
7 + to 8 years...
8 + to 9 years...
9 + to 10 years...
Over 10 years.....
Total... $ %
Weighted Average Seasoning is [____] years.
Mortgage Interest Rates As of Information Date
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Information Date Information Date Information Date
----------------------- ---------------- ---------------- ----------------
5.00% to 5.99%....... $ %
6.00% to 6.99%.......
7.00% to 7.99%.......
8.00% to 8.99%.......
9.00% to 9.99%.......
10.00% to 10.99%.......
11.00% to 11.99%.......
12.00% to 12.99%.......
13.00% to 13.99%.......
14.00% to 14.99%.......
15.00% to 15.99%.......
Total........ $ %
Weighted Average Mortgage Interest Rate is [____]%.
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- ----------------
50.00% or less....... $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total....... $ %
Weighted Average Loan-to-Value Ratio at Origination is [_____]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
Range of Ratios of Current Loan Balance-to-Original Value
As of Information Date in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Information Date Information Date Information Date
- -------------------------- ---------------- ---------------- ----------------
50.00% or less........... $ %
50.01% to 60.00%........
60.01% to 70.00%........
70.01% to 80.00%........
80.01% to 90.00%........
90.01% to 100.00%........
100.01% or more...........
Unknown...................
Total........... $ %
Weighted Average Current Loan Balance-to-Original Value Ratio is [____]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
Lien Positions of Mortgage Loans
in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Information Date Information Date Information Date
- -------------- ---------------- ---------------- ----------------
First lien**...... $ %
Second lien.......
Third lien........
Not Available.....
Total............. $ %
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
Property Type
of Mortgaged Properties in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Type of As of As of As of
Mortgaged Properties Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
Industrial/Warehouse.... $ %
Lodging.................
Mini Warehouse..........
Mixed Use Building......
Mobile Home Park........
Multifamily (5-36 Units)
Multifamily (37-200
Units)..................
Multifamily -- Other....
Hospital/Nursing Home...
School/Religious
Building................
Office..................
Retail..................
Land/Water Utility......
Other Commercial........
Not Available...........
Total......... $ %
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Information Date Information Date Information Date
-------- ---------------- ---------------- ----------------
Alabama............ $ %
Arizona............
Arkansas...........
California.........
Colorado...........
Connecticut........
Delaware...........
District of
Columbia...........
Florida............
Georgia............
Illinois...........
Indiana............
Kansas.............
Louisiana..........
Maine..............
Maryland...........
Massachusetts......
Michigan...........
Minnesota..........
Mississippi........
Missouri...........
Nevada.............
New Jersey.........
New Mexico.........
New York...........
North Carolina.....
Ohio...............
Oklahoma...........
Oregon.............
Pennsylvania.......
South Carolina.....
South Dakota.......
Tennessee..........
Texas..............
Virginia...........
Washington.........
West Virginia......
Wisconsin..........
Wyoming............
Total.... $ %
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
No County has a
concentration
over 10%............
Monthly Payments Delinquent as of the Information Date
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Monthly Payments As of As of As of
Delinquent Information Date Information Date Information Date
- ---------- ---------------- ---------------- ----------------
None (0-29 days
past due)............. $ %
One Payment (30-59 days
past due).............
Total........ $ %
<TABLE>
Delinquency History for the Past Twenty-Four Months as of the Information Date
of Mortgage Loans in Mortgage Loan Group 4
<CAPTION>
Percentage of
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Information Date Information Date Information Date
- -------------------------------------------- ---------------- ---------------- ------------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 24 $ %
months.....................................
One Payment Delinquent (30-59 days) in last
last 24 months
1 time 30-day delinquent in last 24
months................................
2 times 30-day delinquent in last 24
months................................
More than 2 times 30-day delinquent in
last 24 months........................
Two Payments Delinquent (60-89 days) in
last 24 months**
1 time 60-day delinquent in last 24
months................................
2 times 60-day delinquent in last 24
months................................
Three or more Payments Delinquent (90
Days+) in last 24 months**
1 time 90-day delinquent in last 24
months................................
2 times 90-day delinquent in last 24
months................................
More than 2 times 90-day delinquent in
last 24 months........................
Total............................. $ %
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Mortgage Loans in
Mortgage Loan Group 4, based on the Aggregate Scheduled Principal Balance as
of the Information Date, did not have twelve months of delinquency history
and were not modified.
** Approximately [____]% and [____]% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
Margins of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Information Date Information Date Information Date
------- ---------------- ---------------- ----------------
Fixed Rate
Mortgage Loans $ %
No Stated Margin
1.00% to 1.99%..
2.00% to 2.99%..
3.00% to 3.99%..
4.00% or more...
Total... $ %
Weighted Average Margin is [____]%.*
- ----------
* Excludes Fixed Rate Mortgage Loans.
Maximum Rates of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Information Date Information Date Information Date
------- ---------------- ---------------- ----------------
Fixed Rate
Mortgage Loans $ %
No Maximum Rate....
12.00% to 12.99%...
14.00% to 14.99%...
15.00% to 15.99%...
16.00% to 16.99%...
17.00% to 17.99%...
18.00% to 18.99%...
19.00% to 19.99%...
Total.... $ %
Weighted Average Maximum Rate is [____]%.*
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Information Date Information Date Information Date
- -------------------- ---------------- ---------------- ----------------
Fixed Rate
Mortgage Loans $ %
8.00% to 8.99%...
9.00% to 9.99%...
10.00% to 10.99%...
11.00% to 11.99%...
12.00% to 12.99%...
13.00% to 13.99%...
Total.... $ %
Weighted Average Floor Interest Rate is [____]%.*
- ----------
* Excludes Fixed Rate Mortgage Loans.
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Information Date Information Date Information Date
- --------------- ---------------- ---------------- ----------------
Fixed Rate
Mortgage Loans.... $ %
No Periodic
Adjustment Cap.....
1.00% to 1.99%.......
2.00% to 2.99%.......
Total...... $ %
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest Adjustment As of As of As of
Frequency Information Date Information Date Information Date
- ------------------- ---------------- ---------------- ----------------
Fixed Rate
Mortgage Loans..... $ %
Monthly..............
Quarterly............
Semi-Annually........
Annually.............
Three Years..........
Five Years...........
Total...... $ %
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment Adjustment As of As of As of
Frequency Information Date Information Date Information Date
- ------------------ ---------------- ---------------- ----------------
Fixed Rate
Mortgage Loans..... $ %
Monthly..............
Semi-Annually........
Annually.............
Three Years..........
Five Years...........
Fixed Payment........
Total...... $ %
<TABLE>
Indexes
of Mortgage Loans in Mortgage Loan Group 4
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Information Date Information Date Information Date
------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans............. $ %
COFI 11th District Weighted Average...
COFI 4th District Atlanta.............
FHLB Advance Rate.....................
LIBOR 1 Month.........................
PRIME Frost National Bank.............
PRIME Mercantile Safe Deposit & Trust,
Maryland............................
PRIME As Stated In Wall Street Journal
PRIME Chase Manhattan Bank............
PRIME Nationsbank.....................
Treasury -- 1 Year Weekly Average.....
Treasury -- 1 Year T-Bill 6 Month
Average...............................
Treasury -- 3 Year Weekly Average.....
Treasury -- 5 Year Weekly Average.....
Treasury -- 91 Day T-Bill.............
Total....................... $ %
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Negative As of As of As of
Amortization Information Date Information Date Information Date
- ------------ ---------------- ---------------- ----------------
Negative
Amortization...... $ %
No Negative
Amortization......
Total..... $ %
<TABLE>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 4
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Information Date Information Date Information Date
- ----------------------------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated $ %
Loans)(1)...................................
Loans-to-Facilitate (Non-RTC)(2)..............
Affordable Housing Disposition Program
(Seller - Originated Loans)(3)..............
Modified Mortgage Loans(4)....................
Not Applicable................................
Total............................... $ %
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans originated by an RTC institution to facilitate the sale of
multifamily REO under the Affordable Housing Disposition Program
Guidelines.
(4) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
E-1
Exhibit E
All Mortgage Loan Groups
Distribution of Original Principal Balances
of Mortgage Loans in the Mortgage Pool
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Information Date Information Date Information Date
- --------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ 50,000 or less......... $ %
$ 50,001 to $ 100,000...
$ 100,001 to $ 200,000...
$ 200,001 to $ 400,000...
$ 400,001 to $ 600,000 ..
$ 600,001 to $ 800,000 ..
$ 800,001 to $ 1,000,000.
$ 1,000,001 to $ 2,000,000.
$ 2,000,001 to $ 3,000,000.
$ 3,000,001 to $ 4,000,000.
$ 4,000,001 to $ 5,000,000.
$ 5,000,001 to $10,000,000.
$10,000,001 or more........
Total............ $ %
</TABLE>
Average Original Principal Balance is $[____].
Distribution of Scheduled Principal Balances as of the Information Date
of Mortgage Loans in the Mortgage Pool
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Scheduled Principal Balances As of As of As of
as of Information Date Information Date Information Date Information Date
- ---------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
$ 50,000 or less......... $ %
$ 50,001 to $ 100,000...
$ 100,001 to $ 200,000...
$ 200,001 to $ 400,000...
$ 400,001 to $ 600,000 ..
$ 600,001 to $ 800,000 ..
$ 800,001 to $ 1,000,000.
$ 1,000,001 to $ 2,000,000.
$ 2,000,001 to $ 3,000,000.
$ 3,000,001 to $ 4,000,000.
$ 4,000,001 to $ 5,000,000.
$ 5,000,001 to $10,000,000.
$10,000,001 or more........
Total............ $ %
</TABLE>
Average Scheduled Principal Balance as of the Information Date is $[____].
Original Terms to Stated Maturity
of Mortgage Loans in the Mortgage Pool*
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Information Date Information Date Information Date
--------------- ---------------- ---------------- ----------------
5 years or less. $ %
5+ to 7 years..
7+ to 10 years..
10+ to 15 years..
15+ to 20 years..
20+ to 30 years..
30 years or more.
Total.. $ %
Weighted Average Original Term to Stated Maturity is [____] years.
- ----------
* Without giving effect to any modification or extension of maturity date.
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in the Mortgage Pool
Percentage of
Balloon
Mortgage Loans
in Mortgage Pool
by Aggregate
Aggregate Scheduled
Number of Scheduled Principal
Mortgage Loans Principal Balance Balance
Years Remaining As of As of As of
As of Information Date Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- ----------------
1 year or less....... $ %
1+ to 2 years.......
2+ to 3 years.......
3+ to 4 years.......
4+ to 5 years*......
5+ to 10 years.......
10+ to 15 years.......
15+ to 20 years.......
20+ to 30 years.......
Total....... $ %
Weighted Average Remaining Term to Stated Maturity is [____] years.
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
<PAGE>
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in the Mortgage Pool
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage Pool
by Aggregate
Aggregate Scheduled
Number of Scheduled Principal
Mortgage Loans Principal Balance Balance
Years Remaining As of As of As of
As of Information Date* Information Date Information Date Information Date
- ----------------------- ----------------- ---------------- ----------------
5 years or less...... $ %
5+ to 10 years.......
10+ to 15 years.......
15+ to 20 years.......
20+ to 30 years.......
Total....... $ %
Weighted Average Remaining Term to Stated Maturity is [____] years.
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
Seasoning of Mortgage Loans
in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loan Principal Balance Principal Balance
Number of Years As of As of As of
As of Information Date Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- ----------------
1 year or less........ $ %
1+ to 2 years........
2+ to 3 years........
3+ to 4 years........
4+ to 5 years........
5+ to 6 years........
6+ to 7 years........
7+ to 8 years........
8+ to 9 years........
9+ to 10 years........
Over 10 years.........
Total....... $ %
Weighted Average Seasoning is [____] years.
<PAGE>
Mortgage Interest Rates As of Information Date
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Information Date Information Date Information Date
- ----------------------- ---------------- ---------------- ----------------
Less than 4.00%........ $ %
4.00% to 4.99%.......
5.00% to 5.99%.......
6.00% to 6.99%.......
7.00% to 7.99%.......
8.00% to 8.99%.......
9.00% to 9.99%.......
10.00% to 10.99%.......
11.00% to 11.99%.......
12.00% to 12.99%.......
13.00% to 13.99%.......
14.00% to 14.99%.......
15.00% to 15.99%.......
Total........ $ %
Weighted Average Mortgage Interest Rate is [____]%.
Loan-to-Value Ratios at Origination
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Information Date Information Date Information Date
- ---------------------- ---------------- ---------------- ----------------
50.00% or less....... $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total....... $ %
Weighted Average Loan-to-Value Ratio at Origination is [____]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
<PAGE>
Range of Ratios of Current Loan Balance-to-Original Value
As of Information Date in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal
Ratios of Current Loan As of As of Balance As of
Balance-to-Original Value* Information Date Information Date Information Date
- -------------------------- ---------------- ---------------- ----------------
50.00% or less........... $ %
50.01% to 60.00%........
60.01% to 70.00%........
70.01% to 80.00%........
80.01% to 90.00%........
90.01% to 100.00%........
100.01% or more...........
Unknown...................
Total........... $ %
Weighted Average Current Loan Balance-to-Original Value Ratio is [____]%.**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
Lien Positions of Mortgage Loans
in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Information Date Information Date Information Date
- -------------- ---------------- ---------------- ----------------
First lien**.. $ %
Second lien...
Third lien....
Not Available.
$ %
Total.........
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
<PAGE>
Property Type
of Mortgaged Properties in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal
Type of As of As of Balance As of
Mortgaged Properties Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
Industrial/Warehouse...... $ %
Lodging...................
Mini Warehouse............
Mixed Use Building........
Mobile Home Park..........
Multifamily (5-36 Units)..
Multifamily (37-200 Units)
Multifamily (Over 200
Units)....................
Multifamily -- Other......
Hospital/Nursing Home.....
School/Religious Building.
Office....................
Retail....................
Land/Water Utility........
Other Commercial..........
Not Available.............
Total........... $ %
<PAGE>
Geographic Distribution
of Mortgaged Properties in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Information Date Information Date Information Date
-------- ---------------- ---------------- ----------------
Alabama............ $ %
Arizona............
Arkansas...........
California.........
Colorado...........
Connecticut........
Delaware...........
District of
Columbia...........
Florida............
Georgia............
Illinois...........
Indiana............
Kansas.............
Kentucky...........
Louisiana..........
Maine..............
Maryland...........
Massachusetts......
Michigan...........
Minnesota..........
Mississippi........
Missouri...........
Nebraska...........
Nevada.............
New Jersey.........
New Mexico.........
New York...........
North Carolina.....
Ohio...............
Oklahoma...........
Oregon.............
Pennsylvania.......
Rhode Island.......
South Carolina.....
South Dakota.......
Tennessee..........
Texas..............
Utah...............
Virginia...........
Washington.........
West Virginia......
Wisconsin..........
Wyoming............
Total.... $ %
<PAGE>
<TABLE>
County Concentrations (Over 10%)
of Mortgage Loans in the Mortgage Pool
<CAPTION>
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Los Angeles County...................... $ %
No Zip Code has a concentration over
1.5%
All Other Counties......................
Total.......................... $ %
</TABLE>
<TABLE>
Monthly Payments Delinquent as of the Information Date
of Mortgage Loans in the Mortgage Pool
<CAPTION>
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Information Date Information Date Information Date
--------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
None (0-29 days past due)....... $ %
One Payment (30-59 days past
due)............................
Total.................. $ %
</TABLE>
<PAGE>
<TABLE>
Delinquency History for the Past Twelve Months as of the Information Date
of Mortgage Loans in the Mortgage Pool
<CAPTION>
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 12 months $ %
One Payment Delinquent (30-59 days) in last 12
months
1 time 30-day delinquent in last 12 months.....
2 times 30-day delinquent in last 12 months....
More than 2 times 30-day delinquent in last 12
months.......................................
Two Payments Delinquent (60-89 days) in last 12
months**
1 time 60-day delinquent in last 12 months.....
2 times 60-day delinquent in last 12 months....
More than 2 times 60-day delinquent in last 12
months.......................................
Three or more Payments Delinquent (90 days+) in
last 12 months**
1 time 90-day delinquent in last 12 months.....
2 times 90-day delinquent in last 12 months....
More than 2 times 90-day delinquent in last 12
months.......................................
Total................................... $ %
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Mortgage Loans,
based on the Aggregate Scheduled Principal Balance as of the Information
Date, did not have twelve months of delinquency history and were not
modified.
** Approximately [____]% and [____]% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
<PAGE>
Margins of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Information Date Information Date Information Date
------- ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans $ %
No Stated Margin.........
Less than Zero...........
0.01% to 0.99%...........
1.00% to 1.99%...........
2.00% to 2.99%...........
3.00% to 3.99%...........
4.00% or more............
Total.......... $ %
Weighted Average Margin is [____]%.*
- ----------
* Excludes Fixed Rate Mortgage Loans.
Maximum Rates of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Information Date Information Date Information Date
------------- ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans $ %
No Maximum Rate..........
Less than 11.99%.........
12.00% to 12.99%.........
13.00% to 13.99%.........
14.00% to 14.99%.........
15.00% to 15.99%.........
16.00% to 16.99%.........
17.00% to 17.99%.........
18.00% to 18.99%.........
19.00% to 19.99%.........
Total.......... $ %
Weighted Average Maximum Rate is [____]%.*
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
<PAGE>
Floor Interest Rates of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans $ %
No Minimum Rate..........
Less than 6.00%..........
6.00% to 6.99%.........
7.00% to 7.99%.........
8.00% to 8.99%.........
9.00% to 9.99%.........
10.00% to 10.99%.........
11.00% to 11.99%.........
12.00% to 12.99%.........
13.00% to 13.99%.........
Total.......... $ %
Weighted Average Floor Interest Rate is [____]%.*
- ----------
* Excludes ARMs with no Floor Interest Rate and Fixed Rate Mortgage Loans.
Periodic Rate Adjustment Caps
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Information Date Information Date Information Date
--------------- ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans. $ %
No Periodic Adjustment
Cap.......................
Less than 1.00%...........
1.00% to 1.99%............
2.00% to 2.99%............
3.00% to 3.99%............
4.00% or more.............
Total........... $ %
<PAGE>
Interest Adjustment Frequency
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans $ %
Monthly..................
Quarterly................
Semi-Annually............
Annually.................
Two Years................
Thirty Months............
Thirty-five Months.......
Three Years..............
Five Years...............
Adjusts with Index.......
Total.......... $ %
Payment Adjustment Frequency
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Information Date Information Date Information Date
-------------------- ---------------- ---------------- ----------------
Fixed Rate Mortgage Loans $ %
Monthly..................
Quarterly................
Semi-Annually............
Annually.................
Two Years................
Thirty Months............
Thirty-five Months.......
Three Years..............
Five Years...............
Fixed Payment............
Adjusts with Index.......
Total.......... $ %
<PAGE>
<TABLE>
Indexes
of Mortgage Loans in the Mortgage Pool
<CAPTION>
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Information Date Information Date Information Date
------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans................... $ %
Treasury - 5 Year Bond Rate.................
COFI 9th District Dallas....................
COFI 11th District Weighted Average.........
COFI 4th District Atlanta...................
COFI 5th District Cincinnati 3 Year
Borrowing.................................
FHLB 3 Year Advance Rate Pittsburgh.........
FHLB 3 Year Fixed Advance Rate Dallas.......
FHLB 5 Year Advance Rate Atlanta............
FHLB 5th District COFI......................
FHLB Advance Rate...........................
FHLB Contract...............................
FHLMC 30 Year Mortgage Commitment...........
LIBOR 1 Month...............................
LIBOR 1 Year................................
LIBOR 6 Month...............................
National Average of Lenders -- FHLB
(Previously
Occupied Homes)...........................
PRIME Bank of Boston........................
PRIME Frost National Bank...................
PRIME Mercantile Safe Deposit & Trust,
Maryland..................................
PRIME As Stated In Wall Street Journal......
PRIME Bank One of Dallas....................
PRIME Chase Manhattan Bank..................
PRIME Chemical Bank of New York.............
PRIME Citibank..............................
PRIME Nationsbank...........................
Treasury - 1 Year Monthly Average...........
Treasury - 1 Year Weekly Average............
Treasury - 1 Year Auction Yield.............
Treasury - 1 Year T-Bill 6 Month Average....
Treasury - 13 Week T-Bill...................
Treasury - 2 Year Constant Maturity.........
Treasury - 26 Week T-Bill Weekly Average....
Treasury - 3 Year Monthly Average...........
Treasury - 3 Year Weekly Average............
Treasury - 5 Year Weekly Average............
Treasury - 6 Month Constant Maturity........
Treasury - 6 Month Monthly Average..........
Treasury - 91 Day T-Bill....................
Weighted Average COFI for CA Members of
SF FHLB...................................
Total............................. $ %
</TABLE>
<PAGE>
Loans with Potential for Negative
Amortization in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Negative Amortization Information Date Information Date Information Date
--------------------- ---------------- ---------------- ----------------
Negative Amortization... $ %
No Negative
Amortization............
Total......... $ %
<TABLE>
Loans-to-Facilitate and Modified Mortgage Loans in the Mortgage Pool
<CAPTION>
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Information Date Information Date Information Date
- ----------------------------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated
Loans)(1)................................... $ %
Loans-to-Facilitate (Non-RTC)(2)..............
Affordable Housing Disposition Program
(Seller - Originated Loans)(3)..............
Affordable Housing Disposition Program
(Non-RTC)(4)................................
Modified Mortgage Loans(5)....................
Not Applicable................................
Total............................... $ %
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans originated by an RTC institution to facilitate the sale of multifamily
REO under the Affordable Housing Disposition Program Guidelines.
(4) Loans originated by a non-RTC institution to facilitate the sale of
multifamily REO under the Affordable Housing Disposition Program Guidelines.
(5) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
Exhibit F
<TABLE>
Mortgage Loans in Southern California
Distribution of Mortgage
Loan Groups in Southern California
<CAPTION>
Multifamily Commercial
---------------------------------------------------- ------------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily by Commercial by
Number of Aggregate Aggregate Number of Aggregate Aggregate
Mortgage Scheduled Scheduled Mortgage Scheduled Scheduled
Loans as of Principal Principal Loans as of Principal Principal
Information Balance as of Balance as of Information Balance as of Balance as of
Date Information Date Information Date Date Information Date Information Date
---- ---------------- ---------------- ---- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 1.. $ % $ %
Mortgage Loan Group 2..
Mortgage Loan Group 3..
Mortgage Loan Group 4..
Total...... $ % $ %
</TABLE>
<PAGE>
Total
-------------------------------------------------
Percentage of
Total Southern
California by
Number of Aggregate Aggregate
Mortgage Scheduled Scheduled
Loans as of Principal Principal
Information Balance as of Balance as of
Date Information Date Information Date
---- ---------------- ----------------
Mortgage Loan Group 1.... $ %
Mortgage Loan Group 2....
Mortgage Loan Group 3....
Mortgage Loan Group 4....
Total...... $ %
<PAGE>
<TABLE>
<CAPTION>
County Concentrations
of Mortgage Loans in Southern California
Multifamily Commercial
---------------------------------------------------- ------------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily by Commercial by
Number of Aggregate Aggregate Number of Aggregate Aggregate
Mortgage Scheduled Scheduled Mortgage Scheduled Scheduled
Loans as of Principal Principal Loans as of Principal Principal
Information Balance as of Balance as of Information Balance as of Balance as of
County Concentration Date Information Date Information Date Date Information Date Information Date
-------------------- ---- ---------------- ---------------- ---- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Los Angeles.......... $ % $ %
Orange...............
Riverside............
San Bernardino.......
San Diego............
Ventura..............
Total....... $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------------
Percentage of
Total Southern
California by
Number of Aggregate Aggregate
Mortgage Scheduled Scheduled
Loans as of Principal Principal
Information Balance as of Balance as of
County Concentration Date Information Date Information Date
-------------------- ---- ---------------- ----------------
<S> <C> <C> <C>
Los Angeles.......... $ %
Orange...............
Riverside............
San Bernardino.......
San Diego............
Ventura..............
Total....... $ %
</TABLE>
<PAGE>
<TABLE>
Zip Code (Over 2%) Concentrations
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
---------------------------------------------------- ------------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily by Commercial by
Number of Aggregate Aggregate Number of Aggregate Aggregate
Mortgage Scheduled Scheduled Mortgage Scheduled Scheduled
Loans as of Principal Principal Loans as of Principal Principal
Information Balance as of Balance as of Information Balance as of Balance as of
Zip Code Date Information Date Information Date Date Information Date Information Date
-------- ---- ---------------- ---------------- ---- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
90006 - Los Angeles $ % $ %
90019 - Los Angeles
90027 - Los Angeles
90028 - Los Angeles
90068 - Los Angeles
90706 - Bellflower.
91355 - Valencia...
91401 - Van Nuys...
91763 - Montclair..
92040 - Lakeside...
92117 - San Diego..
All Other Zip Codes
Total..... $ % $ %
</TABLE>
<PAGE>
Total
----------------------------------------------------
Percentage of
Total Southern
California by
Number of Aggregate Aggregate
Mortgage Scheduled Scheduled
Loans as of Principal Principal
Information Balance as of Balance as of
Zip Code Date Information Date Information Date
-------- ---- ---------------- ----------------
90006 - Los Angeles $ %
90019 - Los Angeles
90027 - Los Angeles
90028 - Los Angeles
90068 - Los Angeles
90706 - Bellflower
91355 - Valencia ..
91401 - Van Nuys ..
91763 - Montclair .
92040 - Lakeside ..
92117 - San Diego .
All Other Zip Codes
Total .... $ %
<PAGE>
<TABLE>
Distribution of Original Principal Balances
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
---------------------------------------------------- ----------------------------------------------
Percentage of Percentage
Southern of Southern
California California
Multifamily by Commercial
Aggregate Aggregate Aggregate by Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Original Principal Balances Date Date Date Date Date Date
--------------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
$ 50,000 or less............ $ % $ %
$ 50,001 to $ 100,000.....
$ 100,001 to $ 200,000.....
$ 200,001 to $ 400,000.....
$ 400,001 to $ 600,000.....
$ 600,001 to $ 800,000.....
$ 800,001 to $ 1,000,000.....
$ 1,000,001 to $ 2,000,000.....
$ 2,000,001 to $ 3,000,000.....
$ 3,000,001 to $ 4,000,000.....
$ 4,000,001 to $ 5,000,000.....
$ 5,000,001 to $10,000,000.....
$10,000,001 or more............
Total................. $ % $ %
Average Original Principal
Balance is................
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------------
Percentage of
Aggregate Total Southern
Number of Scheduled California by
Mortgage Principal Aggregate
Loans as Balance Scheduled
of as of Principal
Information Information Balance as of
Original Principal Balances Date Date Information Date
--------------------------- ---- ---- ----------------
<S> <C> <C> <C>
$ 50,000 or less............ $ %
$ 50,001 to $ 100,000.....
$ 100,001 to $ 200,000.....
$ 200,001 to $ 400,000.....
$ 400,001 to $ 600,000.....
$ 600,001 to $ 800,000.....
$ 800,001 to $ 1,000,000.....
$ 1,000,001 to $ 2,000,000.....
$ 2,000,001 to $ 3,000,000.....
$ 3,000,001 to $ 4,000,000.....
$ 4,000,001 to $ 5,000,000.....
$ 5,000,001 to $10,000,000.....
$10,000,001 or more............
Total................. $ %
Average Original Principal
Balance is...............
</TABLE>
<PAGE>
<TABLE>
Distribution of Scheduled Principal Balances as of the Information Date
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
---------------------------------------------------- ----------------------------------------------
Percentage of Percentage
Southern of Southern
California California
Multifamily by Commercial
Aggregate Aggregate Aggregate by Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Scheduled Loans as of Balance as of Balance as of Loans as of Balance as of Balance as
Principal Balances Information Information Information Information Information of
as of Information Date Date Date Date Date Date Information Date
---------------------- ---- ---- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C> <C>
$ 50,000 or less............. $ % $ %
$ 50,001 to $ 100,000.......
$ 100,001 to $ 200,000.......
$ 200,001 to $ 400,000.......
$ 400,001 to $ 600,000.......
$ 600,001 to $ 800,000.......
$ 800,001 to $ 1,000,000......
$ 1,000,001 to $ 2,000,000.....
$ 2,000,001 to $ 3,000,000.....
$ 3,000,001 to $ 4,000,000.....
$ 4,000,001 to $ 5,000,000.....
$ 5,000,001 to $10,000,000.....
$10,000,001 or more............
Total................. $ % $ %
Average Scheduled Principal
Balance as of the Information
Date is.......................
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as Balance as Principal
Scheduled of of Balance as of
Principal Balances Information Information Information
as of Information Date Date Date Date
---------------------- ---- ---- ----
<S> <C> <C> <C>
$ 50,000 or less............. $ %
$ 50,001 to $ 100,000.......
$ 100,001 to $ 200,000.......
$ 200,001 to $ 400,000.......
$ 400,001 to $ 600,000.......
$ 600,001 to $ 800,000.......
$ 800,001 to $ 1,000,000......
$ 1,000,001 to $ 2,000,000.....
$ 2,000,001 to $ 3,000,000.....
$ 3,000,001 to $ 4,000,000.....
$ 4,000,001 to $ 5,000,000.....
$ 5,000,001 to $10,000,000.....
$10,000,001 or more............
Total................. $ %
Average Scheduled Principal
Balance as of the Information
Date is.......................
</TABLE>
<PAGE>
<TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in Southern California*
<CAPTION>
Multifamily Commercial
-------------------------------------------- --------------------------------------------
Percentage of
Southern Percentage
California of Southern
Aggregate Multifamily by Aggregate California
Number of Scheduled Aggregate Scheduled Commercial by
Mortgage Principal Scheduled Number of Principal Aggregate
Loans as Balance as Principal Mortgage Balance as Scheduled
Original Number of of Balance as of Loans as of of Principal
of Years to Information Information Information Information Information Balance as of
Stated Maturity Date Date Date Date Date Information Date
--------------- ---- ---- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C> <C>
5 years or less............... $ % $ %
5+ to 7 years................
7+ to 10 years................
10+ to 15 years................
15+ to 20 years................
20+ to 30 years................
30 years or more...............
Total................. $ % $ %
Weighted Average Original Term
to Stated Maturity is.......
<FN>
- ----------
* Without giving effect to any modification or extension of maturity date.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Original Number Loans as of Balance as of Principal
of Years to Information Information Balance as of
Stated Maturity Date Date Information Date
--------------- ---- ---- ----------------
<S> <C> <C> <C>
5 years or less............. $ %
5+ to 7 years..............
7+ to 10 years..............
10+ to 15 years..............
15+ to 20 years..............
20+ to 30 years..............
30 years or more.............
Total............... $ %
Weighted Average Original Term
to Stated Maturity is......
<FN>
- ----------
* Without giving effect to any modification or extension of maturity date.
</FN>
</TABLE>
<PAGE>
<TABLE>
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
-------------------------------------------- --------------------------------------------------
Percentage of Percentage of
Balloon Loans in Balloon
Southern Mortgage in
California Southern
Multifamily by California
Number of Aggregate Aggregate Number of Aggregate Commercial by
Mortgage Scheduled Scheduled Mortgage Scheduled Aggregate
Loans as Principal Principal Loans as Principal Scheduled
of Balance as of Balance as of of Balance as of Principal
Years Remaining Information Information Information Information Information Balance as of
as of Information Date Date Date Date Date Date Information Date
---------------------- ---- ---- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C> <C>
1 year or less........... $ % $ %
1+ to 2 years...........
2+ to 3 years...........
3+ to 4 years...........
4+ to 5 years*..........
5+ to 10 years...........
10+ to 15 years...........
15+ to 20 years...........
20+ to 30 years...........
Total............ $ % $ %
Weighted Average Remaining
Term to Stated Maturity
is......................
<FN>
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
--------------------------------------------
Percentage of
Balloon Loans
Total Southern
California by
Aggregate Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans as of Balance as of Balance as of
Years Remaining Information Information Information
as of Information Date Date Date Date
---------------------- ---- ---- ----
<S> <C> <C> <C>
1 year or less........... $ %
1+ to 2 years...........
2+ to 3 years...........
3+ to 4 years...........
4+ to 5 years*..........
5+ to 10 years...........
10+ to 15 years...........
15+ to 20 years...........
20+ to 30 years...........
Total............ $ %
Weighted Average Remaining
Term to Stated Maturity
is......................
<FN>
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
---------------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Balloon Loans in Balloon
Southern Mortgage in
California Southern
Multifamily by California
Number of Aggregate Aggregate Number of Aggregate Commercial by
Mortgage Scheduled Scheduled Mortgage Scheduled Aggregate
Loans as Principal Principal Loans as Principal Scheduled
of Balance as of Balance as of of Balance as of Principal
Years Remaining as of Information Information Information Information Information Balance as of
Information Date Date Date Date Date Date Information Date
---------------- ---- ---- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C> <C>
Five years or less........ $ % $ %
5+ to 10 years............
10+ to 15 years...........
15+ to 20 years...........
20+ to 30 years...........
Total............ $ % $ %
Weighted Average Remaining
Term to Stated Maturity
is......................
<FN>
- -------------------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------------
Percentage of
Balloon Loans
Total Southern
California by
Number of Aggregate Aggregate
Mortgage Scheduled Scheduled
Loans as of Principal Principal
Years Remaining as of Information Balance as of Balance as of
Information Date* Date Information Date Information Date
----------------- ---- ---------------- ----------------
<S> <C> <C> <C>
Five years or less........ $ %
5+ to 10 years............
10+ to 15 years...........
15+ to 20 years...........
20+ to 30 years...........
Total............ $ %
Weighted Average Remaining
Term to Stated Maturity
is......................
<FN>
- -------------------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
</FN>
</TABLE>
<PAGE>
<TABLE>
Seasoning of Mortgage Loans
in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Number of Years Information Information Information Information Information Information
as of Information Date Date Date Date Date Date Date
- ---------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
1 year or less.............. $ % $ %
1+ to 2 years..............
2+ to 3 years..............
3+ to 4 years..............
4+ to 5 years..............
5+ to 6 years..............
6+ to 7 years..............
7+ to 8 years..............
8+ to 9 years..............
9+ to 10 years..............
Over 10 years...............
Total.............. $ % $ %
Weighted Average
Seasoning is................
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Number of Years Information Information Balance as of
as of Information Date Date Date Information Date
---------------------- ---- ---- ----------------
<S> <C> <C> <C>
1 year or less.............. $ %
1+ to 2 years..............
2+ to 3 years..............
3+ to 4 years..............
4+ to 5 years..............
5+ to 6 years..............
6+ to 7 years..............
7+ to 8 years..............
8+ to 9 years..............
9+ to 10 years..............
Over 10 years...............
Total.............. $ %
Weighted Average
Seasoning is................
</TABLE>
<PAGE>
<TABLE>
Mortgage Interest Rates as of Information Date
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Mortgage Interest Rates Date Date Date Date Date Date
- ----------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
4.00% to 4.99%......... $ % $ %
5.00% to 5.99%.........
6.00% to 6.99%.........
7.00% to 7.99%.........
8.00% to 8.99%.........
9.00% to 9.99%.........
10.00% to 10.99%.........
11.00% to 11.99%.........
12.00% to 12.99%.........
13.00% to 13.99%.........
Total........... $ % $ %
Weighted Average
Mortgage Interest Rate
is.....................
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Mortgage Interest Rates Date Date Information Date
----------------------- ---- ---- ----------------
<S> <C> <C> <C>
4.00% to 4.99%........ $ %
5.00% to 5.99%........
6.00% to 6.99%........
7.00% to 7.99%........
8.00% to 8.99%........
9.00% to 9.99%........
10.00% to 10.99%........
11.00% to 11.99%........
12.00% to 12.99%........
13.00% to 13.99%........
Total.......... $ %
Weighted Average
Mortgage Interest Rate
is....................
</TABLE>
<PAGE>
<TABLE>
Loan-to-Value Ratios at Origination
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Loan-to-Value Information Information Information Information Information Information
Ratios at Origination Date Date Date Date Date Date
- --------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
50.00% or less....... $ % $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total........ $ % $ %
Weighted Average
Loan-to-Value at
Origination is......
- ----------
<FN>
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Loan-to-Value Information Information Balance as of
Ratios at Origination Date Date Information Date
----------------------- ---- ---- ----------------
<S> <C> <C> <C>
50.00% or less....... $ %
50.01% to 60.00%....
60.01% to 70.00%....
70.01% to 80.00%....
80.01% to 90.00%....
90.01% to 100.00%....
100.01% or more.......
Unknown...............
Total........ $ %
Weighted Average
Loan-to-Value at
Origination is......
- ----------
<FN>
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
</FN>
</TABLE>
<PAGE>
<TABLE>
Range of Ratios of Current Loan Balance-to-Original Value
as of Information Date in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Ratios of Current Loan Information Information Information Information Information Information
Balance-to-Original Value* Date Date Date Date Date Date
- -------------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
50.00% or less.............. $ % $ %
50.01% to 60.00%...........
60.01% to 70.00%...........
70.01% to 80.00%...........
80.01% to 90.00%...........
90.01% to 100.00%...........
100.01% or more..............
Unknown......................
Total............... $ % $ %
Weighted Average
Current Loan
Balance-to-Original
Value is.....................
- ----------
<FN>
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value Ratios.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Ratios of Current Loan Information Information Balance as of
Balance-to-Original Value* Date Date Information Date
----------------------- ---- ---- ----------------
<S> <C> <C> <C>
50.00% or less.............. $ %
50.01% to 60.00%...........
60.01% to 70.00%...........
70.01% to 80.00%...........
80.01% to 90.00%...........
90.01% to 100.00%...........
100.01% or more..............
Unknown......................
Total............... $ %
Weighted Average
Current Loan
Balance-to-Original
Value is.....................
- ----------
<FN>
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original
Value Ratios.
</FN>
</TABLE>
<PAGE>
<TABLE>
Lien Positions of Mortgage Loans
in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Lien Position* Date Date Date Date Date Date
- -------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
First Lien**.. $ % $ %
Second Lien...
Third Lien....
Not Available.
Total $ % $ %
- ----------
<FN>
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Lien Position* Date Date Information Date
-------------- ---- ---- ----------------
<S> <C> <C> <C>
First Lien**.. $ %
Second Lien...
Third Lien....
Not Available.
Total $ %
- ----------
<FN>
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
</FN>
</TABLE>
<PAGE>
<TABLE>
Property Type
of Mortgaged Properties in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Type of Information Information Information Information Information Information
Mortgaged Properties Date Date Date Date Date Date
- -------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Industrial/Warehouse......... $ % $ %
Lodging......................
Mini Warehouse...............
Mixed Use Building...........
Mobile Home Park.............
Multifamily (5-36
Units).......................
Multifamily (37-200
Units).......................
Multifamily (Over 200
Units).......................
Multifamily - Other..........
Hospital/Nursing Home........
School/Religious
Building.....................
Office.......................
Retail.......................
Other Commercial.............
Not Available................
Total............... $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Type of Information Information Balance as of
Mortgaged Properties Date Date Information Date
-------------------- ---- ---- ----------------
<S> <C> <C> <C>
Industrial/Warehouse.... $ %
Lodging.................
Mini Warehouse..........
Mixed Use Building......
Mobile Home Park........
Multifamily (5-36
Units)..................
Multifamily (37-200
Units)..................
Multifamily (Over 200
Units)..................
Multifamily - Other.....
Hospital/Nursing Home...
School/Religious
Building................
Office..................
Retail..................
Other Commercial........
Not Available...........
Total.......... $ %
</TABLE>
<PAGE>
<TABLE>
Monthly Payments Delinquent as of the Information Date
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Monthly Information Information Information Information Information Information
Payments Delinquent Date Date Date Date Date Date
- -------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
None (0-29 days past $ % $ %
due)............................
One Payment (30-59
days past due)..................
Total.................. $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Monthly Information Information Balance as of
Payment Delinquent Date Date Information Date
- ------------------ ---- ---- ----------------
<S> <C> <C> <C>
None (0-29 days past $ %
due)............................
One Payment (30-59
days past due)..................
Total.................. $ %
</TABLE>
<PAGE>
<TABLE>
Delinquency History for the Past Twelve Months as of the Information Date
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- --------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Delinquency History Date Date Date Date Date Date
- ------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
No 30 Day or Greater Delinquency
in last 12 months................ $ % $ %
One Payment Delinquent (30-59 days)
in last 12 months................
1 time 30-day delinquent in
last 12 months...................
2 times 30-day delinquent in
last 12 months...................
More than 2 times 30-day delinquent in
last 12 months...................
Two Payments Delinquent (60-89 days) in
last 12 months...................
1 time 60-day delinquent in
last 12 months...................
2 times 60-day delinquent in
last 12 months..............
More than 2 times 60-day delinquent
in last 12 months................
Three or more Payments Delinquent
(90 days+) in last 12 months**...
1 time 90-day delinquent in
last 12 months...................
2 times 90-day delinquent in
last 12 months...................
More than 2 times 90-day delinquent in
last 12 months...................
Total..................... $ % $ %
- ----------
<FN>
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Southern California
Mortgage Loans, based on the Aggregate Scheduled Principal Balance as of the
Information Date, did not have twelve months of delinquency history and were
not modified.
** Approximately [____]% and [____]% of the multifamily Mortgage Loans included
in Two and Three Payments Delinquent, respectively, have been modified since
the delinquency; approximately [____]% and [____]% of the commercial Mortgage
Loans included in Two and Three Payments Delinquent, respectively have been
modified since the delinquency; and approximately [____]% and [____]% of the
total Southern California Mortgage Loans included in Two and Three Payments
Delinquent have been modified since the delinquency.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
---------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Delinquency History Date Date Information Date
- ------------------- ---- ---- ----------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency
in last 12 months................ $ %
One Payment Delinquent (30-59 days)
in last 12 months................
1 time 30-day delinquent in
last 12 months...................
2 times 30-day delinquent in
last 12 months...................
More than 2 times 30-day delinquent in
last 12 months...................
Two Payments Delinquent (60-89 days) in
last 12 months...................
1 time 60-day delinquent in
last 12 months...................
2 times 60-day delinquent in
last 12 months..............
More than 2 times 60-day delinquent
in last 12 months................
Three or more Payments Delinquent
(90 days+) in last 12 months**...
1 time 90-day delinquent in
last 12 months...................
2 times 90-day delinquent in
last 12 months...................
More than 2 times 90-day delinquent in
last 12 months...................
Total..................... $ %
- ----------
<FN>
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately [____]% of the Southern California
Mortgage Loans, based on the Aggregate Scheduled Principal Balance as of the
Information Date, did not have twelve months of delinquency history and were
not modified.
** Approximately [____]% and [____]% of the multifamily Mortgage Loans included
in Two and Three Payments Delinquent, respectively, have been modified since
the delinquency; approximately [____]% and [____]% of the commercial Mortgage
Loans included in Two and Three Payments Delinquent, respectively have been
modified since the delinquency; and approximately [____]% and [____]% of the
total Southern California Mortgage Loans included in Two and Three Payments
Delinquent have been modified since the delinquency.
</FN>
</TABLE>
<PAGE>
<TABLE>
Margins of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Margins Date Date Date Date Date Date
- ------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans.... $ % $ %
No Stated Margin.............
0.01% to 0.99%...............
1.00% to 1.99%...............
2.00% to 2.99%...............
3.00% to 3.99%...............
4.00% or more................
Total............... $ % $ %
Weighted Average Margin is...
- ----------
<FN>
* Excludes Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Margins Date Date Information Date
- ------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans. $ %
No Stated Margin..........
0.01% to 0.99%............
1.00% to 1.99%............
2.00% to 2.99%............
3.00% to 3.99%............
4.00% or more.............
Total............ $ %
Weighted Average Margin is
- -------------------------------------------------------------------------------
- ----------
<FN>
* Excludes Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
Maximum Rates of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Maximum Rates Date Date Date Date Date Date
- ------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans....... $ % $ %
No Maximum Rate.................
Less than 11.99%................
12.00% to 12.99%................
13.00% to 13.99%................
14.00% to 14.99%................
15.00% to 15.99%................
16.00% to 16.99%................
17.00% to 17.99%................
18.00% to 18.99%................
19.00% to 19.99%................
Total.................. $ % $ %
Weighted Average Maximum Rate is
- ----------
<FN>
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Maximum Rates Date Date Information Date
- ------------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans........ $ %
No Maximum Rate..................
Less than 11.99%.................
12.00% to 12.99%.................
13.00% to 13.99%.................
14.00% to 14.99%.................
15.00% to 15.99%.................
16.00% to 16.99%.................
17.00% to 17.99%.................
18.00% to 18.99%.................
19.00% to 19.99%.................
Total................... $ %
Weighted Average Maximum Rate is.
- ----------
<FN>
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
Floor Interest Rates of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Floor Interest Rates Date Date Date Date Date Date
- -------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans........ $ % $ %
No Minimum Rate..................
Less than 6.00%..................
6.00% to 6.99%.................
7.00% to 7.99%.................
8.00% to 8.99%.................
9.00% to 9.99%.................
10.00% to 10.99%.................
Total................... $ % $ %
Weighted Average Floor Interest
Rate is........................
<FN>
- ----------
* Excludes ARMs with no Floor Interest Rate and Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Floor Interest Rates Date Date Information Date
- -------------------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans........ $ %
No Minimum Rate..................
Less than 6.00%..................
6.00% to 6.99%.................
7.00% to 7.99%.................
8.00% to 8.99%.................
9.00% to 9.99%.................
10.00% to 10.99%.................
Total................... $ %
Weighted Average Floor Interest
Rate is........................
<FN>
- ----------
* Excludes ARMs with no Floor Interest Rate and Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<PAGE>
<TABLE>
Periodic Rate Adjustment Caps
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Periodic Rate Information Information Information Information Information Information
Adjustment Caps Date Date Date Date Date Date
- --------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans. $ % $ %
No Periodic Adjustment Cap
Less than 1.00%...........
1.00% to 1.99%............
2.00% to 2.99%............
4.00% or more.............
Total............ $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Periodic Rate Information Information Balance as of
Adjustment Caps Date Date Information Date
- -------------------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans. $ %
No Periodic Adjustment Cap
Less than 1.00%...........
1.00% to 1.99%............
2.00% to 2.99%............
4.00% or more.............
Total............ $ %
</TABLE>
<PAGE>
<TABLE>
Interest Adjustment Frequency
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Interest Information Information Information Information Information Information
Adjustment Frequency Date Date Date Date Date Date
- -------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans $ % $ %
Monthly..................
Quarterly................
Semi-Annually............
Annually.................
Adjusts with Index.......
Total........... $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Interest Information Information Balance as of
Adjustment Frequency Date Date Information Date
- -------------------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans $ %
Monthly..................
Quarterly................
Semi-Annually............
Annually.................
Adjusts with Index.......
Total........... $ %
</TABLE>
<PAGE>
<TABLE>
Payment Adjustment Frequency
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Payment Information Information Information Information Information Information
Adjustment Frequency Date Date Date Date Date Date
- -------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans $ % $ %
Monthly..................
Quarterly................
Semi-Annually............
Annually.................
Five Years...............
Fixed Payment............
Adjusts with Index.......
Total........... $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Payment Information Information Balance as of
Adjustment Frequency Date Date Information Date
- -------------------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans $ %
Monthly..................
Quarterly................
Semi-Annually............
Annually.................
Five Years...............
Fixed Payment............
Adjusts with Index.......
Total........... $ %
</TABLE>
<PAGE>
<TABLE>
Indexes
of Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- --------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Indexes Date Date Date Date Date Date
- ------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Mortgage Loans............... $ % $ %
COFI 11th District Weighted Average.....
FHLMC 30 Year Mortgage Commitment.......
LIBOR 1 Month...........................
LIBOR 1 Year............................
LIBOR 6 Month...........................
PRIME Citibank..........................
Treasury - 1 Year Weekly Average........
Treasury - 26 Week T-Bill Weekly
Average...............................
Treasury - 6 Month Monthly Average......
Treasury - 91-Day T-Bill................
Weighted Average COFI for CA Members of
SF FHLB...............................
Total.......................... $ % $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Indexes Date Date Information Date
- ------- ---- ---- ----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans............... $ %
COFI 11th District Weighted Average.....
FHLMC 30 Year Mortgage Commitment.......
LIBOR 1 Month...........................
LIBOR 1 Year............................
LIBOR 6 Month...........................
PRIME Citibank..........................
Treasury - 1 Year Weekly Average........
Treasury - 26 Week T-Bill Weekly
Average...............................
Treasury - 6 Month Monthly Average......
Treasury - 91-Day T-Bill................
Weighted Average COFI for CA Members of
SF FHLB...............................
Total.......................... $ %
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Loans with Potential for Negative
Amortization in Southern California
Multifamily Commercial
------------------------------------------- ----------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Information Information Information Information Information Information
Negative Amortization Date Date Date Date Date Date
- --------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Negative Amortization... $ % $ %
No Negative Amortization
Total.......... $ % $ %
</TABLE>
<PAGE>
<TABLE>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Information Information Balance as of
Negative Amortization Date Date Information Date
- --------------------- ---- ---- ----------------
<S> <C> <C> <C>
Negative Amortization... $ %
No Negative Amortization
Total.......... $ %
</TABLE>
<PAGE>
<TABLE>
Loans-to-Facilitate and Modified Mortgage Loans
in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- -------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Loans to Facilitate and Information Information Information Information Information Information
Modified Mortgage Loans Date Date Date Date Date Date
- ----------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Loans-to-Facilitate
(Seller-Originated Loans)(1) ........
Loans-to-Facilitate (Non-RTC)(2)......
Modified Mortgage Loans(3)............
Not Applicable........................
Total .......................
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Loans to Facilitate and Information Information Balance as of
Modified Mortgage Loan Date Date Information Date
- --------------------- ---- ---- ----------------
<S> <C> <C> <C>
Loans-to-Facilitate
(Seller-Originated Loans)(1) ........
Loans-to-Facilitate (Non-RTC)(2)......
Modified Mortgage Loans(3)............
Not Applicable........................
Total .......................
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
Exhibit G
Available Debt Service Coverage Ratios(1)
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Information Date Information Date Principal Balance
--------------- ---------------- ---------------- -----------------
Group 1 Mortgage Loans
0.00x to 0.50x......... $ %
0.51x to 0.75x.........
0.76x to 1.00x.........
1.01x to 1.25x.........
1.26x to 1.50x.........
1.51x to 2.00x.........
2.01x to 3.00x.........
3.01x or more..........
Not Available.......... $ %
Total........
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Information Date Information Date Principal Balance
--------------- ---------------- ---------------- -----------------
Group 2 Mortgage Loans
Less than Zero......... $ %
0.00x to 0.50x.........
0.51x to 0.75x.........
0.76x to 1.00x.........
1.01x to 1.25x.........
1.26x to 1.50x.........
1.51x to 2.00x.........
2.01x to 3.00x.........
3.01x or more..........
Not Available..........
Total........ $ %
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes, depreciation
and amortization) ("NOI") before payment of any debt service on the Mortgage
Loan, to the annual debt service on such Mortgage Loan. NOI relating to each
Mortgaged Property was not available to the Depositor, and therefore the
Depositor based its calculations of debt service coverage ratio on the
amount of NOI for each Mortgaged Property for which calculation was made as
of the Underlying Cut-Off Date or such other date as was used by the RTC in
the Underlying Transaction.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived by the RTC from information for a
12-month period ending December, 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April, 1993 or later)
to, generally, the annualized Monthly Payment in effect as of the
Information Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described in the Underlying Prospectus.
<PAGE>
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Information Date Information Date Principal Balance
--------------- ---------------- ---------------- -----------------
Group 3 Mortgage Loans
Less than Zero......... $ %
0.00x to 0.50x.........
0.51x to 0.75x.........
0.76x to 1.00x.........
1.01x to 1.25x.........
1.26x to 1.50x.........
1.51x to 2.00x.........
2.01x to 3.00x.........
3.01x or more..........
Not Available..........
Total........ $ %
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Information Date Information Date Principal Balance
--------------- ---------------- ---------------- -----------------
Group 4 Mortgage Loans
Less than Zero......... $ %
0.00x to 0.50x.........
0.51x to 0.75x.........
0.76x to 1.00x.........
1.01x to 1.25x.........
1.26x to 1.50x.........
1.51x to 2.00x.........
2.01x to 3.00x.........
3.01x or more..........
Not Available..........
Total........ $ %
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes, depreciation
and amortization) ("NOI") before payment of any debt service on the Mortgage
Loan, to the annual debt service on such Mortgage Loan. NOI relating to each
Mortgaged Property was not available to the Depositor, and therefore the
Depositor based its calculations of debt service coverage ratio on the
amount of NOI for each Mortgaged Property for which calculation was made as
of the Underlying Cut-Off Date or such other date as was used by the RTC in
the Underlying Transaction.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived by the RTC from information for a
12-month period ending December, 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April, 1993 or later)
to, generally, the annualized Monthly Payment in effect as of the
Information Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described in the Underlying Prospectus.
<PAGE>
Available Debt Service Coverage Ratio(1)
for the Mortgage Pool
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Information Date Information Date Principal Balance
--------------- ---------------- ---------------- -----------------
Less than Zero......... $ %
0.00x to 0.50x.........
0.51x to 0.75x.........
0.76x to 1.00x.........
1.01x to 1.25x.........
1.26x to 1.50x.........
1.51x to 2.00x.........
2.01x to 3.00x.........
3.01x or more..........
Not Available..........
Total........ $ %
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes, depreciation
and amortization) ("NOI") before payment of any debt service on the Mortgage
Loan, to the annual debt service on such Mortgage Loan. NOI relating to each
Mortgaged Property was not available to the Depositor, and therefore the
Depositor based its calculations of debt service coverage ratio on the
amount of NOI for each Mortgaged Property for which calculation was made as
of the Underlying Cut-Off Date or such other date as was used by the RTC in
the Underlying Transaction.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived by the RTC from information for a
12-month period ending December, 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April, 1993 or later)
to, generally, the annualized Monthly Payment in effect as of the
Information Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described in the Underlying Prospectus.
<PAGE>
<TABLE>
Available Debt Service Coverage Ratio(1)
for Mortgage Loans in Southern California
<CAPTION>
Multifamily Commercial
------------------------------------------- -------------------------------------------
Percentage of Percentage of
Southern Southern
California California
Multifamily Commercial by
Aggregate by Aggregate Aggregate Aggregate
Number of Scheduled Scheduled Number of Scheduled Scheduled
Mortgage Principal Principal Mortgage Principal Principal
Loans as of Balance as of Balance as of Loans as of Balance as of Balance as of
Debt Service Information Information Information Information Information Information
Coverage Ratios (1)(2)(3) Date Date Date Date Date Date
- ------------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Less than Zero.... $ % $ %
0.00x to 0.50x....
0.51x to 0.75x....
0.76x to 1.00x....
1.01x to 1.25x....
1.26x to 1.50x....
1.51x to 2.00x....
2.01x to 3.00x....
3.01x or more.....
Not Available.....
Total.... $ % $ %
<FN>
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes, depreciation
and amortization) ("NOI") before payment of any debt service on the Mortgage
Loan, to the annual debt service on such Mortgage Loan. NOI relating to each
Mortgaged Property was not available to the Depositor, and therefore the
Depositor based its calculations of debt service coverage ratio on the
amount of NOI for each Mortgaged Property for which calculation was made as
of the Underlying Cut-Off Date or such other date as was used by the RTC in
the Underlying Transaction.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived by the RTC from information for a
12-month period ending December, 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April, 1993 or later)
to, generally, the annualized Monthly Payment in effect as of the
Information Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described in the Underlying Prospectus.
</FN>
</TABLE>
<PAGE>
Total
----------------------------------------------
Percentage of
Total
Southern
Aggregate California by
Number of Scheduled Aggregate
Mortgage Principal Scheduled
Loans as of Balance as of Principal
Debt Service Information Information Balance as of
Coverage Ratios (1)(2)(3) Date Date Information Date
- ------------------------- ---- ---- ----------------
Less than Zero.... $ %
0.00x to 0.50x....
0.51x to 0.75x....
0.76x to 1.00x....
1.01x to 1.25x....
1.26x to 1.50x....
1.51x to 2.00x....
2.01x to 3.00x....
3.01x or more.....
Not Available.....
Total.... $ %
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes, depreciation
and amortization) ("NOI") before payment of any debt service on the Mortgage
Loan, to the annual debt service on such Mortgage Loan. NOI relating to each
Mortgaged Property was not available to the Depositor, and therefore the
Depositor based its calculations of debt service coverage ratio on the
amount of NOI for each Mortgaged Property for which calculation was made as
of the Underlying Cut-Off Date or such other date as was used by the RTC in
the Underlying Transaction.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived by the RTC from information for a
12-month period ending December, 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April, 1993 or later)
to, generally, the annualized Monthly Payment in effect as of the
Information Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described in the Underlying Prospectus.
<PAGE>
<TABLE>
EXHIBIT H -- CHARACTERISTICS OF THE 50 LARGEST MULTIFAMILY MORTGAGE LOANS
IN MORTGAGE LOAN GROUPS 1 AND 2
<CAPTION>
Current Original
Mortgage Original Amort
Property Interest Term Term Maturity Original
City State Type Index Rate (Months)(11) (Months) Date(12) Balance(1)
- ---- ----- ---- ----- ---- ------------ -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage
Loan was originated.
(2) Original loan to value is the original balance (not modified) divided
by the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan
as of the Information Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the
table was based upon the ratio of NOI, derived from information for a
12 month period ending December 1992 or later (or, if less than a
12-month period was available, at least a 9-month period ending April
1993 or later), unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents,
occupancy rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the
start of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity
date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Information
Date Maximum Periodic
Scheduled Mortgage Floor Rate
Property Principal Original Current Interest Interest Adjustment
City State Type Index Balance LTV(2) LTV(3) Margin Rate Rate Cap
- ---- ----- ---- ----- ------- ------ ------ ------ ---- ---- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the start
of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Rate Payment
Reset Adj. Negam Debt Monthly
Frequency Frequency Percent Service Payments
City (Months) (Months) Cap Coverage(4) Due
- ---- -------- -------- --- ----------- ---
<S> <C> <C> <C> <C> <C>
Mortgage Loan Group 1
Total:
- -------------------------------------------------------------------------------
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the start
of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT H -- CHARACTERISTICS OF THE 50 LARGEST MULTIFAMILY MORTGAGE LOANS
IN MORTGAGE LOAN GROUPS 1 AND 2, continued
<CAPTION>
Current Original
Mortgage Original Amort
Property Interest Term Term Maturity Original
City State Type Index Rate (Months)(11) (Months) Date(12) Balance(1)
- ---- ----- ---- ----- ---- ------------ -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
<FN>
- -----------------------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the start
of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Information
Date Maximum Periodic
Scheduled Mortgage Floor Rate
Property Principal Original Current Interest Interest Adjustment
City State Type Index Balance LTV(2) LTV(3) Margin Rate Rate Cap
- ---- ----- ---- ----- ------- ------ ------ ------ ---- ---- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the start
of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT H -- CHARACTERISTICS OF THE 50 LARGEST MULTIFAMILY MORTGAGE LOANS
IN MORTGAGE LOAN GROUPS 1 AND 2, continued
<CAPTION>
Rate Payment Debt
Reset Adj. Negam Service Monthly
Frequency Frequency Percent Past Payments
City (Months) (Months) Cap Coverage(4) Due
- ---- -------- -------- --- ----------- ---
<S> <C> <C> <C> <C> <C>
Total:
- -------------------------------------------------------------------------------
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the start
of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT I -- CHARACTERISTICS OF THE 50 LARGEST MORTGAGE LOANS
IN MORTGAGE LOAN GROUPS 3 AND 4
<CAPTION>
Current Original
Mortgage Original Amort
Property Interest Term Term Maturity Original
City State Type Index Rate (Months)(9) (Months) Date(10) Balance(1)
- ---- ----- ---- ----- ---- ----------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with
a Scheduled Principal Balance as of the Information Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property.
The LTVs in the chart are based on the aggregate principal balance of these
two loans.
(12) The Mortgage Loan had a period of interest only payments
prior to the start of the amortization period.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Information
Date Maximum
Scheduled Mortgage Floor
Property Principal Original Current Interest Interest
City State Type Index Balance LTV(2) LTV(3) Margin Rate Rate
- ---- ----- ---- ----- ------- ------ ------ ------ ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with a
Scheduled Principal Balance as of the Information Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property.
The LTVs in the chart are based on the aggregate principal balance of these
two loans.
(12) The Mortgage Loan had a period of interest only payments prior to the start
of the amortization period.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Periodic Rate Payment
Rate Reset Adj. Negam Debt Monthly
Adjustment Frequency Frequency Percent Service Payments
City Cap (Months) (Months) Cap Coverage(4) Past Due
- ---- --- -------- -------- --- ----------- --------
<S> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with a
Scheduled Principal Balance as of the Information Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property.
The LTVs in the chart are based on the aggregate principal balance of these
two loans.
(12) The Mortgage Loan had a period of interest only payments prior to the start
of the amortization period.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT I -- CHARACTERISTICS OF THE 50 LARGEST MORTGAGE LOANS
IN MORTGAGE LOAN GROUPS 3 AND 4, continued
<CAPTION>
Current Original
Mortgage Original Amort
Property Interest Term Term Maturity Original
City State Type Index Rate (Months(9)) (Months) Date(10) Balance(1)
- ---- ----- ---- ----- ---- ----------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with
a Scheduled Principal Balance as of the Information Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property.
The LTVs in the chart are based on the aggregate principal balance of these
two loans.
(12) The Mortgage Loan had a period of interest only payments prior to the start
of the amortization period.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Information
Date Maximum
Scheduled Mortgage Floor
Property Principal Original Current Interest Interest
City State Type Index Balance LTV(2) LTV(3) Margin Rate Rate
- ---- ----- ---- ----- ------- ------ ------ ------ ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with
a Scheduled Principal Balance as of the Information Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property.
The LTVs in the chart are based on the aggregate principal balance of these
two loans.
(12) The Mortgage Loan had a period of interest only payments prior to the start
of the amortization period.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT I -- CHARACTERISTICS OF THE 50 LARGEST MORTGAGE LOANS
IN MORTGAGE LOAN GROUPS 3 AND 4, continued
<CAPTION>
Periodic Rate Payment
Rate Reset Adj. Negam Debt Monthly
Adjustment Frequency Frequency Percent Service Payments
City Cap (Months) (Months) Cap Coverage(4) Past Due
- ---- --- -------- -------- --- ----------- --------
<S> <C> <C> <C> <C> <C> <C>
Total:
<FN>
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as of
the Information date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later),
unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents, occupancy
rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with
a Scheduled Principal Balance as of the Information Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property.
The LTVs in the chart are based on the aggregate principal balance of these
two loans.
(12) The Mortgage Loan had a period of interest only payments prior to the start
of the amortization period.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS
WITH BALANCES GREATER THAN $1,000,000
<CAPTION>
Information
Date Current
Scheduled Monthly Note Mortgage Original
Property Original Principal Payments Origination Interest Maturity Term
City State Type Balance(1) Balance Past Due Date Rate Date(8) (Months)(7)
- ---- ----- ---- ---------- ------- -------- ---- ---- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total:
<FN>
- ----------
(1) Original Balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later (or, if less than a 12-month period was
available, at least a 9-month period ending April 1993 or later), unless
otherwise indicated.
(4) Information not available.
(5) Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note was secured by the same multi-family/office property in
Washington, D.C. as a $2,125,872 note in Mortgage Loan Group 4.
(7) Without giving effect to any modification or extension of maturity date.
(8) After giving effect to modifications as described herein.
(9) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later, (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later) unless
otherwise indicated.
(10) Original LTV based on the purchase price is 85.00%, 95.00% and 85.00%,
respectively.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Original
Amort Guaranty Current
Property Term Fixed/ Purchase by the Payment
City State Type (Months) ARM Price Principal Amount
- ---- ----- ---- -------- --- ----- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Total:
<FN>
- ----------
(1) Original Balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later (or, if less than a 12-month period was
available, at least a 9-month period ending April 1993 or later), unless
otherwise indicated.
(4) Information not available.
(5) Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note was secured by the same multi-family/office property in
Washington, D.C. as a $2,125,872 note in Mortgage Loan Group 4.
(7) Without giving effect to any modification or extension of maturity date.
(8) After giving effect to modifications as described herein.
(9) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later, (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later) unless
otherwise indicated.
(10) Original LTV based on the purchase price is 85.00%, 95.00% and 85.00%,
respectively.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS
WITH BALANCES GREATER THAN $1,000,000, continued
<CAPTION>
Cash
Current Under- Down
number of writing Payment
payments Original Original Current Current Appraised Appraisal Loan to to
City per year NOI(2) DSCR NOI(3) DSCR(9) Value Date Appraisal Price
- ---- -------- ------ ---- ------ ------- ----- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 2
Total:
<FN>
- ----------
(1) Original Balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later (or, if less than a 12-month period was
available, at least a 9-month period ending April 1993 or later), unless
otherwise indicated.
(4) Information not available.
(5) Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note was secured by the same multi-family/office property in
Washington, D.C. as a $2,125,872 note in Mortgage Loan Group 4.
(7) Without giving effect to any modification or extension of maturity date.
(8) After giving effect to modifications as described herein.
(9) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later, (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later) unless
otherwise indicated.
(10) Original LTV based on the purchase price is 85.00%, 95.00% and 85.00%,
respectively.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS
WITH BALANCES GREATER THAN $1,000,000, continued
<CAPTION>
Information
Date Current
Scheduled Monthly Note Mortgage Original
Property Original Principal Payments Origination Interest Maturity Term
City State Type Balance(1) Balance Past Due Date Rate Date(8) (Months)(9)
- ---- ----- ---- ---------- ------- -------- ---- ---- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Mortgage Loan Group 4
Total:
Total Loans
<FN>
- ----------
(1) Original Balance is the Mortgage Loan Amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later, unless otherwise indicated.
(4) Information not available.
(5) Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note is secured by the same multi-family/office property in
Washington, D.C. as a $1,248,528 note in Mortgage Loan Group 2.
(7) Interest-only Mortgage Loan.
(8) Without giving effect to any modification or extension of maturity date.
(9) After giving effect to modifications as described herein.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Original
Amort Guaranty Current
Property Term Fixed/ Purchase by the Payment
City State Type (Months) ARM Price Principal Amount
- ---- ----- ---- -------- --- ----- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Mortgage Loan Group 4
Total:
Total Loans
<FN>
- ----------
(1) Original Balance is the Mortgage Loan Amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later, unless otherwise indicated.
(4) Information not available.
(5) Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note is secured by the same multi-family/office property in
Washington, D.C. as a $1,248,528 note in Mortgage Loan Group 2.
(7) Interest-only Mortgage Loan.
(8) Without giving effect to any modification or extension of maturity date.
(9) After giving effect to modifications as described herein.
</FN>
</TABLE>
<PAGE>
<TABLE>
EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS
WITH BALANCES GREATER THAN $1,000,000, continued
<CAPTION>
Cash
Current Under- Down
number of writing Payment
payments Original Original Current Current Appraised Appraisal Loan to to
City per year NOI(2) DSCR NOI(3) DSCR Value Date Appraisal Price
- ---- -------- ------ ---- ------ ---- ----- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Total:
Total
<FN>
- ----------
(1) Original Balance is the Mortgage Loan Amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later, unless otherwise indicated.
(4) Information not available.
(5) Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note is secured by the same multi-family/office property in
Washington, D.C. as a $1,248,528 note in Mortgage Loan Group 2.
(7) Interest-only Mortgage Loan.
(8) Without giving effect to any modification or extension of maturity date.
(9) After giving effect to modifications as described herein.
</FN>
</TABLE>
<PAGE>
ANNEX A
[Underlying Prospectus]
PROSPECTUS
$1,138,087,000 (Approximate)
Commercial Mortgage Pass-Through Certificates, Series 1994-C1
(RTC LOGO)
Resolution Trust Corporation,
Seller*
Midland Data Systems, Inc., Master Servicer
Banc One Management and Consulting Corporation, Special Servicer
The Certificates will evidence beneficial ownership interests in a trust
fund (the "Trust Fund") established by the Seller. The Class R Certificates are
not being offered hereby. The Trust Fund will consist primarily of a mortgage
pool (the "Mortgage Pool") conveyed by the Seller to the trustee of the Trust
Fund. The Mortgage Pool will consist primarily of adjustable and fixed rate,
amortizing and balloon payment, conventional mortgage loans secured by first
liens on commercial real estate properties, multifamily residential properties
and mixed residential/ commercial properties and will also include mortgage
loans secured by junior liens on such types of properties (all of such mortgage
loans collectively referred to as the "Mortgage Loans"). Distributions on the
Certificates will be made monthly on each Distribution Date (as defined herein)
beginning in October 1994. The Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates do not represent beneficial ownership interests in any Mortgage
Loans other than certain multifamily Mortgage Loans included in the Trust Fund.
---------------
THE CERTIFICATES DO NOT REPRESENT AN OBLIGATION OF OR AN INTEREST IN THE
RESOLUTION TRUST CORPORATION OR ANY DEPOSITORY INSTITUTION FOR WHICH THE
RESOLUTION TRUST CORPORATION IS THE RECEIVER OR CONSERVATOR. THE CERTIFICATES
WILL NOT BE SAVINGS ACCOUNTS OR DEPOSITS AND ARE NOT INSURED OR GUARANTEED BY
THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE RESOLUTION TRUST CORPORATION OR
ANY OTHER GOVERNMENTAL AGENCY OR INSTRUMENTALITY.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
Initial Certificate Price to Underwriting Final Scheduled
Principal Amount(1) Public(2) Discount(3) Distribution
Date(4)
Class A-1.. $141,209,000 100.000000% 0.50% June 25, 2026
- --------- ------------ ----------- ----- -------------
Class A-2A. $35,722,000 99.890625% 0.50% June 25, 2026
- ---------- ----------- ---------- ----- -------------
Class A-2B. $23,155,000 99.312500% 0.50% June 25, 2026
- ---------- ----------- ---------- ----- -------------
Class A-2C. $129,291,000 95.062500% 0.50% June 25, 2026
- ---------- ------------ ---------- ----- -------------
Class A-3.. $341,663,000 100.000000% 0.50% June 25, 2026
- --------- ------------ ----------- ----- -------------
Class A-4.. $68,714,000 99.937500% 0.50% June 25, 2026
- --------- ----------- ---------- ----- -------------
Class B.... $56,905,000 96.062500% 0.70% June 25, 2026
- ------- ----------- ---------- ----- -------------
Class C.... $102,428,000 92.312500% 1.00% June 25, 2026
- ------- ------------ ---------- ----- -------------
Class D.... $68,286,000 89.656250% 1.25% June 25, 2026
- ------- ----------- ---------- ----- -------------
Class E.... $125,190,000 75.000000% 1.75% June 25, 2026
- ------- ------------ ---------- ----- -------------
Class F.... $45,524,000 76.312500% 2.00% June 25, 2026
- ------- ----------- ---------- ----- -------------
- ----------
(1) Subject to a permitted variance of plus or minus 5%.
(2) Plus accrued interest from September 1, 1994 in the case of the Class A-2A,
Class A-2B, Class A-2C, Class A-4, Class B, Class C, Class D, Class E and
Class F Certificates and from September 25, 1994 in the case of the Class
A-1 and Class A-3 Certificates.
(3) The aggregate proceeds (excluding accrued interest) to the Seller from the
sale of the Offered Certificates, before deducting expenses estimated to be
$10,000,000, will be approximately $1,063,126,667.
(4) The Final Scheduled Distribution Dates have been set to a date two years
after the Distribution Date following the latest maturity date for any
Mortgage Loan in the Mortgage Pool.
* In this Prospectus, the term "Seller" will refer to the Resolution Trust
Corporation acting as seller in its corporate capacity and in its capacity as
conservator or receiver of each of certain Depository Institutions. The term
"RTC" will refer to the Resolution Trust Corporation acting solely in its
corporate capacity and not as Seller. See "THE RESOLUTION TRUST CORPORATION"
herein.
The Class A-1, Class A-2A, Class A-2B, Class A-2C, Class A-3, Class A-4,
Class B, Class C, Class D, Class E and Class F Certificates (the "Offered
Certificates") are offered by the Underwriters when, as and if issued, delivered
to and accepted by them and subject to their right to reject orders in whole or
in part. It is expected that the Offered Certificates will be delivered either
in book-entry form through the facilities of The Depository Trust Company or in
fully registered, certificated form on or about September 29, 1994 (the "Closing
Date").
Bear, Stearns & Co. Blaylock & Partners,
Inc. L.P.
CS First Boston Goldman, Sachs & Co. Lehman Brothers
Artemis Capital Group Doley Securities
Guzman & Company Muriel Siebert & Co.,
Inc.
The date of this Prospectus is September 26, 1994.
An election will be made to treat a segregated asset pool (the "REMIC Pool")
within the Trust Fund as a "real estate mortgage investment conduit" (a "REMIC")
for federal income tax purposes. The Offered Certificates will represent
beneficial ownership interests in the respective "regular interests" in the
REMIC Pool, and the Floating Rate Certificates will also be entitled to receive
certain amounts available to be withdrawn from the Reserve Fund in respect of
Basis Risk as described herein. The Class R Certificates, which are not offered
hereby, will be the "residual interest" in the REMIC Pool. See "CERTAIN FEDERAL
INCOME TAX CONSEQUENCES" herein.
Prospective investors in the Offered Certificates should consider the
factors discussed herein under "SPECIAL CONSIDERATIONS."
There is currently no secondary market for the Offered Certificates. Certain
of the Underwriters, either directly and/or through one or more affiliates,
intend to make a secondary market in the Offered Certificates, but none of the
Underwriters has any obligation to do so. There can be no assurance that a
secondary market will develop for any Class of Offered Certificates or, if it
does develop, that it will provide the Holders of such Certificates with
liquidity of investment or that it will remain for the term of such
Certificates. No arrangement for listing of the Offered Certificates on a
securities exchange is being made.
Pryor, McClendon, Counts & Co., Inc. serves as financial advisor to the
Seller in connection with the issuance and sale of the Offered Certificates.
---------------
The information set forth in this Prospectus generally is based on Scheduled
Principal Balances, Mortgage Interest Rates (each as defined herein) and other
information as of September 1, 1994 with respect to mortgage loans expected to
be included in the Trust Fund. Not all of such mortgage loans may be included in
the Trust Fund, and consequently the information set forth herein may vary from
comparable information on the Mortgage Loans ultimately included in the Trust
Fund. In addition, the information set forth herein may change as a result of
principal payments, Mortgage Interest Rate adjustments and other factors
relating to the mortgage loans prior to the Closing Date (as defined herein).
Within 15 days following the Closing Date, the Seller will file a report on Form
8-K with the Securities and Exchange Commission (the "Commission") which will
set forth information with respect to the Mortgage Loans included in the Trust
Fund on the Closing Date.
---------------
IN CONNECTION WITH THIS OFFERING, THE UNDERWRITERS MAY OVER-ALLOT OR EFFECT
TRANSACTIONS WHICH STABILIZE OR MAINTAIN THE MARKET PRICES OF THE OFFERED
CERTIFICATES AT LEVELS ABOVE THOSE WHICH MIGHT OTHERWISE PREVAIL IN THE OPEN
MARKET. SUCH STABILIZING, IF COMMENCED, MAY BE DISCONTINUED AT ANY TIME.
---------------
UNTIL 90 DAYS AFTER THE DATE OF THIS PROSPECTUS, ALL DEALERS EFFECTING
TRANSACTIONS IN THE OFFERED CERTIFICATES, WHETHER OR NOT PARTICIPATING IN THIS
DISTRIBUTION, MAY BE REQUIRED TO DELIVER A PROSPECTUS. THIS IS IN ADDITION TO
THE OBLIGATION OF DEALERS TO DELIVER A PROSPECTUS WHEN ACTING AS UNDERWRITERS
AND WITH RESPECT TO THEIR UNSOLD ALLOTMENTS OR SUBSCRIPTIONS.
SUMMARY OF INFORMATION
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus. Capitalized terms
used but not defined herein have the meanings assigned in the text of this
Prospectus and in the glossary at the end of this Prospectus.
Title of Certificates...... Commercial Mortgage Pass-Through Certificates,
Series 1994-C1.
Offered Certificates....... The Class A-1, Class A-2A, Class A-2B, Class A-2C,
Class A-3, Class A-4, Class B, Class C, Class D,
Class E and Class F Certificates (the "Offered
Certificates").
As used herein, the term "Class A Certificates"
refers to any one or all of the Class A-1, Class
A-2A, Class A-2B, Class A-2C, Class A-3 and Class
A-4 Certificates, the term "Multifamily Fixed Rate
Certificates" refers to any one or all of the
Class A-2A, Class A-2B and Class A-2C
Certificates, the term "Commercial Fixed Rate
Certificates" refers to any one or all of the
Class A-4, Class B, Class C, Class D, Class E and
Class F Certificates, the term "Fixed Rate
Certificates" refers to any one or all of the
Multifamily Fixed Rate Certificates and the
Commercial Fixed Rate Certificates, the term
"Floating Rate Certificates" refers to any one or
all of the Class A-1 and Class A-3 Certificates
and the term "Multifamily Certificates" refers to
any one or all of the Class A-1, Class A-2A, Class
A-2B and Class A-2C Certificates.
The initial Certificate Principal Amount (as
defined herein) of each Class (each, a "Class") of
the Offered Certificates will be subject to a
permitted variance of plus or minus 5%.
Certificates Other Than
the Offered
Certificates..................The Class R Certificates. The Class R Certificates
are not being offered hereby, and information
included herein with respect to such Certificates
is solely for the information of potential
investors in the Offered Certificates.
Distributions of Interest.....On each Distribution Date, distributions in
respect of interest will be made to holders of
each Class of Offered Certificates, to the extent
that the Available Distribution Amounts (as
defined herein) are sufficient therefor, in an
amount equal to the interest accrued during the
related Interest Accrual Period (as defined below)
on the Certificate Principal Amount of such Class
at the applicable Pass-Through Rate (as defined
below) therefor, reduced by any Deferred Interest
(as defined herein) allocable thereto as described
herein. Any Deferred Interest with respect to the
Mortgage Loans included in any Mortgage Loan Group
will be allocated to the related Classes of
Offered Certificates in the manner, and to the
extent, described herein. The amount of any
Deferred Interest allocated to a Class of Offered
Certificates will be added to the Certificate
Principal Amount thereof.
Interest that accrues on each Class of the Offered
Certificates will be calculated on the assumption
that distributions in reduction of the Certificate
Principal Amount thereof on a Distribution Date,
and any additions to such Certificate Principal
Amount in respect of Deferred Interest on such
Distribution Date, are made at the end of the
related Interest Accrual Period.
See "DESCRIPTION OF THE CERTIFICATES --
Distributions -- Interest" herein.
Interest Accrual Period.......For the Fixed Rate Certificates and any
Distribution Date, the calendar month preceding
such Distribution Date. For the Floating Rate
Certificates and any Distribution Date, the
one-month period from and including the 25th day
of the preceding month (or, in the case of the
first Distribution Date, the Closing Date) and
ending on and including the 24th day of the month
in which such Distribution Date occurs. Interest
will be calculated on the basis of a 360-day year
consisting of twelve 30-day months.
Pass-Through Rate.............Class A-1: an adjustable Pass-Through Rate equal
to LIBOR (determined monthly as described herein)
plus 0.45% per annum, subject to a maximum rate of
13.00%. The Class A-1 Pass-Through Rate for the
first Interest Accrual Period will be equal to
5.5125% per annum.
Class A-2A: a fixed Pass-Through Rate of 6.80% per
annum.
Class A-2B: a fixed Pass-Through Rate of 7.45% per
annum.
Class A-2C: a fixed Pass-Through Rate of 7.45% per
annum.
Class A-3: an adjustable Pass-Through Rate equal
to LIBOR plus 0.55% per annum, subject to a
maximum rate of 13.00%. The Class A-3 Pass-Through
Rate for the first Interest Accrual Period will be
equal to 5.6125% per annum.
Class A-4: a fixed Pass-Through Rate of 7.25% per
annum.
Class B: a fixed Pass-Through Rate of 8.00% per
annum.
Class C: a fixed Pass-Through Rate of 8.00% per
annum.
Class D: a fixed Pass-Through Rate of 8.00% per
annum.
Class E: a fixed Pass-Through Rate of 8.00% per
annum.
Class F: a fixed Pass-Through Rate of 8.00% per
annum.
Distributions of Principal....On each Distribution Date, distributions in
reduction of the Certificate Principal Amounts of
the Offered Certificates will be made in the
amounts and to the extent described herein. See
"DESCRIPTION OF THE CERTIFICATES -- Distributions
-- Distributions in Reduction of Certificate
Principal Amount" and "-- Distributions --
Allocation Among Classes" herein.
Cut-Off Date..................September 1, 1994.
Closing Date..................On or about September 29, 1994.
Distribution Date.............The 25th day of each month or, if such day is not
a Business Day (as defined herein), the next
Business Day, beginning in October 1994.
Record Date...................The Record Date for each Distribution Date will be
the close of business on the last Business Day of
the month preceding the month in which such
Distribution Date occurs, in the case of the Fixed
Rate Certificates, and the 15th day of the
calendar month in which such Distribution Date
occurs (or, if such 15th day is not a Business
Day, the preceding Business Day), in the case of
the Floating Rate Certificates.
Reserve Fund..................The Seller will pledge to the Collateral Agent (as
defined below) the Reserve Fund to cover, among
other things, shortfalls in collections on the
Mortgage Loans due to losses and delinquencies
thereon and Basis Risk Shortfalls (as defined
herein), including shortfalls in interest received
on such Mortgage Loans as a result of prepayments.
The Reserve Fund will also be available to cover
certain servicing fees and other expenses of the
Trust Fund as described herein. See "DESCRIPTION
OF THE CERTIFICATES -Reserve Fund" herein.
The factors giving rise to Basis Risk are
described herein under "DESCRIPTION OF THE
CERTIFICATES -- Distributions -- Basis Risk."
The Reserve Fund initially will equal
approximately 26% of the aggregate Scheduled
Principal Balance (as defined herein) of the
Mortgage Loans as of the Cut-Off Date.
Seller........................The Resolution Trust Corporation, acting in its
corporate capacity and in its capacity as
conservator or receiver of the Depository
Institutions. See "THE RESOLUTION TRUST
CORPORATION" herein.
Depository Institutions.......The 238 state or federally chartered Depository
Institutions for which the Seller has been
appointed conservator or receiver, as the case may
be, and from which the Seller has acquired the
Mortgage Loans. See "DEPOSITORY INSTITUTIONS"
herein.
RTC Guarantee of Seller
Representations...............The RTC, with respect to Mortgage Loans for which
it is not acting as Seller in its corporate
capacity, will guarantee the obligations of the
Seller to make indemnification payments or
repurchase affected Mortgage Loans in the event of
breaches of representations and warranties made by
the Seller regarding, among other representations,
certain characteristics of the Mortgage Loans, or
to cure such breaches. Such representations and
warranties include, but are not limited to,
representations regarding the Seller's title to
the Mortgage Loans, the lien status of the related
Mortgages, the enforceability of the related
promissory notes, the payment status of the
Mortgage Loans, the physical condition of the
Mortgaged Properties at the Closing Date and the
existence of certain types of insurance coverage
relating to the Mortgaged Properties. The
Assistant General Counsel for Securities and
Finance of the RTC has opined that such a
guarantee will carry the full faith and credit of
the United States. See "DESCRIPTION OF THE
MORTGAGE LOANS -- Representations and Warranties"
herein.
Master Servicer...............Midland Data Systems, Inc. See "SERVICING OF THE
MORTGAGE LOANS -- The Master Servicer" herein.
Special Servicer..............Banc One Management and Consulting Corporation.
See "SERVICING OF THE MORTGAGE LOANS -- The
Special Servicer" herein.
Trustee.......................State Street Bank and Trust Company. See
"DESCRIPTION OF THE CERTIFICATES -- Trustee and
Collateral Agent" herein.
Collateral Agent..............State Street Bank and Trust Company. See
"DESCRIPTION OF THE CERTIFICATES -- Trustee and
Collateral Agent" herein.
REMIC Administrator...........The Trustee will prepare or cause to be prepared
certain tax returns and reports and will perform
certain administrative duties for the REMIC.
Agreement.....................The Pooling and Servicing Agreement dated as of
the Cut-Off Date among the Seller, the Master
Servicer, the Special Servicer and the Trustee.
Collateral Security
Agreement.....................The Collateral Security Agreement dated as of the
Cut-Off Date among the Seller, the Trustee and the
Collateral Agent.
The Mortgage Pool.............As of the Cut-Off Date, the Mortgage Pool
consisted of approximately 2,115 Mortgage Loans
with an approximate aggregate Scheduled Principal
Balance of $1,138,319,146. The Mortgage Loans will
be divided into four Mortgage Loan Groups on the
basis of their Floor Interest Rates (as defined
below), if any, the types of their underlying
Mortgaged Properties and whether their
respective annual interest rates ("Mortgage
Interest Rates") are fixed or adjustable.
Substantially all of the Mortgage Loans are not
insured or guaranteed by any governmental entity
or private mortgage insurer. The Mortgage Loans
are secured by first liens (or: (i) with respect
to 90 Mortgage Loans with an aggregate Scheduled
Principal Balance of approximately $26,952,408
representing approximately 2.37% of the Mortgage
Pool by Scheduled Principal Balance as of the
Cut-Off Date, by second liens on Mortgaged
Properties with respect to which the related first
liens are not included in the Mortgage Pool; (ii)
with respect to four Mortgage Loans with an
aggregate Scheduled Principal Balance of
approximately $2,947,441 representing
approximately 0.26% of the Mortgage Pool by
Scheduled Principal Balance as of the Cut-Off
Date, by third liens on Mortgaged Properties with
respect to which the related first and second
liens are not included in the Mortgage Pool; and
(iii) with respect to five Mortgage Loans with an
aggregate Scheduled Principal Balance of
approximately $311,273 representing approximately
0.03% of the Mortgage Pool by Scheduled Principal
Balance as of the Cut-Off Date, by liens on
Mortgaged Properties for which the lien position
is unknown) on fee simple or leasehold interests
in multifamily residential properties, office
buildings, retail buildings, warehouses, hotels
and motels, industrial buildings and a variety of
other commercial properties located in
approximately 42 states and the District of
Columbia. See "DESCRIPTION OF THE MORTGAGE LOANS"
herein.
Mortgage Loan Groups 1 and 2 will consist of
Mortgage Loans secured by first liens (or by
junior liens where all related senior liens secure
Mortgage Loans included in the related Mortgage
Loan Group) on multifamily residential properties
("Eligible Multifamily Mortgage Loans"), such that
such Mortgage Loans are eligible to support
"mortgage related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of 1984
(the "Enhancement Act").
Mortgage Loan Group 1 will consist of Mortgage
Loans having Mortgage Interest Rates which are
adjustable and generally subject to minimum
interest rates ("Floor Interest Rates") lower than
those of the adjustable rate Group 2 Mortgage
Loans or no Floor Interest Rates. All of the Group
1 Mortgage Loans are Eligible Multifamily Mortgage
Loans. As of the Cut-Off Date, the 352 Mortgage
Loans in Mortgage Loan Group 1 had an approximate
aggregate Scheduled Principal Balance of
$217,244,863, a weighted average Mortgage Interest
Rate of approximately 7.37% per annum and a
weighted average remaining term to stated maturity
of approximately 19.71 years. Approximately 30.08%
of the Group 1 Mortgage Loans, by Scheduled
Principal Balance as of the Cut-Off Date, are not
fully amortizing over their terms to maturity.
Mortgage Loan Group 2 will consist of Mortgage
Loans having Mortgage Interest Rates which are
fixed (or, in limited cases, which increase or
decrease by fixed amounts after the Cut-Off Date
on a predetermined schedule) and Mortgage Loans
having Mortgage Interest Rates which are
adjustable, but subject to a Floor Interest Rate
of at least 8.375% per annum. All of the Group 2
Mortgage loans are Eligible Multifamily Mortgage
Loans. As of the Cut-Off Date, the 516 Mortgage
Loans in Mortgage Loan Group 2 had an approximate
aggregate Scheduled Principal Balance of
$289,490,463, a weighted average Mortgage Interest
Rate of approximately 8.84% per annum and a
weighted average remaining term to stated maturity
of approximately 14.79 years. Approximately 55.48%
of the Group 2 Mortgage Loans, by Scheduled
Principal Balance as of the Cut-Off Date, are not
fully amortizing over their terms to maturity.
Mortgage Loan Group 3 will consist of Mortgage
Loans having Mortgage Interest Rates which are
adjustable and generally subject to Floor Interest
Rates lower than those of the adjustable rate
Group 4 Mortgage Loans or no Floor Interest Rates.
As of the Cut-Off Date, the 600 Mortgage Loans in
Mortgage Loan Group 3 had an approximate aggregate
Scheduled Principal Balance of $265,858,475, a
weighted average Mortgage Interest Rate of
approximately 7.46% per annum and a weighted
average remaining term to stated maturity of
approximately 11.66 years. Approximately 55.93% of
the Group 3 Mortgage Loans, by Scheduled Principal
Balance as of the Cut-Off Date, are not fully
amortizing over their terms to maturity.
Mortgage Loan Group 4 will consist of Mortgage
Loans having Mortgage Interest Rates which are
fixed (or, in limited cases, which increase or
decrease by fixed amounts after the Cut-Off Date
on a predetermined schedule) and Mortgage Loans
having Mortgage Interest Rates which are
adjustable, but subject to a Floor Interest Rate
of at least 8.375% per annum. As of the Cut-Off
Date, the 647 Mortgage Loans in Mortgage Loan
Group 4 had an approximate aggregate Scheduled
Principal Balance of $365,725,345, a weighted
average Mortgage Interest Rate of approximately
8.95% per annum and a weighted average remaining
term to stated maturity of approximately 6.24
years. Approximately 86.07% of the Group 4
Mortgage Loans, by Scheduled Principal Balance as
of the Cut-Off Date, are not fully amortizing over
their terms to maturity.
For a description of the manner in which the
Scheduled Principal Balance of a Mortgage Loan is
calculated, see "DESCRIPTION OF THE CERTIFICATES
-- Distributions -- Generally" herein. For further
information regarding the Mortgage Pool, see
"DESCRIPTION OF THE MORTGAGE LOANS" herein.
Advances......................Neither the Master Servicer nor the Special
Servicer will be obligated to make advances with
respect to payments of principal or interest due
on delinquent or defaulted Mortgage Loans.
Advances will be made from the Reserve Fund with
respect to (i) delinquent scheduled Monthly
Payments (but not Balloon Payments (as defined
herein) and, in the case of Simple Interest Loans,
delinquent payments of interest only), (ii)
certain payments assumed to be due in respect of
Mortgage Loans with delinquent Balloon Payments
and (iii) Mortgage Loans whose payment terms have
been modified under the circumstances described
herein. See "DESCRIPTION OF THE CERTIFICATES --
Reserve Fund" and "SERVICING OF THE MORTGAGE LOANS
-- Modifications, Waivers and Amendments" herein.
In addition, Senior Lien Advances (as defined
herein) may be made from the Reserve Fund, subject
to the limitations described herein, to the extent
that the Special Servicer determines that to do so
would result in an increase in the amount of
Liquidation Proceeds ultimately distributable to
Certificateholders. Advances will also be made
from the Reserve Fund with respect to taxes and
insurance premiums in connection with Mortgage
Loans and Property Protection Expenses, but in the
event amounts in the Reserve Fund are depleted,
the Master Servicer or Special Servicer will be
obligated to make such advances only to the extent
that such advances are, in the judgment of the
Master Servicer or Special Servicer, as
applicable, reasonably recoverable. See "SERVICING
OF THE MORTGAGE LOANS -- Advances" herein.
Optional Termination..........The assets of the Trust Fund may be purchased by
the Master Servicer, the Special Servicer (if it
is then servicing all Mortgage Loans remaining in
the Trust Fund), the owner of the Reserve Fund or
the owner of the Class R Certificates when the
aggregate Certificate Principal Amount of the
Offered Certificates is less than 10% of the
initial aggregate Certificate Principal Amount
thereof. Any such sale will effect a termination
of the Trust Fund and an early retirement of the
Offered Certificates. See "DESCRIPTION OF THE
CERTIFICATES -- Optional Termination" herein.
Ratings.......................It is a condition to the issuance of the Offered
Certificates that the Class A Certificates be
rated no lower than "AAA" by both Standard &
Poor's Ratings Group, a division of McGraw Hill
("S&P"), and Duff & Phelps Credit Rating Co.
("D&P"; each a "Rating Agency"), that the Class B
Certificates be rated no lower than "AA" by S&P
and "AA+" by D&P, that the Class C Certificates be
rated no lower than "A" by S&P and "AA" by D&P,
that the Class D Certificates be rated no lower
than "BBB" by S&P and "A" by D&P, that the Class E
Certificates be rated no lower than "BB" by both
S&P and D&P and that the Class F Certificates be
rated no lower than "B" by S&P and "BB-" by D&P.
See "CERTIFICATE RATINGS" herein.
Legal Investment..............The Class A-1, Class A-2A, Class A-2B and Class
A-2C Certificates will constitute "mortgage
related securities" for purposes of the
Enhancement Act for so long as they are rated in
one of the two highest rating categories by at
least one nationally recognized statistical rating
organization, and, as such, are legal investments
for certain entities to the extent provided in the
Enhancement Act. The other Classes of Offered
Certificates will not constitute "mortgage related
securities" for purposes of the Enhancement Act.
Accordingly, institutions whose investment
activities are subject to review by federal or
state regulatory authorities should consult with
their counsel or the applicable authorities to
determine whether and to what extent the Offered
Certificates constitute legal investments for
them. See "LEGAL INVESTMENT CONSIDERATIONS"
herein.
ERISA Considerations..........Any fiduciary of an employee benefit plan within
the meaning of (i) Section 3(3) of the Employee
Retirement Income Security Act of 1974, as amended
("ERISA"), which is subject to the fiduciary
responsibility rules of Title I, Sections 401-414
of ERISA or (ii) Section 4975 of the Internal
Revenue Code of 1986, as amended (the "Code"),
(hereinafter a "Plan") which proposes to cause a
Plan to acquire any of the Offered Certificates
should consult with its own counsel with respect
to the applicability of ERISA and the Code to such
investment, including the availability of any
class or individual ERISA prohibited transaction
exemption, such as the exemption granted to Bear,
Stearns & Co. Inc. described herein.
THE CHARACTERISTICS OF THE CLASS B, CLASS C, CLASS
D, CLASS E AND CLASS F CERTIFICATES WILL NOT MEET
THE REQUIREMENTS OF ANY ERISA PROHIBITED
TRANSACTION EXEMPTIONS. ACCORDINGLY, THE CLASS B,
CLASS C, CLASS D, CLASS E AND CLASS F CERTIFICATES
SHOULD NOT BE ACQUIRED BY A PLAN.
See "ERISA CONSIDERATIONS" herein.
Certain Federal Income Tax
Consequences..................An election will be made to treat the REMIC Pool
as a REMIC for federal income tax purposes. The
Offered Certificates will represent beneficial
ownership interests in, and Holders thereof will
be taxed as if they directly owned, (i)
corresponding classes of "regular interests" in
the REMIC Pool ("Regular Interests") and (ii) in
the case of the Floating Rate Certificates, yield
supplement agreements in the form of interests in
the right to amounts available to be withdrawn
from the Reserve Fund in respect of Basis Risk as
described herein.
The Regular Interests generally will be treated as
debt instruments for federal income tax purposes,
and all income thereon must be reported on the
accrual method of accounting. The REMIC
Administrator will report to Holders on the basis
that the Regular Interests are issued with
original issue discount in an amount equal to the
excess of all distributions of principal and
interest thereon over their issue prices
(including accrued interest, if any, payable on
the Closing Date). The Prepayment Assumption (as
defined herein) that is to be used in determining
the rate of accrual of original issue discount for
federal income tax purposes with respect to the
Regular Interest corresponding to each Class of
Offered Certificates is a constant prepayment rate
equal to 4% per annum for the Mortgage Loans
(assuming that (i) the maturity date for each
Balloon Mortgage Loan (as defined herein) other
than a Matured Performing Mortgage Loan is
extended to the earlier of (A) the date on which
such Mortgage Loan would mature based on its
amortization schedule and (B) three years past its
stated maturity date and (ii) the maturity date
for each Matured Performing Mortgage Loan is
extended either to a date that is eight years from
the Cut-Off Date, in the case of each such
Mortgage Loan that pays interest only, or
otherwise to the date on which such Mortgage Loan
would mature based on its amortization schedule,
as described herein under "YIELD, PREPAYMENT AND
MATURITY CONSIDERATIONS -- Weighted Average Life
of the Offered Certificates"). No representation
is made that the Mortgage Loans will prepay at
such rates or at any other rate or that the
maturity dates for the Balloon Mortgage Loans will
be extended in such manner or in any other manner.
Holders of the Floating Rate Certificates will be
required to allocate their basis in the respective
Classes of Floating Rate Certificates between
their beneficial interests in the related Regular
Interests and in their right to payments in
respect of Basis Risk as described herein. Any
amounts paid or accrued with respect to amounts
due under the yield supplement agreements in
excess of payments representing a return of basis,
if any, allocable thereto will be treated as
ordinary income. The method of recovery of the
portion, if any, of a Holder's basis in a Floating
Rate Certificate allocable to its interest in the
respective yield supplement agreement is
uncertain. The Seller believes that the likelihood
of any payments under the yield supplement
agreements is remote and, therefore, a Holder's
basis allocable thereto as of the Closing Date
would be negligible.
See "CERTAIN FEDERAL INCOME TAX CONSEQUENCES"
herein.
<PAGE>
SPECIAL CONSIDERATIONS
Prospective holders of each Class of Offered Certificates
("Certificateholders" or "Holders") should consider, among other things, the
following factors in connection with a purchase of the Offered Certificates.
1. Troubled Originators. Most of the Mortgage Loans will have been
originated or purchased by a number of state or federally chartered depository
institutions (each, a "Depository Institution") for which the Seller has been
appointed as conservator or receiver and which, generally, still hold legal
title to such Mortgage Loans or from which the Seller has acquired such Mortgage
Loans in its corporate capacity. 442 Mortgage Loans, representing approximately
36.11% of the aggregate Scheduled Principal Balance of all of the Mortgage Loans
as of the Cut-Off Date, have been originated or, in certain circumstances,
modified by the Seller, in its capacity as conservator or receiver of a
Depository Institution, after commencement of the applicable conservatorship or
receivership (the "Seller-Originated Loans"). In the case of a majority of the
Seller-Originated Loans, the applicable Depository Institution held title to the
property that became the principal security for such Mortgage Loan. See
"DESCRIPTION OF THE MORTGAGE LOANS -- Credit, Appraisal and Underwriting
Policies -- Loans-to-Facilitate Originated by the Seller" herein. Each
Depository Institution from which the Seller has acquired the related Mortgage
Loans has been liquidated and each Depository Institution for which the Seller
is still acting as conservator or receiver is insolvent and in the process of
liquidation or is in serious financial difficulty and is being operated under a
conservatorship with a significant likelihood of subsequently being placed in
receivership and liquidated. It is possible that the financial difficulties
experienced by certain Depository Institutions may have adversely affected
either or both of (i) the standards and procedures by which the Mortgage Loans
were originated by such Depository Institutions or, if purchased from another
originator, the standards and procedures by which the Depository Institutions
selected such Mortgage Loans for purchase and reviewed them prior to purchase
and (ii) the manner in which such Mortgage Loans have been serviced prior to
assumption of servicing responsibilities by the Master Servicer or the Special
Servicer. The Seller will make certain representations and warranties regarding
the Mortgage Loans and will be obligated to repurchase or provide
indemnification with respect to Mortgage Loans as to which there is a breach of
such representations and warranties or to cure such breach. See "DESCRIPTION OF
THE MORTGAGE LOANS -- Representations and Warranties" herein. The RTC, with
respect to Mortgage Loans for which it is not acting in its corporate capacity
as the Seller, will guarantee such obligations of the Seller. There can be no
assurance, however, that such remedy will apply to all problems that may arise
with respect to a Mortgage Loan by reason of the financial difficulties
experienced by the related Depository Institution.
2. Limited Information. Except in the case of the Seller-Originated Loans,
the information set forth in this Prospectus with respect to the Mortgage Loans
is derived from books and records of certain of the Loan Originators (as defined
herein) of Mortgage Loans held by the Depository Institutions and from limited
discussions with personnel of certain of the Loan Originators employed by the
Depository Institutions, as well as a limited review of certain of the credit
and legal files relating to the Mortgage Loans. Due to the fact that some of the
Loan Originators have been liquidated or put into conservatorship or
receivership and that each of the Depository Institutions has been liquidated or
is either in conservatorship or receivership and the operations of each of the
Depository Institutions and some of the Loan Originators are in the process of
being, or have been, wound down, there have been reductions in the staff of the
Loan Originators and the Depository Institutions and not all of the personnel of
the Loan Originators or the Depository Institutions who might be knowledgeable
about the Mortgage Loans are available to provide information to the Seller.
Moreover, in cases in which Depository Institutions have been completely wound
down, no personnel of such Depository Institutions are available to provide
information to the Seller. Accordingly, except in the case of such
Seller-Originated Loans, available information does not permit the Seller to
determine fully the origination, credit appraisal and underwriting practices of
the Loan Originators with respect to the Mortgage Loans or the manner in which
the Mortgage Loans have been serviced since origination. In particular, it is
possible that no reliable information is available with respect to the
underwriting policies and practices followed by certain of the Loan Originators
in originating commercial and/or multifamily residential mortgage loans.
Approximately 41.07% of the Mortgage Loans (by aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date) were originated or
acquired by Western Federal Savings & Loan Association. Some of such Mortgage
Loans were originated prior to the time the Seller was appointed as conservator
of Western Federal Savings & Loan Association. The Seller was furnished with
documentation dated as of a recent date from such institution as to its policies
and guidelines as to the origination and underwriting of multifamily and/or
commercial mortgage loans as of such date. However, such documentation is of
limited use in evaluating the underwriting and origination of such Mortgage
Loans because: (i) a number of such Mortgage Loans were originated and
underwritten prior to the date of such underwriting guidelines; (ii) the terms
of a substantial number of such Mortgage Loans may have been renegotiated or
modified on one or more occasions since the date of origination; and (iii)
certain of such Mortgage Loans may have been purchased by such institution using
different underwriting criteria. Accordingly, no assurance can be given that
such Mortgage Loans were originated in accordance with any particular set of
uniform underwriting policies or practices.
Furthermore, it is possible that this Prospectus does not contain material
information regarding the Mortgage Loans which would have been disclosed if the
structure and personnel of the Loan Originators and the Depository Institutions
had not been affected by such institutions having been placed in receivership or
conservatorship. In particular, in a number of cases the files for the Mortgage
Loans are incomplete and, in the absence of applicable information in the file
for a Mortgage Loan, it is not possible for the Seller to determine, among other
things, the appraised value of the related Mortgaged Property, whether such
Mortgaged Property is owner-occupied, whether the current net operating income
from the related Mortgaged Property is sufficient to cover debt service on the
Mortgage Loan, whether there have been modifications, waivers or amendments with
respect to such Mortgage Loan which are not included in such file, or whether
such Mortgage Loan otherwise has terms which are inconsistent with information
used by the Seller to prepare the disclosure set forth in this Prospectus.
Nevertheless, no such missing documents or information will have the effect of
reducing the scope of the Seller's representations and warranties described
under "DESCRIPTION OF THE MORTGAGE LOANS -Representations and Warranties"
herein. While the Seller has undertaken a limited review of the records and
files related to the Mortgage Loans in connection with the issuance of the
Certificates, the Mortgage Loans have not been "re-underwritten" or subjected to
the type of review that would typically be made in respect of newly originated
mortgage loans.
3. Delinquent Mortgage Loans; Matured Performing Mortgage Loans. The
Mortgage Pool includes Mortgage Loans that, as of the Cut-Off Date, may have up
to one Monthly Payment delinquent. For purposes hereof, a Monthly Payment is
considered delinquent if such Monthly Payment was not received on its Due Date
and is not received prior to the following Due Date. In addition, the Mortgage
Pool includes Mortgage Loans that, as of the Cut-Off Date, are delinquent as to
their Balloon Payments but as to which the related Borrowers continue to make
Monthly Payments.
79 Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $28,483,599, representing approximately 2.50% of the aggregate
Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off Date, are
Mortgage Loans that are delinquent as to their Balloon Payments as of the
Cut-Off Date, that have not yet been the subject of modification as a
consequence thereof and on which the Borrowers continue to make Monthly Payments
in accordance with their original terms ("Matured Performing Mortgage Loans").
Matured Performing Mortgage Loans are expected to be modified to provide for
extended maturity dates. See "DESCRIPTION OF THE MORTGAGE LOANS" and "SERVICING
OF THE MORTGAGE LOANS -- Modifications, Waivers and Amendments" herein.
Investors should consider the risk that the inclusion of delinquent Mortgage
Loans and Matured Performing Mortgage Loans in the Mortgage Pool may affect the
rate of defaults and prepayments on the Mortgage Loans and the yield on the
Offered Certificates. See "YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS"
herein.
4. Borrower Default; Negative Amortization; Balloon Payments. Substantially
all of the Mortgage Loans are not insured or guaranteed against default by any
governmental entity or by any private mortgage insurer. In addition, there is no
obligation on the part of the Seller or any other Person to repurchase any
delinquent or defaulted Mortgage Loan, except (i) under the limited
circumstances described in "-- Environmental Law Considerations" below, (ii) in
the event that a Mortgage Loan is not a "qualified mortgage" or any Mortgaged
Property acquired upon foreclosure or otherwise is not qualified "foreclosure
property" in accordance with the REMIC provisions of the Internal Revenue Code
of 1986, as amended (the "Code"), (iii) in the event a Mortgage Loan is secured
by a ground lease which does not extend at least ten years beyond the maturity
date of such Mortgage Loan or (iv) in the event of a breach of the Seller's
representation that a particular Mortgage Loan is an Eligible Multifamily
Mortgage Loan. See "DESCRIPTION OF THE MORTGAGE LOANS -- Representations and
Warranties" herein.
The repayment of loans secured by income-producing properties is typically
dependent upon the successful operation of the related real estate project
rather than upon the liquidation value of the underlying real estate.
Information concerning the debt service coverage ratios of certain of the
Mortgage Loans is set forth in Exhibit G to this Prospectus. As indicated
therein, the net operating income (or, for certain owner occupied properties,
the earnings before interest, taxes, depreciation and amortization) ("NOI") from
certain of the Mortgaged Properties is currently insufficient to cover debt
service payments on the related Mortgage Loans, and in the case of certain other
Mortgage Loans the Seller does not have current information concerning NOI from
the related real estate projects. Even where the NOI generated by a Mortgaged
Property is currently sufficient to cover debt service payments on the related
Mortgage Loan, there can be no assurance that this will continue to be the case
in the future. In the case of an adjustable rate Mortgage Loan, an increase in
the Mortgage Interest Rate will increase the debt service and could impair the
Borrower's ability to repay the Mortgage Loan. NOI from a real estate project
may be reduced, and the Borrower's ability to repay the loan impaired, as a
result of an increase in vacancy rates for the project, a decline in rental
rates as leases are renewed or entered into with new tenants, an increase in
operating expenses of the project and/or an increase in capital expenditures
needed to maintain the project and make improvements required by tenants. In the
case of Mortgage Loans that are secured by owner-occupied Mortgaged Properties
or Mortgaged Properties leased to a single tenant, a decline in the financial
condition of the Borrower or single tenant, as applicable, may have a
disproportionately greater effect on the NOI from such Mortgaged Properties than
would be the case with respect to Mortgaged Properties with multiple tenants. A
substantial portion of the Mortgage Loans are nonrecourse loans or loans for
which recourse may be restricted or unenforceable, as to which, in the event of
Borrower default, recourse may be had only against the specific real property
and such other assets, if any, as have been pledged to secure the Mortgage Loan.
See "CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS -- Anti-Deficiency Legislation"
herein. With respect to those Mortgage Loans that provide for recourse against
the Borrower and its assets generally, there can be no assurance that such
recourse will ensure a recovery in respect of a defaulted Mortgage Loan greater
than the liquidation value of the related Mortgaged Property. The liquidation
value of any Mortgaged Property may be adversely affected by risks generally
incident to interests in real property, including changes or continued weakness
in general or local economic conditions and/or specific industry segments;
declines in real estate values; declines in rental or occupancy rates; increases
in interest rates, real estate and personal property tax rates, energy costs and
other operating expenses; the availability of real estate financing for the
relevant type of Mortgaged Property; changes in governmental rules, regulations
and fiscal policies, including environmental legislation; acts of God
(including, without limitation, hurricanes, floods, fires and earthquakes); and
other factors which are beyond the Master Servicer's or the Special Servicer's
control. Although the Master Servicer or the Special Servicer is obligated to
cause standard hazard insurance to be maintained with respect to each Mortgage
Loan, insurance with respect to extraordinary hazards such as earthquakes and
floods is generally not required to be maintained, and insurance is not
available with respect to many of the other risks listed above.
589 Mortgage Loans, representing approximately 34.27% of the aggregate
Scheduled Principal Balance of all of the Mortgage Loans as of the Cut-Off Date,
provide for adjustment of the rate of interest which becomes due (rather than
accrues) on each such Mortgage Loan on each Due Date (the "Payment Rate") on a
date that is different from the date on which the related Mortgage Interest Rate
(which is the rate at which interest accrues on such Mortgage Loan) adjusts.
Consequently, the Payment Rate of each such Mortgage Loan may be less than the
related Mortgage Interest Rate (as defined herein) during certain periods,
resulting in deferred interest being added to the principal balance of the
related Mortgage Loan, or negative amortization. These Mortgage Loans generally
provide for a Monthly Payment (as defined herein) that is periodically
recalculated to an amount that would be sufficient to amortize fully the unpaid
principal balance of such Mortgage Loans at the then current Mortgage Interest
Rate generally over the remainder of the original amortization term. See
"DESCRIPTION OF THE MORTGAGE LOANS -- Group 1 Mortgage Loans," "-- Group 2
Mortgage Loans, "-- Group 3 Mortgage Loans" and "-- Group 4 Mortgage Loans"
herein. Any such recalculated Monthly Payment may be significantly higher than
the previous Monthly Payment. Accordingly, there is a greater risk of default on
these Mortgage Loans, particularly in an environment where interest rates are
generally rising.
837 Mortgage Loans representing approximately 60.56% of the aggregate
Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off Date are not
fully amortizing over their terms to maturity and, thus, may have substantial
principal balances ("Balloon Payments") due at their stated maturity (such
Mortgage Loans are sometimes hereinafter referred to as "Balloon Mortgage
Loans").
In particular, 88 Mortgage Loans, 161 Mortgage Loans and 201 Mortgage Loans,
representing approximately 7.10%, 13.46% and 13.35%, respectively, of the
aggregate Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off
Date, have Balloon Payments due in the years 1998, 1999 and 2000, respectively.
In addition, certain Mortgage Loans provide for monthly (or other periodic)
payments of interest at a Payment Rate which could be less than the Mortgage
Interest Rate for such Mortgage Loan for some portion of the loan term. The
terms of such a Mortgage Loan provide that its principal balance is increased
periodically by an amount reflecting the difference between the Payment Rate and
the Mortgage Interest Rate, resulting in negative amortization. Accordingly,
such Mortgage Loans could also have Balloon Payments due at their respective
stated maturities or increases in expected Balloon Payments that might not arise
in other interest rate scenarios. In certain circumstances, the Agreement
permits the modification of Mortgage Loans to create or to increase existing
Balloon Payments. Mortgage Loans with Balloon Payments involve a greater degree
of risk than fully amortizing loans because the ability of a Borrower to make a
Balloon Payment typically will depend upon its ability either to refinance the
loan or to sell the related Mortgaged Property. The ability of a Borrower to
accomplish either of these goals will be affected by a number of factors,
including the level of available mortgage rates at the time of attempted sale or
refinancing, the Borrower's equity in the related Mortgaged Property, the
financial condition of the Borrower and operating history of the related
Mortgaged Property, tax laws, prevailing economic conditions and the
availability of credit for commercial and/or multifamily residential real estate
projects generally. The exposure of the Certificates to this risk will be
enhanced in the years 1998, 1999 and 2000 due to the concentration of Balloon
Payments due in that period, as described above.
In order to produce a greater recovery on a present value basis on defaulted
Mortgage Loans, the Special Servicer has considerable flexibility under the
Agreement to extend and modify Mortgage Loans which are in default or as to
which a payment default is reasonably foreseeable, including in particular
Balloon Payments. More specifically, subject to the overall goal of producing a
greater recovery on a present value basis from the defaulted Mortgage Loans than
would result from foreclosure and to certain conditions set forth in the
Agreement, the Special Servicer has the power, among other things, to forgive
permanently the payment of principal or interest or both, to lower or modify the
Mortgage Interest Rates or Payment Rates or to modify the schedule for payments
of principal and interest.
The Special Servicer receives a Workout Fee (as defined herein) which is
based on receipts from or proceeds of such Mortgage Loans. While such
flexibility with respect to modifications and payment of compensation to the
Special Servicer in the form of a Workout Fee is designed to increase the
present value of receipts from or proceeds of Mortgage Loans which are in
default or as to which default is reasonably foreseeable, there can be no
assurance that it will do so. See "SERVICING OF THE MORTGAGE LOANS --
Modifications, Waivers and Amendments" and "-- Servicing Compensation and
Payment of Expenses" herein.
5. Loans-to-Facilitate; Modified Mortgage Loans. Included in the Mortgage
Pool are Mortgage Loans which were originated for the purpose of facilitating
the sale of mortgaged properties acquired by a Depository Institution upon
foreclosure or otherwise ("Loans-to-Facilitate"). The Loans-to-Facilitate are
composed of (a) 346 Mortgage Loans, representing approximately 25.94% of the
aggregate Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off
Date, which are Seller-Originated Loans; and (b) 58 Mortgage Loans, representing
approximately 3.32% of the aggregate Scheduled Principal Balance of the Mortgage
Loans as of the Cut-Off Date, which were originated by entities other than the
Seller. With respect to the Loans-to-Facilitate other than the Seller-Originated
Loans, there can be no assurance as to the underwriting guidelines used by the
Depository Institutions in originating such Mortgage Loans and, in certain
instances, such guidelines may have been less stringent than those underwriting
guidelines used by such Depository Institutions in the origination of Mortgage
Loans secured by properties acquired from third-party sellers. Accordingly, the
rates of delinquency, foreclosure and loss in respect of Loans-to-Facilitate may
be greater than for Mortgage Loans with comparable characteristics secured by
properties acquired from third-party sellers.
Included in the Mortgage Pool are 146 Mortgage Loans, representing
approximately 12.54% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Cut-Off Date, which the Seller believes to have been
modified subsequent to their origination and prior to the Cut-Off Date
("Modified Mortgage Loans"). Substantially all of these modifications were made
because the related Borrower had defaulted or was reasonably likely to default
under the related Note. In a significant majority of cases, the modification was
entered into with the existing Borrower. In the remaining cases, a new Borrower
was substituted. It is possible that these modifications, which were not
documented as full workouts of the related Mortgage Loans, may have been made
using less stringent standards than the underwriting guidelines previously used
at origination. Accordingly, the rates of delinquency, foreclosure and loss with
respect to these modified Mortgage Loans may be greater than for Mortgage Loans
with comparable characteristics that were not so modified.
6. Absence of Servicer Advances and Limits of Reserve Fund. Neither the
Master Servicer nor the Special Servicer is obligated to make advances with
respect to payments of principal or interest due on delinquent or defaulted
Mortgage Loans, with respect to Senior Lien Advances or, as long as amounts
remain in the Reserve Fund, with respect to costs and expenses that may be
incurred in connection with the servicing of the Mortgage Loans. Any delinquent
Monthly Payments (as defined herein) or Assumed Scheduled Payments (i.e.,
payments assumed to be due following any delinquent Balloon Payment), as well as
actual or assumed write-offs in connection with restructured Mortgage Loans,
certain other distributions of principal and interest, certain costs or
expenses, including certain fees payable to the Special Servicer and Basis Risk
Shortfalls (including shortfalls in interest received on Mortgage Loans as a
result of prepayments) will be covered by draws on the Reserve Fund to the
extent sufficient funds are available therein. Consequently, the Reserve Fund
serves simultaneously as a source of liquidity and credit support for the
Offered Certificates and as a source of Basis Risk protection for the Offered
Certificates (including protection against shortfalls in interest on Mortgage
Loans due to prepayments). As more fully described herein, when the amount on
deposit in the Reserve Fund is less than the Liquidity Amount (as defined
herein), the Reserve Fund will only be available to make certain minimum
distributions on the Class A Certificates; or, after the Class A Certificates
have been retired, on the Class B Certificates; or, after the Class A and Class
B Certificates have been retired, on the Class C Certificates; or, after the
Class A, Class B and Class C Certificates have been retired, on the Class D
Certificates; or, after the Class A, Class B, Class C and Class D Certificates
have been retired, on the Class E Certificates; or, after the Class A, Class B,
Class C, Class D and Class E Certificates have been retired, on the Class F
Certificates. See "DESCRIPTION OF THE CERTIFICATES -- Distributions --
Allocation Among Classes" herein.
7. Priority of Payments. All amounts received on or in respect of the
Mortgage Loans in Mortgage Loan Groups 1 and 2 (including related draws on the
Reserve Fund) and distributable in respect of the Certificates will be applied
first to interest and principal then distributable with respect to the Class
A-1, Class A-2A, Class A-2B and Class A-2C Certificates, and only thereafter may
be available for application to amounts then distributable with respect to the
other Classes of Offered Certificates. All amounts received on or in respect of
the Mortgage Loans in Mortgage Loan Groups 3 and 4 (including related draws on
the Reserve Fund) and distributable in respect of the Certificates will be
applied first to interest and principal then distributable with respect to the
Class A-3 and Class A-4 Certificates, and only thereafter may be applied to
amounts then distributable with respect to Class B, Class C, Class D, Class E
and Class F Certificates. Principal distributable on the Class A-1, Class A-2A,
Class A-2B and Class A-2C Certificates generally will include all principal
received, due (other than Balloon Payments) but not received, or deemed to be
due, on the Group 1 and Group 2 Mortgage Loans. Furthermore, remaining amounts
received on or with respect to Mortgage Loans in Mortgage Loan Groups 1 and 2
(including related draws on the Reserve Fund) will be applied to cover any
shortfalls in minimum distributions to the Class A-3 and Class A-4 Certificates
to the extent amounts received on or with respect to the Mortgage Loans in
Mortgage Loan Groups 3 and 4 (including related draws on the Reserve Fund) are
not sufficient therefor prior to the allocation thereof to the Class B, Class C,
Class D, Class E and Class F Certificates.
In no event will amounts received on or with respect to the Mortgage Loans
in Mortgage Loan Groups 3 and 4 be available to make distributions to the Class
A-1, Class A-2A, Class A-2B and Class A-2C Certificates, and accordingly the
Class B, Class C, Class D, Class E or Class F Certificates could receive
distributions from such amounts at times when the Class A-1, Class A-2A, Class
A-2B and Class A-2C Certificates are not receiving distributions in full. This
result could only occur, however, in the remote circumstances where on any
Distribution Date the cumulative amount of the Reserve Fund draws to such date
(net of reimbursed advances) exceeds the sum of the Initial Deposit (as defined
herein) and the cumulative amount of Reserve Fund deposits (other than
reimbursements of advances) from cash flows on Eligible Multifamily Mortgage
Loans. Even in the absence of shortfalls in payments on the Group 1 and Group 2
Mortgage Loans, if the rate of principal payments on the Group 3 and Group 4
Mortgage Loans is sufficiently faster than the rate of principal payments on the
Group 1 and Group 2 Mortgage Loans, the Class B, Class C, Class D, Class E or
Class F Certificates could be entitled to distributions of Optimal Mortgage Loan
Principal (as defined herein) from Mortgage Loan Groups 3 and 4 at times when
the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates are still
outstanding.
Distributions of interest and principal with respect to the Class B, Class
C, Class D, Class E and Class F Certificates will be subordinate to
distributions of interest and principal with respect to the Class A-3 and Class
A-4 Certificates to the extent that no distribution of interest or principal is
permitted to be made with respect to the Class B, Class C, Class D, Class E and
Class F Certificates on any Distribution Date until interest and principal then
payable to the Class A-3 and Class A-4 Certificates have been paid and, so long
as any Class A Certificates remain outstanding, until the amount in the Reserve
Fund is restored to at least the Liquidity Amount.
Distributions of interest and principal with respect to the Class C, Class
D, Class E and Class F Certificates will be subordinate to distributions of
interest and principal with respect to the Class B Certificates to the extent
that no distribution of interest or principal is permitted to be made with
respect to the Class C, Class D, Class E and Class F Certificates on any
Distribution Date until interest and principal then payable to the Class B
Certificates have been paid and, so long as any Class A or Class B Certificates
remain outstanding, until the amount in the Reserve Fund is restored to at least
the Liquidity Amount.
Distributions of interest and principal with respect to the Class D, Class E
and Class F Certificates will be subordinate to distributions of interest and
principal with respect to the Class C Certificates to the extent that no
distribution of interest or principal is permitted to be made with respect to
the Class D, Class E and Class F Certificates on any Distribution Date until
interest and principal then payable to the Class C Certificates have been paid
and, so long as any Class A, Class B or Class C Certificates remain outstanding,
until the amount in the Reserve Fund is restored to at least the Liquidity
Amount.
Distributions of interest and principal with respect to the Class E and
Class F Certificates will be subordinate to distributions of interest and
principal with respect to the Class D Certificates to the extent that no
distribution of interest or principal is permitted to be made with respect to
the Class E and Class F Certificates on any Distribution Date until interest and
principal then payable to the Class D Certificates have been paid and, so long
as any Class A, Class B, Class C or Class D Certificates remain outstanding,
until the amount in the Reserve Fund is restored to at least the Liquidity
Amount.
Distributions of interest and principal with respect to the Class F
Certificates will be subordinate to the distributions of interest and principal
with respect to the Class E Certificates to the extent that no distribution of
interest or principal is permitted to be made with respect to the Class F
Certificates on any Distribution Date until interest and principal then payable
to the Class E Certificates have been paid and, so long as any Class A, Class B,
Class C, Class D or Class E Certificates remain outstanding, until the amount in
the Reserve Fund is restored to at least the Liquidity Amount.
The allocation of funds otherwise payable to subordinate Classes so as to
restore the amount on deposit in the Reserve Fund to the Liquidity Amount,
described in each of the five preceding paragraphs, will be limited to the
extent that, if the Class A-1, Class A-2A, Class A-2B or Class A-2C Certificates
are the only Class A Certificates then outstanding, any deposit to the Reserve
Fund may be made only with funds from Eligible Multifamily Mortgage Loans.
To the extent interest distributable in respect of a Class of Offered
Certificates on any Distribution Date is not paid as a result of the foregoing
priorities or otherwise, the amount of such interest, together with interest
accrued thereon at the applicable Pass-Through Rate, compounded monthly, will be
added to amounts to be distributed on subsequent Distribution Dates. The
Certificate Principal Amounts of the Offered Certificates will be reduced only
as a result of distributions in respect thereof. See "DESCRIPTION OF THE
CERTIFICATES -- Distributions" herein.
8. Basis Risk and Prepayment Shortfalls. Under certain circumstances,
interest accrued on the Offered Certificates as of any Distribution Date could
exceed interest (net of applicable servicing fees) accrued on the Mortgage
Loans. Such a shortfall (a "Basis Risk Shortfall," as more specifically defined
herein) could arise due to, among other things, variations in the difference
between LIBOR and the Indexes for the Group 1 and Group 3 Mortgage Loans,
variations in interest rate adjustment dates and interest rate maximums for such
Mortgage Loans relative to those for the Floating Rate Certificates, differences
in the number of days for interest accrual periods for payments on Mortgage
Loans and Interest Accrual Periods for corresponding Distribution Dates for the
Offered Certificates, the existence of fixed rate Group 2 or Group 4 Mortgage
Loans with Net Mortgage Interest Rates (as defined herein) that are below the
weighted average of the Pass-Through Rates for the applicable Fixed Rate
Certificates, conversion of certain adjustable rate Mortgage Loans to fixed rate
Mortgage Loans and net shortfalls in interest collected on Principal Prepayments
(as defined herein) or Balloon Payments. Whatever their source, Basis Risk
Shortfalls will be incurred by the Classes of Floating Rate Certificates, pro
rata. The Reserve Fund will be available to cover Basis Risk Shortfalls, and
amounts withdrawn from the Reserve Fund will be applied to the Classes of
Floating Rate Certificates, pro rata. See "DESCRIPTION OF THE CERTIFICATES --
Distributions -Basis Risk" herein.
In addition, to the extent Basis Risk Shortfalls exceed available amounts on
deposit in the Reserve Fund, amounts otherwise distributable on the Certificates
will be used to reimburse the Reserve Fund to the extent of Credit Reserve Fund
Draw Amounts (as defined herein). This may have the effect of reallocating
amounts otherwise distributable to subordinate Classes of Certificates to draws
from the Reserve Fund to cover current and past Basis Risk Shortfalls with
respect to the Classes of Floating Rate Certificates. See "DESCRIPTION OF THE
CERTIFICATES -- Distributions -- Allocation Among Classes" herein.
9. Enforceability. A substantial majority of the Mortgages contain
due-on-sale clauses, which permit the lender to accelerate the maturity of the
Mortgage Loan if the Borrower sells, transfers or conveys the related Mortgaged
Property or its interest in the Mortgaged Property. Such clauses are generally
enforceable subject to certain exceptions.
A significant number of the Mortgages include debt-acceleration clauses,
which permit the lender to accelerate the debt upon a monetary or nonmonetary
default of the Borrower. The courts of all states will enforce clauses providing
for acceleration in the event of a material payment default after the giving of
appropriate notices. The equity courts of any state, however, may refuse to
permit the foreclosure of a mortgage or deed of trust when an acceleration of
the indebtedness would be inequitable or unjust or the circumstances would
render the acceleration unconscionable.
A significant number of the Mortgage Loans are secured by an assignment of
leases and rents pursuant to which the Borrower typically assigns its right,
title and interest as landlord under the leases on the related Mortgaged
Property and the income derived therefrom to the lender as further security for
the related Mortgage Loan, while retaining a license to collect rents for so
long as there is no default. In the event the Borrower defaults, the license
terminates and the lender is entitled to collect rents. Such assignments are
typically not perfected as security interests prior to actual possession of the
cash by the lender. Some state laws may require that the lender take possession
of the Mortgaged Property and obtain a judicial appointment of a receiver before
becoming entitled to collect the rents. In addition, if bankruptcy or similar
proceedings are commenced by or in respect of the Borrower, the lender's ability
to collect the rents may be adversely affected. See "CERTAIN LEGAL ASPECTS OF
THE MORTGAGE LOANS" herein.
10. Limited Obligations. The Certificates will represent beneficial
ownership interests solely in the assets of the Trust Fund and will not
represent an interest in or obligation of the RTC, the Seller, any of the
Depository Institutions or any other Person. Distributions on any Class of
Offered Certificates will depend solely on the amount and timing of payments and
other collections in respect of the Mortgage Loans and amounts on deposit in the
Reserve Fund. Although amounts, if any, otherwise distributable to Holders of
the Class B, Class C, Class D, Class E and Class F Certificates will be
available to make distributions on the Class A Certificates on any Distribution
Date to the extent set forth herein, any amounts otherwise distributable to
Holders of the Class C, Class D, Class E and Class F Certificates will be
available to make distributions on the Class B Certificates, any amounts
otherwise distributable to Holders of the Class D, Class E and Class F
Certificates will be available to make distributions on the Class C
Certificates, any amounts otherwise distributable to Holders of the Class E and
Class F Certificates will be available to make distributions on the Class D
Certificates and any amounts otherwise distributable to holders of the Class F
Certificates will be available to make distributions on the Class E
Certificates, there can be no assurance that these amounts, together with other
payments and collections in respect of the Mortgage Loans and amounts available
to be withdrawn from the Reserve Fund, will be sufficient to make full and
timely distributions on such Class A, Class B, Class C, Class D or Class E
Certificates, and there can be no assurance that payments and collections in
respect of the Mortgage Loans and any amounts remaining in the Reserve Fund will
be sufficient to make full and timely distributions on the Class F Certificates.
The Certificates will not be insured or guaranteed by any government agency
or instrumentality. The RTC, however, with respect to Mortgage Loans for which
it is not acting in its corporate capacity as the Seller, will guarantee the
obligations of the Seller, pursuant to its representations and warranties, to
indemnify against losses or to repurchase Mortgage Loans under certain
circumstances or to cure any breach of its representations or warranties. See
"DESCRIPTION OF THE MORTGAGE LOANS -- Representations and Warranties" herein.
11. Securities Law and Other Liabilities. The doctrine of sovereign
immunity, as limited by the Federal Tort Claims Act (28 U.S.C. 1346(b)),
provides that claims may not be brought against the United States or any agency
or instrumentality thereof unless specifically permitted by act of Congress. The
Federal Tort Claims Act bars claims for fraud or misrepresentation, and courts
have held, in cases involving the Federal Deposit Insurance Corporation (the
"FDIC") as well as other federal agencies and instrumentalities, that the United
States may assert its sovereign immunity to claims brought under the federal
securities laws. Thus, it is probable that any attempt to assert a claim against
the Seller, the RTC or the FDIC for a violation of the federal securities laws
resulting from a material misstatement in or material omission from this
Prospectus or the registration statement of which it forms a part would be
barred. In addition, the Federal Home Loan Bank Act provides specifically that
directors, members, officers and employees of the Resolution Trust Corporation,
the "Oversight Board" (as defined in "THE RESOLUTION TRUST CORPORATION" herein)
and the oversight board for the RTC which was the predecessor thereof under
prior law, have no liability under the Securities Act of 1933 (the "Act"), with
respect to any claim arising out of or resulting from any act or omission by
such person within the scope of such person's employment in connection with any
transaction involving the disposition of assets (or any interests in assets or
any obligations backed by any assets) by the Resolution Trust Corporation.
Accordingly, any attempt to assert such a claim against the directors, members,
officers or employees of the Seller, the RTC or the Oversight Board (or its
predecessor) for a violation of the Act resulting from a material misstatement
in or material omission from this Prospectus or the registration statement of
which it forms a part would be barred.
Under applicable laws, none of the Trustee, either in its capacity as
Trustee or in its individual capacity, the Master Servicer or the Special
Servicer nor any director, officer, employee, agent, counsel or controlling
person of the Trustee, the Master Servicer or the Special Servicer has any
liability as the issuer of the Certificates or as a director, officer, employee,
agent, counselor or controlling person of the issuer of the Certificates. The
liability of the Trustee, the Master Servicer and the Special Servicer in
connection with the issuance and sale of the Certificates, and in respect of the
Trust Fund's obligations under the Certificates, is limited solely to their
respective express obligations set forth in the Agreement.
Accordingly, only the assets of the Trust Fund are subject to issuer
liability under the federal securities laws for the information contained in
this Prospectus and the related registration statement and under federal and
state laws with respect to the sale of the Offered Certificates. The Trust
Fund's assets are limited to the Mortgage Loans, the proceeds thereof and
certain other cash accounts and other assets associated with the Mortgage Loans,
as described herein.
12. Limited Liquidity. Certain of the Underwriters have advised the Seller
that they intend to make a secondary market (either directly and/or through one
or more affiliates) in the Offered Certificates, but none of the Underwriters
has any obligation to do so. There can be no assurance that a secondary market
will develop for any Class of Offered Certificates or, if it does develop, that
it will provide the Holders of such Certificates with liquidity of investment or
that it will remain for the term of such Certificates. No arrangement for
listing of the Offered Certificates on a securities exchange is being made.
13. Variability in Average Life of Offered Certificates. The payment
experience on the Mortgage Loans will affect the actual payment experience on
and the weighted average lives of the Offered Certificates and accordingly may
affect the yield on the Offered Certificates. Since prepayments on the Mortgage
Loans (including prepayments resulting from modifications, defaults or
liquidations or repurchases due to certain breaches of the Seller's
representations and warranties) and other principal payments (including Balloon
Payments) on the Mortgage Loans are initially directed to reduce the respective
Certificate Principal Amounts of the Class A Certificates (except that only
principal payments from the Group 1 and Group 2 Mortgage Loans will be directed
to the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates), principal
payments on the Mortgage Loans will have a disproportionately greater tendency
to shorten the weighted average lives of the Class A Certificates relative to
the Class B, Class C, Class D, Class E and Class F Certificates and to shorten
the weighted average lives of the Class B Certificates relative to the Class C,
Class D, Class E and Class F Certificates, and so forth.
In contrast, the excess of interest due on the Mortgage Loans, net of
servicing compensation, over interest due on the Offered Certificates will
generally be applied to the Offered Certificates as described herein under
"DESCRIPTION OF THE CERTIFICATES -- Allocation Among Classes." Accordingly,
while the amount of such excess interest will generally be affected primarily by
changes in interest rates and the interest rate adjustment terms of the Mortgage
Loans as described above under "-- Basis Risk and Prepayment Shortfalls," any
payment experience which would reduce such excess interest, including
prepayments (Mortgage Loans having higher interest rates being more likely to
prepay), will have a tendency to extend the weighted average lives of the Class
B, Class C, Class D, Class E and Class F Certificates. Likewise, any payment
experience which would increase such excess interest, including the extension of
due dates for certain Balloon Payments, will have a tendency to shorten the
weighted average lives of the Class B, Class C, Class D, Class E and Class F
Certificates (to the extent not offset by the effect of deferring the due dates
of such Balloon Payments). The level of such excess interest will also be
affected by other factors described above under "-- Basis Risk and Prepayment
Shortfalls" and under "DESCRIPTION OF THE CERTIFICATES -- Distributions -- Basis
Risk" herein.
Prepayments on the Mortgage Loans will be influenced by the prepayment
provisions of the related Notes and may also be affected by a variety of
economic, geographic and other factors, including the difference between the
interest rates on the Mortgage Loans (giving consideration to the cost of
refinancing) and prevailing mortgage rates and the availability of refinancing.
In general, if prevailing interest rates fall significantly below the interest
rates on the Mortgage Loans, the rate of prepayment on the Mortgage Loans (and
particularly on Mortgage Loans with fixed Mortgage Interest Rates or with
minimum adjustable Mortgage Interest Rates that are higher than prevailing
interest rates) would be expected to increase. Conversely, if prevailing
interest rates are at a level below the Mortgage Interest Rates on the Mortgage
Loans and rise significantly above such Mortgage Interest Rates, the rate of
prepayment would be expected to decrease. Substantially all of the Mortgage
Loans do not provide either for any lockout period in which prepayments are
prohibited or for any prepayment premium, penalty or charge in connection with
the prepayment thereof, or if such provisions were included in the Notes they
have expired. Some of the Mortgage Loans, however, continue to have lockout
periods or prepayment premiums or penalties which could be a deterrent to
prepayments. The Seller makes no representation as to the effect of such lockout
periods, premiums or penalties on the rate of prepayment of the related Mortgage
Loans. Except in limited circumstances, the Seller has not verified the
prepayment terms of the Notes relating to the Mortgage Loans.
Delays in liquidations of defaulted Mortgage Loans and modifications
extending the maturity of Mortgage Loans will tend to extend the payment of
principal of the Mortgage Loans. In addition, 67 Mortgage Loans, representing
approximately 6.57% of the aggregate Scheduled Principal Balance of the Mortgage
Loans as of the Cut-Off Date, grant the Borrower the option to extend the stated
maturity of the related Mortgage Loan, in no event longer than 30 years from the
Closing Date. Because a significant number of Mortgage Loans have Balloon
Payments due at maturity and because the ability of the Borrower to make a
Balloon Payment typically will depend upon its ability either to refinance the
loan or to sell the related Mortgaged Property, there is a risk that a number of
Mortgage Loans having Balloon Payments may default at maturity, or that the
Special Servicer may extend the maturity of a number of such Mortgage Loans in
connection with workouts. The magnitude of this default risk will be increased
in the years 1998, 1999 and 2000 due to the relatively high percentages by
Scheduled Principal Balance of the Mortgage Loans that have Balloon Payments due
in those years, as described above. In the case of defaults, recovery of
proceeds may be delayed by, among other things, bankruptcy of the Borrower or
adverse conditions in the market where the property is located. In order to
minimize losses on defaulted Mortgage Loans, the Special Servicer is given
considerable flexibility under the Agreement to modify Mortgage Loans that are
in material default or as to which a payment default is reasonably foreseeable
or has occurred. Certificateholders are not entitled to receive distributions of
Balloon Payments when due except to the extent they are actually received and
instead are entitled only to receive prepayments when received and Assumed
Scheduled Payments (as defined herein) which would be due if no Balloon Payments
were required. With respect to delinquent or defaulted Mortgage Loans (including
REO Mortgage Loans), Certificateholders are entitled to receive only scheduled
Monthly Payments or Assumed Scheduled Payments until final liquidation, except
that an earlier partial payment of principal may be required upon foreclosure,
if the appraised value of the related Mortgaged Property is less than the actual
principal balance of the Mortgage Loan, or upon a modification. See "SERVICING
OF THE MORTGAGE LOANS -- Modifications, Waivers and Amendments" herein.
As described herein, some of the Mortgage Loans in Mortgage Loan Groups 2
and 4, and all of the Mortgage Loans in Mortgage Loan Groups 1 and 3, are
adjustable rate Mortgage Loans which provide for periodic adjustments of the
Mortgage Interest Rate and the Monthly Payment. It is believed that with respect
to certain of such Mortgage Loans the interest component of the Monthly Payments
may have been incorrectly calculated and may be lower or higher than it would be
if it had been correctly calculated. The Seller has reviewed a limited number of
the Mortgage Loans. To the extent the Seller determines that a Mortgage Loan has
been the subject of interest overpayments, it will cause such errors to be
corrected. Any such corrections would result in a reduction of the Scheduled
Principal Balance of the affected Mortgage Loan and a principal payment on the
Offered Certificates. To the extent any such amount is applied to reduction of
the aggregate Certificate Principal Amount of the Class A Certificates, the
weighted average lives of such Certificates may be reduced. The Trust Fund will
not benefit to the extent of any such interest underpayment.
In the case of certain of the Mortgage Loans, payments made by the related
Borrowers have been held in suspense accounts and may not have been applied to
reduce the principal balances of such Mortgage Loans. A reconciliation of the
amounts held in such suspense accounts is expected to be completed within 60
days after the applicable Servicing Transfer Date (as defined herein). The
portion of such amounts that are found to constitute payments or prepayments of
principal of such Mortgage Loans will be passed through as a reduction of the
Certificate Principal Amount of the Offered Certificates as soon as practicable
following such reconciliation. To the extent any such amount is passed through
in reduction of the aggregate Certificate Principal Amount of the Class A
Certificates, the weighted average lives of such Certificates may be reduced.
Any changes in weighted average life may adversely affect the yield to
Certificateholders. Prepayments resulting in a shortening of weighted average
lives of any of the Offered Certificates may be made at a time of low interest
rates when a Holder may be unable to reinvest the resulting payments of
principal on its Certificates at a rate comparable to the Pass-Through Rate
payable on such Certificates, while delays and extensions resulting in a
lengthening of such weighted average lives may occur at a time of high interest
rates when a Holder may have been able to reinvest principal payments that would
otherwise have been received by it at higher rates. In addition, because the
Class A-2C, Class B, Class C, Class D, Class E and Class F Certificates are
being offered at a discount, their effective yields will depend to a significant
extent on the rate at which excess interest materializes and is applied to make
distributions of principal in respect of the applicable Classes of Certificates
as described herein under "DESCRIPTION OF THE CERTIFICATES -- Allocation Among
Classes." The yields on the Class A-2C, Class B, Class C, Class D, Class E and
Class F Certificates may be adversely affected to the extent their weighted
average lives are extended due to a reduction in such excess interest. See
"YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS" and "DESCRIPTION OF THE MORTGAGE
LOANS" herein.
14. Environmental Law Considerations. The Seller generally has not
determined whether environmental assessments have been conducted with respect to
the Mortgaged Properties, and it is likely that any environmental assessments
which were conducted with respect to any of the Mortgaged Properties were
conducted at the time of the origination of the related Mortgage Loans and not
thereafter. However, the Seller will represent and warrant that, as of the
Closing Date, no Mortgaged Property is affected by a Disqualifying Condition (as
defined herein under "DESCRIPTION OF THE MORTGAGE LOANS -- Representations and
Warranties"). In the event that, following a default in payment that continues
for 60 days, (i) the environmental assessment obtained by the Special Servicer
prior to any foreclosure (as described in the following paragraph) indicates the
presence of a Disqualifying Condition that arose prior to the Closing Date and
(ii) each of the Special Servicer and the Master Servicer certifies that it has
acted in compliance with the servicing standard set forth in the Agreement and
has not, by any action, created, caused or contributed to a Disqualifying
Condition, the Seller, at its option, will either cure such Disqualifying
Condition or repurchase the affected Mortgage Loan for a price equal to the
outstanding principal balance thereof plus accrued and unpaid interest to the
date of repurchase, plus certain related expenses. The RTC, with respect to
Mortgage Loans for which it is not acting in its corporate capacity as the
Seller, will guarantee the Seller's obligation to cure or repurchase. However,
the Seller in its capacity as such will not be responsible for any Disqualifying
Condition which may arise on a Mortgaged Property after the Closing Date. See
"DESCRIPTION OF THE MORTGAGE LOANS -Representations and Warranties" herein. In
particular, it should be noted that the presence of lead-based paint in a
multifamily structure that is part of a Mortgaged Property located in Los
Angeles County, California, will not, by itself, constitute a Disqualifying
Condition. Therefore, any costs incurred as a result of having to remove the
lead-based paint in such structures, if required by applicable law, will be an
expense of the Trust Fund and not the responsibility of the Seller. 340 Mortgage
Loans, representing approximately 14.67% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date, are secured by multifamily
Mortgaged Properties located in Los Angeles County that were built before 1978,
after which it is generally believed that lead-based paint was no longer used in
such buildings. As described below, the Reserve Fund will be available to cover
such costs for so long as funds are available in the Reserve Fund, but it is
possible that such costs may ultimately be borne by Certificateholders. It is
unclear, however, whether the cost of lead-based paint removal would have an
adverse economic affect on a Borrower, or the Trust Fund, until such Borrower
sought to refinance its Mortgage Loan and an environmental assessment revealed
the presence of lead-based paint. Since the Master Servicer will undertake to
extend the maturity date of each such Mortgage Loan that is a Balloon Mortgage
Loan (as discussed in "SERVICING OF THE MORTGAGE LOANS -- Modifications, Waivers
and Amendments" herein), the possibility of losses resulting from the inability
of the related Borrower to refinance such Balloon Mortgage Loan due to the
presence of lead-based paint will be reduced.
The Agreement provides that the Special Servicer shall, at the expense of
the Trust Fund, obtain a phase I environmental assessment (and, where advisable,
a phase II environmental assessment) with respect to any Mortgaged Property
prior to acquiring title thereto or assuming its operation. This requirement
effectively precludes enforcement of the security for the related Note until a
satisfactory environmental assessment is obtained (or any required remedial
action is taken), reducing the likelihood that the Trust Fund will become liable
for any Environmental Condition (as defined herein under "CERTAIN LEGAL ASPECTS
OF THE MORTGAGE LOANS -- Environmental Risks") affecting a Mortgaged Property,
but making it more difficult to foreclose. However, there can be no assurance
that the requirements of the Agreement will in fact insulate the Trust Fund from
liability for Environmental Conditions.
Under the laws of certain states where the Mortgaged Properties are located,
failure to perform the remediation of Environmental Conditions required or
demanded by the state may give rise to a lien on a Mortgaged Property to ensure
the reimbursement of remediation costs incurred by the state. Although the costs
of remedial action could be substantial, the state of the law in certain of
these jurisdictions presently is unclear as to whether and under what conditions
such costs (or the requirements to otherwise undertake remedial actions) would
be imposed on a secured lender such as the Trust Fund. However, under the laws
of some states and under applicable federal law, a lender may be liable for such
costs in certain circumstances as the "owner" or "operator" of the Mortgaged
Property. The Reserve Fund will be available to cover shortfalls in amounts
distributable to Certificateholders occasioned by the imposition of clean-up
costs on the Trust Fund. Shortfalls occurring as the result of imposition of any
such costs after the Reserve Fund is depleted will be borne first by Holders of
Class F Certificates, second by Holders of Class E Certificates, third by
Holders of Class D Certificates, fourth by Holders of Class C Certificates,
fifth by the Holders of Class B Certificates and finally by Holders of Class A
Certificates, pro rata. See "CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS --
Environmental Risks" herein.
15. Geographic Concentration; Regional Considerations Affecting Mortgage
Loans. 903 Mortgage Loans, 313 Mortgage Loans and 125 Mortgage Loans,
representing approximately 45.67%, 15.93% and 8.50%, respectively, of the
aggregate Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off
Date, are secured by Mortgaged Properties located in the States of California
(especially Southern California), Texas, and Florida. Improvements on Mortgaged
Properties located in California may be more susceptible to certain types of
special hazards not covered by insurance (such as earthquakes) than properties
located in other parts of the country. In addition, the economies of the States
of California, Texas and Florida may be adversely affected to a greater degree
than that of other areas of the country by certain developments affecting
industries concentrated in such states. Moreover, in recent periods, several
regions of the United States (including California, Texas and Florida) have
experienced significant downturns in the market value of real estate.
367 Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $202,368,520, representing approximately 17.78% of the aggregate
Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off Date, are
secured by Mortgaged Properties located in the area near Los Angeles, California
that experienced a serious earthquake in January 1994 and a series of related
aftershocks. The Seller has inspected the exterior of each such Mortgaged
Property, and such inspection has not revealed any material damage to such
Mortgaged Properties. The Seller will make a representation and warranty in the
Agreement that, as of the Closing Date, each Mortgaged Property is free of
material damage and in good repair or, if materially damaged, such Mortgaged
Property is also covered by a rent interruption policy. See "DESCRIPTION OF THE
MORTGAGE LOANS -- Representations and Warranties" herein.
23 Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $13,382,720, representing approximately 1.18% of the aggregate
Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off Date, are
secured by Mortgaged Properties located in the State of Georgia, which
experienced severe flooding during the summer of 1994. The Seller has inspected
the exterior of each such Mortgaged Property. Such inspection has not revealed
any material damage to such Mortgaged Properties. The representation and
warranty of the Seller relating to the absence of material damage to each
Mortgaged Property, referred to above, will be equally applicable to any
Mortgaged Properties located in Georgia.
For additional information regarding the geographic distribution of the
Mortgage Pool, see Exhibits A through E to this Prospectus.
DESCRIPTION OF THE CERTIFICATES
The Certificates are to be issued pursuant to a Pooling and Servicing
Agreement (the "Agreement"), dated as of the Cut-Off Date, among the Seller, the
Master Servicer, the Special Servicer and the Trustee. The Trustee will provide
to Certificateholders without charge, and to non-Certificateholders for a
reasonable charge, on written or oral request, a copy of the Agreement, as well
as the Collateral Security Agreement (the "Collateral Security Agreement")
pursuant to which the Reserve Fund is held. Requests should be made either by
writing to State Street Bank and Trust Company, Two International Place, 5th
Floor, Boston, MA 02110, Attention: Corporate Trust Department, or by calling
(617) 786-3000.
The following summaries describing certain provisions of the Certificates,
the Agreement and the Collateral Security Agreement do not purport to be
complete and are subject to, and are qualified in their entirety by reference
to, the provisions of the Agreement and the Collateral Security Agreement, as
the case may be. Capitalized terms used herein and not otherwise defined herein
have the meanings assigned in the Agreement or the Collateral Security
Agreement, as the case may be.
General
The Certificates will consist of twelve classes, the Class A-1, Class A-2A,
Class A-2B, Class A-2C, Class A-3, Class A-4, Class B, Class C, Class D, Class
E, Class F and Class R Certificates. All Classes of Certificates other than the
Class R Certificates are collectively referred to herein as "Offered
Certificates." The Class R Certificates will initially be retained by the Seller
(acting only in its capacity as conservator or receiver and not in its corporate
capacity), although the Seller subsequently may sell the Class R Certificates in
a separate offering. The Class A-2A, Class A-2B and Class A-2C Certificates are
collectively referred to herein as "Multifamily Fixed Rate Certificates," the
Class A-4, Class B, Class C, Class D, Class E and Class F Certificates are
collectively referred to herein as "Commercial Fixed Rate Certificates" and the
Multifamily Fixed Rate Certificates and the Commercial Fixed Rate Certificates
are collectively referred to herein as "Fixed Rate Certificates." The Class A-1
and the Class A-3 Certificates are collectively referred to herein as "Floating
Rate Certificates." The Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates are collectively referred to herein as "Multifamily Certificates."
The Certificates will represent beneficial ownership interests in the Trust Fund
consisting of, among other things, the Mortgage Loans and related insurance
policies, and the right to draw on the Reserve Fund for the purposes and to the
extent described herein; however, the Class A-1, Class A-2A, Class A-2B and
Class A-2C Certificates do not represent beneficial ownership interests in any
Mortgage Loans other than Eligible Multifamily Mortgage Loans. For federal
income tax purposes, the Offered Certificates will represent beneficial
ownership interests in the respective Classes of Regular Interests, and the
Floating Rate Certificates will be entitled to receive certain payments from the
Reserve Fund (limited to amounts therein) in respect of Basis Risk as described
herein.
Distributions of interest and in reduction of Certificate Principal Amount
to Holders of each Class of Offered Certificates will be made monthly, to the
extent of such Class's entitlement thereto as described herein under "--
Distributions," on the 25th day of each month or, if such day is not a Business
Day (as defined below), on the succeeding Business Day (each, a "Distribution
Date"), commencing in October 1994. The Class B, Class C, Class D, Class E,
Class F and Class R Certificates are subordinated to the Class A Certificates to
the extent described herein; the Class C, Class D, Class E, Class F and Class R
Certificates are subordinated to the Class A and Class B Certificates to the
extent described herein; the Class D, Class E, Class F and Class R Certificates
are subordinate to the Class A, Class B and Class C Certificates to the extent
described herein; the Class E, Class F and Class R Certificates are subordinate
to the Class A, Class B, Class C and Class D Certificates to the extent
described herein; the Class F and Class R Certificates are subordinate to the
Class A, Class B, Class C, Class D and Class E Certificates to the extent
described herein; and the Class R Certificates are subordinated to the Offered
Certificates as described herein.
A "Business Day" is a day other than Saturday, Sunday or a day on which
banking or savings and loan institutions in the Commonwealth of Massachusetts or
the City of New York (or in the case of any Master Servicer Remittance Date, the
State of Missouri or the City of New York) are authorized or obligated by law,
executive order or government decree to be closed.
Delivery, Form and Denomination
Class A, Class B, Class C and Class D Certificates
No Person acquiring a Class A, Class B, Class C or Class D Certificate (each
such person, a "beneficial owner") will be entitled to receive a physical
certificate representing such Certificate. Instead, such Certificates (the
"Depository Certificates") will be registered in the name of a nominee of The
Depository Trust Company (together with any successor depository selected by the
Seller, the "Depository"), and beneficial interests therein will be held by
investors through the book-entry facilities of the Depository, as described
herein, in minimum denominations of $1,000 initial Certificate Principal Amount
and in integral multiples thereof. The Seller has been informed by the
Depository that its nominee will be Cede & Co. Accordingly, Cede & Co. is
expected to be the holder of record of the Depository Certificates.
Each beneficial owner's ownership of a Depository Certificate will be
recorded on the records of the brokerage firm, bank, thrift institution or other
financial intermediary (each, a "Financial Intermediary") that maintains the
beneficial owner's account for such purpose. In turn, the Financial
Intermediary's ownership of such Depository Certificate will be recorded on the
records of the Depository (or of a participating firm that acts as agent for the
Financial Intermediary, whose interest will in turn be recorded on the records
of the Depository, if the beneficial owner's Financial Intermediary is not a
Depository participant). Therefore, the beneficial owner must rely on the
foregoing procedures to evidence its beneficial ownership of a Depository
Certificate. Beneficial ownership of a Depository Certificate may only be
transferred in compliance with the procedures of such Financial Intermediaries
and Depository participants.
The Depository, which is a New York-chartered limited purpose trust company,
performs services for its participants, some of whom (and/or their
representatives) own the Depository. In accordance with its normal procedure,
the Depository is expected to record the positions held by each Depository
participant in the Depository Certificates, whether held for its own account or
as a nominee for another Person. In general, beneficial ownership of Depository
Certificates will be subject to the rules, regulations and procedures governing
the Depository and Depository participants as are in effect from time to time.
The Depository, or its nominee as record holder of the Depository
Certificates, will be recognized by the Seller and the Trustee as the owner of
the Depository Certificates for all purposes, including notices and consents. In
the event of any solicitation of consents from or voting by Certificateholders
pursuant to the Agreement, the Trustee may establish a reasonable record date
and give notice of such record date to the Depository. In turn, the Depository
will solicit votes from the beneficial owners in accordance with its normal
procedures, and the beneficial owners will be required to comply with such
procedures in order to exercise their voting rights through the Depository.
Distributions of principal and of interest on the Depository Certificates
will be made on each Distribution Date to the Depository or its nominee. The
Depository will be responsible for crediting the amount of such payments to the
accounts of the applicable Depository participants in accordance with the
Depository's normal procedures. Each Depository participant will be responsible
for disbursing such payments to the beneficial owners for which it is holding
Depository Certificates and to each Financial Intermediary for which it acts as
agent. Each such Financial Intermediary will be responsible for disbursing funds
to the beneficial owners of the Depository Certificates that it represents.
The information herein concerning the Depository and its book-entry system
has been obtained from sources believed to be reliable, but the Seller takes no
responsibility for the accuracy or completeness thereof.
Class E and Class F Certificates
The Class E and Class F Certificates will be issued only in fully
registered, certificated form in denominations of $250,000 and integral
multiples of $1,000 in excess thereof.
Distributions
Generally
As more fully described below, distributions of principal and interest on
the Offered Certificates will be made on each Distribution Date in an aggregate
amount, to the extent funds are available therefor from payments on the Mortgage
Loans (net of certain reimbursements to the Reserve Fund) and draws on the
Reserve Fund, equal to the sum of the Optimal Available Funds for the Mortgage
Loan Groups, net of certain reimbursements to the Reserve Fund, plus the Basis
Risk Reserve Fund Draw Amount and certain past due amounts together with
interest thereon as described herein. Such amount will be allocated among
different Classes of such Certificates as described below under "-- Allocation
Among Classes." Such distributions will be made on each Distribution Date in
accordance with the Agreement to each Certificateholder of record on the related
Record Date. For each Distribution Date, the "Record Date" is the close of
business on the last Business Day of the month preceding the month in which such
Distribution Date occurs, in the case of the Fixed Rate Certificates, and the
15th day of the calendar month in which such Distribution Date occurs (or, if
such 15th day is not a Business Day, the preceding Business Day), in the case of
the Floating Rate Certificates.
On each Distribution Date, the Trustee will determine the Optimal Available
Funds for each Mortgage Loan Group and will also determine the funds received
with respect to each Mortgage Loan Group then in the Collection Account and
available for distribution (the "Group Available Funds" for such Mortgage Loan
Group). The Group Available Funds for any Mortgage Loan Group may be less than
receipts on the Mortgage Loans (excluding Amounts Held for Future Distribution
(as defined below)) as the result of, among other things, payment of certain
servicing fees and expenses therefrom and reimbursements to the Reserve Fund
made therefrom for advances of delinquent Mortgage Loan payments, Senior Lien
Advances and for payments received on a Discounted Mortgage Loan after its
Scheduled Principal Balance has been reduced to zero as described herein.
To the extent the aggregate Group Available Funds of the four Mortgage Loan
Groups are insufficient to make a distribution in full of the aggregate Optimal
Available Funds of the four Mortgage Loan Groups, the Trustee will cause the
Master Servicer to draw on the Collection Account up to the amount of any
additional funds held in such account as of the Distribution Date for
distribution on a future Distribution Date ("Amounts Held for Future
Distribution") (limited, in the case of Mortgage Loan Groups 1 and 2, to the
Amounts Held for Future Distribution received on Eligible Multifamily Mortgage
Loans), and the Trustee will draw on the Reserve Fund in respect of
delinquencies and defaults on such Mortgage Loans in the amount described herein
(the "Credit Reserve Fund Draw Amount"), which amounts will be allocated among
the Mortgage Loan Groups as described herein. In addition, certain shortfalls
due to Basis Risk may be covered by Basis Risk Reserve Fund Draw Amounts as
described under "-- Basis Risk" herein. The Group Available Funds for each
Mortgage Loan Group, together with any Amounts Held for Future Distribution,
Credit Reserve Fund Draw Amounts and Basis Risk Reserve Fund Draw Amounts
allocated to such Mortgage Loan Group, represent the full amount available for
distribution on a given Distribution Date with respect to such Mortgage Loan
Group (the "Available Distribution Amount" for such Mortgage Loan Group).
The "Optimal Available Funds" for each Mortgage Loan Group for any
Distribution Date will equal the sum of (i) the Optimal Mortgage Loan Interest
for such Mortgage Loan Group and (ii) the Optimal Mortgage Loan Principal for
such Mortgage Loan Group.
The "Optimal Mortgage Loan Interest" for each Mortgage Loan Group on any
Distribution Date will equal (x) the aggregate, for all Mortgage Loans in such
Mortgage Loan Group, of interest then distributable with respect to each such
Mortgage Loan, in each case equal to interest accrued at the Mortgage Interest
Rate of such Mortgage Loan, net of the applicable Servicing Fee Rate (the "Net
Mortgage Interest Rate") (or, with respect to a Discounted Mortgage Loan, the
applicable Assumed Net Mortgage Interest Rate (as defined herein)) from the Due
Date for such Mortgage Loan in the second preceding Due Period to the Due Date
in the Due Period immediately preceding such Distribution Date on the Scheduled
Principal Balance thereof as of the second preceding Determination Date (as
defined herein), less any Prepayment Interest Shortfall (as defined herein)
allocable thereto or plus any Excess Prepayment Interest (as defined herein)
allocable thereto, as the case may be, less (y) any Deferred Interest with
respect to such Mortgage Loan Group.
The "Optimal Mortgage Loan Principal" for each Mortgage Loan Group on any
Distribution Date will equal the sum, for all Mortgage Loans in such Mortgage
Loan Group, of:
(i) the principal component of all scheduled Monthly Payments (other
than Balloon Payments) which become due during the related Due Period on the
related Mortgage Loans (other than Simple Interest Loans and Discounted
Mortgage Loans),
(ii) the principal component of all Assumed Scheduled Payments deemed to
become due during the related Due Period with respect to any related Balloon
Mortgage Loan (other than a Discounted Mortgage Loan) that is delinquent in
respect of its Balloon Payment, including any Matured Performing Mortgage
Loan,
(iii) the Scheduled Principal Balance of each related Mortgage Loan as
of the Determination Date in the month preceding the month in which such
Distribution Date occurs which either was repurchased, was sold or became a
liquidated Mortgage Loan during the related Prepayment Period (as defined
herein),
(iv) to the extent not included in the preceding clause (ii), the
principal component of all Balloon Payments on any related Mortgage Loan, up
to the Scheduled Principal Balance thereof, received during the related
Prepayment Period,
(v) the portion of each payment on any Simple Interest Loan (other than
a Discounted Mortgage Loan which is a Simple Interest Loan) attributable to
principal received during the related Prepayment Period,
(vi) to the extent not included in the preceding clause (iii), all other
full or partial prepayments of principal or other recoveries allocable to
principal (including the principal portion of any payments made by the
Seller or the RTC as the result of breaches of representations or warranties
of the Seller with respect to the Mortgage Loans) in excess of the principal
portion of any related Monthly Payment ("Principal Prepayments"), of any
related Mortgage Loan (other than a Simple Interest Loan) up to the
Scheduled Principal Balance thereof, received in the related Prepayment
Period,
(vii) the portion of any scheduled Monthly Payment or Assumed Scheduled
Payment, net of any applicable Workout Fee, which becomes due or is deemed
to become due during the related Due Period on any related Discounted
Mortgage Loan which is in excess of the sum of (i) one month of interest at
the Assumed Net Mortgage Interest Rate on the Scheduled Principal Balance
thereof and (ii) the servicing fee for such month at the Servicing Fee Rate
on the actual principal balance thereof, but not in excess of the Scheduled
Principal Balance thereof,
(viii) the excess, if any, of (x) the Scheduled Principal Balance of any
related Discounted Mortgage Loan on the related Determination Date, after
taking into account amounts included in the preceding clause (vii), over (y)
the actual principal balance of such Discounted Mortgage Loan, and
(ix) the amount of any Deficient Valuation occurring in the related
Prepayment Period, and the amount of certain payments required in connection
with modifications of, and Debt Service Reductions with respect to, Mortgage
Loans and foreclosure or other acquisitions of Mortgaged Properties as
described under "-- Reserve Fund" and "SERVICING OF THE MORTGAGE LOANS --
Modifications, Waivers and Amendments" herein.
For each Distribution Date, the "Due Period" is the period commencing on the
second day of the month preceding the month in which such Distribution Date
occurs and ending on (and including) the first day of the month in which such
Distribution Date occurs. In the case of the first Distribution Date, the Due
Period will be September 2, 1994 through October 1, 1994. For each Distribution
Date, the "Prepayment Period" is the period commencing immediately following the
second preceding Determination Date (or on the Cut-Off Date, in the case of the
first Distribution Date) and ending on the Determination Date in the month in
which such Distribution Date occurs. In the case of the first Distribution Date,
the Prepayment Period will be September 1, 1994 through October 11, 1994. As to
each Mortgage Loan and any Distribution Date, the due date (the "Due Date") is
the day of the month in the related Due Period on which a Monthly Payment or
Balloon Payment is due (or, in the case of a Non-Monthly Payment Loan (as
defined below), deemed to be due) (without giving effect to any grace period),
except that with respect to Mortgage Loans which by their terms accrue interest
in advance rather than in arrears, the Due Date for the interest portion of each
Monthly Payment will be deemed to be the date one month after the date such
payment is actually due. Subsequent to the month in which the last Servicing
Transfer Date occurs, the determination date (the "Determination Date") is the
15th day (or if such date is not a Business Day, the preceding Business Day) of
the month in which the related Distribution Date occurs, and up to and including
the month in which the last Servicing Transfer Date occurs, the Determination
Date is the third Business Day preceding the 15th day of the month (or, if such
15th day is not a Business Day, the preceding Business Day). With respect to any
Mortgage Loan and any Due Period, the "Monthly Payment" is the scheduled monthly
payment of principal and interest, excluding any Balloon Payment, on such
Mortgage Loan which is payable by a Borrower in such Due Period under the
related Note or, in the case of an REO Mortgage Loan, which would otherwise have
been payable under the Note relating to such REO Mortgage Loan, determined in
accordance with the Agreement, except that (x) with respect to any Mortgage Loan
which by its terms pays interest in advance of its accrual rather than in
arrears, the Monthly Payment is the scheduled monthly payment of principal,
excluding any Balloon Payment, due in such Due Period and the scheduled monthly
payment of interest due in the preceding Due Period, and (y) with respect to any
Mortgage Loan as to which the related Borrower is not required to make payments
monthly under the terms of the related Note (a "Non-Monthly Payment Loan"), the
Monthly Payment in any month is interest accrued thereon from the Due Date in
the preceding Due Period to the Due Date in such current Due Period and
principal (other than a Balloon Payment) due in such current Due Period. With
respect to a Non-Monthly Payment Loan, the Monthly Payment in respect of such
loan is deemed to be due the same day of each Due Period as the day in the month
in which payments in respect of such loan are actually due.
As referred to herein, the "Scheduled Principal Balance" of a Mortgage Loan
(other than a Discounted Mortgage Loan) with respect to any Determination Date
is equal to the principal balance of such Mortgage Loan as of the Due Date of
such Mortgage Loan occurring in the Due Period relating to such Determination
Date, after giving effect to (a) any principal prepayments or other unscheduled
recoveries of principal, any Balloon Payments and, as to Simple Interest Loans,
any payments attributable to principal received on or prior to such
Determination Date, (b) the Deferred Interest, if any, added to the principal
balance of such Mortgage Loan on or before such Due Date, (c) except in the case
of any Simple Interest Loan, any payment in respect of principal, if any, due on
or before such Due Date (other than a Balloon Payment, but including the
principal portion of any Assumed Scheduled Payment, if applicable), irrespective
of any delinquency in payment by the Borrower, and (d) any adjustment resulting
from a Deficient Valuation or in connection with a Debt Service Reduction
resulting from any bankruptcy or similar proceeding. With respect to any
Discounted Mortgage Loan, the "Scheduled Principal Balance" thereof shall be
determined as described herein under "-- Reserve Fund -- Credit Draws." As
indicated above, the Scheduled Principal Balance of a Mortgage Loan that is
delinquent as to its Balloon Payment and that has not yet been the subject of a
modification as a consequence thereof will be calculated with reference to the
Assumed Scheduled Payments in respect of such Mortgage Loan. As referred to
herein, "Assumed Scheduled Payment" means, with respect to any Balloon Mortgage
Loan that is delinquent in respect of its Balloon Payment (including any REO
Mortgage Loan for which the related Note had provided for a Balloon Payment, any
Matured Performing Mortgage Loan and any Discounted Mortgage Loan that provides
for a Balloon Payment), an amount deemed to be due for such Balloon Mortgage
Loan on each Distribution Date after the related Due Date and before the
Distribution Date with respect to which such Mortgage Loan was modified (or
further modified) by the Special Servicer pursuant to the Agreement, which will
generally be equal to the Monthly Payment that would otherwise have been due
thereon during the related Due Period had such Balloon Payment not become due,
determined as provided in the Agreement.
The Scheduled Principal Balance of any REO Mortgage Loan will be determined
in the manner described above as if the related Note had remained outstanding.
Net proceeds received in respect of any REO Property in excess of the scheduled
Monthly Payments or Assumed Scheduled Payments that are assumed to remain in
effect will be treated as prepayments of the Scheduled Principal Balance of the
related REO Mortgage Loan.
In the event that a Mortgage Loan is prepaid in full, the principal portion
of any Monthly Payment received during the Prepayment Period in which such
prepayment is received but after the Due Period which ended during such
Prepayment Period shall be treated as part of such principal prepayment.
Interest
Interest will accrue on each Class of Offered Certificates at the applicable
rate (the "Pass-Through Rate") set forth below. The interest distributable on
the Classes of Fixed Rate Certificates on each Distribution Date will be the
interest accrued at the applicable Pass-Through Rate for each such Class on its
Certificate Principal Amount during each one-month period beginning on the first
day of the month preceding the month in which each Distribution Date occurs,
commencing September 1, 1994, less any Deferred Interest allocable thereto. The
interest distributable on the Classes of Floating Rate Certificates on each
Distribution Date will be the interest accrued at the applicable Pass-Through
Rate for each such Class on its Certificate Principal Amount during each
one-month period commencing on the 25th day of each month preceding such
Distribution Date and ending on the 24th day of the month in which the
Distribution Date occurs, less any Deferred Interest allocable thereto. The
monthly periods during which interest accrues on any Class of Offered
Certificates are each referred to herein as an "Interest Accrual Period" for
such Class.
The "Certificate Principal Amount" of any Class of Offered Certificates with
respect to any Distribution Date is the Certificate Principal Amount of such
Class as of the Cut-Off Date plus all Deferred Interest allocated to such Class
on the current and all previous Distribution Dates (as described herein under
"-- Allocation of Deferred Interest"), less all amounts previously distributed
to such Class in reduction of the Certificate Principal Amount thereof as
described below.
The amount of interest distributable with respect to any Class of Offered
Certificates during an Interest Accrual Period will be reduced by the amount of
any Deferred Interest allocated to such Class on the Distribution Date
immediately following such Interest Accrual Period as described herein under "--
Allocation of Deferred Interest."
Interest that accrues on each Class of Offered Certificates will be
calculated on the assumption that distributions on a Distribution Date in
reduction of Certificate Principal Amount thereof were made, and increases in
Certificate Principal Amount in connection with Deferred Interest allocated
thereto were added, at the end of the preceding Interest Accrual Period rather
than on the Distribution Date when actually made or added. Interest on each
Class of Offered Certificates will be calculated on the basis of a 360-day year
consisting of twelve 30-day months.
The amount of interest accrued on any Class of Offered Certificates during
an Interest Accrual Period ("Accrued Certificate Interest"), net of any Deferred
Interest allocated thereto, is referred to herein as the "Class Interest
Distribution Amount" with respect to such Interest Accrual Period. Such amount
will be distributed to the Holders of such Class, to the extent the Available
Distribution Amounts are sufficient therefor after application in accordance
with the priorities set forth herein under "-Allocation Among Classes," on the
Distribution Date immediately following such Interest Accrual Period.
During the initial Interest Accrual Period for the Class A-1 Certificates,
the Pass-Through Rate for the Class A-1 Certificates will be 5.5125% per annum.
During each subsequent Interest Accrual Period for the Class A-1 Certificates,
the Pass-Through Rate for the Class A-1 Certificates will be a per annum rate
equal to the lesser of (a) LIBOR as of the LIBOR Determination Date (as defined
herein) preceding such Interest Accrual Period plus 0.45%, and (b) 13.00% (the
"Class A-1 Pass-Through Rate").
During each Interest Accrual Period for the Class A-2A Certificates, the
Pass-Through Rate for the Class A-2A Certificates will be a per annum rate equal
to 6.80% (the "Class A-2A Pass-Through Rate").
During each Interest Accrual Period for the Class A-2B Certificates, the
Pass-Through Rate for the Class A-2B Certificates will be a per annum rate equal
to 7.45% (the "Class A-2B Pass-Through Rate").
During each Interest Accrual Period for the Class A-2C Certificates, the
Pass-Through Rate for the Class A-2C Certificates will be a per annum rate equal
to 7.45% (the "Class A-2C Pass-Through Rate").
During the initial Interest Accrual Period for the Class A-3 Certificates,
the Pass-Through Rate for the Class A-3 Certificates will be 5.6125% per annum.
During each subsequent Interest Accrual Period for the Class A-3 Certificates,
the Pass-Through Rate for the Class A-3 Certificates will be a per annum rate
equal to the lesser of (a) LIBOR as of the LIBOR Determination Date preceding
such Interest Accrual Period plus 0.55%, and (b) 13.00% (the "Class A-3
Pass-Through Rate").
During each Interest Accrual Period for the Class A-4 Certificates, the
Pass-Through Rate for the Class A-4 Certificates will be a per annum rate equal
to 7.25% (the "Class A-4 Pass-Through Rate").
During each Interest Accrual Period for the Class B Certificates, the
Pass-Through Rate for the Class B Certificates will be a per annum rate equal to
8.00% (the "Class B Pass-Through Rate").
During each Interest Accrual Period for the Class C Certificates, the
Pass-Through Rate for the Class C Certificates will be a per annum rate equal to
8.00% (the "Class C Pass-Through Rate").
During each Interest Accrual Period for the Class D Certificates, the
Pass-Through Rate for the Class D Certificates will be a per annum rate equal to
8.00% (the "Class D Pass-Through Rate").
During each Interest Accrual Period for the Class E Certificates, the
Pass-Through Rate for the Class E Certificates will be a per annum rate equal to
8.00% (the "Class E Pass-Through Rate").
During each Interest Accrual Period for the Class F Certificates, the
Pass-Through Rate for the Class F Certificates will be a per annum rate equal to
8.00% (the "Class F Pass-Through Rate").
Allocation of Deferred Interest
The aggregate amount of interest required to be paid to the Holders of
Certificates on any Distribution Date will be decreased by the aggregate amount
of negative amortization added to the principal balances of the Mortgage Loans
(or in the case of Discounted Mortgage Loans, added to the Scheduled Principal
Balances thereof) in the related Due Period to the extent that the Accrued
Certificate Interest on such Distribution Date for all Classes of Certificates
exceeds the aggregate Optimal Mortgage Loan Interest for all Mortgage Loan
Groups for such Distribution Date, and the amount thereof will be added to the
Certificate Principal Amounts of the Certificates in the priority described
below, in each case up to the amount of interest accrued on the applicable Class
of Certificates during the related Interest Accrual Period. The amount of
negative amortization on the Mortgage Loans added to the Certificate Principal
Amounts of the Certificates will be allocated sequentially to the Class F, Class
E, Class D, Class C, Class B and Class A Certificates, and further allocated
among the Class A Certificates first to the Class A-2A, Class A-2B and Class
A-2C Certificates and Class A-4 Certificates, pro rata on the basis of the
aggregate amount of negative amortization added to the principal balances of the
Mortgage Loans in Mortgage Loan Groups 1 and 2, on the one hand, and Mortgage
Loan Groups 3 and 4, on the other hand, and second, any remaining amount to the
Class A-1 and Class A-3 Certificates on the same pro rata basis.
With respect to each Discounted Mortgage Loan, the Deferred Interest
allocated thereto will equal the increase in the Scheduled Principal Balance of
such Mortgage Loan rather than the increase in its actual principal balance, and
will be equal to the excess of (a) interest accrued on the Scheduled Principal
Balance thereof during the interest accrual period ending on the preceding Due
Date thereof at the Assumed Net Mortgage Interest Rate over (b) the amount of
the Monthly Payment or Assumed Scheduled Payment due on such Due Date, net of
any applicable servicing fees, including without limitation the Special
Servicer's Workout Fee.
Basis Risk
Initially, the Certificate Principal Amounts of the Class A-1, Class A-2A,
Class A-2B and Class A-2C Certificates will be equal to approximately 65% of the
aggregate Scheduled Principal Balance of the Group 1 and Group 2 Mortgage Loans.
The Certificate Principal Amounts of the Class A-3 Certificates will be
approximately equal to 100% of the aggregate Scheduled Principal Balance of the
Group 3 Mortgage Loans plus 35% of the aggregate Scheduled Principal Balance of
the Group 1 Mortgage Loans, and the Certificate Principal Amount of the
Commercial Fixed Rate Certificates will be approximately equal to 100% of the
aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans plus 35% of
the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans.
Accordingly, the Certificate Principal Amounts of the Fixed Rate Certificates
will approximately equal the aggregate Scheduled Principal Balance of the Group
2 and Group 4 Mortgage Loans (which bear interest at fixed rates or adjustable
rates subject to specified floors), and the Certificate Principal Amounts of the
Floating Rate Certificates will equal approximately the aggregate Scheduled
Principal Balance of the Group 1 and Group 3 Mortgage Loans (which bear interest
at variable rates based on a variety of Indexes). Such correspondence is
expected to vary over time, however, because, among other things, (a) at a time
when the Certificate Principal Amount of the Class A-1 Certificates has been
reduced to zero, the Optimal Mortgage Loan Principal of the Group 1 Mortgage
Loans will first be applied to distribution of principal on the Class A-2A,
Class A-2B and Class A-2C Certificates rather than to the Class A-3
Certificates, (b) at a time when the Certificate Principal Amounts of the Class
A-2A, Class A-2B and Class A-2C Certificates have been reduced to zero, the
Optimal Mortgage Loan Principal of the Group 2 Mortgage Loans will first be
applied to distribution of principal on the Class A-1 Certificates rather than
to the Class A-4 Certificates, (c) at a time when the Certificate Principal
Amount of the Class A-3 Certificates has been reduced to zero, the Optimal
Mortgage Loan Principal of the Group 3 Mortgage Loans will be applied to
distribution of principal on the Class A-4 Certificates rather than to the Class
A-1 Certificates, (d) at a time when the Certificate Principal Amount of the
Class A-4 Certificates has been reduced to zero, the Optimal Mortgage Loan
Principal of the Group 4 Mortgage Loans will first be applied to the Class A-3
Certificates rather than to the remaining Commercial Fixed Rate Certificates,
(e) excess interest, which may come from adjustable rate Mortgage Loans, may be
used to retire the Fixed Rate Certificates and (f) if the Reserve Fund is
reduced to the Liquidity Amount and losses are incurred on the Mortgage Loans
which are not covered from the Reserve Fund, such losses may effectively be
borne by Classes of Certificates not having comparable types of interest rates
to those of the Mortgage Loans on which the losses were incurred.
The Pass-Through Rates of the Class A-1 and Class A-3 Certificates are based
upon the value of LIBOR, which may be different from the value of the Indexes
upon which the Mortgage Interest Rates of the Group 1 and Group 3 Mortgage Loans
are based (either as a result of the use of a different index, rate
determination date, rate adjustment date or rate cap or floor). Consequently,
the interest that becomes due on such Mortgage Loans (net of the servicing fees)
during any Due Period may not equal the amount of interest that would accrue at
LIBOR plus the applicable margin on the Class A-1 or Class A-3 Certificates,
subject to the cap thereon, during the related Interest Accrual Period. In
particular, the Pass-Through Rates of the Class A-1 and Class A-3 Certificates
adjust monthly, while the interest rates of the Mortgage Loans in many cases
adjust less frequently (generally at six-month, twelve-month, three-year or
five-year intervals), such that the Net Mortgage Interest Rates of such Mortgage
Loans may be lower than such Pass-Through Rates for extended periods in a rising
interest rate environment. In addition, because interest accruing on the Offered
Certificates will be calculated on the basis of a 360-day year consisting of
twelve 30-day months, while the Mortgage Loans may accrue interest on another
basis (such as the actual number of days in the related interest accrual
period), the interest that becomes due on the Mortgage Loans (net of servicing
fees) on Due Dates therefor occurring in any Due Period may be less than the
amount of interest that accrues on a corresponding Certificate Principal Amount
of the Offered Certificates during the related Interest Accrual Period. In
addition, with respect to the Class A-1 and Class A-3 Certificates, LIBOR and
the Indexes applicable to the Mortgage Loans included in Mortgage Loan Groups 1
and 3 may respond to different economic and market factors, and there is no
necessary correspondence between them. Thus, it is possible, for example, that
LIBOR may rise during periods in which one or more of the Indexes are stable or
are falling or that, even if both LIBOR and the Indexes rise during the same
period, LIBOR may rise much more rapidly than the Indexes. Furthermore, certain
Group 2 Mortgage Loans bear fixed Mortgage Interest Rates that may be lower than
the weighted average of the Pass-Through Rates of the Multifamily Fixed Rate
Certificates. Similarly, certain Group 4 Mortgage Loans bear fixed Mortgage
Interest Rates that may be lower than the weighted average of the Pass-Through
Rates of the Commercial Fixed Rate Certificates. Finally, one of the adjustable
rate Mortgage Loans, with a principal balance as of the Cut-Off Date of
approximately $4,899,660, representing approximately 1.84% of the aggregate
Scheduled Principal Balance of the Mortgage Loans in Mortgage Loan Group 3, is
convertible to a fixed Mortgage Interest Rate, which rate (net of servicing
fees) may be lower at any time than the Pass-Through Rate of the Class A-3
Certificates.
Any shortfall in accrued interest at the Net Mortgage Interest Rates on the
Mortgage Loans (after giving effect to any Excess Prepayment Interest or
Prepayment Interest Shortfall as described below) in relation to accrued
interest at the respective Pass-Through Rates on the Offered Certificates is
referred to herein as a "Basis Risk Shortfall." A Basis Risk Shortfall may not
exist in some cases even though the Pass-Through Rate on one or more Classes of
Offered Certificates exceeds the Weighted Average Net Mortgage Interest Rate (as
defined below) of the Mortgage Loans in the related Mortgage Loan Group because,
among other things, (i) other Classes of Offered Certificates may bear interest
at a Pass-Through Rate which is less than the Weighted Average Net Mortgage
Interest Rate of the Mortgage Loans in the related Mortgage Loan Group or (ii)
interest may be accruing on an aggregate principal balance of Mortgage Loans
which is greater than the aggregate Certificate Principal Amount of the Offered
Certificates. In addition, the Reserve Fund will be available to cover any
remaining Basis Risk Shortfall, except in certain cases to the extent the
balance in the Reserve Fund has been reduced to the Liquidity Amount. See "--
Reserve Fund."
If a Borrower prepays a Mortgage Loan in whole or in part, makes a Balloon
Payment or makes any payment of principal on a Simple Interest Loan during a
Prepayment Period and the date on which such payment is made (or, with respect
to a Balloon Payment, the date through which interest thereon accrues) is prior
to the Due Date for such Mortgage Loan in the related Due Period, the amount of
interest (net of servicing fees) which accrues on the amount of such principal
payment will be less than the corresponding amount of interest accruing on the
Offered Certificates. If such a principal payment occurs during a Prepayment
Period but after the Due Date for such Mortgage Loan in the related Due Period
(or, with respect to a Balloon Payment, the date through which interest thereon
accrues), the amount of interest (net of servicing fees) which accrues on the
amount of such principal payment will exceed the corresponding amount of
interest accruing on the Offered Certificates. To the extent that such excesses
for all Mortgage Loans exceed such shortfalls for all Mortgage Loans as of any
Determination Date, such net amount ("Excess Prepayment Interest") will be
applied as described below under "-- Allocation Among Classes." To the extent
that such shortfalls for all Mortgage Loans exceed such excesses for such
Mortgage Loans as of any Determination Date, such net shortfall (a "Prepayment
Interest Shortfall") will reduce funds available from Mortgage Loan payments for
distribution to Certificateholders. As described in the preceding paragraph and
under "-- Reserve Fund," excess cash flow, if any, from Mortgage Loans and
amounts in the Reserve Fund will be available to cover such shortfalls.
The Regular Interests corresponding to each Class of the Offered
Certificates bear interest at a rate (each, a "REMIC Pass-Through Rate") equal
to the Pass-Through Rate for the related Class of Offered Certificates if no
Basis Risk Shortfall exists, and otherwise bear interest at a REMIC Pass-Through
Rate equal, in the case of the Fixed Rate Certificates, to the Pass-Through Rate
of the related Class of Offered Certificates and, in the case of the Floating
Rate Certificates, to the product of (a) the Pass-Through Rate for the related
Class of Offered Certificates and (b) a ratio, the numerator of which is the
interest accrued at the Net Mortgage Interest Rate on all Mortgage Loans with
respect to such Distribution Date, less interest accrued during the preceding
Interest Accrual Period on the Fixed Rate Certificates, and the denominator of
which is interest accrued at the Pass-Through Rate on all of the Offered
Certificates other than the Fixed Rate Certificates during the preceding
Interest Accrual Period. If the Trustee determines on any Determination Date
that a Basis Risk Shortfall exists or that there are Uncovered Basis Risk
Shortfalls (i.e., Basis Risk Shortfalls from prior periods not covered by
Reserve Fund draws, as described below), the Trustee will determine the sum of
(x) the interest due on the Floating Rate Certificates in excess of interest due
on the corresponding Regular Interests and (y) the Uncovered Basis Risk
Shortfalls for such Floating Rate Certificates and interest thereon (such sum,
the "Total Basis Risk Amount"). On the related Distribution Date, the Trustee
will draw on the Reserve Fund in an amount (the "Basis Risk Reserve Fund Draw
Amount") specified under "-- Reserve Fund," up to the amount of the Total Basis
Risk Amount. The Basis Risk Reserve Fund Draw Amount will be applied to the
Class A-1 and Class A-3 Certificates (pro rata among such Classes, except that
distributions to the Class A-1 Certificates may be limited as provided under "--
Reserve Fund -- Liquidity Amount"), in each case (x) first, in an amount equal
to the difference between interest at the Pass-Through Rate thereon and interest
at the REMIC Pass-Through Rate on the related Class of Regular Interests (the
"REMIC Rate Shortfall" for such Class) and (y) second, in the amount of any
Uncovered Basis Risk Shortfall from prior Distribution Dates plus interest
thereon at the applicable Pass-Through Rate, compounded monthly. Any remaining
Basis Risk Shortfall (an "Uncovered Basis Risk Shortfall") for any such Class
will be deducted from interest currently distributable to such Class, but will
be added to amounts to which Holders of Certificates of such Class are entitled
on future Distribution Dates, together with interest thereon at the applicable
Pass-Through Rate compounded monthly, but only from Basis Risk Reserve Fund Draw
Amounts on such future Distribution Dates.
As of the Cut-Off Date, the difference between the weighted average of the
Net Mortgage Interest Rates, weighted on the basis of the actual principal
balances of the Mortgage Loans on which interest accrues (the "Weighted Average
Net Mortgage Interest Rate"), of the Mortgage Loans in Mortgage Loan Group 1 and
the Pass-Through Rate of the Class A-1 Certificates (such difference from time
to time, the "Group 1 Interest Rate Spread") was approximately 1.742% per annum,
and the difference between (x) the weighted average of the Net Mortgage Interest
Rates which would be applicable on each Mortgage Loan in Mortgage Loan Group 1
if it adjusted immediately to its Index plus its Margin, subject only to its
Maximum Rate or Floor Interest Rate, and (y) the Pass-Through Rate of the Class
A-1 Certificates (the "Group 1 Fully Indexed Interest Rate Spread") was
approximately 1.689% per annum. However, there can be no assurance that such
positive Group 1 Interest Rate Spread or Group 1 Fully Indexed Interest Rate
Spread will not decline to zero or become negative. As of the Cut-Off Date, the
difference between the Weighted Average Net Mortgage Interest Rate of the
Mortgage Loans in Mortgage Loan Group 2 and the weighted average Pass-Through
Rates of the Multifamily Fixed Rate Certificates (such difference from time to
time, the "Group 2 Interest Rate Spread") was approximately 1.397% per annum,
and the difference between (x) the weighted average of the Net Mortgage Interest
Rates which would be applicable on each Mortgage Loan in Mortgage Loan Group 2
if each adjustable rate Group 2 Mortgage Loan adjusted immediately to its Index
plus its Margin, subject only to its Maximum Rate or Floor Interest Rate, and
(y) the weighted average Pass-Through Rates of the Multifamily Fixed Rate
Certificates (the "Group 2 Fully Indexed Interest Rate Spread") was
approximately 1.351% per annum. However, there can be no assurance that such
positive Group 2 Interest Rate Spread or Group 2 Fully Indexed Interest Rate
Spread will not decline to zero or become negative. As of the Cut-Off Date, the
difference between the Weighted Average Net Mortgage Interest Rate of (a) 100%
of the Mortgage Loans in Mortgage Loan Group 3 and (b) 35% of the Mortgage Loans
in Mortgage Loan Group 1 (assuming that the Weighted Average Net Mortgage
Interest Rate of such portion of Group 1 Mortgage Loans is equal to the Weighted
Average Net Mortgage Interest Rate of all of the Mortgage Loans in Mortgage Loan
Group 1), and the Pass-Through Rate of the Class A-3 Certificates (such
difference from time to time, the "Group 3 Interest Rate Spread") was
approximately 1.708% per annum, and the difference between (x) the weighted
average of the Net Mortgage Interest Rates which would be applicable on each
Mortgage Loan in Mortgage Loan Group 3 and on the portion of Mortgage Loan Group
1 described in (b) above if it adjusted immediately to its Index plus its
Margin, subject only to its Maximum Rate or Floor Interest Rate, and (y) the
Pass-Through Rate of the Class A-3 Certificates (the "Group 3 Fully Indexed
Interest Rate Spread") was approximately 1.913% per annum. However, there can be
no assurance that such positive Group 3 Interest Rate Spread or Group 3 Fully
Indexed Interest Rate Spread will not decline to zero or become negative. As of
the Cut-Off Date, the difference between the Weighted Average Net Mortgage
Interest Rate of (a) 100% of the Mortgage Loans in Mortgage Loan Group 4 and (b)
35% of the Mortgage Loans in Mortgage Loan Group 2 (assuming that the Weighted
Average Net Mortgage Interest Rate of such portion of Group 2 Mortgage Loans is
equal to the Weighted Average Net Mortgage Interest Rate of all of the Mortgage
Loans in Mortgage Loan Group 2), and the weighted average Pass-Through Rates of
the Commercial Fixed Rate Certificates (such difference from time to time, the
"Group 4 Interest Rate Spread") was approximately 0.923% per annum, and the
difference between (x) the weighted average of the Net Mortgage Interest Rates
which would be applicable on each Mortgage Loan in Mortgage Loan Group 4 and on
the portion of Mortgage Loan Group 2 described in (b) above if each adjustable
rate Group 2 and Group 4 Mortgage Loan adjusted immediately to its Index plus
its Margin, subject only to its Maximum Rate (as defined herein) or Floor
Interest Rate, and (y) the weighted average Pass-Through Rates of the Commercial
Fixed Rate Certificates (the "Group 4 Fully Indexed Interest Rate Spread") was
approximately 0.911% per annum. However, there can be no assurance that such
positive Group 4 Interest Rate Spread or Group 4 Fully Indexed Interest Rate
Spread will not decline to zero or become negative.
Interest due on the Mortgage Loans at their respective Mortgage Interest
Rates (net of applicable servicing fees) which is in excess of interest on the
Offered Certificates at their respective Pass-Through Rates will be applied to
principal on the Offered Certificates as described under "-- Allocation Among
Classes" herein, generally creating overcollateralization. Any such
overcollateralization will reduce the likelihood of Basis Risk Shortfalls, since
interest will then accrue on the Mortgage Loans on a higher balance than the
aggregate Certificate Principal Amount on which interest on the Offered
Certificates accrues. While the Group 2 Interest Rate Spread or the Group 4
Interest Rate Spread may decrease over time, and may in fact be negative, due to
disproportionate prepayments of Group 2 or Group 4 Mortgage Loans with higher
fixed Net Mortgage Interest Rates, any such reduction or negative spread may be
offset by the effects of the Group 1 Interest Rate Spread or the Group 3
Interest Rate Spread and the effects of overcollateralization. Similarly, both
the Group 1 Interest Rate Spread and the Group 3 Interest Rate Spread may
decrease over time, or may in fact be negative, as a result of events described
above. Any such reduction or negative spread may be offset by the effects of the
Group 2 Interest Rate Spread or the Group 4 Interest Rate Spread and the effects
of overcollateralization. Furthermore, while overcollateralization is expected
to increase in the months immediately following the Cut-Off Date, there is no
assurance that such overcollateralization will continue to grow, or that it will
not be reduced by credit losses after the Reserve Fund has been reduced to the
Liquidity Amount.
Determination of LIBOR
On the second LIBOR Business Day preceding each Distribution Date (each such
date, a "LIBOR Determination Date"), commencing in October 1994, the Trustee
will determine the London interbank offered rate for one-month U.S. dollar
deposits ("LIBOR") for the next Interest Accrual Period for the Floating Rate
Certificates on the basis of the offered rates of the Reference Banks for
one-month U.S. dollar deposits, as such rates appear on the Reuters Screen LIBO
Page, as of 11:00 a.m. (London time) on such LIBOR Determination Date. "LIBOR
Business Day" means a day on which banks are open for dealing in foreign
currency and exchange in London and New York City; "Reuters Screen LIBO Page"
means the display designated as page "LIBO" on the Reuters Monitor Money Rates
Service (or such other page as may replace the LIBO page on that service for the
purpose of displaying London interbank offered rates of major banks); and
"Reference Banks" means leading banks engaged in transactions in Eurodollar
deposits in the international Eurocurrency market (i) with an established place
of business in London, (ii) not controlling, under the control of or under
common control with, the RTC, (iii) whose quotations appear on the Reuters
Screen LIBO Page on the LIBOR Determination Date in question and (iv) which have
been designated as such from time to time by the Trustee. The initial Reference
Banks will be the Bank of Tokyo, Ltd., Barclays Bank PLC, National Westminster
Bank, PLC, and Bankers Trust Company. If any of the initial Reference Banks
should be removed from the Reuters Screen LIBO Page or in any other way fail to
meet the qualifications of a Reference Bank, the Trustee will use its best
efforts to designate alternative Reference Banks.
LIBOR for the first Interest Accrual Period will be 5.0625% per annum. On
each LIBOR Determination Date, LIBOR for the next Interest Accrual Period for
the Floating Rate Certificates will be established by the Trustee as follows:
(a) If on any LIBOR Determination Date two or more Reference Banks
provide such offered quotations, LIBOR for the next Interest Accrual Period
for such Certificates shall be the arithmetic mean of such offered
quotations (rounded upwards if necessary to the nearest whole multiple of
1/16%).
(b) If on any LIBOR Determination Date fewer than two Reference Banks
provide such offered quotations, LIBOR for the next Interest Accrual Period
for such Certificates shall be the higher of (x) LIBOR as determined on the
previous LIBOR Determination Date and (y) the Reserve Interest Rate. The
"Reserve Interest Rate" shall be the rate per annum that the Trustee
determines to be (i) the arithmetic mean (rounded upwards if necessary to
the nearest whole multiple of 1/16%) of the one-month U.S. dollar lending
rates which three New York City banks selected by the Trustee after
consultation with the Seller are quoting on the relevant LIBOR Determination
Date to the principal London offices of leading banks in the London
interbank market or, in the event that the Trustee can determine no such
arithmetic mean, (ii) the lowest one-month U.S. dollar lending rate which
the New York City banks so selected by the Trustee are quoting on such LIBOR
Determination Date to leading European banks.
(c) If on any LIBOR Determination Date the Trustee is required but
unable to determine LIBOR in the manner provided in paragraphs (a) and (b)
above, LIBOR for the next Interest Accrual Period for such Certificates
shall be LIBOR as determined on the previous LIBOR Determination Date or, in
the case of the first LIBOR Determination Date, 5.0625%.
The establishment of LIBOR on each LIBOR Determination Date by the Trustee
and the Trustee's calculation of the rates of interest applicable to the
Floating Rate Certificates for the related Interest Accrual Period shall (in the
absence of manifest error) be final and binding. Each such rate of interest may
be obtained by telephoning the Trustee at (617) 985-5500.
Distributions in Reduction of Certificate Principal Amount
The Available Distribution Amounts for any Distribution Date will be
allocated among the Classes of the Certificates, resulting in distributions in
reduction of Certificate Principal Amount, as described below under "--
Allocation Among Classes."
Group Available Funds; Reserve Fund Draws
The "Group Available Funds" for each Mortgage Loan Group with respect to any
Distribution Date will equal (a) the amount on deposit in the Collection Account
with respect to the Mortgage Loans included in such Mortgage Loan Group (other
than any investment income earned thereon) as of the close of business on the
related Determination Date minus (b) the sum of (i) the portion of the amount
described in clause (a) hereof that represents Monthly Payments received but due
during any subsequent Due Period (or, with respect to Simple Interest Loans,
that represents interest accrued on the Scheduled Principal Balance thereof
after the Due Date in the related Due Period) and (ii) all other amounts related
to such Mortgage Loan Group (or, if not related to a particular Mortgage Loan
Group, as allocated to such Mortgage Loan Group pursuant to the Agreement)
either not required to be deposited by the Master Servicer in the Collection
Account or permitted or required to be withdrawn therefrom by the Master
Servicer pursuant to the Agreement (including, among other things, servicing
fees, reimbursements for certain expenses of the Master Servicer or Special
Servicer and reimbursements to the Reserve Fund of (x) advances of (i) principal
and interest with respect to delinquent Monthly Payments as described under "--
Reserve Fund -- Credit Draws," and (ii) amounts required to satisfy or keep
current a lien not included in the Mortgage Pool and senior to a Mortgage Loan
secured by a junior lien (a "Senior Lien Advance") as described under "SERVICING
OF THE MORTGAGE LOANS -- Senior Lien Advances" and (y) collections on Discounted
Mortgage Loans after the Scheduled Principal Balances thereof have been reduced
to zero), in each case allocable to the Mortgage Loans included in such Mortgage
Loan Group (or, as to amounts not allocable to particular Mortgage Loans, a pro
rata portion thereof, based on the respective amount of payments on the Mortgage
Loans in any Mortgage Loan Group).
To the extent that Mortgage Loan payments that would have been included in
the Optimal Available Funds for any Mortgage Loan Group on any Distribution Date
have not been received by the close of business on the related Determination
Date, the shortfall between such Optimal Available Funds and the Group Available
Funds will be covered, to the extent funds are sufficient therefor, first, from
Amounts Held for Future Distribution (limited, in the case of Mortgage Loan
Groups 1 and 2, to the Amounts Held for Future Distribution received on Eligible
Multifamily Mortgage Loans), and second, to the extent that such shortfall
exceeds any such Amounts Held for Future Distribution, from amounts drawn from
the Reserve Fund as more fully described herein under "-- Reserve Fund."
Notwithstanding the foregoing, so long as any related Class A, Class B, Class C,
Class D or Class E Certificate remains outstanding, no such draw (and no draw
from the Reserve Fund to cover any portion of the Total Basis Risk Amount, to
the extent not currently reimbursable from Current Credit Deposit Amounts as
described under "-- Regular Interests") will be made which would reduce the
balance of the Reserve Fund below the Liquidity Amount, except to the extent
required to make the minimum distribution then required to be made on the Class
A Certificates equal, in each case, to the current and past due interest thereon
plus distributions of Optimal Mortgage Loan Principal then payable or past due
or, if and only if no Class A Certificates remain outstanding, to the extent
required to make the minimum distribution then required to be made on the Class
B Certificates, equal to the current and past due interest thereon plus
distributions of Optimal Mortgage Loan Principal then payable or past due or, if
and only if no Class A or Class B Certificates remain outstanding, to the extent
required to make the minimum distribution then required to be made on the Class
C Certificates, equal to the current and past due interest thereon plus
distributions of Optimal Mortgage Loan Principal then payable or past due or, if
and only if no Class A, Class B or Class C Certificates remain outstanding, to
the extent required to make the minimum distribution then required to be made on
the Class D Certificates, equal to the current and past due interest thereon
plus distributions of Optimal Mortgage Loan Principal then payable or past due
or, if and only if no Class A, Class B, Class C or Class D Certificates remain
outstanding, to the extent required to make the minimum distribution then
required to be made on the Class E Certificates, equal to the current and past
due interest thereon plus distributions of Optimal Mortgage Loan Principal then
payable or past due. See "-- Reserve Fund" herein. To the extent Amounts Held
for Future Distribution or amounts drawn from the Reserve Fund are not
sufficient to cover the full shortfalls for all Mortgage Loan Groups, such
amounts will be allocated pro rata among the four Mortgage Loan Groups based on
the respective shortfalls in each group, provided that the allocation of amounts
distributable to the Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates shall not exceed the limitation set forth above or the limitation
described under "-- Reserve Fund -- Liquidity Amount."
Allocation Among Classes
On each Distribution Date, the Trustee will determine the Available
Distribution Amount for each Mortgage Loan Group. To the extent the amount in
the Reserve Fund is less than the Liquidity Amount as described under "--
Reserve Fund -- Liquidity Amount," draws on the Reserve Fund (other than draws
that are matched by deposits therein of Current Credit Deposit Amounts as
described under "-- Regular Interests") included in the Available Distribution
Amount will be limited. See "-- Reserve Fund" herein.
Each of the Class A-1, Class A-2A, Class A-2B, Class A-2C, Class A-3 and
Class A-4 Certificates is entitled to distributions of principal, to the extent
of funds available therefor, in an amount equal to the "Primary Principal
Distribution Amount" (as described below) for such Class, plus certain other
amounts as described below.
The Primary Principal Distribution Amount for each of the Class A-1, Class
A-2A, Class A-2B and Class A-2C Certificates is determined as follows:
First, the lesser of (a) the Optimal Mortgage Loan Principal for
Mortgage Loan Group 1 and (b) the aggregate remaining principal balance of
the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates, is
allocated sequentially, first to the Class A-1 Certificates, second to the
Class A-2A Certificates, third to the Class A-2B Certificates and fourth to
the Class A-2C Certificates, in each case up to an amount equal to the
remaining Certificate Principal Amount thereof; and
Second, the lesser of (a) the Optimal Mortgage Loan Principal for
Mortgage Loan Group 2 and (b) the aggregate remaining principal balance of
the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates (after
giving effect to any amounts allocated pursuant to clause First above), is
allocated sequentially, first to the Class A-2A Certificates, second to the
Class A-2B Certificates, third to the Class A-2C Certificates and fourth to
the Class A-1 Certificates, in each case up to an amount equal to the
remaining Certificate Principal Amount thereof.
The Primary Principal Distribution Amount for each of the Class A-3 and
Class A-4 Certificates is determined as follows:
First, the lesser of (a) the Optimal Mortgage Loan Principal for
Mortgage Loan Group 3 and (b) the aggregate remaining principal balance of
the Class A-3 and Class A-4 Certificates, is allocated sequentially, first
to the Class A-3 Certificates and second to the Class A-4 Certificates, in
each case up to an amount equal to the remaining Certificate Principal
Amount thereof; and
Second, the lesser of (a) the Optimal Mortgage Loan Principal for
Mortgage Loan Group 4 and (b) the aggregate remaining principal balance of
the Class A-3 and Class A-4 Certificates (after giving effect to any amounts
allocated pursuant to clause First above), is allocated sequentially, first
to the Class A-4 Certificates and second to the Class A-3 Certificates, in
each case up to an amount equal to the remaining Certificate Principal
Amount thereof.
On each Distribution Date, the aggregate of the Available Distribution
Amounts for Mortgage Loan Groups 3 and 4 (including Group Available Funds for
each such Mortgage Loan Group and Amounts Held for Future Distribution (to the
extent included therein as described above) and draws on the Reserve Fund as
described under "-- Group Available Funds; Reserve Fund Draws" above allocated
to such Mortgage Loan Groups) and any amounts from Mortgage Loan Groups 1 and 2
allocated as set forth below will be distributed in respect of each Class in the
amounts (to the extent sufficient therefor), and in the order of priority, as
follows:
First, to the Class A-3 and Class A-4 Certificates in respect of
interest, pro rata, in each case up to an amount equal to the Class Interest
Distribution Amount of such Class;
Second, to the Class A-3 and Class A-4 Certificates in respect of
interest, pro rata, in each case up to an amount equal to the Class Unpaid
Interest Shortfall of such Class;
Third, to the Class A-3 and Class A-4 Certificates in reduction of the
Certificate Principal Amounts thereof, pro rata, in each case in an amount
equal to the Primary Principal Distribution Amount of each such Class;
Fourth, to the Class A-3 and Class A-4 Certificates in reduction of the
Certificate Principal Amounts thereof, pro rata, in an aggregate amount
equal to any amounts previously distributable under the preceding clause
Third and not previously distributed thereunder or under this clause Fourth;
Fifth, so long as any Class A-3 and Class A-4 Certificates remain
outstanding, to the Collateral Agent for deposit into the Reserve Fund, up
to the amount necessary, after application of funds pursuant to clause
Eleventh of the priorities for the Available Distribution Amounts for
Mortgage Loan Groups 1 and 2, for the balance of the Reserve Fund to equal
the Liquidity Amount;
Sixth, to the Class B Certificates in respect of interest, up to an
amount equal to the Class Interest Distribution Amount thereof;
Seventh, to the Class B Certificates in respect of interest, up to an
amount equal to the Class Unpaid Interest Shortfall of such Class;
Eighth, to the Class B Certificates in reduction of the Certificate
Principal Amount thereof until the Certificate Principal Amount thereof has
been reduced to zero, but only up to the amount, if any, by which the
aggregate Optimal Mortgage Loan Principal for all Mortgage Loan Groups
(including Mortgage Loan Groups 1 and 2) exceeds the aggregate amount
distributed pursuant to the preceding clauses Third and Fourth and clauses
Third, Fourth, Seventh, Eighth, Ninth and Tenth of the priorities for the
Available Distribution Amounts for Mortgage Loan Groups 1 and 2;
Ninth, to the Class B Certificates in reduction of the Certificate
Principal Amount thereof until the Certificate Principal Amount thereof has
been reduced to zero, in an aggregate amount equal to the amount previously
distributable under clause Eighth above and not previously distributed
thereunder or under this clause Ninth;
Tenth, so long as any Class B Certificates remain outstanding, to the
Collateral Agent for deposit into the Reserve Fund, up to the amount
necessary for the balance of the Reserve Fund to equal the Liquidity Amount;
Eleventh, to the Class C Certificates in respect of interest, up to an
amount equal to the Class Interest Distribution Amount thereof;
Twelfth, to the Class C Certificates in respect of interest, up to an
amount equal to the Class Unpaid Interest Shortfall of such Class;
Thirteenth, to the Class C Certificates in reduction of the Certificate
Principal Amount thereof until the Certificate Principal Amount thereof has
been reduced to zero, but only up to the amount, if any, by which the
aggregate Optimal Mortgage Loan Principal for all Mortgage Loan Groups
(including Mortgage Loan Groups 1 and 2) exceeds the aggregate amount
distributed pursuant to the preceding clauses Third, Fourth, Eighth and
Ninth and clauses Third, Fourth, Seventh, Eighth, Ninth and Tenth of the
priorities for the Available Distribution Amounts for Mortgage Loan Groups 1
and 2;
Fourteenth, to the Class C Certificates in reduction of the Certificate
Principal Amount thereof until the Certificate Principal Amount thereof has
been reduced to zero, in an aggregate amount equal to the amount previously
distributable under clause Thirteenth above and not previously distributed
thereunder or under this clause Fourteenth;
Fifteenth, so long as any Class C Certificates remain outstanding, to
the Collateral Agent for deposit into the Reserve Fund, up to the amount
necessary for the balance of the Reserve Fund to equal the Liquidity Amount;
Sixteenth, to the Class D Certificates in respect of interest, up to an
amount equal to the Class Interest Distribution Amount thereof;
Seventeenth, to the Class D Certificates in respect of interest, up to
an amount equal to the Class Unpaid Interest Shortfall of such Class;
Eighteenth, to the Class D Certificates in reduction of the Certificate
Principal Amount thereof until the Certificate Principal Amount thereof has
been reduced to zero, but only up to the amount, if any, by which the
aggregate Optimal Mortgage Loan Principal for all Mortgage Loan Groups
(including Mortgage Loan Groups 1 and 2) exceeds the aggregate amount
distributed pursuant to the preceding clauses Third, Fourth, Eighth, Ninth,
Thirteenth and Fourteenth and clauses Third, Fourth, Seventh, Eighth, Ninth
and Tenth of the priorities for the Available Distribution Amounts for
Mortgage Loan Groups 1 and 2;
Nineteenth, to the Class D Certificates in reduction of the Certificate
Principal Amount thereof until the Certificate Principal Amount thereof has
been reduced to zero, in an aggregate amount equal to the amount previously
distributable under clause Eighteenth above and not previously distributed
thereunder or under this clause Nineteenth;
Twentieth, so long as any Class D Certificates remain outstanding, to
the Collateral Agent for deposit into the Reserve Fund, up to the amount
necessary for the balance of the Reserve Fund to equal the Liquidity Amount;
Twenty-first, to the Class E Certificates in respect of interest, up to
an amount equal to the Class Interest Distribution Amount thereof;
Twenty-second, to the Class E Certificates in respect of interest, up to
an amount equal to the Class Unpaid Interest Shortfall of such Class;
Twenty-third, to the Class E Certificates in reduction of the
Certificate Principal Amount thereof until the Certificate Principal Amount
thereof has been reduced to zero, but only up to the amount, if any, by
which the aggregate Optimal Mortgage Loan Principal for all Mortgage Loan
Groups (including Mortgage Loan Groups 1 and 2) exceeds the aggregate amount
distributed pursuant to the preceding clauses Third, Fourth, Eighth, Ninth,
Thirteenth, Fourteenth, Eighteenth and Nineteenth and clauses Third, Fourth,
Seventh, Eighth, Ninth and Tenth of the priorities for the Available
Distribution Amounts for Mortgage Loan Groups 1 and 2;
Twenty-fourth, to the Class E Certificates in reduction of the
Certificate Principal Amount thereof until the Certificate Principal Amount
thereof has been reduced to zero, in an aggregate amount equal to the amount
previously distributable under clause Twenty-third above and not previously
distributed thereunder or under this clause Twenty-fourth;
Twenty-fifth, so long as any Class E Certificates remain outstanding, to
the Collateral Agent for deposit into the Reserve Fund, up to the amount
necessary for the balance of the Reserve Fund to equal the Liquidity Amount;
Twenty-sixth, to the Class F Certificates in respect of interest, up to
an amount equal to the Class Interest Distribution Amount thereof;
Twenty-seventh, to the Class F Certificates in respect of interest, up
to an amount equal to the Class Unpaid Interest Shortfall of such Class;
Twenty-eighth, to the Class F Certificates in reduction of the
Certificate Principal Amount thereof until the Certificate Principal Amount
thereof has been reduced to zero, but only up to the amount, if any, by
which the aggregate Optimal Mortgage Loan Principal for all Mortgage Loan
Groups (including Mortgage Loan Groups 1 and 2) exceeds the aggregate amount
distributed pursuant to the preceding clauses Third, Fourth, Eighth, Ninth,
Thirteenth, Fourteenth, Eighteenth, Nineteenth, Twenty-third and
Twenty-fourth and clauses Third, Fourth, Seventh, Eighth, Ninth and Tenth of
the priorities for the Available Distribution Amounts for Mortgage Loan
Groups 1 and 2;
Twenty-ninth, to the Class F Certificates in reduction of the
Certificate Principal Amount thereof until the Certificate Principal Amount
thereof has been reduced to zero, in an aggregate amount equal to the amount
previously distributable under clause Twenty-eighth above and not previously
distributed thereunder or under this clause Twenty-ninth;
Thirtieth, to the Collateral Agent for deposit into the Reserve Fund, up
to the amount equal to the lesser of (a) any unreimbursed Credit Reserve
Fund Draw Amounts and (b) all previous Basis Risk Reserve Fund Draw Amounts
less amounts previously deposited in the Reserve Fund pursuant to this
clause Thirtieth;
Thirty-first, any remaining amounts to the Offered Certificates (other
than the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates) in
reduction of the Certificate Principal Amounts thereof, applied concurrently
to the Class D, Class E and Class F Certificates, in the ratio of 20 to 50
to 30, provided that after the Certificate Principal Amount of any such
Class has been reduced to zero, the ratio otherwise payable thereto shall be
applied sequentially to the Class C, Class D, Class E, Class F, Class B,
Class A-4 and Class A-3 Certificates, in that order, in each case until the
Certificate Principal Amount thereof has been reduced to zero; and
Thirty-second, any remaining amounts to the Class R Certificates.
On each Distribution Date, the aggregate of the Available Distribution
Amounts for Mortgage Loan Groups 1 and 2 (including Group Available Funds for
each such Mortgage Loan Group and Amounts Held for Future Distribution (to the
extent included therein as described above) and draws on the Reserve Fund as
described under "-- Group Available Funds; Reserve Fund Draws" above allocated
to such Mortgage Loan Group will be distributed in respect of each Class in the
amounts (to the extent sufficient therefor), and in the order of priority, as
follows:
First, to the Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates in respect of interest, pro rata, in each case up to an amount
equal to the Class Interest Distribution Amount of such Class;
Second, to the Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates in respect of interest, pro rata, in each case up to an amount
equal to the Class Unpaid Interest Shortfall of such Class;
Third, to the Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates in reduction of the Certificate Principal Amounts thereof, pro
rata, in each case in an amount equal to the Primary Principal Distribution
Amount of each such Class;
Fourth, to the Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates in reduction of the Certificate Principal Amounts thereof, pro
rata, in an aggregate amount equal to the amount previously distributable
under clause Third above and not previously distributed thereunder or under
this clause Fourth;
Fifth, to the Class A-3 and Class A-4 Certificates, for distribution
pursuant to clauses First and Second of the priorities for distribution of
the Available Distribution Amounts for Mortgage Loan Groups 3 and 4, but
only to the extent that the Available Distribution Amounts for Mortgage Loan
Groups 3 and 4 were not sufficient therefor;
Sixth, to the Class A-3 and Class A-4 Certificates, pro rata, based on
the shortfall, if any, for distribution pursuant to clauses Third and Fourth
of the priorities for distribution of the Available Distribution Amounts for
Mortgage Loan Groups 3 and 4;
Seventh, sequentially to the Class A-3 and Class A-4 Certificates, in
that order, in each case in reduction of the Certificate Principal Amount
thereof until the Certificate Principal Amount thereof has been reduced to
zero, but only up to the remainder, if any, of the Optimal Mortgage Loan
Principal for Mortgage Loan Group 1 after giving effect to the distributions
pursuant to the preceding clauses Third and Fourth;
Eighth, sequentially to the Class A-3 and Class A-4 Certificates, in
that order, in each case in reduction of the Certificate Principal Amount
thereof until the Certificate Principal Amount thereof has been reduced to
zero, in an aggregate amount equal to the amount previously distributable
under clause Seventh above and not previously distributed thereunder or
under this clause Eighth;
Ninth, sequentially to the Class A-4 and Class A-3 Certificates, in that
order, in each case in reduction of the Certificate Principal Amount thereof
until the Certificate Principal Amount thereof has been reduced to zero, but
only up to the remainder, if any, of the Optimal Mortgage Loan Principal for
Mortgage Loan Group 2 after giving effect to the distributions pursuant to
the preceding clauses Third and Fourth;
Tenth, sequentially to the Class A-4 and Class A-3 Certificates, in that
order, in each case in reduction of the Certificate Principal Amount thereof
until the Certificate Principal Amount thereof has been reduced to zero, in
an aggregate amount equal to the amount previously distributable under
clause Ninth above and not previously distributed thereunder or under this
clause Tenth;
Eleventh, so long as any Class A Certificates remain outstanding, to the
Collateral Agent for deposit into the Reserve Fund, up to the amount
necessary for the balance of the Reserve Fund to equal the Liquidity Amount;
Twelfth, to the Class B, Class C, Class D, Class E and Class F
Certificates and the Reserve Fund, for distribution pursuant to clauses
Sixth through Thirtieth of the priorities for distribution of the Available
Distribution Amounts for Mortgage Loan Groups 3 and 4, but only to the
extent that the Available Distribution Amounts for Mortgage Loan Groups 3
and 4 were not sufficient therefor;
Thirteenth, any remaining amounts to the Offered Certificates (including
the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates) in
reduction of the Certificate Principal Amounts thereof (after taking into
account distributions pursuant to clause Thirty-first of the priorities for
distribution of the Available Distribution Amounts for Mortgage Loan Groups
3 and 4), applied concurrently to the Class D, Class E and Class F
Certificates, in the ratio of 20 to 50 to 30, provided that after the
Certificate Principal Amount of any such Class has been reduced to zero, the
ratio otherwise payable thereto shall be applied sequentially to the Class
C, Class D, Class E, Class F, Class B, Class A-4, Class A-3, Class A-2C,
Class A-2B, Class A-2A and Class A-1 Certificates, in that order, in each
case until the Certificate Principal Amount thereof has been reduced to
zero; and
Fourteenth, any remaining amounts to the Class R Certificates.
All of the foregoing determinations will be made after increasing the
Certificate Principal Amounts of the Offered Certificates as a result of
allocations of Deferred Interest on such Distribution Date.
Notwithstanding the foregoing, on and after any Distribution Date on which
the aggregate Available Distribution Amount for Mortgage Loan Groups 3 and 4
(plus amounts distributed in reduction of principal pursuant to the priorities
for distribution of the Available Distribution Amounts for Mortgage Loan Groups
1 and 2) is not sufficient to reduce the aggregate Certificate Principal Amount
of the Class A-3 and Class A-4 Certificates to an amount less than or equal to
the aggregate Scheduled Principal Balance of the Mortgage Loans (less the
aggregate of the Certificate Principal Amounts of the Class A-1, Class A-2A,
Class A-2B and Class A-2C Certificates), then the portion of such aggregate
Available Distribution Amount allocable to the Class A-3 and Class A-4
Certificates in the foregoing priorities will be distributed pro rata between
the Class A-3 and Class A-4 Certificates based on their outstanding Certificate
Principal Amounts rather than in accordance with the priorities that would
otherwise apply.
Notwithstanding the foregoing, on and after any Distribution Date on which
the aggregate Available Distribution Amount for Mortgage Loan Groups 1 and 2 is
not sufficient to reduce the aggregate Certificate Principal Amount of the Class
A-1, Class A-2A, Class A-2B and Class A-2C Certificates to an amount less than
or equal to the aggregate Scheduled Principal Balance of the Mortgage Loans in
Mortgage Loan Groups 1 and 2, then the portion of such aggregate Available
Distribution Amount allocable to the Class A-1, Class A-2A, Class A-2B and Class
A-2C Certificates in the foregoing priorities will be distributed pro rata among
the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates based on their
outstanding Certificate Principal Amounts rather than in accordance with the
priorities that would otherwise apply.
As referred to herein, the "Class Unpaid Interest Shortfall" with respect to
any Class is the aggregate amount of interest that was distributable to such
Class on all preceding Distribution Dates less the aggregate amount thereof
actually distributed to such Class on all prior Distribution Dates plus interest
accrued thereon at the applicable Pass-Through Rate, compounded monthly as of
the end of each Interest Accrual Period, to the end of the Interest Accrual
Period preceding the Distribution Date when paid, including any Uncovered Basis
Risk Shortfall for such Class. All references in the preceding clauses to an
allocation on a pro rata basis will, unless otherwise specified, mean an
allocation pro rata on the basis of the maximum amount to which each Class would
be entitled under the applicable clause, assuming that the Available
Distribution Amounts were sufficient therefor.
Class R Certificates
The Class R Certificates are the residual interest in the REMIC. The Class R
Certificates will not have a Certificate Principal Amount or a Pass-Through Rate
assigned thereto and will not be entitled to distributions of interest or in
reduction of Certificate Principal Amount. However, the Class R Certificates
will be entitled to receive any Available Distribution Amount remaining on any
Distribution Date after the Certificate Principal Amounts of all of the Offered
Certificates have been reduced to zero and also will be entitled to receive the
proceeds of the remaining assets of the Trust Fund, if any, after the
Certificate Principal Amounts of all of the Offered Certificates have been
reduced to zero.
Regular Interests
With respect to each distribution of principal (or addition to principal as
a result of Deferred Interest) on any Class of Offered Certificates described
above on any Distribution Date, there will be a matching distribution of or
addition to principal on the underlying Regular Interest. Distributions of
principal on the Regular Interests will be the sole element of principal
distributed on the corresponding Classes of Offered Certificates. If no Basis
Risk Shortfall exists, distributions of interest on any Class of Offered
Certificates will similarly mirror distributions of interest on the
corresponding Regular Interest. However, to the extent a Basis Risk Shortfall
exists, each distribution of interest on the Offered Certificates will consist
of (i) interest at the REMIC Pass-Through Rate on the corresponding Regular
Interest (plus any past-due interest, together with interest thereon) and (ii)
in the case of the Class A-1 or Class A-3 Certificates, Basis Risk Reserve Fund
Draw Amounts allocated to either such Class in an amount not to exceed the sum
of the REMIC Rate Shortfall and the Uncovered Basis Risk Shortfall, if any, for
such Class. Furthermore, the Basis Risk Reserve Fund Draw Amount for the Class
A-1 or Class A-3 Certificates may come from up to two sources, namely (x) the
amount (the "Primary Basis Risk Amount") available from amounts in the Reserve
Fund without regard to reimbursements to the Reserve Fund on such Distribution
Date as described below under "-- Reserve Fund" and (y) an amount (the "Current
Credit Deposit Amount") for such Class representing a deposit to the Reserve
Fund from the REMIC as a reimbursement of unreimbursed Credit Reserve Fund Draw
Amounts.
For purposes of determining distributions on the Regular Interests, the
Trustee will first calculate any REMIC Rate Shortfall for each Class of Floating
Rate Certificates as described above under "-- Basis Risk." The Trustee will
then determine the Credit Reserve Fund Draw Amount and the Primary Basis Risk
Amount, if any, as described under "-- Reserve Fund" below. In the event that
the resulting Primary Basis Risk Amount is insufficient to cover all REMIC Rate
Shortfalls and Uncovered Basis Risk Shortfalls for the Floating Rate
Certificates, it will be allocated first to the REMIC Rate Shortfalls for the
Floating Rate Certificates, pro rata, and then to the Uncovered Basis Risk
Shortfalls for the Floating Rate Certificates, pro rata, and in each case will
be added to the Available Distribution Amounts of the Mortgage Loan Groups from
which such amounts are payable as described under "-- Allocation Among Classes"
above. Any Primary Basis Risk Amount will be payable on the Floating Rate
Certificates directly from the Reserve Fund, and will not be deposited in, or
paid from, the REMIC. The remainder of the Available Distribution Amount for
each Mortgage Loan Group (consisting of payments on the Mortgage Loans in such
Mortgage Loan Group then available for distribution, plus Amounts Held for
Future Distribution (limited, in the case of Mortgage Loan Groups 1 and 2, to
the Amounts Held for Future Distribution received on Eligible Multifamily
Mortgage Loans) and Credit Reserve Fund Draw Amounts allocated thereto) will be
assets of the REMIC currently available for distribution, and will be applied in
accordance with the priorities described under "-- Allocation Among Classes"
above (in each case substituting the corresponding Regular Interests for the
identified Classes of Offered Certificates, where applicable), subject to the
following exceptions and clarifications:
(i) Any amount identified as a distribution of a Class Interest
Distribution Amount for a Class of Floating Rate Certificates will be
reduced by the amount of any Primary Basis Risk Amount allocable thereto,
since any Primary Basis Risk Amount allocated thereto will be paid to such
Class directly from the Reserve Fund and not from funds payable from the
REMIC. Any remaining portion of such Class Interest Distribution Amount (the
"Net Class Interest Distribution Amount") will be paid on the Floating Rate
Certificates from funds in the REMIC, but will be broken into two separate
REMIC distributions: (a) first, a distribution on the corresponding Regular
Interest of interest at the related REMIC Pass-Through Rate; and (b) second,
the remainder, if any, equal to any portion of the REMIC Rate Shortfall for
such Class of Floating Rate Certificates not covered by application of the
Primary Basis Risk Amount (because insufficient funds were available
therefor in the Reserve Fund), which remainder will be deposited in the
Reserve Fund as a Current Credit Deposit Amount in reimbursement of
previously unreimbursed Credit Reserve Fund Draw Amounts and will equal a
corresponding draw from the Reserve Fund for distribution to such Class of
Floating Rate Certificates (with the effect that, to the extent funds are
sufficient therefor, the Class Interest Distribution Amount will be paid in
full from (x) interest on the Regular Interest at the REMIC Pass-Through
Rate plus (y) a draw on the Reserve Fund in the full amount of the REMIC
Rate Shortfall for such Class, consisting of the Primary Basis Risk Amount
allocated to such Class Interest Distribution Amount plus the Reserve Fund
draw corresponding to the Current Credit Deposit Amount described in (b)
above);
(ii) Any amount identified as a distribution of a Class Unpaid Interest
Shortfall for a Class of Floating Rate Certificates will be reduced by the
amount of any Primary Basis Risk Amount allocable thereto, since any Primary
Basis Risk Amount allocated thereto will be paid to such Class directly from
the Reserve Fund and not from funds payable from the REMIC. Any remaining
portion of such Class Unpaid Interest Shortfall will be paid on the Floating
Rate Certificates from funds in the REMIC, but will be broken into two
separate REMIC distributions: (a) first, a distribution on the corresponding
Regular Interest of the portion of such Class Unpaid Interest Shortfall
representing prior credit shortfalls plus interest thereon at the applicable
REMIC Pass-Through Rate, and (b) second, the remainder, if any, equal to any
portion of the Uncovered Basis Risk Shortfall for such Class of Floating
Rate Certificates not covered by application of the Primary Basis Risk
Amount (because insufficient funds were available therefor in the Reserve
Fund), which remainder will be deposited in the Reserve Fund as a Current
Credit Deposit Amount in reimbursement of previously unreimbursed Credit
Reserve Fund Draw Amounts and will equal a corresponding draw from the
Reserve Fund for distribution to such Class of Floating Rate Certificates
(with the effect that, to the extent funds are sufficient therefor, the
Class Unpaid Interest Shortfall will be paid in full from (x) the payment on
the Regular Interest under (a) above plus (y) a draw on the Reserve Fund in
the full amount of the Uncovered Basis Risk Shortfall for such Class,
consisting of the Primary Basis Risk Amount allocated thereto plus the
Reserve Fund draw corresponding to the Current Credit Deposit Amount
described in (b) above); and
(iii) Any reimbursement to the Reserve Fund required to restore the
balance of the Reserve Fund to the Liquidity Amount, and any reimbursement
to the Reserve Fund pursuant to clause Thirtieth of the priorities for
distribution of the Available Distribution Amount for Mortgage Loan Groups 1
and 2 under "-- Allocation Among Classes" above, will be deemed a
reimbursement of unreimbursed Credit Reserve Fund Draw Amounts.
In the remote circumstance that the balance in the Reserve Fund has been
reduced to or below the Liquidity Amount solely as a result of Basis Risk and
without regard to credit losses, amounts designated above as reimbursements of
unreimbursed Credit Reserve Fund Draw Amounts will not be made, and amounts
distributable as described above under "-- Allocation Among Classes" will
correspondingly be affected.
Example of Distributions
The following chart sets forth an example of distributions (assuming that
the last Servicing Transfer Date will have occurred in October 1994 (which is
not expected to be the case)) on the Offered Certificates for the Distribution
Date occurring in November 1994:
October 2-November 1..... (A) The Due Period with respect to the November 25
Distribution Date. Monthly Payments (other than
the principal component thereof for Simple
Interest Loans) due during the Due Period and any
Assumed Scheduled Payments deemed to be due during
the Due Period will be available for distribution
of principal and interest to Certificateholders on
the November 25 Distribution Date to the extent
the Available Distribution Amounts are sufficient
therefor.
October 12-November 15.. (B) The Prepayment Period with respect to the
November 25 Distribution Date. Balloon Payments,
Principal Prepayments and the principal component
of Monthly Payments on Simple Interest Loans made
during the Prepayment Period will be available for
distribution of principal and interest to
Certificateholders on the November 25 Distribution
Date.
October 31............. (C) Record Date for the Fixed Rate Certificates.
November 15.......... (C) (D) Determination Date; Record Date for the
Floating Rate Certificates.
November 25............ (E) Distribution Date.
- ----------
(A) Monthly Payments (other than principal payments on Simple Interest Loans)
due during the Due Period and any Assumed Scheduled Payments deemed to be
due during the Due Period will be deposited in the Collection Account
following receipt by the Master Servicer for distribution to
Certificateholders on November 25, 1994.
(B) Balloon Payments, Principal Prepayments and the principal portion of
payments made on Simple Interest Loans made during the Prepayment Period
will be deposited in the Collection Account following receipt by the Master
Servicer for distribution to Certificateholders on November 25, 1994.
(C) Distributions on the Fixed Rate Certificates will be made on the
Distribution Date to Certificateholders of record at the close of business
on the last Business Day of the month prior to the month in which the
Distribution Date occurs, and distributions on the Floating Rate
Certificates will be made on the Distribution Date to Certificateholders of
record at the close of business on the 15th day of the month in which the
Distribution Date occurs or, if such day is not a Business Day, the
preceding Business Day.
(D) As of the close of business on November 15, the amounts of principal and
interest to be passed through to Certificateholders will be determined.
Holders of Offered Certificates generally will be entitled, to the extent
of available funds, to one month of interest as described under "--
Distributions -- Interest" and to principal as described under "--
Distributions -- Allocation Among Classes." Monthly Payments due during the
Due Period, any Assumed Scheduled Payments deemed to be due during the Due
Period and Balloon Payments, Principal Prepayments and the principal
portion of payments on Simple Interest Loans received during the Prepayment
Period will be deposited in the Distribution Account on the Master Servicer
Remittance Date (to the extent funds available for withdrawal from the
Collection Account and/or the Reserve Fund are sufficient therefor) for
distribution to Certificateholders.
(E) The Trustee will make distributions to Certificateholders on the 25th day
of each month or, if such day is not a Business Day, on the next succeeding
Business Day.
Accounts
The Trustee will establish and maintain an account (the "Distribution
Account") into which the Master Servicer will deposit an amount equal to all
amounts held in the Collection Account (as defined below) that are part of the
Available Distribution Amount of each Mortgage Loan Group and from which account
distributions will be made with respect to a given Distribution Date. On each
Distribution Date, the Trustee will apply amounts on deposit in the Distribution
Account generally to make distributions of interest and principal from the
Available Distribution Amounts for all the Mortgage Loan Groups to the
Certificateholders in the manner and subject to the priorities described above
under "-- Distributions." Funds will be withdrawn from the Reserve Fund and
deposited in the Distribution Account to be applied to payments due on the
Offered Certificates as described in "-- Reserve Fund" below. If the amount on
deposit in the Reserve Fund exceeds the Liquidity Amount, funds in the Reserve
Fund will be available to ensure that payments due on the Class B, Class C,
Class D and Class E Certificates will be made as described in "-- Reserve Fund"
below.
The Master Servicer will establish and maintain a special trust account (the
"Collection Account") in the name of the Trustee for the benefit of
Certificateholders. Pursuant to the Agreement, the Master Servicer will deposit
into the Collection Account: (1) all payments on account of principal, including
Principal Prepayments, on the Mortgage Loans; (2) all payments on account of
interest on the Mortgage Loans and all Prepayment Premiums (as defined below);
(3) all proceeds from any insurance policy relating to a Mortgage Loan
("Insurance Proceeds") other than (i) proceeds applied to restoration of the
related Mortgaged Property, (ii) proceeds from the liquidation of a Mortgage
Loan ("Liquidation Proceeds"), including the sale of any related Mortgaged
Property acquired on behalf of the Trust Fund through foreclosure or deed in
lieu of foreclosure ("REO Property") and (iii) proceeds received in connection
with the taking of a Mortgaged Property by eminent domain or condemnation; (4)
any amounts required to be deposited by the Master Servicer to cover net losses
on Permitted Investments (as defined under "-- Reserve Fund" below) made with
funds held in the Collection Account; (5) any amounts required to be deposited
in connection with the application of co-insurance clauses, flood damage to REO
Properties and blanket policy deductibles; (6) any amounts required to be
deposited from income with respect to any REO Property; (7) any amounts received
from Borrowers which represent recoveries of Property Protection Expenses (as
defined below); and (8) any late payment charges, assumption fees, modification
fees and other similar fees received from Borrowers with respect to Specially
Serviced Mortgage Loans. "Prepayment Premium" means any premium paid or payable
by the related Borrower in connection with any Principal Prepayment on any
Mortgage Loan. "Property Protection Expenses" comprise certain costs and
expenses incurred in connection with defaulted Mortgage Loans, acquiring title
or management of REO Property or the sale of defaulted Mortgage Loans or REO
Properties, as more fully described in the Agreement. As set forth in the
Agreement, the Master Servicer will be entitled to make certain withdrawals from
the Collection Account to, among other things: (i) remit the required amounts
for the related Distribution Date into the Distribution Account; (ii) reimburse
Property Protection Expenses and pay taxes, assessments and insurance premiums
and certain third party expenses in accordance with the Agreement; (iii) pay
accrued and unpaid servicing fees to the Master Servicer and the Special
Servicer out of all Mortgage Loan collections; and (iv) reimburse the Master
Servicer, the Special Servicer, the Trustee and the Seller for certain expenses
and provide indemnification to the Seller, the Master Servicer and the Special
Servicer as described in the Agreement.
The amount at any time credited to the Collection Account may be invested in
Permitted Investments that are payable on demand or in general mature or are
subject to withdrawal or redemption on or before the Business Day preceding the
next succeeding Master Servicer Remittance Date (as defined below). The Master
Servicer will be required to remit amounts required for distribution to
Certificateholders to the Distribution Account on the Business Day preceding the
related Distribution Date (the "Master Servicer Remittance Date"). The income
from Permitted Investments of funds in the Collection Account will constitute
additional servicing compensation for the Master Servicer, and the risk of loss
of funds in the Collection Account resulting from such investments will be borne
by the Master Servicer. The amount of each such loss will be required to be
deposited by the Master Servicer in the Collection Account immediately as
realized.
The Special Servicer will establish and maintain a special trust account
(the "REO Account") to be used in connection with REO Properties and certain
other Mortgaged Properties related to Specially Serviced Mortgage Loans which
are being operated by the Special Servicer, directly or through others as
permitted by the Agreement, on behalf of the Trust Fund. Pursuant to the
Agreement, the Special Servicer will deposit into the REO Account on a daily
basis all revenues received by it with respect to any REO Property or any such
Mortgaged Property. As set forth in the Agreement, the Special Servicer will be
entitled to make certain withdrawals from the REO Account to, among other
things, (i) make remittances to the Collection Account as required by the
Agreement, as described under "SERVICING OF THE MORTGAGE LOANS -- Collection and
Other Servicing Procedures," (ii) pay taxes, assessments, insurance premiums,
other amounts necessary for the proper operation, management and maintenance of
the REO Properties and such Mortgaged Properties and certain third-party
expenses in accordance with the Agreement and (iii) reimburse the Special
Servicer for certain expenses.
The amount at any time credited to the REO Account will be fully insured to
the maximum coverage possible or will be invested in Permitted Investments that
mature, or are subject to withdrawal or redemption, on or before the Business
Day on which such amounts are required to be remitted to the Master Servicer for
deposit in the Collection Account. The income from Permitted Investments of
funds in the REO Account shall be deposited in the REO Account for remittance to
the Collection Account, and the risk of loss of funds in the REO Account
resulting from such investments will be borne by the Trust Fund.
Reserve Fund
General
To increase the likelihood of full distributions to Holders of the Offered
Certificates, the Seller will pledge to the Collateral Agent a reserve fund (the
"Reserve Fund") to cover, among other things, (i) shortfalls in collections on
the Mortgage Loans due to losses and delinquencies, (ii) Basis Risk Shortfalls
and (iii) certain servicing fees and other expenses of the Trust Fund. The
Reserve Fund will not be a part of the Trust Fund or the REMIC Pool, but the
right of the Trustee to make draws on the Reserve Fund will be an asset of the
Trust Fund. The Reserve Fund will consist of an initial deposit by the Seller of
securities, cash or other property (the "Initial Deposit") in an amount equal to
approximately 26% of the aggregate Scheduled Principal Balance of the Mortgage
Loans as of the Cut-Off Date. The pledge of the Reserve Fund will be made
pursuant to the terms of the Collateral Security Agreement. The Collateral
Security Agreement will provide that the Initial Deposit (unless permitted to be
distributed to the Seller as described below) may be invested, at the direction
of the Seller, in Permitted Investments. Investments made with amounts on
deposit in the Reserve Fund must mature in accordance with a schedule
established by the Rating Agencies. Such schedule is expected to provide that no
such investment may mature later than the sixth Distribution Date following the
date such investment is made. Any earnings resulting from the investment of
amounts held in the Reserve Fund will be remitted to the Seller.
"Permitted Investments" will consist of one or more of the following:
(i) direct obligations of, or guaranteed as to timely payment of
principal and interest by, the United States or any agency or
instrumentality thereof provided that such obligations are backed by the
full faith and credit of the United States of America;
(ii) direct obligations of, or guaranteed as to timely payment of
principal and interest by, the Federal Home Loan Mortgage Corporation
("FHLMC"), the Federal National Mortgage Association ("FNMA") or the Federal
Farm Credit System, provided that any such obligation, at the time of
purchase of such obligation or contractual commitment providing for the
purchase thereof, is qualified by each Rating Agency (as defined under
"CERTIFICATE RATINGS" herein) as an investment of funds backing securities
having ratings equivalent to each Rating Agency's highest initial rating of
the Certificates;
(iii) demand and time deposits in or certificates of deposit of, or
bankers' acceptances issued by, any bank or trust company, savings and loan
association or savings bank, provided that, in the case of obligations that
are not fully FDIC-insured deposits, the commercial paper and/or long-term
unsecured debt obligations of such depository institution or trust company
(or in the case of the principal depository institution in a holding company
system, the commercial paper or long-term unsecured debt obligations of such
holding company) have the highest rating available for such securities by
each Rating Agency, or such lower rating as will not result in the downgrade
or withdrawal of the rating or ratings then assigned to the Certificates by
any Rating Agency;
(iv) general obligations of or obligations guaranteed by any state of
the United States or the District of Columbia receiving the highest
long-term debt rating available for such securities by each Rating Agency,
or such lower rating as will not result in the downgrading or withdrawal of
the rating or ratings then assigned to the Certificates by any such Rating
Agency;
(v) commercial or finance company paper (including both
non-interest-bearing discount obligations and interest-bearing obligations
payable on demand or on a specified date not more than one year after the
date of issuance thereof) that is rated by each Rating Agency in its highest
short-term unsecured rating category at the time of such investment or
contractual commitment providing for such investment, and is issued by a
corporation the outstanding senior long-term debt obligations of which are
then rated by each Rating Agency in its highest long-term unsecured rating
category, or such lower rating as will not result in the downgrading or
withdrawal of the rating or ratings then assigned to the Certificates by any
Rating Agency;
(vi) guaranteed reinvestment agreements issued by any bank, insurance
company or other corporation rated in the highest rating level available to
such issuers by each Rating Agency at the time of such investment provided
that any such agreement must by its terms provide that it is terminable by
the purchaser without penalty in the event any such rating is at any time
lower than such level;
(vii) repurchase obligations with respect to any security described in
clause (i) or (ii) above entered into with a depository institution or trust
company (acting as principal) meeting the ratings standard described in
(iii) above;
(viii) securities bearing interest or sold at a discount issued by any
corporation incorporated under the laws of the United States or any state
thereof and rated by each Rating Agency in its highest long-term unsecured
rating category at the time of such investment or contractual commitment
providing therefor; provided, however, that securities issued by any such
corporation will not be Permitted Investments to the extent that investment
therein would cause the then outstanding principal amount of securities
issued by such corporation and held as part of the Collection Account or the
Distribution Account to exceed 20% of the aggregate principal amount of all
Permitted Investments held in the Collection Account and the Distribution
Account;
(ix) units of taxable money market funds which funds are regulated
investment companies, seek to maintain a constant net asset value per share
and invest solely in obligations backed by the full faith and credit of the
United States, and have been designated in writing by each Rating Agency as
Permitted Investments with respect to this definition;
(x) if previously confirmed in writing to the Trustee, any other demand,
money market or time deposit, or any other obligation, security or
investment, as may be acceptable to each Rating Agency as a permitted
investment of funds backing securities having ratings equivalent to such
Rating Agency's highest initial rating of the Certificates; and
(xi) such other obligations as are acceptable as Permitted Investments to
each Rating Agency;
provided, however, that (a) such instrument or security shall qualify as a "cash
flow investment" pursuant to the Code and (b) no instrument or security shall be
a Permitted Investment if (i) such instrument or security evidences a right to
receive only interest payments or (ii) the stated interest rate on such
investment is in excess of 120% of the yield to maturity produced by the price
at which such investment was purchased and (c) if such instrument or security
is, at the time of such investment, not rated by D&P, such instrument or
security need only be rated by S&P.
Credit Draws
Except to the extent described below under "-- Liquidity Amount," in the
event of shortfalls in collections on the Mortgage Loans due to losses and
delinquencies thereon, the Agreement requires the Trustee to effect a transfer
from the Reserve Fund, to the extent necessary to ensure payments due on the
related Distribution Date to Holders of the Offered Certificates up to the
amount available therein, generally in an amount equal to the excess, if any, of
aggregate Optimal Available Funds over the aggregate Group Available Funds and
related Amounts Held for Future Distribution, provided that the amount of
Reserve Fund draws (net of reimbursed draws) allocable on any date to the Class
A-1, Class A-2A, Class A-2B and Class A-2C Certificates cannot exceed the
portion of the Reserve Fund (the "Eligible Multifamily Reserve Fund Amount")
equal, for such date, to (i) the sum of the Initial Deposit and the cumulative
amount of Reserve Fund deposits (other than reimbursements of advances) from
cash flows on Eligible Multifamily Mortgage Loans less (ii) draws on the Reserve
Fund (net of reimbursed draws) other than draws of deposits attributable to
non-Eligible Multifamily Mortgage Loans. For purposes of calculating the
Eligible Multifamily Reserve Fund Amount, draws on the Reserve Fund paid to the
Commercial Fixed Rate and Class A-3 Certificates will be deemed to be drawn
first from Reserve Fund deposits attributable to Mortgage Loans other than
Eligible Multifamily Mortgage Loans. On each Determination Date, amounts
previously withdrawn from the Reserve Fund with respect to delinquent Monthly
Payments and Assumed Scheduled Payments and not previously reimbursed will be
subject to withdrawal from the Collection Account and reimbursement to the
Reserve Fund before calculation on such Determination Date of the Available
Distribution Amount for the related Mortgage Loan Group. As a result, amounts
withdrawn from the Reserve Fund with respect to such Distribution Date will
generally include not only delinquent Monthly Payments due in the related Due
Period, but also delinquent Monthly Payments due in prior Due Periods.
In the event of (i) any modification, waiver or amendment to the terms of
any Mortgage Loan which results in the present value of the remaining Assumed
Monthly Payments (as defined below) due thereon, net of applicable servicing
fees of the Master Servicer and the Special Servicer (including the Workout
Fee), discounted on a monthly basis at a rate equal to the applicable Assumed
Net Mortgage Interest Rate, being less than the Scheduled Principal Balance of
such Mortgage Loan, (ii) any Debt Service Reduction with respect to a Mortgage
Loan as described under "CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS --
Bankruptcy" or (iii) a determination at the time of foreclosure of a Mortgage
Loan that the appraised value of the related Mortgaged Property is less than the
unpaid principal balance of the Mortgage Loan plus accrued but unpaid interest
thereon, such Mortgage Loan shall be treated as a "Discounted Mortgage Loan" for
purposes of the Agreement.
Pursuant to the Agreement, the Scheduled Principal Balance of any Mortgage
Loan that becomes a Discounted Mortgage Loan will be adjusted. The Scheduled
Principal Balance of a Mortgage Loan that becomes a Discounted Mortgage Loan of
the type referred to in clauses (i) and (ii) of the preceding paragraph will be
adjusted to equal the present value of the remaining Assumed Monthly Payments
due thereon, net of applicable servicing fees of the Master Servicer and the
Special Servicer (including the Workout Fee), discounted on a monthly basis at a
rate equal to the applicable Assumed Net Mortgage Interest Rate. The "Assumed
Monthly Payments" with respect to any Mortgage Loan are the Monthly Payments
payable pursuant to the terms of the related Note as reduced by any related Debt
Service Reduction, modification, waiver or amendment, assuming, however, that
(i) each such Monthly Payment is equal to the initial Monthly Payment as so
reduced, (ii) such Monthly Payments remain in effect until the earlier of the
date such Mortgage Loan would be fully amortized on the basis of the Mortgage
Interest Rate for such Mortgage Loan (after giving effect to such Debt Service
Reduction, modification, waiver or amendment) and such Monthly Payments or the
Optimal Wind-Down Date and (iii) no effect is given to any Balloon Payment in
respect of such Mortgage Loan (including any balloon payment that may be due as
a result of clause (ii) above).
The "Assumed Net Mortgage Interest Rate" with respect to any Mortgage Loan
in Mortgage Loan Group 1 that becomes a Discounted Mortgage Loan will be the
maximum rate on the Class A-1 Certificates. The "Assumed Net Mortgage Interest
Rate" with respect to any Mortgage Loan in Mortgage Loan Group 2 that becomes a
Discounted Mortgage Loan will be equal to the greater of the Net Mortgage
Interest Rate with respect to such Mortgage Loan and the highest Pass-Through
Rate on any Class of Multifamily Fixed Rate Certificates. The "Assumed Net
Mortgage Interest Rate" with respect to any Mortgage Loan in Mortgage Loan Group
3 that becomes a Discounted Mortgage Loan will be the maximum rate on the Class
A-3 Certificates. The "Assumed Net Mortgage Interest Rate" with respect to any
Mortgage Loan in Mortgage Loan Group 4 that becomes a Discounted Mortgage Loan
will be equal to the greater of the Net Mortgage Interest Rate with respect to
such Mortgage Loan and the highest Pass-Through Rate on any Class of Commercial
Fixed Rate Certificates.
The Scheduled Principal Balance of an REO Mortgage Loan that becomes a
Discounted Mortgage Loan of the type referred to in clause (iii) of the third
preceding paragraph will be adjusted downward to equal the value of the related
REO Property, as determined by an appraisal obtained by the Special Servicer at
the time of foreclosure, if such appraised value is less than the then Scheduled
Principal Balance of such Mortgage Loan.
A distribution in reduction of the Certificate Principal Amount of the
applicable Class or Classes of Offered Certificates will result from any
downward adjustment in the Scheduled Principal Balance of a Mortgage Loan that
becomes a Discounted Mortgage Loan if the related Available Distribution Amounts
are sufficient therefor. In the event of any further modification, waiver or
amendment with respect to a Mortgage Loan that is already a Discounted Mortgage
Loan, the same steps will be taken. Notwithstanding the foregoing, the Scheduled
Principal Balance of a Discounted Mortgage Loan will always be reduced if
necessary so that it never exceeds the actual principal balance of such Mortgage
Loan.
Payments due on any Discounted Mortgage Loan, net of applicable servicing
fees payable to the Master Servicer and the Special Servicer, will be applied
for purposes of calculating the Scheduled Principal Balance thereof and the
Optimal Mortgage Loan Interest in respect thereof, first, to accrued and unpaid
interest at the applicable Assumed Net Mortgage Interest Rate on the Scheduled
Principal Balance thereof and, second, in reduction of the Scheduled Principal
Balance thereof. Any payments received in respect of a Discounted Mortgage Loan
in excess of the Monthly Payments thereon will be treated as prepayments of
principal until the Scheduled Principal Balance of such Discounted Mortgage Loan
has been reduced to zero, and thereafter any remaining payments thereon will be
deposited into the Reserve Fund as reimbursement for the draw made therefrom in
connection with the adjustment of the Scheduled Principal Balance thereof at the
time such Mortgage Loan became a Discounted Mortgage Loan.
The Agreement provides the Special Servicer with considerable flexibility to
modify the payment terms of Mortgage Loans that are in material default or as to
which a payment default is reasonably foreseeable or has occurred. However, the
Special Servicer will use its best efforts to modify a Group 1 or Group 3
Mortgage Loan to provide for calculation of interest at an adjustable rate based
on LIBOR and to modify a Group 2 or Group 4 Mortgage Loan to provide for
calculation of interest at a fixed rate. See "SERVICING OF THE MORTGAGE LOANS --
Modifications, Waivers and Amendments" herein.
Basis Risk Reserve Fund Draws
Except to the extent described below under "-- Liquidity Amount," if on any
Distribution Date the interest accrued on the Offered Certificates at their
respective Pass-Through Rates during the related Interest Accrual Periods
exceeds the interest accrued at the Net Mortgage Interest Rates on the Mortgage
Loans, then the REMIC Pass-Through Rates on the Regular Interests corresponding
to the Floating Rate Certificates will be adjusted as described above under "--
Distributions -- Basis Risk," and the Trustee will draw on the Reserve Fund in
an amount equal to the REMIC Rate Shortfall for each Class of Floating Rate
Certificates, provided that the amount of Reserve Fund draws (net of reimbursed
draws) to be allocated to the Class A-1 Certificates cannot exceed the Eligible
Multifamily Reserve Fund Amount for such Distribution Date. In addition, the
Trustee will draw on the Reserve Fund for distribution to Certificateholders of
any Uncovered Basis Risk Shortfalls from prior periods, together with interest
thereon at the applicable Pass-Through Rate compounded monthly.
Liquidity Amount
Notwithstanding the foregoing, if the amount on deposit in the Reserve Fund,
after giving effect to transfers into the Reserve Fund on such date, is less
than 2% of the aggregate Scheduled Principal Balance of the Mortgage Loans as of
the Cut-Off Date (the "Liquidity Amount"), such amount will be available, so
long as any Class A Certificates are outstanding, only to ensure (i) payments of
interest due on the Class A Certificates pursuant to clauses First and Second
under the priorities for distribution of the Available Distribution Amounts for
all the Mortgage Loan Groups (see "-- Allocation Among Classes") and (ii)
distributions of Optimal Mortgage Loan Principal then payable or past due on the
Class A Certificates, and any amounts otherwise payable with respect to the
Class B, Class C, Class D, Class E, Class F or Class R Certificates will be used
to the extent necessary to restore the amount on deposit in the Reserve Fund to
the Liquidity Amount. On any Distribution Date on which the amount on deposit in
the Reserve Fund is restored to exceed the Liquidity Amount, funds in the
Reserve Fund on such Distribution Date will be available to resume payments due
on the Class B, Class C, Class D, Class E, Class F and Class R Certificates in
the priorities set forth above to the extent such funds are in excess of the
Liquidity Amount. With respect to each of the remaining Classes, after the
Certificate Principal Amounts of the Class A Certificates have been reduced to
zero, and so long as the Class B Certificates are outstanding, the Liquidity
Amount will be available only to ensure (i) payments of interest due on the
Class B Certificates pursuant to clauses Sixth and Seventh under the priorities
for distribution of the Available Distribution Amount for Mortgage Loan Groups 3
and 4 (see "-- Allocation Among Classes") and (ii) distributions of Optimal
Mortgage Loan Principal then payable or past due on the Class B Certificates,
and any amounts otherwise payable with respect to the Class C, Class D, Class E,
Class F or Class R Certificates will be used to the extent necessary to restore
the amount on deposit in the Reserve Fund to the Liquidity Amount. With respect
to each of the remaining Classes, after the Certificate Principal Amounts of the
Class A and Class B Certificates have been reduced to zero, and so long as the
Class C Certificates are outstanding, the Liquidity Amount will be available
only to ensure (i) payments of interest due on the Class C Certificates pursuant
to clauses Eleventh and Twelfth under the priorities for distribution of the
Available Distribution Amount for Mortgage Loan Groups 3 and 4 (see "--
Allocation Among Classes") and (ii) distributions of Optimal Mortgage Loan
Principal then payable or past due on the Class C Certificates, and any amounts
otherwise payable with respect to the Class D, Class E, Class F or Class R
Certificates will be used to the extent necessary to restore the amount on
deposit in the Reserve Fund to the Liquidity Amount. With respect to each of the
remaining Classes, after the Certificate Principal Amounts of the Class A, Class
B and Class C Certificates have been reduced to zero, and so long as the Class D
Certificates are outstanding, the Liquidity Amount will be available only to
ensure (i) payments of interest due on the Class D Certificates pursuant to
clauses Sixteenth and Seventeenth under priorities for distribution of the
Available Distribution Amount for Mortgage Loan Groups 3 and 4 (see "--
Allocation Among Classes") and (ii) distributions of Optimal Mortgage Loan
Principal then payable or past due on the Class D Certificates, and any amounts
otherwise payable with respect to the Class E, Class F or Class R Certificates
will be used to the extent necessary to restore the amount on deposit in the
Reserve Fund to the Liquidity Amount. With respect to each of the remaining
Classes, after the Certificate Principal Amounts of the Class A, Class B, Class
C and Class D Certificates have been reduced to zero, and so long as the Class E
Certificates are outstanding, the Liquidity Amount will be available only to
ensure (i) payments of interest due on the Class E Certificates pursuant to
clauses Twenty-first and Twenty-second under priorities for distribution of the
Available Distribution Amount for Mortgage Loan Groups 3 and 4 (see "--
Allocation Among Classes") and (ii) distributions of Optimal Mortgage Loan
Principal then payable or past due on the Class E Certificates, and any amounts
otherwise payable with respect to the Class F and Class R Certificates will be
used to the extent necessary to restore the amount on deposit in the Reserve
Fund to the Liquidity Amount. In no instance will the amount of Reserve Fund
draws (net of reimbursed draws) allocable to the Class A-1, Class A-2A, Class
A-2B and Class A-2C Certificates on any Distribution Date exceed the Eligible
Multifamily Reserve Fund Amount for such Distribution Date.
To the extent that the Trustee determines on any Distribution Date that,
after giving effect to any advances of taxes, insurance, Property Protection
Expenses or Senior Lien Advances, there are insufficient funds then available
for withdrawal from the Reserve Fund to cover all delinquencies and losses on
the Mortgage Loans and all desired Primary Basis Risk Amounts, the funds that
are available from the Reserve Fund will be allocated between Credit Reserve
Fund Draw Amounts and Primary Basis Risk Amounts by:
(i) determining the REMIC Rate Shortfall for each Class of Floating Rate
Certificates;
(ii) applying the Group Available Funds for each Mortgage Loan Group and
the Amount Held for Future Distribution allocated thereto to the applicable
priorities set forth under "-- Distributions -- Allocation Among Classes"
(but reducing the applicable Pass-Through Rates for the Floating Rate
Certificates to the related REMIC Pass-Through Rates, the amount of such
reduction for each Class being the REMIC Rate Shortfall for such Class) and
determining any remaining shortfalls in required distributions to each Class
of Offered Certificates (any such shortfall being the credit shortfall for
each such Class); and
(iii) determining the amounts that may be withdrawn from the Reserve
Fund for each Class in accordance with the first paragraph under this
subheading applying such amounts to such REMIC Rate Shortfalls and credit
shortfalls in the same sequence as they arise under the priorities set forth
under "-- Distributions -- Allocation Among Classes" (in the case of
Floating Rate Certificates, allocating such amount for each Class first to a
draw for Basis Risk (in the amount up to any REMIC Rate Shortfall for such
Class), as a Primary Basis Risk Amount, and thereafter to a Credit Reserve
Fund Draw Amount with respect to such Class).
The resulting Primary Basis Risk Amount, together with the Current Credit
Deposit Amount, will constitute the Basis Risk Reserve Fund Draw Amount. The
Basis Risk Reserve Fund Draw Amount and Credit Reserve Fund Draw Amount will be
the total draw on the Reserve Fund for such Distribution Date (other than draws
for servicing advances, reimbursement of expenses, Senior Lien Advances and
similar matters). The excess, if any, for any Class of Floating Rate
Certificates of (i) the REMIC Rate Shortfall for such Class over (ii) the Basis
Risk Reserve Fund Draw Amount allocated thereto is the Uncovered Basis Risk
Shortfall for such Class, and will reduce the Class Interest Distribution Amount
thereof as described under "-- Distributions -- Basis Risk."
The Reserve Fund will be restored from Current Credit Deposit Amounts to
cover Basis Risk Reserve Fund Draw Amounts for any related Class as described
under "-- Distributions -- Regular Interests" prior to making any distribution
to any Class which is subordinate to such Class. Therefore, no distributions
will be made with respect to the Class B, Class C, Class D, Class E or Class F
Certificates so long as the Class A-1 or Class A-3 Certificates have any
Uncovered Basis Risk Shortfall (except, as to the Class A-1 Certificates, under
the remote circumstances that the Reserve Fund, after deposit of such Current
Credit Deposit Amounts, has insufficient funds from the Initial Deposit and from
deposit of payments on Eligible Multifamily Mortgage Loans to cover such
Uncovered Basis Risk Shortfall).
Collateral Security Agreement
The Initial Deposit will be held in the Reserve Fund in accordance with the
terms of the Collateral Security Agreement. The Seller will have no obligation
to deposit in the Reserve Fund any amounts in respect of any distributions it
may have received or to make any other deposits subsequent to the Initial
Deposit, regardless of whether amounts in the Reserve Fund are sufficient to
ensure payment of principal and interest on the Classes of Offered Certificates.
The conditions for the release of amounts in the Reserve Fund to the Seller will
be set forth in the Collateral Security Agreement and shall be in accordance
with the requirements established by the Rating Agencies for the maintenance of
the initial ratings of the Offered Certificates.
The Collateral Security Agreement will require that the Seller grant to the
Collateral Agent a security interest in the Reserve Fund. The RTC has adopted a
resolution to the effect that it will take no action in its capacity as
conservator or receiver of each of the Depository Institutions (or any
successors thereto) that would repudiate or impair the creation of a security
interest in any property of the Seller, including the Reserve Fund, granted in
connection with the offer and sale of the Offered Certificates.
The Collateral Security Agreement will provide that, with the approval of
the Rating Agencies, at the option of the Seller, the Reserve Fund can be
replaced, in whole or in part, with a form of credit enhancement that is, or is
invested in, securities or obligations which are backed by the full faith and
credit of the United States of America, provided that such replacement does not
result in the withdrawal or downgrade of the then current rating or ratings of
the Offered Certificates by the Rating Agencies.
The Collateral Security Agreement will provide that the assets held in the
Reserve Fund can be sold by the Seller to third parties, subject to the lien in
favor of the Collateral Agent, on the condition that such transfer be approved
by the Rating Agencies consistent with the maintenance of the initial ratings on
the Offered Certificates.
The institution serving as Trustee will also serve as Collateral Agent under
the Collateral Security Agreement.
Subordination of the Class B, Class C, Class D, Class E and Class F Certificates
Distributions of interest and principal with respect to the Class B, Class
C, Class D, Class E and Class F Certificates will be subordinate to
distributions of interest and principal with respect to the Class A-3 and Class
A-4 Certificates to the extent that (i) no distribution of interest or principal
is permitted to be made with respect to the Class B, Class C, Class D, Class E
and Class F Certificates on any Distribution Date until interest and principal
then payable to the Class A-3 and Class A-4 Certificates have been paid and (ii)
so long as any Class A Certificates remain outstanding, no distribution of
interest or principal is permitted to be made with respect to the Class B, Class
C, Class D, Class E or Class F Certificates on any Distribution Date for so long
as the amount on deposit in the Reserve Fund (after giving effect to any
withdrawal therefrom on such Distribution Date) is equal to or less than the
Liquidity Amount, to the effect that any funds then available in the Reserve
Fund are preserved for the Holders of the Class A Certificates or servicing
advances, and any amounts otherwise available for distribution to the Holders of
the Class B, Class C, Class D, Class E or Class F Certificates are deposited
into the Reserve Fund to the extent needed to restore it to the Liquidity
Amount.
Distributions of interest and principal with respect to the Class C, Class
D, Class E and Class F Certificates will be subordinate to distributions of
interest and principal with respect to the Class B Certificates to the extent
that (i) no distribution of interest or principal is permitted to be made with
respect to the Class C, Class D, Class E and Class F Certificates on any
Distribution Date until interest and principal then payable to the Class B
Certificates have been paid and (ii) so long as any Class A or Class B
Certificates remain outstanding, no distribution of interest or principal is
permitted to be made with respect to the Class C, Class D, Class E or Class F
Certificates on any Distribution Date until the amount in the Reserve Fund is
restored to at least the Liquidity Amount.
Distributions of interest and principal with respect to the Class D, Class E
and Class F Certificates will be subordinate to distributions of interest and
principal with respect to the Class C Certificates to the extent that (i) no
distribution of interest or principal is permitted to be made with respect to
the Class D, Class E and Class F Certificates on any Distribution Date until
interest and principal then payable to the Class C Certificates have been paid
and (ii) so long as any Class A, Class B or Class C Certificates remain
outstanding, no distribution of interest or principal is permitted to be made
with respect to the Class D, Class E and Class F Certificates on any
Distribution Date until the amount in the Reserve Fund is restored to at least
the Liquidity Amount.
Distributions of interest and principal with respect to the Class E and
Class F Certificates will be subordinate to distributions of interest and
principal with respect to the Class D Certificates to the extent that (i) no
distribution of interest or principal is permitted to be made with respect to
the Class E and Class F Certificates on any Distribution Date until interest and
principal then payable to the Class D Certificates have been paid and (ii) so
long as any Class A, Class B, Class C or Class D Certificates remain
outstanding, no distribution of interest or principal is permitted to be made
with respect to the Class E and Class F Certificates on any Distribution Date
until the amount in the Reserve Fund is restored to at least the Liquidity
Amount.
Finally, distributions of interest and principal with respect to the Class F
Certificates will be subordinate to distributions of interest and principal with
respect to the Class E Certificates to the extent that (i) no distribution of
interest or principal is permitted to be made with respect to the Class F
Certificate on any Distribution Date until interest and principal then payable
to the Class E Certificates have been paid and (ii) so long as any Class A,
Class B, Class C, Class D or Class E Certificates remain outstanding, no
distribution of interest or principal is permitted to be made with respect to
the Class F Certificates on any Distribution Date until the amount in the
Reserve Fund is restored to at least the Liquidity Amount.
The allocation of funds otherwise payable to subordinate Classes so as to
restore the amount on deposit in the Reserve Fund to the Liquidity Amount,
described in each of the five preceding paragraphs, will be limited to the
extent that, if the Class A-1, Class A-2A, Class A-2B or Class A-2C Certificates
are the only Class A Certificates then outstanding, any deposit to the Reserve
Fund may be made only with funds from Eligible Multifamily Mortgage Loans.
All amounts with respect to the Group 1 and Group 2 Mortgage Loans which are
available for distribution will be allocated first to interest and principal
then distributable with respect to the Class A-1, Class A-2A, Class A-2B and
Class A-2C Certificates and only thereafter will be available for application to
amounts then distributable with respect to the other Classes of Offered
Certificates. Principal distributable on the Class A-1, Class A-2A, Class A-2B
and Class A-2C Certificates generally will include all principal received, due
(other than Balloon Payments) but not received, or deemed to be due, on the
Group 1 and Group 2 Mortgage Loans. No amounts with respect to the Group 3 and
Group 4 Mortgage Loans will be available to make distributions on the Class A-1,
Class A-2A, Class A-2B and Class A-2C Certificates. As a result, the Class B,
Class C, Class D, Class E or Class F Certificates could be entitled to
distributions from payments received with respect to Group 3 and Group 4
Mortgage Loans at times when payments on the Group 1 and Group 2 Mortgage Loans
are insufficient to pay in full amounts currently payable on the Class A-1,
Class A-2A, Class A-2B and Class A-2C Certificates. This result could only
occur, however, where on any Distribution Date the cumulative amount of Reserve
Fund draws (net of reimbursed advances) exceeds the sum of the Initial Deposit
and the cumulative amount of Reserve Fund deposits (other than reimbursements of
advances) from cash flows on Eligible Multifamily Mortgage Loans. Even in the
absence of shortfalls in payments on the Group 1 and Group 2 Mortgage Loans, if
the rate of principal payments on the Group 3 and Group 4 Mortgage Loans is
sufficiently faster than the rate of principal payments on the Group 1 and Group
2 Mortgage Loans, the Class B, Class C, Class D, Class E or Class F Certificates
could be entitled to distributions of Optimal Mortgage Loan Principal for
Mortgage Loan Groups 3 and 4 at times when the Class A-1, Class A-2A, Class A-2B
and Class A-2C Certificates are still outstanding.
Amendment
The Agreement will provide that it may be amended by the Seller, the Master
Servicer, the Special Servicer and the Trustee without the consent of any of the
Certificateholders to cure any ambiguity, to correct or supplement any provision
therein that may be inconsistent with any other provision therein, to maintain
the rating or ratings assigned to the Offered Certificates by a Rating Agency or
to make other provisions with respect to matters or questions arising under the
Agreement which are not inconsistent with the provisions of the Agreement;
provided that such action will not, as evidenced by an opinion of counsel
acceptable to the Seller and the Trustee, adversely affect in any material
respect the interests of any Certificateholder. The Agreement will also provide
that it may be amended by the Seller, the Master Servicer, the Special Servicer
and the Trustee with the consent of the Holders of Certificates representing an
aggregate outstanding principal amount of not less than 66 2/3% of each Class of
Offered Certificates affected by the proposed amendment for the purpose of
adding any provisions to or changing in any manner or eliminating any of the
provisions of the Agreement or modifying in any manner the rights of
Certificateholders; provided, however, that no such amendment may (i) reduce in
any manner the amount of, or delay the timing of, payments received on Mortgage
Loans which are required to be distributed on any Certificate without the
consent of each affected Certificateholder, (ii) reduce the aforesaid percentage
of Certificates the Holders of which are required to consent to any such
amendment, without the consent of the Holders of all Certificates then
outstanding, or (iii) alter the servicing standard set forth in the Agreement.
Further, the Agreement will provide that the Seller, the Master Servicer, the
Special Servicer and the Trustee, at any time and from time to time, without the
consent of the Certificateholders, may amend the Agreement to modify, eliminate
or add to any of its provisions to such extent as shall be necessary to maintain
the qualification of the REMIC Pool as a REMIC at all times that any of the
Certificates are outstanding; provided, however, that such action, as evidenced
by an opinion of counsel acceptable to the Trustee, is necessary or helpful to
maintain such qualification, and would not adversely affect in any material
respect the interest of any Certificateholder.
No amendment may be made to the Agreement unless the Master Servicer, the
Special Servicer or the Trustee will have received an opinion of counsel
acceptable to them to the effect that such amendment will not cause the REMIC
Pool to fail to qualify as a REMIC at any time that any of the Certificates are
outstanding.
Termination; Repurchase of Mortgage Loans
The obligations of the parties to the Agreement will terminate upon: (i) the
purchase of all of the assets of the Trust Fund, as described herein under "--
Optional Termination;" (ii) the later of (a) the distribution to
Certificateholders of final payment with respect to the last outstanding
Mortgage Loan or (b) the disposition of all property acquired upon foreclosure
or deed in lieu of foreclosure with respect to the last outstanding Mortgage
Loan and the remittance to the Certificateholders of all funds due under the
Agreement; (iii) the sale of the assets of the Trust Fund after the principal
amounts of all Certificates have been reduced to zero under circumstances set
forth in the Agreement; or (iv) mutual consent of the parties and all
Certificateholders. The Trustee will give or cause to be given written notice of
termination of the Agreement to each Certificateholder, and the final
distribution under the Agreement will be made only upon surrender and
cancellation of the related Certificates at an office or agency specified in the
notice of termination.
Reports to Certificateholders
Trustee Reports
Based on information provided in monthly reports prepared by the Master
Servicer and the Special Servicer and delivered to the Trustee, the Trustee will
prepare and forward on each Distribution Date to each Certificateholder and to
the Seller, the Master Servicer and each Underwriter, a statement setting forth,
to the extent applicable: (i) the amount, if any, of such distribution to the
Holders of each Class of Offered Certificates applied to reduce the respective
Certificate Principal Amounts thereof; (ii) the amount of such distribution to
Holders of each Class of Offered Certificates allocable to (a) interest accrued
at the respective Pass-Through Rates, (b) any Class Unpaid Interest Shortfall
included in such distribution and (c) any remaining Class Unpaid Interest
Shortfall after giving effect to such distribution; (iii) the amount of Deferred
Interest allocated to such Class; (iv) the aggregate Scheduled Principal Balance
of the Mortgage Loans in each Mortgage Loan Group at the close of business on
such Distribution Date, identifying the total amount of any Deferred Interest;
(v) the aggregate amount of any transfers from the Reserve Fund included in
payments distributed to the Certificateholders (separately identifying the
portion thereof representing a Basis Risk Reserve Fund Draw Amount, a Credit
Reserve Fund Draw Amount and a Senior Lien Advance) and the amount of any
principal on the Mortgage Loans that was used or otherwise allocated to pay
interest on the Offered Certificates; (vi) the number and aggregate principal
balance of Mortgage Loans in each Mortgage Loan Group (a) delinquent one month,
(b) delinquent two or more months and (c) as to which foreclosure proceedings
have been commenced; (vii) with respect to any Mortgage Loan that became an REO
Mortgage Loan during the preceding calendar month, the Scheduled Principal
Balance of such Mortgage Loan as of the date it became an REO Mortgage Loan;
(viii) as of the related Determination Date (a) the book value of any REO
Property, (b) as to any REO Property sold during the related Due Period, the
date of the related determination by the Special Servicer that it has recovered
all payments which it expects to be finally recoverable (the "Final Recovery
Determination") and the amount of the proceeds of such sale deposited into the
Collection Account, and (c) the aggregate amount of other revenues collected by
the Special Servicer with respect to each REO Property during the related Due
Period and credited to the Collection Account, in each case identifying such REO
Property by the loan number of the related Mortgage Loan; (ix) the aggregate
Certificate Principal Amount of each Class of Offered Certificates before and
after giving effect to the distribution made on such Distribution Date,
separately identifying any increase in the Certificate Principal Amount of each
such Class of Certificates due to Deferred Interest; (x) the aggregate amount of
Principal Prepayments in each of the Mortgage Loan Groups made during the
related Prepayment Period; (xi) the aggregate Class Unpaid Interest Shortfall
remaining undistributed, if any, for each Class of Offered Certificates after
giving effect to the distribution made on such Distribution Date; (xii) the
Pass-Through Rate applicable to each Class of Offered Certificates for such
Distribution Date; (xiii) a summary of any modifications, waivers, amendments or
consents and the bases therefor as described under "SERVICING OF THE MORTGAGE
LOANS -- Modifications, Waivers and Amendments" herein; (xiv) the aggregate
amount remaining in the Reserve Fund after giving effect to the distribution
made on such Distribution Date; (xv) the number of outstanding Mortgage Loans
and the aggregate Scheduled Principal Balance of the Mortgage Loans in each of
the Mortgage Loan Groups; (xvi) the aggregate amount of servicing fees retained
by or paid to the Master Servicer and the Special Servicer; and (xvii) the
amount of "Realized Losses" (i.e., the losses incurred in connection with any
Mortgage Loan as to which a Final Recovery Determination has been made), if any,
incurred with respect to the Mortgage Loans in each Mortgage Loan Group. In the
case of information furnished pursuant to subclauses (i), (ii) and (x) above,
the amounts shall be expressed as a dollar amount in the aggregate for all
Certificates of each applicable Class and per single Certificate.
Within a reasonable period of time after the end of each calendar year, the
Trustee will furnish to each Person who at any time during the calendar year was
a Holder of an Offered Certificate a statement containing the information set
forth in subclauses (i) and (ii) only above, aggregated for such calendar year
or applicable portion thereof during which such Person was a Certificateholder.
Such obligation of the Trustee will be deemed to have been satisfied to the
extent that substantially comparable information is provided by the Trustee
pursuant to any requirements of the Code.
Master Servicer Reports
On the Distribution Date occurring in December 1994, and on every third
Distribution Date thereafter, the Master Servicer will prepare and deliver to
the Trustee, and the Trustee will forward to each Certificateholder, a report
setting forth certain summary information included in Exhibits A through D to
this Prospectus, based on the current Scheduled Principal Balances of the
Mortgage Loans as of the related Determination Date.
Portfolio Performance Reports
On or about the 10th day of each month, commencing no later than January
1995, the Master Servicer will prepare a "Portfolio Performance Report" with
respect to the Mortgage Loans and deliver such report to the Seller. Such report
will be prepared in part based on information provided to the Master Servicer
each month by the Special Servicer with respect to Specially Serviced Mortgage
Loans. Such report will set forth detailed information with respect to the
delinquency status of the Mortgage Loans in each Mortgage Loan Group and for the
aggregate of all Mortgage Loans, including, among other things, the following:
(i) number of days delinquent (ranging from less than one month to over two
years) and causes of servicing transfers, (ii) delinquency status by state,
including the five states with the largest delinquency concentrations, (iii)
delinquency status by property type, (iv) delinquency status by state and
property type, (v) Mortgage Loans returned to the Master Servicer, with and
without modifications, (vi) Mortgage Loans liquidated, including by payment in
full, discounted pay-off, sale of the Mortgage Loan, repurchase for breach of
representations and warranties and sale of REO property and (vii) REO property
by state and property type.
The Seller will furnish a copy of each monthly Portfolio Performance Report
to the Trustee and will make each such report available to Certificateholders
and other interested persons in its public reference room located at its
principal offices in Washington, D.C.
A prototype of a Portfolio Performance Report is attached hereto as Exhibit
K. The prototype is likely to be revised by the Seller and the Master Servicer
from time to time during the initial period following the Closing Date.
Trustee and Collateral Agent
The Trustee and the Collateral Agent will be State Street Bank and Trust
Company, a banking corporation, organized and existing under the laws of the
Commonwealth of Massachusetts with a principal office at 225 Franklin Street,
Boston, MA 02110.
Optional Termination
The Master Servicer, the Holders of the Class R Certificates, the owner of
the Reserve Fund or, if all Mortgage Loans are then Specially Serviced Mortgage
Loans, the Special Servicer, may effect a termination of the Trust Fund on any
Distribution Date after the date on which the aggregate Certificate Principal
Amount of the Offered Certificates is reduced to less than 10% of the initial
aggregate Certificate Principal Amount of the Offered Certificates, by
purchasing all the assets of the Trust Fund at a purchase price, payable in
cash, equal to the greater of: (x) 100% of the outstanding aggregate unpaid
principal balances of the Mortgage Loans plus accrued and unpaid interest
thereon to, but not including, the respective first Due Date following the Due
Period related to the Prepayment Period in which such repurchase occurs plus the
fair market value of all other property included in the Trust Fund; and (y) the
aggregate fair market value of the Mortgage Loans (including any other property
in the Trust Fund) as of the date of repurchase, determined as provided in the
Agreement. The proceeds of such sale will be treated as a prepayment of the
Mortgage Loans for purposes of distributions to Certificateholders. Such sale
will effect a termination of the Trust Fund and an early retirement of the
Offered Certificates. Such sale and consequent termination of the REMIC must
constitute a "qualified liquidation" of the REMIC under Section 860F of the
Code.
USE OF PROCEEDS
The net proceeds from the sale of the Offered Certificates will be used by
the Seller either to provide liquidity for the Depository Institutions
contributing the Mortgage Loans underlying the Certificates or for general RTC
corporate purposes.
DEPOSITORY INSTITUTIONS
The Mortgage Loans were acquired by the Seller in its corporate capacity and
its capacity as conservator or receiver, as the case may be, of approximately
238 Depository Institutions. As conservator or receiver of Depository
Institutions, the Seller has the power to enter into binding agreements for the
sale of assets of the respective Depository Institutions, including the Mortgage
Loans contributed thereby. See "THE RESOLUTION TRUST CORPORATION" herein.
DESCRIPTION OF THE MORTGAGE LOANS
General
The Mortgage Loans are adjustable and fixed rate, amortizing and Balloon
Payment mortgage loans. Substantially all of the Mortgage Loans are not insured
or guaranteed by the United States, any governmental agency or any private
mortgage insurer.
Each Mortgage Loan included in the Trust Fund is evidenced by a Note and is
secured primarily by a first lien on (or: (i) in the case of 90 Mortgage Loans
having an aggregate Scheduled Principal Balance of $26,952,408, representing
2.37% of the Mortgage Pool by Scheduled Principal Balance as of the Cut-Off
Date, by second liens on Mortgaged Properties with respect to which the related
first liens are not included in the Mortgage Pool; (ii) in the case of four
Mortgage Loans having an aggregate Scheduled Principal Balance of $2,947,441,
representing 0.26% of the Mortgage Pool by Scheduled Principal Balance as of the
Cut-Off Date, by third liens on Mortgaged Properties with respect to which the
related first and second liens are not included in the Mortgage Pool; and (iii)
in the case of five Mortgage Loans having an aggregate Scheduled Principal
Balance of $311,273, representing 0.03% of the Mortgage Pool by Scheduled
Principal Balance as of the Cut-Off Date, by liens on Mortgaged Properties for
which the lien position is unknown), or is an Installment Contract for the sale
of, a Mortgaged Property located in one of approximately 42 states and the
District of Columbia.
Four Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $443,038, representing 0.04% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date, will be Specially Serviced
Mortgage Loans as of the Closing Date if no Monthly Payments are received on
such Mortgage Loans from the Cut-Off Date to the Closing Date because each of
such Mortgage Loans will then have a payment which is more than 60 days past
due. None of these Mortgage Loans are among the 50 largest Mortgage Loans in
either Mortgage Loan Groups 1 and 2 or Mortgage Loan Groups 3 and 4.
79 Mortgage Loans having an aggregate Scheduled Principal Balance of
approximately $28,483,599, representing 2.50% of the aggregate Scheduled
Principal Balance of the Mortgage Loans as of the Cut-Off Date, are Matured
Performing Mortgage Loans. Such Mortgage Loans will be Specially Serviced
Mortgage Loans as of the Closing Date. None of these Mortgage Loans are among
the 50 largest Mortgage Loans in Mortgage Loan Groups 1 and 2. Two of these
Mortgage Loans, having an aggregate Scheduled Principal Balance as of the
Cut-Off Date of $4,897,849, are among the 50 largest Mortgage Loans in Mortgage
Loan Groups 3 and 4.
Some of the Mortgage Loans ("Simple Interest Loans") provide that the
Monthly Payments thereon are applied first to interest accrued from the last
date to which interest has been paid to the date such Monthly Payment is
received and the balance thereof is applied to principal, and other Mortgage
Loans provide for payment of interest in advance rather than in arrears.
A significant number of the Mortgage Loans are secured by one or more
assignments of leases and rents, management agreements or operating agreements
relating to the Mortgaged Property and in some cases by certain letters of
credit, personal guarantees or both. Pursuant to an assignment of leases and
rents, the Borrower assigns its right, title and interest as landlord under each
lease and the income derived therefrom to the related lender, while retaining a
license to collect the rents for so long as there is no default. If the Borrower
defaults, the license terminates and the related lender is entitled to collect
the rents from tenants to be applied to the monetary obligations of the
Borrower. State law may limit or restrict the enforcement of the assignment of
leases and rents by a lender until the lender takes possession of the related
Mortgaged Property and a receiver is appointed. See "CERTAIN LEGAL ASPECTS OF
THE MORTGAGE LOANS -- Leases and Rents" herein.
A substantial portion of the Mortgage Loans are "non-recourse" loans or
loans for which recourse may be restricted or unenforceable, as to which, in the
event of default by the obligor (the "Borrower") on the related promissory note
(the "Note"), the Trustee (or the Special Servicer acting pursuant to the
Agreement) may look only to the related Mortgaged Properties (including any
assignments of leases of the Mortgaged Properties) and any other collateral
security (and not to the Borrower's other assets) for satisfaction of the
amounts due on the affected Mortgage Loans. See "CERTAIN LEGAL ASPECTS OF THE
MORTGAGE LOANS -- Anti-Deficiency Legislation" herein.
Some of the Mortgage Loans also have Notes which may provide the holder
thereof with the right to call such Notes at times specified therein. The
Agreement provides, however, that the Trustee will not exercise its right to
call any such Note unless the Special Servicer directs the Trustee to exercise
such right in connection with a default under such Note.
Substantially all of the Mortgage Loans do not provide either for any
lockout period in which prepayments are prohibited or for any prepayment
premium, penalty or charge in connection with the prepayment thereof, or if such
provisions were included in the Notes they have expired. A substantial majority
of the Mortgages also contain "due-on-sale" clauses. Such a clause permits the
lender to accelerate the maturity of the Mortgage Loan if the Borrower sells,
transfers or conveys the Mortgaged Property or the Borrower's interest in the
Mortgaged Property. The Agreement obligates the Master Servicer or the Special
Servicer, as the case may be, to determine, in accordance with the applicable
provisions of the Agreement, whether to enforce such "due-on-sale" clauses. See
"CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS -- Enforceability of Certain
Provisions" herein.
One Mortgage Loan, having a Scheduled Principal Balance of approximately
$406,761, representing 0.04% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Cut-Off Date, is a "wraparound" mortgage loan. A
"wraparound" mortgage loan is one that is secured by real property on which
there exists a senior mortgage and whose principal balance equals the aggregate
of the principal amount of the loan secured by the senior mortgage plus the
principal amount of the loan funded by the wraparound (or junior) lender. The
Agreement will require the Master Servicer to remit timely the portion of each
related Monthly Payment that is payable to the senior mortgagee in accordance
with the provisions of each such "wraparound" mortgage loan or otherwise.
The adjustable rate Mortgage Loans bear interest at a per annum rate which
is adjusted periodically to equal the index ("Index") plus or minus, in most
cases, a fixed percentage set forth in the related Note (the "Margin"), the sum
of which may be subject to a rounding convention provided for in the related
Note, subject, however, to certain limitations described below. The respective
Index on which each such adjustment will be based, and the intervals between the
dates of such adjustments (each such date, an "Adjustment Date"; the first
Adjustment Date with respect to each adjustable rate Mortgage Loan is
hereinafter referred to as the "First Adjustment Date") are described in
Exhibits A, B, C, D and E hereto.
Certain of the adjustable rate Mortgage Loans originally provided for an
Index based on a prime rate or cost of funds quoted by a financial institution
or other Index which no longer exists. In many instances, the related Notes make
no provision for an alternative Index or provide that, if the Index becomes
unavailable, the lender will select an alternative index based on comparable
information. As to such Notes, the Seller will select an index which it has
concluded is based on information comparable to that on which the original Index
was based. Furthermore, in the event that such alternative index results in a
higher Mortgage Interest Rate, any resulting increase in the Monthly Payment may
increase the likelihood of delinquency or default under the related Mortgage
Loan.
Two of the Group 1 Mortgage Loans, four of the Group 2 Mortgage Loans, three
of the Group 3 Mortgage Loans and two of the Group 4 Mortgage Loans,
collectively representing approximately 0.46% of the aggregate Scheduled
Principal Balance of the Mortgage Loans as of the Cut-Off Date, bear interest as
of the Cut-Off Date at rates lower than their Floor Interest Rates. It is
expected that, following the related Servicing Transfer Date, such Mortgage
Loans will be serviced in accordance with their terms, including their Floor
Interest Rates. In the event that enforcement of the applicable Floor Interest
Rate results in a higher Mortgage Interest Rate, any resulting increase in the
Monthly Payment may increase the likelihood of delinquency or default under the
related Mortgage Loan.
As to all adjustable rate Mortgage Loans, if the respective Index set forth
in each Note becomes unavailable, and the related Note provides for no
alternative Index, the Master Servicer will select an alternative index based on
comparable information and such alternative index will become the Index.
The Mortgage Pool
The Mortgage Pool will consist of approximately 2,115 Mortgage Loans, which
had an approximate aggregate original principal balance of $1,292,328,196 and
had an approximate aggregate Scheduled Principal Balance as of the Cut-Off Date
of $1,138,319,146. Of these Mortgage Loans:
(i) 352 Mortgage Loans are Group 1 Mortgage Loans with an approximate
aggregate original principal balance of $250,898,308 and an approximate
aggregate Scheduled Principal Balance as of the Cut-Off Date of $217,244,863
(subject to a permitted variance of plus or minus 5%), representing
approximately 19.08% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Cut-Off Date; the Group 1 Mortgage Loans are
generally subject to lower Floor Interest Rates than the adjustable rate
Group 2 Mortgage Loans or no Floor Interest Rates; the Group 1 Mortgage
Loans consist of adjustable rate Mortgage Loans secured by multifamily
residential properties;
(ii) 516 Mortgage Loans are Group 2 Mortgage Loans with an approximate
aggregate original principal balance of $310,005,625 and an approximate
aggregate Scheduled Principal Balance as of the Cut-Off Date of $289,490,463
(subject to a permitted variance of plus or minus 5%), representing
approximately 25.43% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Cut-Off Date; a portion of the Group 2 Mortgage
Loans have fixed interest rates (or, in limited cases, are subject to
increases or decreases by fixed amounts after the Cut-Off Date based on
predetermined schedules) for the remaining terms of the loans and the
remaining portion of the Group 2 Mortgage Loans have adjustable interest
rates subject to Floor Interest Rates of at least 8.375% per annum; the
Group 2 Mortgage Loans are secured by multifamily residential properties;
(iii) 600 Mortgage Loans are Group 3 Mortgage Loans with an approximate
aggregate original principal balance of $309,656,799 and an approximate
aggregate Scheduled Principal Balance as of the Cut-Off Date of $265,858,475
(subject to a permitted variance of plus or minus 5%), representing
approximately 23.36% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Cut-Off Date; the Group 3 Mortgage Loans are
generally subject to lower Floor Interest Rates than the adjustable rate
Group 4 Mortgage Loans or no Floor Interest Rates; and
(iv) 647 Mortgage Loans are Group 4 Mortgage Loans with an approximate
aggregate original principal balance of $421,767,465 and an approximate
aggregate Scheduled Principal Balance as of the Cut-Off Date of $365,725,345
(subject to a permitted variance of plus or minus 5%), representing
approximately 32.13% of the aggregate Scheduled Principal Balance of the
Mortgage Loans as of the Cut-Off Date; a portion of the Group 4 Mortgage
Loans have fixed interest rates (or, in limited cases, are subject to
increases or decreases by fixed amounts after the Cut-Off Date based on
predetermined schedules) for the remaining terms of the loans and the
remaining portion of the Group 4 Mortgage Loans have adjustable interest
rates subject to Floor Interest Rates of at least 8.375% per annum.
In addition, the Mortgage Pool will contain two additional Mortgage Loans
(each, an "Excess Cash Flow Mortgage Loan") with approximate Scheduled Principal
Balances as of the Cut-Off Date of $250,000 and $435,107, respectively. The
first Excess Cash Flow Mortgage Loan does not bear interest, and the payment of
the principal amount of this Mortgage Loan will be made only from a portion of
either (a) the net appreciated value of the property upon sale, condemnation,
total casualty loss, default or maturity or (b) the net refinancing proceeds
upon the refinancing of the underlying property. The second Excess Cash Flow
Mortgage Loan is a second lien purchase money note, payments on which are
contingent on the payment in full of the first lien purchase money note and the
payment of a designated amount to the borrower as a return of equity. Due to
these contingencies, no payments on the Excess Cash Flow Mortgage Loans have
been anticipated in connection with making distributions on the Certificates, no
amounts will be withdrawn from the Reserve Fund, and no expenses will be paid,
in connection with the Excess Cash Flow Mortgage Loans. Moreover, the only
representations and warranties that the Seller will make with respect to the
Excess Cash Flow Mortgage Loans are those described in clauses (viii) and (xv)
of the first paragraph under "Representations and Warranties" below. Any
payments of principal received on the Excess Cash Flow Mortgage Loans will be
deposited into the Collection Account and distributed with respect to the
Certificates as described above under "DESCRIPTION OF THE CERTIFICATES --
Allocation Among Classes."
Exhibit E hereto sets forth certain information with respect to the Mortgage
Pool as a whole.
Exhibit F hereto sets forth certain information with respect to Mortgage
Loans secured by properties located in Southern California.
Exhibits H and I hereto set forth certain characteristics of the 50 largest
Mortgage Loans included in Mortgage Loan Groups 1 and 2 and Mortgage Loan Groups
3 and 4, respectively.
Because payments on all Classes of Offered Certificates may be affected by
the performance of Mortgage Loans in a Mortgage Loan Group other than the
Mortgage Loan Group directly supporting payments on a particular Class,
prospective investors are urged to review the information contained herein for
all Mortgage Loan Groups.
Group 1 Mortgage Loans
All of the Group 1 Mortgage Loans are Eligible Multifamily Mortgage Loans.
All of the Group 1 Mortgage Loans are adjustable rate mortgage loans ("ARMs").
The Mortgage Interest Rate on any such ARM may adjust (as is generally the case
for Mortgage Loans for which the Index is a prime rate) as the Index on which it
is based adjusts or may be fixed until the First Adjustment Date set forth in
the related Note, adjusting on the First Adjustment Date, and generally at one
month, six month, twelve month, three year or five year intervals thereafter (in
each case as described in the related Note). The Mortgage Interest Rate on the
Group 1 Mortgage Loans will be adjusted to a rate equal to an Index plus or
minus the Margin set forth in the related Note; provided, however, that the
adjustments of the Mortgage Interest Rates are subject to rounding (as described
in "-- General" above), to lifetime maximum rates ("Maximum Rates") and Floor
Interest Rates set forth in the related Note and, with respect to certain of the
Group 1 Mortgage Loans, to periodic Mortgage Interest Rate adjustment caps or
floors. The Group 1 Mortgage Loans are subject to Floor Interest Rates which are
generally less than 8.375% per annum or to no Floor Interest Rates. The Index
set forth in a Note may be a constant maturity treasury index, a bond equivalent
treasury yield index, a rate of interest based on a cost of funds index, a rate
of interest based on the prime rate quoted by a financial institution, a rate of
interest based on a Federal Home Loan Bank ("FHLB") rate of interest, LIBOR or
another index. The Index applicable to a Note is set forth therein. The
adjustments to the Mortgage Interest Rates for the Group 1 Mortgage Loans may
occur as the Index changes or may be based on the Index available a specified
number of days prior to the Adjustment Date (a "Look-Back Period") or on the
most recently published Index as of each Adjustment Date. None of the Group 1
Mortgage Loans is convertible into a fixed rate Mortgage Loan.
The Group 1 Mortgage Loans may provide for adjustment of the rate of
interest which becomes due for each such Mortgage Loan on each Due Date (with
respect to any Mortgage Loan in the Mortgage Pool, the "Payment Rate") on dates
that occur on the related Adjustment Dates for the Mortgage Interest Rates
(which is the rate at which interest accrues on the related Mortgage Loans) or
at some other frequency (each, a "Payment Adjustment Date"). The Adjustment Date
for a given Group 1 Mortgage Loan in many cases differs from the Payment
Adjustment Date for such Group 1 Mortgage Loan. Accordingly, the Payment Rates
of such Mortgage Loans may be less than or greater than the related Mortgage
Interest Rates during certain periods. Any excess of the interest accrued on a
Mortgage Loan at the Mortgage Interest Rate over accrued interest that becomes
due on such Mortgage Loan at the Payment Rate is deferred ("Deferred Interest")
and is added to the principal balance of such Mortgage Loan. Conversely, if the
Payment Rate is greater than the Mortgage Interest Rate on a Mortgage Loan, such
Mortgage Loan will positively amortize. The Deferred Interest accrued on any of
the Group 1 Mortgage Loans will be payable on or before the stated maturity of
the Mortgage Loan.
The Group 1 Mortgage Loans generally provide for a Monthly Payment that is
recalculated to an amount that would be sufficient to amortize fully the unpaid
principal balance of such Mortgage Loan generally over the remainder of the
original amortization term, at the Mortgage Interest Rate for such Mortgage Loan
in effect on such Payment Adjustment Date; provided, however, that increases or
decreases in the Monthly Payment may be limited to an amount specified in the
related Note above or below the Monthly Payment in effect prior to the related
Payment Adjustment Date (a "Group 1 Payment Adjustment Cap" and a "Group 1
Payment Adjustment Floor," respectively). Such Mortgage Loans may provide that
the Group 1 Payment Adjustment Caps and Group 1 Payment Adjustment Floors will
not apply every fifth year or at some other time interval, in each case at which
time the Monthly Payment will be adjusted to an amount sufficient to amortize
fully the outstanding principal balance of the Mortgage Loan at the then current
Mortgage Interest Rate generally over the remainder of the original amortization
term.
With respect to approximately 21.08% of the aggregate Scheduled Principal
Balance as of the Cut-Off Date of the Group 1 Mortgage Loans, the maximum
principal balance which is permitted under the Note as a result of negative
amortization (the "Maximum Negative Amortization Amount") is generally not
permitted to exceed a specified maximum amount of 125% of the principal amount
of the Mortgage Loan on the date of origination. With respect to approximately
50.18% of the aggregate Scheduled Principal Balance as of the Cut-Off Date of
the Group 1 Mortgage Loans, no Maximum Negative Amortization Amount is
specified. With respect to approximately 28.74% of the aggregate Scheduled
Principal Balance of the Group 1 Mortgage Loans as of the Cut-Off Date, no
negative amortization is permitted. If the Maximum Negative Amortization Amount
is exceeded as a result of Deferred Interest, the Borrower would be required to
make an additional payment with its next Monthly Payment in an amount equal to
the difference between the unpaid principal balance of the Mortgage Loan and the
Maximum Negative Amortization Amount and, for so long as the unpaid principal
balance of the Mortgage Loan is not less than the Maximum Negative Amortization
Amount, the Monthly Payment would be adjusted to an amount that would be
sufficient to amortize fully the unpaid principal balance of the Mortgage Loan
at the then current Mortgage Interest Rate generally over the remainder of the
original amortization term of such Mortgage Loan, without regard to the
applicable Group 1 Payment Adjustment Cap. Generally, those Group 1 Mortgage
Loans without negative amortization caps either may not create Deferred Interest
or may fully re-amortize as described above.
The Group 1 Mortgage Loans for which the lien status is known are secured by
first liens (or by more junior liens where all related senior liens secure
Mortgage Loans included in Mortgage Loan Group 1) on multifamily residential
properties.
All of the 46 Mortgage Loans in Mortgage Loan Group 1 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately
15.81% of the aggregate Scheduled Principal Balance of the Group 1 Mortgage
Loans as of the Cut-Off Date, nevertheless meet the representation of the Seller
that, as of the Cut-Off Date, all Monthly Payments due on or before June 1, 1994
have been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated, see Exhibit G hereto.
None of the Group 1 Mortgage Loans is secured in whole by a leasehold
mortgage.
Five of the Group 1 Mortgage Loans, representing approximately $1,192,833 or
0.55% of the aggregate Scheduled Principal Balance of the Group 1 Mortgage Loans
as of the Cut-Off Date, are Matured Performing Mortgage Loans.
None of the Group 1 Mortgage Loans will be Specially Serviced Mortgage Loans
as of the Closing Date if no Monthly Payments are received between the Cut-Off
Date and the Closing Date.
271 of the Group 1 Mortgage Loans, representing approximately $182,920,036
or 84.20% of the aggregate Scheduled Principal Balance of the Group 1 Mortgage
Loans as of the Cut-Off Date, are secured by Mortgaged Properties located in the
Counties of Contra Costa, Los Angeles, Orange, San Bernadino, San Diego, San
Francisco or Santa Clara in the State of California.
In addition, one of the Group 1 Mortgage Loans, representing approximately
$632,963 or 0.29% of the aggregate Scheduled Principal Balance of the Group 1
Mortgage Loans as of the Cut-Off Date, is a Seller- Originated Loan.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$5,098,395 or 2.35% of the aggregate Scheduled Principal Balance of the Group 1
Mortgage Loans as of the Cut-Off Date. 33 of the Group 1 Mortgage Loans,
representing approximately $38,269,228 or 17.62% of the aggregate Scheduled
Principal Balance of the Group 1 Mortgage Loans as of the Cut-off Date, are
Modified Mortgage Loans.
The interest rate adjustment sensitivity of the Group 1 Mortgage Loans is
affected by, among other things, the particular Indexes of the Mortgage Loans,
the frequency of adjustments and applicable caps and floors.
A description of certain additional characteristics of the Group 1 Mortgage
Loans as of the Cut-Off Date, estimated as of the date of this Prospectus, is
set forth in Exhibit A hereto.
Group 2 Mortgage Loans
All of the Group 2 Mortgage Loans are Eligible Multifamily Mortgage Loans.
Mortgage Loan Group 2 will consist of Mortgage Loans having Mortgage Interest
Rates which are fixed (or, in limited cases, which increase or decrease by fixed
amounts after the Cut-Off Date on a predetermined schedule) and Mortgage Loans
having Mortgage Interest Rates which are adjustable, but subject to a Floor
Interest Rate of at least 8.375% per annum. Each of the fixed rate Group 2
Mortgage Loans bears interest at a fixed rate per annum (or, in limited cases,
at a rate which increases or decreases by fixed amounts after the Cut-Off Date
on a predetermined schedule), as set forth in the related Note or was an
adjustable rate Mortgage Loan which has converted to a fixed rate Mortgage Loan
as provided in the related Note. Six of the fixed rate Group 2 Mortgage Loans
provide for a Mortgage Interest Rate which changes periodically after the
Cut-Off Date to predetermined fixed rates set forth in the related Note.
The Mortgage Interest Rate on any adjustable rate Group 2 Mortgage Loan may
adjust as the Index on which it is based adjusts or may be fixed until the First
Adjustment Date set forth in the related Note, adjusting on the First Adjustment
Date, and generally at one month, six month, twelve month, two year or three
year intervals thereafter (in each case as described in the related Note). The
Mortgage Interest Rate on adjustable rate Group 2 Mortgage Loans will be
adjusted to a rate equal to an Index plus or minus the Margin set forth in the
related Note; provided, however, that the adjustments of the Mortgage Interest
Rates are subject to rounding (as described in "-- General" above), to Maximum
Rates and Floor Interest Rates set forth in the related Note and, with respect
to certain of the adjustable rate Group 2 Mortgage Loans, to periodic Mortgage
Interest Rate adjustment maximums or floors. All of the 246 adjustable rate
Group 2 Mortgage Loans are subject to a Floor Interest Rate of at least 8.375%
per annum. The Index set forth in a Note may be a constant maturity treasury
index, a bond equivalent treasury yield index, a rate of interest based on a
cost of funds index, a rate of interest based on the prime rate quoted by a
financial institution, a rate of interest based on FHLB rate of interest, LIBOR
or another index. The Index applicable to a Note is set forth therein. The
adjustments to the Mortgage Interest Rates for the adjustable rate Group 2
Mortgage Loans may occur as the Index changes or may be based on a Look-Back
Period or on the most recently published Index as of each Adjustment Date. None
of the adjustable rate Group 2 Mortgage Loans is convertible into a fixed rate
Mortgage Loan.
The adjustable rate Group 2 Mortgage Loans may provide for adjustment of the
Payment Rates on Payment Adjustment Dates that occur on the related Adjustment
Date for the Mortgage Interest Rates or at some other frequency. The Adjustment
Date for a given adjustable rate Group 2 Mortgage Loan in many cases differs
from the Payment Adjustment Date for such adjustable rate Group 2 Mortgage Loan.
Accordingly, the Payment Rates of such Mortgage Loans may be less than or
greater than the related Mortgage Interest Rates during certain periods,
resulting in Deferred Interest which is added to the unpaid principal balances
of the related Mortgage Loans (if the Payment Rate is less than the Mortgage
Interest Rate) or positive amortization of such Mortgage Loans (if the Payment
Rate is greater than the Mortgage Interest Rate). The Deferred Interest accrued
on any of the adjustable rate Group 2 Mortgage Loans will be payable on or
before the stated maturity of the Mortgage Loan.
The adjustable rate Group 2 Mortgage Loans generally provide for a Monthly
Payment that is recalculated to an amount that would be sufficient to amortize
fully the unpaid principal balance of such Mortgage Loan generally over the
remainder of the original amortization term, at the Mortgage Interest Rate for
such Mortgage Loan in effect on such Payment Adjustment Date. However, increases
or decreases in the Monthly Payment may be limited to an amount specified in the
related Note above or below the Monthly Payment in effect prior to the related
Payment Adjustment Date (a "Group 2 Payment Adjustment Cap" and a "Group 2
Payment Adjustment Floor," respectively). Such Mortgage Loans may provide that
the Group 2 Payment Adjustment Caps and Group 2 Payment Adjustment Floors will
not apply every fifth year or at some other time interval, in each case at which
time the Monthly Payment will be adjusted to an amount sufficient to amortize
fully the outstanding principal balance of the Mortgage Loan at the then current
Mortgage Interest Rate generally over the remainder of the original amortization
term.
With respect to approximately 42.42% of the aggregate Scheduled Principal
Balance as of the Cut-Off Date of the Group 2 Mortgage Loans, the Maximum
Negative Amortization Amount is not generally permitted to exceed a specified
maximum amount of 125% of the principal amount of the Mortgage Loan on the date
of origination. With respect to approximately 5.84% of the aggregate Scheduled
Principal Balance as of the Cut-Off Date of the Group 2 Mortgage Loans, no
Maximum Negative Amortization Amount is specified. With respect to approximately
51.74% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage
Loans as of the Cut-Off Date, no negative amortization is permitted. If the
Maximum Negative Amortization Amount is exceeded as a result of Deferred
Interest, the Borrower would be required to make an additional payment with its
next Monthly Payment in an amount equal to the difference between the unpaid
principal balance of the Mortgage Loan and the Maximum Negative Amortization
Amount and, for so long as the unpaid principal balance of the Mortgage Loan is
not less than the Maximum Negative Amortization Amount, the Monthly Payment
would be adjusted to an amount that would be sufficient to amortize fully the
unpaid principal balance of the Mortgage Loan at the then current Mortgage
Interest Rate generally over the remainder of the original amortization term of
such Mortgage Loan, without regard to the applicable Group 2 Payment Adjustment
Cap. Generally, those adjustable rate Group 2 Mortgage Loans without negative
amortization caps either may not create Deferred Interest or may fully
re-amortize as described above.
The Group 2 Mortgage Loans for which the lien status is known are secured by
first liens (or by more junior liens where all related senior liens secure
Mortgage Loans included in Mortgage Loan Group 2) on multifamily residential
properties.
All of the 51 Mortgage Loans in Mortgage Loan Group 2 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately
20.29% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage
Loans as of the Cut-Off Date, nevertheless meet the representation of the Seller
that, as of the Cut-Off Date, all Monthly Payments due on or before June 1, 1994
have been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated, see Exhibit G hereto.
None of the Group 2 Mortgage Loans is secured in whole by a leasehold
mortgage.
Two of the Group 2 Mortgage Loans, representing approximately $169,013 or
0.06% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans
as of the Cut-Off Date, will be Specially Serviced Mortgage Loans as of the
Closing Date if no Monthly Payments are received between the Cut-Off Date and
the Closing Date. Neither of these Mortgage Loans is among the 50 largest
Mortgage Loans in Mortgage Loan Groups 1 and 2.
Seven of the Group 2 Mortgage Loans, representing approximately $943,673 or
0.33% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage Loans
as of the Cut-Off Date, are Matured Performing Mortgage Loans.
228 of the Group 2 Mortgage Loans, representing approximately $137,597,787
or 47.53% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage
Loans as of the Cut-Off Date, are secured by Mortgaged Properties located in the
Counties of Los Angeles, Orange, San Diego or Solano in the State of California.
In addition, 114 of the Group 2 Mortgage Loans, representing approximately
$112,100,854 or 38.72% of the aggregate Scheduled Principal Balance of the Group
2 Mortgage Loans as of the Cut-Off Date, are Seller- Originated Loans.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$18,035,019 or 6.23% of the aggregate Scheduled Principal Balance of the Group 2
Mortgage Loans as of the Cut-Off Date. 12 of the Group 2 Mortgage Loans,
representing approximately $5,541,457 or 1.91% of the aggregate Scheduled
Principal Balance of the Group 2 Mortgage Loans as of the Cut-off Date, are
Modified Mortgage Loans.
With respect to the adjustable rate Group 2 Mortgage Loans in Mortgage Loan
Group 2, the interest rate adjustment sensitivity is affected by, among other
things, the particular Indexes of the Mortgage Loans, the frequency of
adjustments and the applicable caps and floors.
A description of certain additional characteristics of the Group 2 Mortgage
Loans as of the Cut-Off Date, estimated as of the date of this Prospectus, is
set forth in Exhibit B hereto.
Group 3 Mortgage Loans
All of the Group 3 Mortgage Loans are ARMs. The Mortgage Interest Rate on
any such ARM may adjust as the Index on which it is based adjusts or may be
fixed until the First Adjustment Date set forth in the related Note, adjusting
on the First Adjustment Date, and generally at one month, three month, six
month, twelve month, two year, three year or five year intervals thereafter (in
each case as described in the related Note). The Mortgage Interest Rate on the
Group 3 Mortgage Loans will be adjusted to a rate equal to an Index plus or
minus the Margin set forth in the related Note; provided, however, that the
adjustments of the Mortgage Interest Rates are subject to rounding (as described
in "-- General" above), to Maximum Rates and Floor Interest Rates set forth in
the related Note and, with respect to certain of the Group 3 Mortgage Loans, to
periodic Mortgage Interest Rate adjustment caps or floors. The Group 3 Mortgage
Loans are subject to Floor Interest Rates which are generally less than 8.375%
per annum or no Floor Interest Rates. The Index set forth in a Note may be a
constant maturity treasury index, a bond equivalent treasury yield index, a rate
of interest based on a cost of funds index, a rate of interest based on the
prime rate quoted by a financial institution, a rate of interest based on a FHLB
rate of interest, LIBOR or another index. The Index applicable to a Note is set
forth therein. The adjustments to the Mortgage Interest Rates for the Group 3
Mortgage Loans may occur as the Index changes or may be based on a Look-Back
Period or on the most recently published Index as of each Adjustment Date. One
of the Group 3 Mortgage Loans, representing $4,899,660 or 1.84% of the aggregate
Scheduled Principal Balance of the Group 3 Mortgage Loans as of the Cut-off
Date, is convertible into a fixed rate Mortgage Loan.
The Group 3 Mortgage Loans may provide for adjustment of the Payment Rates
on Payment Adjustment Dates that occur on the related Adjustment Dates for the
Mortgage Interest Rates or at some other frequency. The Adjustment Date for a
given Group 3 Mortgage Loan in many cases differs from the Payment Adjustment
Date for such Group 3 Mortgage Loan. Accordingly, the Payment Rates of such
Mortgage Loans may be less than or greater than the related Mortgage Interest
Rates during certain periods, resulting in Deferred Interest which is added to
the principal balances of the related Mortgage Loans (if the Payment Rate is
less than the Mortgage Interest Rate) or positive amortization of such Mortgage
Loan (if the Payment Rate is greater than the Mortgage Interest Rate). The
Deferred Interest accrued on any of the Group 3 Mortgage Loans will be payable
on or before the stated maturity of the Mortgage Loan.
The Group 3 Mortgage Loans generally provide for a Monthly Payment that is
recalculated to an amount that would be sufficient to amortize fully the unpaid
principal balance of such Mortgage Loan generally over the remainder of the
original amortization term, at the Mortgage Interest Rate for such Mortgage Loan
in effect on such Payment Adjustment Date; provided, however, that increases or
decreases in the Monthly Payment may be limited to an amount specified in the
related Note above or below the Monthly Payment in effect prior to the related
Payment Adjustment Date (a "Group 3 Payment Adjustment Cap" and a "Group 3
Payment Adjustment Floor," respectively). Such Mortgage Loans may provide that
the Group 3 Payment Adjustment Caps and Group 3 Payment Adjustment Floors will
not apply every fifth year or at some other time interval, in each case at which
time the Monthly Payment will be adjusted to an amount sufficient to amortize
fully the outstanding principal balance of the Mortgage Loan at the then current
Mortgage Interest Rate generally over the remainder of the original amortization
term.
With respect to approximately 1.26% of the aggregate Scheduled Principal
Balance as of the Cut-Off Date of the Group 3 Mortgage Loans, the Maximum
Negative Amortization Amount is generally not permitted to exceed a specified
maximum amount of 125% of the principal amount of the Mortgage Loan on the date
of origination. With respect to approximately 36.62% of the aggregate Scheduled
Principal Balance as of the Cut-Off Date of the Group 3 Mortgage Loans, no
Maximum Negative Amortization Amount is specified. With respect to approximately
62.13% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage
Loans as of the Cut-Off Date, no negative amortization is permitted. If the
Maximum Negative Amortization Amount is exceeded as a result of Deferred
Interest, the Borrower would be required to make an additional payment with its
next Monthly Payment in an amount equal to the difference between the unpaid
principal balance of the Mortgage Loan and the Maximum Negative Amortization
Amount and, for so long as the unpaid principal balance of the Mortgage Loan is
not less than the Maximum Negative Amortization Amount, the Monthly Payment
would be adjusted to an amount that would be sufficient to amortize fully the
unpaid principal balance of the Mortgage Loan at the then current Mortgage
Interest Rate generally over the remainder of the original amortization term of
such Mortgage Loan, without regard to the applicable Group 3 Payment Adjustment
Cap. Generally, those Group 3 Mortgage Loans without negative amortization caps
either may not create Deferred Interest or may fully re-amortize as described
above.
All of the 28 Mortgage Loans in Mortgage Loan Group 3 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately
5.78% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans
as of the Cut-Off Date, nevertheless meet the representation of the Seller that,
as of the Cut-Off Date, all Monthly Payments due on or before June 1, 1994 have
been made. For further information regarding the debt service coverage ratios of
the Mortgage Loans, including information regarding Mortgage Loans as to which
such ratios were not calculated, see Exhibit G hereto.
16 of the Group 3 Mortgage Loans, representing approximately $22,456,774 or
8.45% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans
as of the Cut-Off Date, are secured in whole or in part by leasehold mortgages.
One of the Group 3 Mortgage Loans, representing approximately $207,278 or
0.08% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans
as of the Cut-Off Date, will be a Specially Serviced Mortgage Loan as of the
Closing Date if no Monthly Payments are received between the Cut-Off Date and
the Closing Date. This Mortgage Loan is not among the 50 largest Mortgage Loans
in Mortgage Loan Groups 3 and 4.
19 of the Group 3 Mortgage Loans, representing approximately $6,712,788 or
2.52% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage Loans
as of the Cut-Off Date, are Matured Performing Mortgage Loans.
200 of the Group 3 Mortgage Loans, representing approximately $116,431,712
or 43.79% of the aggregate Scheduled Principal Balance of the Group 3 Mortgage
Loans as of the Cut-Off Date, are secured by Mortgaged Properties located in the
Counties of Los Angeles, Orange, San Bernardino or San Diego in the State of
California.
In addition, none of the Group 3 Mortgage Loans are Seller-Originated Loans.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$5,128,558 or 1.93% of the aggregate Scheduled Principal Balance of the Group 3
Mortgage Loans as of the Cut-Off Date. 40 of the Group 3 Mortgage Loans,
representing approximately $36,984,436 or 13.91% of the aggregate Scheduled
Principal Balance of the Group 3 Mortgage Loans as of the Cut-Off Date, are
Modified Mortgage Loans.
The interest rate adjustment sensitivity of the Group 3 Mortgage Loans is
affected by, among other things, the particular Indexes of the Mortgage Loans,
the frequency of adjustments and applicable caps and floors.
A description of certain additional characteristics of the Group 3 Mortgage
Loans as of the Cut-Off Date, estimated as of the date of this Prospectus, is
set forth in Exhibit C hereto.
Group 4 Mortgage Loans
Mortgage Loan Group 4 will consist of Mortgage Loans having Mortgage
Interest Rates which are fixed (or, in limited cases, which increase or decrease
by fixed amounts after the Cut-Off Date on a predetermined schedule) and
Mortgage Loans having Mortgage Interest Rates which are adjustable, but subject
to a Floor Interest Rate of at least 8.375% per annum. Each of the fixed rate
Group 4 Mortgage Loans bears interest at a fixed rate per annum (or, in limited
cases, at a rate which increases or decreases by fixed amounts after the Cut-Off
Date on a predetermined schedule), as set forth in the related Note or was an
adjustable rate Mortgage Loan which has converted to a fixed rate Mortgage Loan
or has passed its last Adjustment Date, and therefore provides for payments of
interest at a fixed rate until maturity as provided in the related Note. Eight
of the fixed rate Group 4 Mortgage Loans provide for a Mortgage Interest Rate
which changes periodically after the Cut-Off Date to predetermined fixed rates
set forth in the related Note.
The Mortgage Interest Rate on any adjustable rate Group 4 Mortgage Loan may
adjust as the Index on which it is based adjusts or may be fixed until the First
Adjustment Date set forth in the related Note, adjusting on the First Adjustment
Date, and generally at one month, six month, twelve month, three year or five
year intervals thereafter (in each case as described in the related Note). The
Mortgage Interest Rate on adjustable rate Group 4 Mortgage Loans will be
adjusted to a rate equal to an Index plus or minus the Margin set forth in the
related Note; provided, however, that the adjustments of the Mortgage Interest
Rates are subject to rounding (as described in "-- General" above), to Maximum
Rates and Floor Interest Rates set forth in the related Note and, with respect
to certain of the adjustable rate Group 4 Mortgage Loans, to periodic Mortgage
Interest Rate adjustment maximums or floors. All of the 43 adjustable rate Group
4 Mortgage Loans are subject to a Floor Interest Rate of at least 8.375% per
annum. The Index set forth in a Note may be a constant maturity treasury index,
a bond equivalent treasury yield index, a rate of interest based on a cost of
funds index, a rate of interest based on the prime rate quoted by a financial
institution, a rate of interest based on a FHLB rate of interest, LIBOR or
another index. The Index applicable to a Note is set forth therein. The
adjustments to the Mortgage Interest Rates for the adjustable rate Group 4
Mortgage Loans may occur as the Index changes or may be based on a Look-Back
Period or on the most recently published Index as of each Adjustment Date. None
of the adjustable rate Group 4 Mortgage Loans are convertible into fixed rate
Mortgage Loans.
The adjustable rate Group 4 Mortgage Loans may provide for adjustment of the
Payment Rates on Payment Adjustment Dates that occur on the related Adjustment
Dates for the Mortgage Interest Rates or at some other frequency. The Adjustment
Date for a given adjustable rate Group 4 Mortgage Loan in many cases differs
from the Payment Adjustment Date for such adjustable rate Group 4 Mortgage Loan.
Accordingly, the Payment Rates of such Mortgage Loans may be less than or
greater than the related Mortgage Interest Rates during certain periods,
resulting in Deferred Interest which is added to the unpaid principal balances
of the related Mortgage Loans (if the Payment Rate is less than the Mortgage
Interest Rate) or positive amortization of such Mortgage Loans (if the Payment
Rate is greater than the Mortgage Interest Rate). The Deferred Interest accrued
on any of the adjustable rate Group 4 Mortgage Loans will be payable on or
before the stated maturity of the Mortgage Loan.
The adjustable rate Group 4 Mortgage Loans generally provide for a Monthly
Payment that is recalculated to an amount that would be sufficient to amortize
fully the unpaid principal balance of such Mortgage Loan generally over the
remainder of the original amortization term, at the Mortgage Interest Rate for
such Mortgage Loan in effect on such Payment Adjustment Date. However, increases
or decreases in the Monthly Payment may be limited to an amount specified in the
related Note above or below the Monthly Payment in effect prior to the related
Payment Adjustment Date (a "Group 4 Payment Adjustment Cap" and a "Group 4
Payment Adjustment Floor," respectively). Such Mortgage Loans may provide that
the Group 4 Payment Adjustment Caps and Group 4 Payment Adjustment Floors will
not apply every fifth year or at some other time interval, in each case at which
time the Monthly Payment will be adjusted to an amount sufficient to amortize
fully the outstanding principal balance of the Mortgage Loan at the then current
Mortgage Interest Rate generally over the remainder of the original amortization
term.
With respect to approximately 0.80% of the aggregate Scheduled Principal
Balance as of the Cut-Off Date of the Group 4 Mortgage Loans, the Maximum
Negative Amortization Amount is not generally permitted to exceed a specified
maximum amount of 125% of the principal amount of the Mortgage Loan on the date
of origination. With respect to approximately 1.92% of the aggregate Scheduled
Principal Balance as of the Cut-Off Date of the Group 4 Mortgage Loans, no
Maximum Negative Amortization Amount is specified. With respect to approximately
97.29% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage
Loans as of the Cut-Off Date, no negative amortization is permitted. If the
Maximum Negative Amortization Amount is exceeded as a result of Deferred
Interest, the Borrower would be required to make an additional payment with its
next Monthly Payment in an amount equal to the difference between the unpaid
principal balance of the Mortgage Loan and the Maximum Negative Amortization
Amount and, for so long as the unpaid principal balance of the Mortgage Loan is
not less than the Maximum Negative Amortization Amount, the Monthly Payment
would be adjusted to an amount that would be sufficient to amortize fully the
unpaid principal balance of the Mortgage Loan at the then current Mortgage
Interest Rate generally over the remainder of the original amortization term of
such Mortgage Loan, without regard to the applicable Group 4 Payment Adjustment
Cap. Generally, those adjustable rate Group 4 Mortgage Loans without negative
amortization caps either may not create Deferred Interest or may fully
re-amortize as described above.
All of the 42 Mortgage Loans in Mortgage Loan Group 4 that have a debt
service coverage ratio known to be at or below 1.0, representing approximately
14.93% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage
Loans as of the Cut-Off Date, nevertheless meet the representation of the Seller
that, as of the Cut-Off Date, all Monthly Payments due on or before June 1, 1994
have been made. For further information regarding the debt service coverage
ratios of the Mortgage Loans, including information regarding Mortgage Loans as
to which such ratios were not calculated, see Exhibit G hereto.
24 of the Group 4 Mortgage Loans, representing approximately $43,911,502 or
12.01% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage
Loans as of the Cut-Off Date, are secured in whole or in part by leasehold
mortgages.
One of the Group 4 Mortgage Loans, representing approximately $66,748 or
0.02% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans
as of the Cut-Off Date, will be a Specially Serviced Mortgage Loan as of the
Closing Date if no Monthly Payments are received between the Cut-Off Date and
the Closing Date. This Mortgage Loan is not among the 50 largest Mortgage Loans
in Mortgage Loan Groups 3 and 4.
48 of the Group 4 Mortgage Loans, representing approximately $19,634,306 or
5.37% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans
as of the Cut-Off Date, are Matured Performing Mortgage Loans.
30 of the Group 4 Mortgage Loans, representing approximately $14,711,632 or
4.02% of the aggregate Scheduled Principal Balance of the Group 4 Mortgage Loans
as of the Cut-Off Date, are secured by Mortgaged Properties located in the
Counties of Alameda, Los Angeles or Santa Clara in the State of California.
In addition, 231 of the Group 4 Mortgage Loans, representing approximately
$182,499,696 or 49.90% of the aggregate Scheduled Principal Balance of the Group
4 Mortgage Loans as of the Cut-Off Date, are Seller- Originated Loans.
Loans-to-Facilitate other than Seller-Originated Loans represent approximately
$9,585,304 or 2.62% of the aggregate Scheduled Principal Balance of the Group 4
Mortgage Loans as of the Cut-Off Date. 61 of the Group 4 Mortgage Loans,
representing approximately $61,927,503 or 16.93% of the aggregate Scheduled
Principal Balance of the Group 4 Mortgage Loans as of the Cut-Off Date, are
Modified Mortgage Loans.
With respect to the adjustable rate Group 4 Mortgage Loans in Mortgage Loan
Group 4, the interest rate adjustment sensitivity is affected by, among other
things, the particular Indexes of the Mortgage Loans, the frequency of
adjustments and the applicable caps and floors.
A description of certain additional characteristics of the Group 4 Mortgage
Loans as of the Cut-Off Date, estimated as of the date of this Prospectus, is
set forth in Exhibit D hereto.
Credit, Appraisal and Underwriting Policies -- Seller-Originated Loans
General
346 Mortgage Loans, representing approximately 25.94% of the aggregate
Scheduled Principal Balance of all of the Mortgage Loans as of the Cut-Off Date,
are Seller-Originated Loans that have been originated by the Seller, in its
capacity as conservator or receiver of a Depository Institution, after
commencement of the applicable conservatorship or receivership. All of such
Mortgage Loans are Loans-to-Facilitate. The Seller has adopted a uniform system
of procedures, policies, forms and underwriting guidelines applicable to its
origination of Loans-to-Facilitate ("the Guidelines") as part of an overall
asset sale program. This program is intended to provide Seller financing for the
sale of assets that the Seller deems to be "illiquid." The Guidelines define
illiquid assets as assets that are not readily marketable due to a lack of
available commercial financing on acceptable terms and for which the Seller
believes Seller financing will result in a higher net present value than other
alternatives, such as a cash sale or a deferral of sale. The program goals
include (i) increasing the net present value of the return to the Seller from
disposition of the asset, (ii) accelerating the sale of such assets, (iii)
achieving consistent Seller financing policies, (iv) delegating to the private
sector origination and servicing functions, and (v) establishing a clear
separation of underwriting and selling responsibilities to prevent potential
conflicts of interest. Accordingly, the Guidelines may not necessarily
correspond to underwriting standards investors might expect to be applied by
traditional loan originators.
Generally, the Guidelines establish minimum targeted guidelines and, in
certain areas, standard minimum requirements for each mortgage loan originated
by the Seller in its capacity as conservator or receiver of a Depository
Institution. The Guidelines also establish standard procedures and guidelines to
be used in connection with the underwriting review and recommendations provided
by private-sector contract underwriters designated for each such proposed
mortgage loan. The Guidelines differ for each of the following three general
categories of such mortgage loans: mortgage loans secured by mortgages on
commercial real property with a sale price equal to or greater than $500,000 per
property ("Commercial Properties"); mortgage loans secured by mortgages on
commercial real property with a sale price less than $500,000 per property
("Smaller Commercial Properties"); and mortgage loans secured by mortgages on
multifamily real property subject to the Affordable Housing Disposition Program
adopted by the Seller ("AHDP Properties"). As described below, certain of the
Guidelines do not apply to, or are less extensive for, sales of Smaller
Commercial Properties and AHDP Properties. In addition, certain Guidelines are
assigned greater importance than others.
Underwriting
The Seller designates an approved private sector contract underwriter for
each mortgage loan, whose main functions generally are to project the economic
performance of the property subject to the proposed mortgage loan, to analyze
the credit of the purchaser and to make recommendations as to whether the
proposed mortgage loan should be made. The underwriter evaluates (i) the
adequacy of the property's net operating income to service the mortgage loan
(including "most likely" and "worst case" estimates of projected cash flows),
(ii) the prior experience of the purchaser with respect to owning and managing
properties similar to the subject property and (iii) the financial capacity of
the purchaser to cover revenue shortfalls from the property and to repay the
mortgage loan. The underwriting process concludes with the submission by the
underwriter to the Seller of an underwriter's recommendation report in which the
underwriter summarizes the information obtained during the underwriting process
and provides a positive or negative recommendation as to whether the proposed
mortgage loan should be approved in accordance with the Guidelines.
The factors assigned the greatest importance by the Seller and its
underwriters in evaluating a proposed mortgage loan are discussed below. As
discussed below under "Adherence to Guidelines," strict compliance with the
Guidelines is not necessarily a condition to the Seller's approval of a proposed
mortgage loan. In some cases, a loan is made even with a negative recommendation
from the underwriter.
Financing Terms -- General. Interest must be paid at least monthly, without
negative amortization. Interest is generally payable at a fixed market rate,
determined from time to time by the Seller, though stepped rate loans are also
available. For loans on Commercial Properties payments must be calculated on a
level-payment 30-year amortization schedule, unless offsetting factors developed
through the underwriting process justify different terms. Loan maturity
generally may not exceed fifteen years, unless the loan provides for no more
than three one-year extensions in return for a 10% principal reduction effective
with each such extension or other similar consideration. Escrows for taxes,
reserves for replacements and hazard insurance premiums are normally funded
through mortgagor payments. The Guidelines generally require that mortgage loans
include due-on-sale clauses. Mortgage loans are made with full recourse to
purchasers and guarantors if a loss results from certain acts of the purchaser,
and with partial recourse at levels varying with the size of the down payment or
other factors.
Minimum Down Payment. The Guidelines establish a targeted minimum cash down
payment of not less than 25% of the purchase price for each Commercial Property
and Small Commercial Property. The Guidelines also permit cash down payments in
an amount less than 25% of the purchase price but not less than 15% of the
purchase price of a Commercial Property or Small Commercial Property, unless
capital improvements to such properties are required and a cash escrow is
established for such capital improvements, provided the aggregate of the cash
down payment plus the escrow funds are equal to or greater than a minimum of 15%
of the sales price for such property. In no event is a cash down payment of less
than 5% of the purchase price of such properties permitted. In certain limited
circumstances, an unconditional, irrevocable letter of credit from an acceptable
financial institution may be substituted for all or a portion of the cash to be
deposited in the escrow as described above.
Financial Information of Purchaser and the Property. The Seller places
considerable emphasis on the adequacy and availability of current and historical
financial information on the purchaser, any guarantors and the principal parties
responsible for repayment of the mortgage loan. The Guidelines generally require
that each such entity provide a balance sheet, income statement and cash flow
statement, either reviewed or audited by an independent certified public
accountant, or certified by an officer or managing partner of such entity, for
the two most recent fiscal years.
Also, financial information on the property is obtained to facilitate an
analysis of the projected cash flow of the subject property and to correlate
such analysis with the ability of the purchaser to cover potential negative cash
flow on such property. Such financial information is derived from current rent
rolls and lease schedules, current and historical (at least two previous years)
income and expense statements for such property, information obtained in
appraisal reports and pro forma operating statements or land development
projections provided by the purchaser. Financial information on Smaller
Commercial Properties generally is less extensive.
Supplemental Information. In addition, for Commercial Properties, the
underwriter obtains resumes of management experience and general business of the
purchasing entity, and, if available, property inspection reports and
environmental information.
Verification of Availability of Funds. The underwriter is required to
verify, with the banking institutions of the purchaser, the representations of
the purchaser as to the existence and availability of funds for deposit at
closing and the availability of lines of credit and alternative credit
facilities.
Debt Service Coverage Ratios. The Guidelines generally target a minimum debt
service coverage ratio at loan origination of not less than 1:1 for mortgage
loans on Commercial Properties and Smaller Commercial Properties. However, debt
service coverage ratios of less than 1:1 are permitted where the resources and
cash flows of the purchaser and its principals and guarantors are sufficient to
compensate for projected shortfalls in the debt service coverage ratios. Other
mitigating factors may include the purchaser's prior experience in managing
similar properties and whether professional property managers will be retained
to manage and operate the subject property.
Appraisals. Appraisals are generally obtained during the underwriting review
process, although current appraisals are not always available. The appraised
value of the subject property is not a major consideration in establishing the
amount of the mortgage loan. Information obtained from the appraisal is
considered in connection with the market analysis, net operating income
projections, and expense analysis performed by the underwriters with respect to
the subject property.
Certain Requirements for AHDP Properties. The AHDP Properties were sold
pursuant to the guidelines of the affordable housing program. These multifamily
properties are subject to Land Use Restriction Agreements ("LURAs") which run
with the land. LURAs include a requirement that at least 35% of the eligible
multifamily dwelling units purchased under this program be made available for
occupancy by, and maintained as affordable for, "lower income families,"
provided that at least 20% of the eligible multifamily dwelling units purchased
under this program be made available for, and maintained as affordable by, "very
low income families." The lower income tenants must have an income which does
not exceed 80% of area median income for the area in which the property is
located while very low income tenants' income must not exceed 50% of median for
the area of the property's location.
LURAs also regulate the amount of rent which can be collected from AHDP
Properties. Rents for very low income families are limited to 30% of the
adjusted income of a family whose income equals 50% of area median income (with
adjustment for family size, based upon unit type). Rents for lower income
families are limited to 30% of the adjusted income of a family whose income
equals 65% of area median income (with adjustment for family size, based upon
unit type). The loan terms for the mortgage loans secured by AHDP Properties
often provide below market interest rates and lower downpayments to offset the
below market rents charged.
Adherence to Guidelines
A review of the 88 largest Seller-Originated Loans, constituting
approximately 68.47% of all Seller-Originated Loans included in the Mortgage
Pool, indicates that a recommendation from the underwriter of a
Seller-Originated Loan was not necessarily conditioned on strict compliance with
the Guidelines. A number of the Seller-Originated Loans deviate, in varying
degrees, from the Guidelines in one or more respects. The Guidelines generally
appear to have been applied with significant flexibility, such that factors
outside of the scope of the Guidelines may have been considered on occasion to
mitigate deviations from one or more of the targeted guidelines and minimum
standards included in the Guidelines. Exhibit J lists certain significant
characteristics of the 88 largest Seller-Originated Loans, including certain of
the significant factors reviewed by underwriters during the loan approval
process. There can be no assurance that the characteristics of the Mortgage
Loans shown in the table, as well as the level of adherence or non-adherence to
underwriting standards, are representative of all of the Seller-Originated
Loans.
Credit, Appraisal and Underwriting Policies -- Other Mortgage Loans
Except in the case of Loans-to-Facilitate which are the Seller-Originated
Loans, the Mortgage Loans were originated by or on behalf of or were acquired by
the Depository Institutions, including predecessors in interest (the "Loan
Originators"). See "DEPOSITORY INSTITUTIONS" herein. The underwriting policies
or standards employed by any particular Loan Originator in the origination or
purchase of the Mortgage Loans were not necessarily the same as those employed
by other Loan Originators. There can be no assurance that the Mortgage Loans
were originated or acquired in all cases in accordance with the Loan
Originator's underwriting standards then in effect. In the case of certain
Depository Institutions, no reliable materials respecting the underwriting
policies and practices of their respective predecessors in interest are
available and no assurance can be given that the Mortgage Loans originated by
their predecessors in interest were originated in accordance with any particular
set of uniform underwriting policies or practices.
Assignment of Mortgage Loans
At the time of issuance of the Certificates, the Seller will cause the
Mortgage Loans to be assigned to the Trustee, together with all principal and
interest due on or with respect to such Mortgage Loans, other than (i) principal
and interest due on or before the Cut-Off Date (plus, for Mortgage Loans which
provide for payment of interest in advance of accrual thereof rather than in
arrears, interest due in the month ending on the day preceding the Cut-Off
Date), (ii) with respect to Simple Interest Loans, interest received on or prior
to the Cut-Off Date, and (iii) Principal Prepayments (and principal payments
with respect to Simple Interest Loans) received prior to the Cut-Off Date. The
Trustee, concurrently with such assignment, will execute and deliver
Certificates evidencing the beneficial ownership interests in the Trust Fund to
the Seller in exchange for the Mortgage Loans and, within one Business Day after
the Closing Date, the Seller will deposit into the Collection Account amounts
received on or prior to the Closing Date that are included in the payments
assigned to the Trustee. Each Mortgage Loan will be identified in a schedule
appearing as an exhibit to the Agreement (the "Mortgage Loan Schedule"). The
Mortgage Loan Schedule will include, as to each Mortgage Loan, information as to
its outstanding principal balance as of the close of business on the Cut-Off
Date, as well as information respecting the interest rate, the scheduled monthly
(or other periodic) payment of principal and interest as of the Cut-Off Date and
the maturity date of each Note. In addition, on the Closing Date, the Seller
will deposit with the Trustee an amount equal to four days of interest at the
applicable Pass-Through Rate on the Floating Rate Certificates, which amount
will be distributed to the Holders of the Floating Rate Certificates on the
first Distribution Date.
In addition, the Seller will, as to each Mortgage Loan, deliver to the
Trustee: (i) the Note, endorsed to the order of the Trustee without recourse;
(ii) the Mortgage and an executed assignment thereof in favor of the Trustee or
otherwise as required by the Agreement; (iii) any assumption, modification,
written assurance or substitution agreements relating to the Mortgage Loan; (iv)
a lender's title insurance policy (or owner's policy in the case of an
Installment Contract), together with its endorsements, or an attorney's opinion
of title issued as of the date of origination of the Mortgage Loan; (v) if the
assignment of leases, rents and profits is separate from the Mortgage, an
executed re-assignment of assignment of leases, rents and profits to the
Trustee; and (vi) such other documents as may be described in the Agreement
(such documents collectively, the "Mortgage Loan File"). Unless otherwise
expressly permitted by the Agreement, all documents included in the Mortgage
Loan File are to be original executed documents, provided, however, that in
instances where the original recorded Mortgage, Mortgage assignment or any
document necessary to assign the Seller's interest in Installment Contracts to
the Trustee, as described in the Agreement, has been retained by the applicable
jurisdiction or has not yet been returned from recordation, the Seller may
deliver a photocopy thereof certified by the Seller to be the true and complete
copy of the original thereof submitted for recording.
The Trustee will hold the Mortgage Loan File for each Mortgage Loan in trust
for the benefit of all Certificateholders. Pursuant to the Agreement, the
Trustee is obligated to review the Mortgage Loan File for each Mortgage Loan
within a specified number of days after the execution and delivery of the
Agreement. If any document is found by the Trustee not to have been properly
executed or received or to be unrelated to the Mortgage Loan identified in the
Agreement, the Trustee will promptly notify the Seller. The Seller will be
required, at its option, to cure such defect, to repurchase such Mortgage Loan
or to indemnify against loss or expense incurred by the Trust Fund that is the
result of such defect under the conditions specified under "-- Representations
and Warranties" below.
Representations and Warranties
In the Agreement, the Seller will represent and warrant among other things
that: (i) the information set forth in the Mortgage Loan Schedule is correct in
all material respects; (ii) immediately prior to the sale and assignment of the
Mortgage Loans to the Trustee, the Seller was the sole owner and holder of each
Mortgage Loan, the Seller has authority to sell each such Mortgage Loan and the
Seller is transferring each such Mortgage Loan free and clear of liens; (iii)
the Mortgage Loan is covered by a title insurance policy and each such policy is
in full force and effect, or with respect to each Mortgage Loan not covered by a
title insurance policy, there exists an attorney's opinion of title; (iv) as of
the Closing Date, each Mortgaged Property is free of material damage and in good
repair or, if materially damaged, in addition to the insurance described in
clause (x) below, such Mortgaged Property is covered by a rent interruption
policy; (v) as of the date of issuance of the Certificates, each Mortgage
constituted a valid first lien (or in the case of certain of the Mortgage Loans
for which the related Mortgage constituted a known junior lien, a junior lien)
on the related Mortgaged Property (subject only to (a) the lien of current real
property taxes and assessments not yet due, (b) covenants, conditions, and
restrictions, rights of way, easements, and other matters of public record as of
the date of the recording of such Mortgage, such exceptions appearing of record
and either being acceptable to mortgage lending institutions generally or
specifically referred to in the related title insurance policy or title opinion
and which do not materially and adversely affect the value of the Mortgaged
Property, and (c) other matters to which like properties are commonly subject
that do not materially interfere with the benefits of the security intended to
be provided by the Mortgage); (vi) all taxes and governmental assessments that
became due and owing prior to the date of initial issuance of the Certificates
in respect of the related Mortgaged Property have been paid or an escrow of
funds in an amount sufficient to cover such payments has been established; (vii)
with respect to each Mortgage Loan as of the Cut-Off Date, all Monthly Payments
due on or before June 1, 1994 have been made; (viii) as of the Closing Date, no
Mortgaged Property is affected by a Disqualifying Condition; (ix) there is no
proceeding pending for the total or partial condemnation of any Mortgaged
Property; (x) as of the Closing Date, each Mortgaged Property is insured by a
fire and extended perils insurance policy issued by a "qualified insurer" (as
defined in the Agreement); (xi) each Note or the related Mortgage or Installment
Contract contains customary and enforceable provisions such as to render the
rights and remedies of the holder thereof adequate for the realization against
the Mortgaged Property of the benefits of the security; (xii) with respect to
any Mortgage Loan which is secured in whole or in part by the interest of a
Borrower under a ground lease of a Mortgaged Property, among other things, such
ground lease (a) permits the encumbrance of the related Mortgage and is in full
force and effect and (b) has an original term (including any extension option)
which extends not less than ten years beyond the stated term of the related
Mortgage Loan; (xiii) with respect to certain Mortgage Loans, each such Mortgage
Loan is an Eligible Multifamily Mortgage Loan; (xiv) with respect to each
Mortgage Loan, the servicing practices used by the related originator and the
related Depository Institution were legal and prudent and met customary
standards utilized by mortgage lenders; and (xv) each Mortgage Loan is a
"qualified mortgage" in accordance with the REMIC provisions of the Code (see
"CERTAIN FEDERAL INCOME TAX CONSEQUENCES -- Qualification as a REMIC"). The
Seller will also represent and warrant that the Collateral Agent will have a
valid and perfected first priority security interest in the Reserve Fund and all
assets held therein.
A "Disqualifying Condition" is defined generally as a condition, existing as
a result of, or arising from, the presence of "Hazardous Materials" on a
Mortgaged Property, such that the Mortgage Loan secured by the affected
Mortgaged Property would be ineligible, solely by reason of such condition, for
purchase by FNMA under the relevant provisions of FNMA's Multifamily
Seller/Servicer Guide in effect as of the date of initial issuance of the
Certificates, including a condition that would constitute a material violation
of applicable federal, state or local law in effect as of the date of initial
issuance of the Certificates, provided that the presence of lead-based paint in
a multifamily structure that is part of a Mortgaged Property located in Los
Angeles County, California will not, by itself, constitute a Disqualifying
Condition.
Upon the discovery or notice of a breach of any of such representations or
warranties (other than the representations and warranties described in the
preceding clauses (viii), (xii)(b), (xiii) and (xv)) which materially and
adversely affects the interests of the Certificateholders, or, in the event that
the Trustee discovers defective documentation in a Mortgage Loan File, and if,
as more fully set forth in the Agreement, there is a connection between any loss
incurred and the breached representation or warranty or defective documentation,
the Seller will either cure the breach, indemnify the Trust Fund against loss
or, at the Seller's option, repurchase the related Mortgage Loan in the
circumstances described below. For purposes of the foregoing, a breach of any
such representation shall conclusively be deemed to materially and adversely
affect the interests of the Certificateholders if a loss or expense is incurred.
To the extent of any such indemnification payments made by the Seller, the
Seller will be subrogated to the rights of the Trust Fund to any amounts
recovered on the related Mortgage Loan in excess of the principal balance of
such Mortgage Loan together with accrued and unpaid interest thereon at the
applicable Mortgage Loan interest rate, as described in the Agreement. In the
event that any litigation is commenced which alleges facts which, in the
judgment of the Seller, could constitute a breach of any of the Seller's
representations and warranties relating to the Mortgage Loans, the Seller has
reserved the right, under the Agreement, to conduct the defense of such
litigation at its expense.
In the event of a breach of the representation and warranty described in
clause (viii) of the third preceding paragraph, the Seller will, at the request
of the Master Servicer or Special Servicer, either cure such Disqualifying
Condition within 90 days of the Seller's receipt of notice of such request or
repurchase the affected Mortgage Loan provided that (i) the Mortgage Loan is at
least 60 days delinquent and the Special Servicer has not completed foreclosure
proceedings or accepted a deed in lieu of foreclosure, (ii) the Master Servicer
or Special Servicer has delivered to the Seller a phase I environmental
assessment meeting the requirements of the FNMA Multifamily Seller/Servicer
Guide and indicating the presence of a Disqualifying Condition and (iii) each of
the Master Servicer and the Special Servicer have provided a written
certification to the Seller to the effect that it has acted in compliance with
the servicing standard set forth in the Agreement and has not, by any action,
created, caused or contributed to, a Disqualifying Condition. In the event of a
breach of the representation and warranty described in clause (xii)(b) of the
third preceding paragraph, if such breach would result in the related Mortgage
Loan failing to meet the conditions and requirements for inclusion in a trust
set forth in the Exemption (as defined herein under "ERISA CONSIDERATIONS") or
in the event of a breach of the representation and warranty described in clause
(xiii) or (xv) of the third preceding paragraph, the Seller will either cure
such breach or repurchase the Mortgage Loan within 90 days of discovery of such
breach.
The Seller will also represent and warrant that as of the date of initial
issuance of the Certificates, the Seller has no intention to foreclose on the
Mortgaged Property securing any Mortgage Loan and has no knowledge that any
Mortgage Loan will not be paid in full. With respect to any Mortgage Loan as to
which the Seller has breached such representation and warranty, on or prior to
the date on which the Trust Fund would otherwise acquire the related Mortgaged
Property by foreclosure or deed in lieu of foreclosure, the Seller will
repurchase such Mortgage Loan, unless the Seller has provided the Trustee with
an opinion of counsel that such Mortgaged Property would qualify as "foreclosure
property" within the meaning of Code Section 860G(a)(8).
The RTC, with respect to Mortgage Loans for which it is not acting in its
corporate capacity as the Seller, will guarantee the foregoing cure,
indemnification or repurchase obligations of the Seller. The Assistant General
Counsel for Securities and Finance of the RTC has opined that such guarantee
will carry the full faith and credit of the United States. The proceeds of any
such repurchase or indemnification will be deposited, subject to certain
limitations set forth in the Agreement, into the Collection Account. The
obligations of the Seller described above constitute the sole remedies available
to the Certificateholders or the Trustee for any such breach of representations
and warranties. See "SPECIAL CONSIDERATIONS -- Troubled Originators" and "--
Limited Information."
SERVICING OF THE MORTGAGE LOANS
The Master Servicer
Midland Data Systems, Inc. (the "Master Servicer") is a Missouri corporation
established in 1990 as a corporate joint venture between DST Systems, Inc., a
subsidiary of Kansas City Southern Industries, Inc., and Midland Properties,
Inc., a privately held real estate management and consulting firm based in
Kansas City, Missouri. The address of the Master Servicer is 2001 Shawnee
Mission Parkway, Shawnee Mission, Kansas 66205. The Master Servicer provides a
variety of services to the RTC including loan servicing, system development and
assistance with other operational needs. As of August 31, 1994, the Master
Servicer was responsible for servicing approximately 10,700 commercial and
multifamily loans with an aggregate principal balance of approximately $5.5
billion, the collateral for which is located in 48 states. Of the loans serviced
by the Master Servicer, approximately 6,100 loans with an aggregate principal
balance of approximately $2.5 billion secure commercial and multifamily
mortgage-backed securities.
DST Systems, Inc. develops and provides proprietary systems for mutual
funds, corporate stock and bond recordkeeping, investment accounting and
portfolio management, and other financial products and services. DST Systems,
Inc. provides shareholder accounting services and transaction processing for
approximately 3,035 mutual funds representing approximately 32 million
shareholder accounts as of June 30, 1994. Midland Properties, Inc. provides
consulting, asset management, property management and investment services to
financial institutions, government agencies and private clients.
The information set forth in the preceding paragraphs concerning the Master
Servicer has been provided by it. Accordingly, the Seller makes no
representation as to the accuracy or completeness of such information.
The Master Servicer will be responsible for servicing the Mortgage Loans
pursuant to the Agreement. The Master Servicer has engaged the Seller on behalf
of each Depository Institution to subservice the Mortgage Loans on behalf of the
Master Servicer until a date no later than November 1994, subject to extension
as provided in the sub-servicing agreement (with respect to each Depository
Institution, the "Servicing Transfer Date"). The Master Servicer, however, will
remain fully responsible for the performance of such subservicer.
With respect to any Mortgage Loan: (i) which has a balloon payment which is
past due or any other payment which is more than 60 days past due; (ii) as to
which the Borrower has entered into or consented to bankruptcy, appointment of a
receiver or conservator or a similar insolvency or similar proceeding, or the
Borrower has become the subject of a decree or order for such a proceeding which
shall have remained in force undischarged or unstayed for a period of 60 days;
(iii) as to which the Master Servicer shall have received notice of the
foreclosure or proposed foreclosure of any other lien on the Mortgaged Property;
(iv) as to which, in the judgment of the Master Servicer, a payment default has
occurred or is reasonably foreseeable and is not likely to be cured by the
Borrower within 60 days; (v) as to which the Borrower admits in writing its
inability to pay its debts generally as they become due, files a petition to
take advantage of any applicable insolvency or reorganization statute, makes an
assignment for the benefit of its creditors, or voluntarily suspends payment of
its obligations; or (vi) as to which the Mortgaged Property has become an REO
Property, and prior to acceleration of any related Note or commencement of any
foreclosure or similar proceedings, the Master Servicer will transfer servicing
responsibilities with respect to such Mortgage Loan to the Special Servicer, but
will continue to receive payments on such Mortgage Loan (including amounts
collected by the Special Servicer) and to make remittances and prepare certain
reports to the Trustee with respect to such Mortgage Loan. Four Mortgage Loans
having an aggregate Scheduled Principal Balance on the Cut-Off Date of
approximately $443,038, representing 0.04% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date, will be transferred to the
Special Servicer on the Closing Date, if no Monthly Payments are received on
such Mortgage Loans from the Cut-Off Date to the Closing Date, because they will
then have payments more than 60 days past due. In addition, 79 Mortgage Loans
having an aggregate Scheduled Principal Balance of approximately $28,483,599,
representing 2.50% of the aggregate Scheduled Principal Balance of the Mortgage
Loans as of the Cut-Off Date, are Matured Performing Mortgage Loans and will be
transferred to the Special Servicer on the Closing Date. Such Mortgage Loans
serviced by the Special Servicer, including REO Mortgage Loans, are referred to
herein as "Specially Serviced Mortgage Loans." The Master Servicer shall have no
responsibility for the performance by the Special Servicer of its duties under
the Agreement.
To the extent any Mortgage Loan, in accordance with its original terms or as
modified in accordance with the Agreement, becomes a performing Mortgage Loan
for at least 90 days, the Special Servicer will return servicing of such
Mortgage Loan to the Master Servicer.
The Special Servicer
Banc One Management and Consulting Corporation, an Ohio corporation ("the
Special Servicer"), will serve as Special Servicer and in such capacity will be
responsible for servicing the Specially Serviced Mortgage Loans. The Special
Servicer is a wholly-owned subsidiary of BANC ONE CORPORATION. The Special
Servicer's principal executive offices are located at 1717 Main Street, Dallas,
Texas 75201.
BANC ONE CORPORATION is a bank holding company with bank subsidiaries in
several states, as well as non-bank subsidiaries engaged in mortgage banking,
finance, leasing and other related businesses. BANC ONE CORPORATION's bank and
non-bank subsidiaries engage in lending and related activities in a substantial
part of the United States. To the extent that assets owned, managed and/or
serviced by the Special Servicer are of a type similar to the assets held by the
Trust Fund, such assets might, depending upon the particular circumstances
(including, for example, the location of such assets), compete with the
Mortgaged Properties for tenants, purchasers, financing and the like.
The Special Servicer is engaged in asset management, servicing, liquidation,
collection, asset valuation and consulting and related activities with
nonaffiliated companies and governmental entities, including the Federal Deposit
Insurance Corporation and Resolution Trust Corporation. The Special Servicer has
operating offices in Dallas, Texas, and Manchester, New Hampshire; and has
managed and serviced assets in all fifty states, the District of Columbia and
Puerto Rico.
As of June 30, 1994, the Special Servicer was responsible for managing and
servicing over 10,700 assets, consisting of loans, foreclosed real estate assets
and other assets with a legal balance in excess of $4,203,391,000. Loan
concentrations within the $4,059,946,000 loan portion of the portfolio included
commercial office buildings, retail centers, multifamily projects and one- to
four-family properties. Foreclosed real estate assets under management exceeded
$149,722,000 with significant concentrations in land, office buildings and
retail centers. Included among the contracts serviced by the Special Servicer
are the Special Servicer contracts for the RTC Commercial Mortgage Backed
Certificates, Series 1992-C6, 1992-C7 and 1993-C3. Under RTC Series 1992-C6,
1992-C7 and 1993-C3, the Special Servicer managed 841 assets aggregating
$423,368,000 as of June 30, 1994. The Special Servicer is the Servicer for RTC
1993-N1 mortgage backed securitization transaction, which, as of June 30, 1994,
consisted of 240 loans and one REO property, with an aggregate legal balance of
$257,059,000. As Servicer of the 1993-N1 portfolio, the Special Servicer has
been successful in collecting $216,144,000 during the first eighteen months of
the contract, which has been sufficient to retire the certificates. The Special
Servicer provides asset servicing to Lehman Brothers as the Special Servicer of
the Structured Asset Securities Corporation Series 1993-C1 commercial real
estate loan securitization transaction encompassing 59 loans aggregating
$97,793,000 as of June 30, 1994. The Special Servicer provides master/general
servicing under the FDIC Commercial Loan Servicing Center contract, encompassing
4,703 loans aggregating $1,557,573,000 as of June 30, 1994.
Additionally, during the first quarter of 1994, the Special Servicer was
selected to provide servicing for the RTC's Tax Exempt Bond-Eastern Portfolio
and to provide master servicing to Lehman Brothers on its Structured Asset
Securities Corporation Series 1994-C1 commercial real estate loan securitization
transaction. As of June 30, 1994, the Servicer managed 35 loans totalling
$153,179,000 under the RTC Tax Exempt Bond portfolio and 185 assets totalling
$421,895,000 under the SASCO 1994-C1 transaction.
In the third quarter of 1994, the Special Servicer was selected to provide
asset servicing, and has executed closing documents, under three additional
asset management contracts: (i) general servicing for the FDIC's REMIC 1994-C1
encompassing 1,812 assets totalling $764,600,000; (ii) general servicing for
Lehman Brothers' LB Mortgage Trust Multiclass Pass-Through Certificates, Series
1992-M1 encompassing 485 loans aggregating $210,000,000; and (iii) general
servicing of a portfolio of 43 assets totalling $215,700,000.
The information set forth in the preceding paragraphs concerning the Special
Servicer has been provided by it. Accordingly, the Seller makes no
representation as to the accuracy or completeness of such information.
Collection and Other Servicing Procedures
The Master Servicer will make reasonable efforts to collect all payments
called for under the Mortgage Loans and will, consistent with the Agreement,
follow such collection procedures as it deems necessary or desirable. Consistent
with the above, the Master Servicer or Special Servicer may, in its discretion,
waive any late payment or assumption charge or penalty interest in connection
with late payment or assumption of a Mortgage Loan, and the Special Servicer may
extend the due dates for payments due on a Note.
The Master Servicer will establish and maintain the Collection Account, and
the Special Servicer will establish and maintain the REO Account, as described
under "DESCRIPTION OF THE CERTIFICATES -- Accounts." With respect to any
Specially Serviced Mortgage Loan (other than an REO Mortgage Loan) as to which
the Borrower remains in possession of the Mortgaged Property, the Borrower will
be instructed generally to remit all payments to the Master Servicer for deposit
in the Collection Account, any payments received by it with respect to such
Mortgage Loans. With respect to any Mortgage Loans as to which the Special
Servicer has, directly or through its own agents or independent contractors,
taken over possession and management of the underlying Mortgaged Property,
whether through foreclosure or deed in lieu of foreclosure, upon abandonment of
the Mortgaged Property by the Borrower or otherwise, all payments on or other
receipts with respect to such Mortgage Loan or the related Mortgaged Property
(including, among other things, rent, Insurance Proceeds and Liquidation
Proceeds) will be deposited in the REO Account. Any payments constituting a
liquidation of all or a material part of such Mortgage Loan, such as
prepayments, Insurance Proceeds and Liquidation Proceeds, net of permitted
deductions, including the right of the Special Servicer to retain such amounts
as may be necessary for the proper operation, management and maintenance of the
related Mortgaged Property, will promptly be remitted to the Master Servicer for
deposit in the Collection Account. All other amounts will be deposited in the
REO Account and, subject to permitted deductions, including the right of the
Special Servicer to retain such amounts as may be necessary for the proper
operation, management and maintenance of the related Mortgaged Property and the
payment of any federal, state or local income taxes related to the operation and
management of the Mortgaged Property, will be remitted to the Master Servicer
for deposit into the Collection Account. The Special Servicer will be entitled
to contract with an independent contractor for the operation and management of
REO Property. Fees owed to any such independent contractor will be payable from
amounts on deposit in the Collection Account or, if such amounts are
insufficient, from amounts on deposit in the Reserve Fund.
It is also expected that the Agreement will provide that the Master Servicer
establish and maintain an escrow account (the "Escrow Account") in which the
Master Servicer will be required to deposit amounts received from each Borrower,
if required by the terms of the related Note, for the payment of taxes,
assessments, certain mortgage and hazard insurance premiums and other comparable
items. The Special Servicer will be required to remit amounts received for such
purposes on Mortgage Loans serviced by it for deposit in the Escrow Account, and
will be entitled to direct the Master Servicer to make withdrawals from the
Escrow Account as may be required for servicing of such Mortgage Loans.
Withdrawals from the Escrow Account may be made to effect timely payment of
taxes, assessments, mortgage and hazard insurance premiums, to refund to
Borrowers amounts determined to be overages, to remove amounts deposited therein
in error, to pay interest to Borrowers on balances in the Escrow Account, if
required, to repair or otherwise protect the Mortgaged Properties and to clear
and terminate such account. The Master Servicer will be entitled to all income
on the funds in the Escrow Account invested in Permitted Investments not
required to be paid to Borrowers under applicable law. The Master Servicer will
be responsible for the administration of the Escrow Account. If amounts on
deposit in the Escrow Account are insufficient to pay any tax, insurance premium
or other similar item when due, such item will be payable from amounts on
deposit in the Collection Account or, to the extent such amounts are
insufficient, from the Reserve Fund. If the Reserve Fund is depleted, the
Special Servicer (in the case of an REO Mortgage Loan) or the Master Servicer
(in all other cases) will advance such item only to the extent that such advance
will be, in its judgment, reasonably recoverable from related REO Property or
Mortgage Loan proceeds or payments. The Special Servicer or the Master Servicer,
as the case may be, will be entitled to reimbursement of such advance, plus
interest thereon, from amounts subsequently deposited in the Collection Account,
as provided in the Agreement.
Insurance
The Master Servicer will maintain or require each Borrower to maintain
insurance in accordance with the related Mortgage, which generally will include
a standard fire and hazard insurance policy with extended coverage. To the
extent required by the related Mortgage, the coverage of each such standard
hazard insurance policy will be in an amount that is not less than the lesser of
the full replacement cost of the improvements securing such Mortgage Loan or the
outstanding principal balance owing on such Mortgage Loan. If a Mortgaged
Property is located at any time in a federally designated special flood hazard
area, the Master Servicer will also maintain or require the related Borrower to
maintain flood insurance in an amount equal to the lesser of the unpaid
principal balance of the related Mortgage Loan and the maximum amount obtainable
with respect to such Mortgage Loan. The cost of any such insurance maintained by
the Master Servicer will be an expense of the Trust Fund payable out of the
Collection Account. The Special Servicer will cause to be maintained fire and
hazard insurance with extended coverage on each REO Property in an amount which
is at least equal to the greater of (i) an amount not less than the amount
necessary to avoid the application of any coinsurance clause contained in the
related insurance policy and (ii) the replacement cost of the improvements which
are a part of such property. The cost of any such insurance with respect to an
REO Property will be an expense of the Trust Fund payable out of amounts on
deposit in the related REO Account or, if such amounts are insufficient, from
the Collection Account. The Special Servicer will maintain flood insurance
providing substantially the same coverage as described above on any REO Property
which is located in a federally designated special flood hazard area at any
time. The Agreement will provide that the Master Servicer and the Special
Servicer may satisfy their respective obligations to cause hazard policies to be
maintained by maintaining a master, or single interest blanket, insurance policy
insuring against losses on the Mortgage Loans or REO Properties, as the case may
be. The incremental cost of such insurance allocable to any particular Mortgage
Loan, if not borne by the related Borrower, will be an expense of the Trust
Fund. Alternatively, the Master Servicer and the Special Servicer may satisfy
their respective obligations by maintaining, at their expense, a blanket policy
(i.e., not a single interest or master policy) insuring against losses on the
Mortgage Loans or REO Properties, as the case may be. If such a blanket policy
contains a deductible clause, the Master Servicer or the Special Servicer, as
the case may be, will be obligated to deposit in the Collection Account all sums
which would have been deposited therein but for such clause.
In general, the standard form of fire and hazard extended coverage policy
will cover physical damage to, or destruction of, the improvements on the
Mortgaged Property caused by fire, lightning, explosion, smoke, windstorm, hail,
riot, strike and civil commotion, subject to the conditions and exclusions
particularized in each policy. Since the standard hazard insurance policies
relating to the Mortgage Loans will be underwritten by different insurers and
will cover Mortgaged Properties located in various states, such policies will
not contain identical terms and conditions. The most significant terms thereof,
however, generally will be determined by state law and generally will be
similar. Most such policies typically will not cover any physical damage
resulting from war, revolution, governmental actions, floods and other
water-related causes, earth movement (including earthquakes, landslides and
mudflows), nuclear reaction, wet or dryrot, vermin, rodents, insects or domestic
animals, theft and, in certain cases, vandalism. The foregoing list is merely
indicative of certain kinds of uninsured risks and is not intended to be
all-inclusive. Any losses incurred with respect to Mortgage Loans due to
uninsured risks (including earthquakes, mudflows and floods) or insufficient
hazard insurance proceeds could affect distributions to the Certificateholders.
The standard hazard insurance policies covering Mortgaged Properties
securing Mortgage Loans typically will contain a "coinsurance" clause which, in
effect, will require the insured at all times to carry insurance of a specified
percentage (generally 80% to 90%) of the full replacement value of the
dwellings, structures and other improvements on the Mortgaged Property in order
to recover the full amount of any partial loss. If the insured's coverage falls
below this specified percentage, such clause will provide that the insurer's
liability in the event of partial loss will not exceed the greater of (i) the
actual cash value (the replacement cost less physical depreciation) of the
structures and other improvements damaged or destroyed and (ii) such proportion
of the loss, without deduction for depreciation, as the amount of insurance
carried bears to the specified percentage of the full replacement cost of such
dwellings, structures and other improvements.
In addition, to the extent required by the related Mortgage, the Master
Servicer may require the Borrower to maintain other forms of insurance
including, but not limited to, loss of rents endorsements, business interruption
insurance and comprehensive public liability insurance, and the Agreement may
require the Special Servicer to maintain public liability insurance with respect
to any REO Properties. Any cost incurred by the Master Servicer or Special
Servicer in maintaining any such insurance policy will be added to the amount
owing under the Mortgage Loan where the terms of the Mortgage Loan so permit;
provided, however, that the addition of any such cost will not be taken into
account for purposes of calculating the distributions to be made to
Certificateholders. Such costs may be recovered by the Master Servicer or the
Special Servicer from the Collection Account, with interest thereon, as provided
in the Agreement.
No pool insurance policy, special hazard insurance policy, bankruptcy bond,
repurchase bond or certificate guarantee insurance will be maintained with
respect to the Mortgage Loans.
Fidelity Bonds and Errors and Omissions Insurance
The Agreement requires that both the Master Servicer and the Special
Servicer obtain and maintain in effect a fidelity bond or similar form of
insurance coverage (which may provide blanket coverage) or any combination
thereof insuring against loss occasioned by fraud, theft or other intentional
misconduct of the officers, employees and agents of the Master Servicer or
Special Servicer, as applicable. The Agreement will allow the Master Servicer
and the Special Servicer to self-insure against loss occasioned by the errors
and omissions of the officers, employees and agents of the Master Servicer or
the Special Servicer, as applicable, so long as certain criteria set forth in
the Agreement are met.
Servicing Compensation and Payment of Expenses
The Master Servicer's principal compensation for its activities under the
Agreement will come from the payment to it or retention by it, with respect to
each Mortgage Loan, of the Servicing Fee (as defined below). Since the aggregate
unpaid principal balance of the Mortgage Loans will generally decline over time,
the Master Servicer's servicing compensation will ordinarily decrease as the
Mortgage Loans amortize.
The "Servicing Fee," including the Reserved Amount (as defined below), with
respect to each Mortgage Loan and for any Due Period, is an amount equal to
thirty days' interest (or, in the event of any payment of interest which
accompanies a Principal Prepayment made by the Borrower, interest for such
number of days from the preceding Due Date to the date of such Principal
Prepayment), calculated on the basis of a 360-day year consisting of twelve
30-day months, at the Servicing Fee Rate on the Scheduled Principal Balance of
such Mortgage Loan immediately prior to the application of the principal portion
of the Monthly Payment due on the Due Date in such Due Period. The Servicing Fee
Rate, with respect to each Mortgage Loan other than a Specially Serviced
Mortgage Loan, is a rate equal to approximately 0.175% per annum and, with
respect to each Specially Serviced Mortgage Loan, is a rate equal to
approximately 0.171% per annum; provided, however, that for so long as Midland
Data Systems, Inc. is the Master Servicer, the fees described above will be
0.117% per annum and 0.113% per annum, respectively. A portion of the Servicing
Fee includes 0.05% per annum of the then unpaid principal balance of each of the
Mortgage Loans (the "Reserved Amount") which the Master Servicer will use to pay
certain ongoing expenses associated with the Mortgage Loans and incurred by it
in connection with its responsibilities under the Agreement, including the
annual fees of the Trustee and the Collateral Agent, ongoing fees payable to the
Rating Agencies and certain other expenses of the Trust Fund. The Master
Servicer will be entitled to reimbursement from the Collection Account and, if
necessary, from the Reserve Fund for the amount by which such expenses exceed
the Reserved Amount.
In addition, the Master Servicer will be entitled to receive, as additional
compensation, late fees and certain other fees collected from any Borrower other
than with respect to Specially Serviced Mortgage Loans, and any interest or
other income earned on funds deposited in the Collection Account, the
Distribution Account and, except to the extent such income is required to be
paid to the related Borrowers, the Escrow Account.
Any portion of the Servicing Fee not payable to the Master Servicer and not
representing the Reserved Amount will constitute excess cash flow and will be
distributed as part of the Available Distribution Amount for the applicable
Mortgage Loan Group as described under "DESCRIPTION OF THE CERTIFICATES --
Distribution -- Allocation Among Classes" herein.
The Special Servicer's principal compensation for its activities under the
Agreement will come from payment to it or retention by it, with respect to each
applicable Mortgage Loan, of the Special Servicer Fee. The Special Servicer Fee
will include (x) a fee (the "Basic Fee") calculated at a rate equal to 0.25% per
annum on the Scheduled Principal Balance of each Specially Serviced Mortgage
Loan (or 0.175% per annum for each Specially Serviced Mortgage Loan with a
Scheduled Principal Balance equal to or greater than $10,000,000), which Basic
Fee shall be payable from the Reserve Fund, to the extent of funds available
therein, and (y) a fee (the "Workout Fee") equal to a fixed percentage (the
"Workout Fee Rate"), varying from 1.00% to 2.00%, depending on the unpaid
principal balance of each Mortgage Loan as to which it is acting or at any time
acted as Special Servicer (including those for which servicing has been returned
to the Master Servicer), of net collections and net proceeds received with
respect to each such Mortgage Loan.
Notwithstanding the foregoing, the fixed percentage with respect to any net
Liquidation Proceeds received in connection with a sale of REO Property or upon
a Final Recovery Determination for any Mortgage Loan will equal the product of
(a) the otherwise applicable fixed percentage referred to in the preceding
paragraph and (b) a fraction the numerator of which is equal to the net
Liquidation Proceeds received (after payment of all other fees and reimbursement
of all advances and expenses with respect thereto) and the denominator of which
is equal to the unpaid principal balance of the related Mortgage Loan and
accrued and unpaid interest thereon. The Master Servicer and Special Servicer
will each be entitled to receive its accrued unpaid servicing fees out of net
Liquidation Proceeds prior to application of such proceeds to reduce unpaid
principal and interest on the related Mortgage Loan.
The Special Servicer will remit payments with respect to any modification
fees payable by Borrowers in accordance with the Special Servicer's customary
servicing practices and late fees, Prepayment Premiums and certain other fees
collected from any Borrower for Specially Serviced Mortgage Loans to the Master
Servicer for deposit in the Collection Account.
Advances
Neither the Master Servicer nor the Special Servicer will be obligated to
make any advances with respect to delinquent Monthly Payments or Balloon
Payments on Mortgage Loans; instead, advances with respect to delinquent Monthly
Payments (and in the case of Simple Interest Loans, delinquent payments of
interest only), Assumed Scheduled Payments (in the case of delinquent Balloon
Mortgage Loans) and Assumed Monthly Payments (in the case of Discounted Mortgage
Loans) will be made in the form of withdrawals from the Reserve Fund. Taxes,
insurance premiums and Property Protection Expenses will be payable from amounts
on deposit in the Collection Account or, to the extent such amounts are
insufficient, from the Reserve Fund. In the event that amounts in the Reserve
Fund are depleted, (i) neither the Master Servicer nor the Special Servicer will
be obligated to make advances with respect to delinquent or defaulted Mortgage
Loans and (ii) taxes, insurance premiums and Property Protection Expenses will
be paid from advances by the Master Servicer or the Special Servicer (in each
case as required with respect to Mortgage Loans serviced by it) to the extent
that such advances are, in the judgment of the Master Servicer or Special
Servicer, as applicable, reasonably recoverable from future payments and
collections on the related Mortgage Loans, out of Insurance Proceeds,
Liquidation Proceeds or otherwise. The Master Servicer and the Special Servicer
will be entitled to be reimbursed for any such advances, plus interest thereon,
from amounts on deposit in the Collection Account, as provided in the Agreement.
The Trustee is not obligated to make any advances.
Senior Lien Advances
Neither the Master Servicer nor the Special Servicer will make Senior Lien
Advances in respect of the Mortgage Loans from its own funds. However, in
accordance with the servicing standard specified in the Agreement, the Special
Servicer will cause the Trustee to apply funds from the Reserve Fund to make
Senior Lien Advances with respect to delinquent payments of principal and
interest (or other charges) on mortgage loans senior to the Mortgage Loans that
have not been previously advanced, or to satisfy in full such senior liens, to
the extent the Special Servicer determines that to do so would result in an
increase in the amount of Liquidation Proceeds ultimately distributable to the
Certificateholders. Amounts recovered as Liquidation Proceeds with respect to
the related Mortgage Loans will be reimbursed to the Reserve Fund prior to
application of such Liquidation Proceeds to pay principal of and interest on the
Certificates.
Modifications, Waivers and Amendments
In the Agreement, the Master Servicer or the Special Servicer will have the
discretion, subject to certain conditions set forth therein, to modify, waive or
amend certain of the terms of any Mortgage Loan without the consent of the
Trustee or any Certificateholder. Only the Special Servicer will be entitled to
modify the payment terms of a Mortgage Loan, except that the Master Servicer
will be entitled to modify the remaining amortization schedule of a Mortgage
Loan in connection with a principal prepayment in certain circumstances
permitted under the Agreement or to provide for a new index when the original
index is no longer available. In addition, the Master Servicer, subject to the
terms and conditions of the Agreement, will undertake to (i) extend the maturity
date of 142 Balloon Mortgage Loans secured by multifamily Mortgaged Properties
located in Los Angeles County, California and constructed before 1978,
representing 6.23% of the aggregate Scheduled Principal Balance of the Mortgage
Loans as of the Cut-Off Date, to the end of their original amortization terms,
thereby making such Mortgage Loans fully amortizing and (ii) modify 62 Mortgage
Loans originated by Western Federal Savings and Loan Association, representing
3.65% of the aggregate Scheduled Principal Balance of the Mortgage Loans as of
the Cut-Off Date, which currently provide for the next adjustment of their
related Monthly Payments to be calculated so as to fully amortize such Mortgage
Loans over their remaining terms to maturity (which could be as little as five
years), to instead provide for these fully-amortizing adjustments to be
calculated over the remaining amortization terms of such Mortgage Loans. Subject
to the terms and conditions set forth in the Agreement, the Special Servicer
will have the power to forgive permanently the payment of principal or interest
or both and retains broad flexibility to negotiate the terms of a Mortgage Loan,
including, without limitation, reductions, increases or substitutions in the
collateral securing a Mortgage Loan, in connection with any modification, waiver
or amendment thereof. However, the Special Servicer will use its best efforts to
modify (i) a Group 2 or Group 4 Mortgage Loan to provide for calculation of
interest at a fixed rate and (ii) a Group 1 or Group 3 Mortgage Loan to provide
for calculation of interest at a rate based upon LIBOR.
The Special Servicer may, with respect to any Specially Serviced Mortgage
Loan, subject to the terms and conditions set forth in the Agreement, some of
which are described below, modify, waive or amend the terms of such Mortgage
Loans if the Special Servicer determines that a material default has occurred or
a payment default has occurred or is reasonably foreseeable. The Special
Servicer may extend the maturity date of such Mortgage Loan to a date (the
"Optimal Wind-Down Date") not later than the earlier of (i) two years prior to
the Final Scheduled Distribution Date or (ii) if such Mortgage Loan is secured
by a Mortgage on a leasehold estate, the date occurring ten years prior to the
termination of such leasehold estate. In connection with any such extension,
subject to the availability of net operating income of the related Mortgaged
Property sufficient to support the resulting payment, (i) in the case of an
adjustable rate Group 2 or Group 4 Mortgage Loan, the Special Servicer generally
will set the Floor Interest Rate, and in the case of a fixed rate Mortgage Loan
in Mortgage Loan Group 2 or 4, the Mortgage Interest Rate, on the extended
Mortgage Loan at no lower than the highest of (a) 8.375% per annum, (b) the then
currently available fixed mortgage interest rate for commercial mortgage loans
of similar quality and (c) the Net Mortgage Interest Rate for such Mortgage Loan
plus the maximum Servicing Fee Rate and (ii) in the case of a Mortgage Loan in
Mortgage Loan Group 1 or 3, the Special Servicer generally will set the Floor
Interest Rate on the extended Mortgage Loan to an adjustable rate, adjusted
monthly, which can be no lower than the higher of (a) the then currently
available LIBOR-based adjustable mortgage interest rate for commercial and/or
multifamily residential mortgage loans of similar quality and (b) the Net
Mortgage Interest Rate for such Mortgage Loan plus the maximum Servicing Fee
Rate, and subject to a cap no lower than 13.175% per annum. Interest on any
extended Mortgage Loan will be calculated on the basis of a 360-day year
consisting of twelve 30-day months. To the extent that the net operating income
of the related Mortgaged Property (together with such other sources of payment
as the Special Servicer determines are acceptable therefor) is sufficient to
support Monthly Payments which will amortize the Mortgage Loan on a level
payment basis to the rescheduled maturity date, the Special Servicer will
require that Monthly Payments be made in such amounts. If the Special Servicer
determines that net operating income will not be so sufficient, the Special
Servicer will either agree to a schedule of Monthly Payments that would fully
amortize the Mortgage Loan by the Optimal Wind-Down Date after providing for a
Balloon Payment at the rescheduled maturity date or reduce the Monthly Payments
on any Specially Serviced Mortgage Loan to a level that can be supported by net
operating income (either by reducing the Mortgage Interest Rate or the Payment
Rate thereof, reducing the principal payment component of the Monthly Payments
or a combination thereof), whether or not the maturity date is extended. Any
Mortgage Loan which has been modified as described and which has become a
Discounted Mortgage Loan under the Agreement will result in a draw from the
Reserve Fund if funds therein are available therefor and an additional
distribution in reduction of the Certificate Principal Amount of the applicable
Class or Classes of Offered Certificates. See "DESCRIPTION OF THE CERTIFICATES
- -- Distributions" and "-- Reserve Fund."
Except for the extension of maturity dates of Matured Performing Mortgage
Loans (as described below), the Special Servicer will not agree to any
modification, waiver or amendment of the payment terms of a Mortgage Loan unless
the Special Servicer has determined that such modification, waiver or amendment
is reasonably likely to produce a greater recovery on a present value basis than
liquidation of the Mortgage Loan. Prior to agreeing to any such modification,
waiver or amendment, the Special Servicer will give notice thereof to the owner
of the Reserve Fund who will have the right to veto such decision of the Special
Servicer.
With respect to each Matured Performing Mortgage Loan, subject to the terms
and conditions set forth in the Agreement, the Seller or the Special Servicer
will undertake to modify the terms of such Mortgage Loan in the following
manner. In the case of any Matured Performing Mortgage Loan that provides for
payments of interest only, the maturity date of such Mortgage Loan will be
extended to a date five years from the Cut-Off Date, the related Borrower will
continue to pay interest only until such date and the entire unpaid principal
balance of such Mortgage Loan will be due on such date. In the case of any other
Matured Performing Mortgage Loan, the maturity date of such Mortgage Loan will
be extended to the date on which the final payment of principal would have been
due under the original amortization terms if it had been a fully amortizing
Mortgage Loan rather than a Balloon Mortgage Loan, and the unpaid principal
balance of such Mortgage Loan as of the Cut-Off Date will be fully amortized in
accordance with such amortization terms.
Evidence of Compliance
The Agreement will provide that each of the Master Servicer and the Special
Servicer, at its expense, will cause a firm of independent public accountants to
furnish to the Trustee, annually on or before a date specified in the Agreement,
a statement as to compliance by the Master Servicer or the Special Servicer, as
applicable, with the Agreement.
In addition, the Agreement will provide that each of the Master Servicer and
the Special Servicer will deliver to the Trustee, annually on or before a date
specified in the Agreement, a statement signed by an officer to the effect that,
based on a review of its activities during the preceding calendar year, to the
best of such officer's knowledge, the Master Servicer or the Special Servicer,
as applicable, has fulfilled its obligations under the Agreement throughout such
year or, if there has been a default in the fulfillment of any such obligation,
specifying each such default and the nature and status thereof.
Certain Matters With Respect to the Master Servicer and the Special Servicer
The Agreement will also provide that none of the Master Servicer, Special
Servicer or any of their respective directors, officers, employees or agents
will be under any liability to the Trust Fund or the Certificateholders for any
action taken, or for refraining from the taking of any action, in good faith
pursuant to the Agreement, or for errors in judgment; provided, however, that
neither the Master Servicer or Special Servicer nor any such person will be
protected against any breach of representations or warranties made by the Master
Servicer or the Special Servicer, as the case may be, in the Agreement, or any
liability that would otherwise be imposed by reason of willful misfeasance, bad
faith, or negligence in the performance of its duties or by reason of reckless
disregard of its obligations and duties thereunder. The Agreement will further
provide that the Master Servicer and Special Servicer, and any of their
respective directors, officers, employees or agents shall be entitled to
indemnification by the Trust Fund and will be held harmless against any loss,
liability or expense incurred in connection with any legal action relating to
the Agreement or the Certificates, other than any loss, liability or expense
incurred (i) by reason of willful misfeasance, bad faith or negligence in the
performance of duties or by reason of reckless disregard of obligations and
duties thereunder or (ii) in certain other circumstances specified in the
Agreement. Any loss resulting from such indemnification will reduce amounts
distributable to Certificateholders and will be borne pro rata by all
Certificateholders without regard to subordination, if any, of one Class to
another.
Events of Default
Events of default (each, an "Event of Default") with respect to the Master
Servicer or the Special Servicer under the Agreement will include: (i) in the
case of the Master Servicer, any failure by the Master Servicer to remit to the
Trustee for deposit in the Distribution Account for distribution to
Certificateholders any payment required to be made by the Master Servicer under
the terms of the Agreement at least one Business Day prior to the related
Distribution Date; (ii) in the case of the Special Servicer, any failure by the
Special Servicer to remit to the Master Servicer for deposit in the Collection
Account any remittance required to be made by the Special Servicer on the day
such remittance is required to be made under the Agreement; (iii) any failure on
the part of the Master Servicer or Special Servicer, as applicable, duly to
observe or perform in any material respect any other of the covenants or
agreements on the part of the Master Servicer or the Special Servicer, as
applicable, which failure continues unremedied for a period of 90 days after
written notice of such failure has been given to the Master Servicer or the
Special Servicer, as applicable; (iv) the entering against the Master Servicer
or the Special Servicer, as applicable, of a decree or order of a court, agency
or supervisory authority for the appointment of a conservator or receiver or
liquidator in any insolvency, readjustment of debt, marshalling of assets and
liabilities or similar proceedings, or for the winding-up or liquidation of its
affairs, provided that any such decree or order shall have remained in force
undischarged or unstayed for a period of 60 days; (v) the consent by the Master
Servicer or the Special Servicer, as applicable, to the appointment of a
conservator or receiver or liquidator or liquidating committee in any
insolvency, readjustment of debt, marshalling of assets and liabilities,
voluntary liquidation or similar proceedings of or relating to the Master
Servicer or the Special Servicer, as applicable, or of or relating to all or
substantially all of its property; and (vi) the admission by the Master Servicer
or the Special Servicer, as applicable, in writing of its inability to pay its
debts generally as they become due, the filing by the Master Servicer or the
Special Servicer, as applicable, of a petition to take advantage of any
applicable insolvency or reorganization statute or the making of an assignment
for the benefit of its creditors or the voluntary suspension of the payment of
its obligations.
As long as an Event of Default remains unremedied, the Trustee may, and (a)
at the written direction of the Holders of Certificates (other than Class R
Certificates) entitled to at least 25% of the aggregate Voting Rights (as
defined below) of the Certificates of any Class in the case of an Event of
Default described in clause (i) or (ii) above, (b) at the written direction of
Holders of Certificates holding at least 25% of all of the Voting Rights, or (c)
in all cases of an Event of Default described in clauses (iii) through (vi)
above, shall terminate all of the rights and obligations of the Master Servicer
or Special Servicer, as the case may be, whereupon the Trustee or another
successor Master Servicer or Special Servicer appointed by the Trustee will
succeed to all authority and power of the Master Servicer or Special Servicer,
as applicable, under the Agreement and will be entitled to similar compensation
arrangements. "Voting Rights" means the portion of the voting rights of all
Certificates that is allocated to any Certificate in accordance with the terms
of the Agreement.
YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS
General
The yield to maturity on any Class of Offered Certificates will depend upon
the price paid by the Certificateholder, the related Pass-Through Rate and the
rate and timing of the repayment of principal in respect of such Offered
Certificates. The yield to maturity on the Floating Rate Certificates will be
affected, in particular, by the levels of LIBOR. The rate and timing of the
repayment of principal of the Offered Certificates will be affected both by (x)
the rate of principal payments (particularly Balloon Payments) on the related
Mortgage Loans including, for this purpose, unscheduled payments such as
prepayments by Borrowers and prepayments resulting from modifications, defaults
or liquidations or repurchases due to certain breaches of the Seller's
representations and warranties and (y) the amount of interest payments on the
Mortgage Loans which is available for distribution of principal on the Offered
Certificates.
A portion of the Group 2 and Group 4 Mortgage Loans bear interest at fixed
rates. The remaining portion of the Group 2 and Group 4 Mortgage Loans and all
of the Group 1 and Group 3 Mortgage Loans are ARMs, the Mortgage Interest Rates
of which are determined by reference to various Indexes. The Seller is not aware
of any relevant publicly available statistics that set forth principal
prepayment experience or prepayment forecasts of commercial and multifamily
residential mortgage loans over an extended period of time, especially with
respect to commercial and multifamily residential ARMs, and, in the Seller's
judgment, the experience of the Depository Institutions is insufficient to draw
any conclusions with respect to the expected prepayment rates of the Mortgage
Loans. The rate of principal prepayments with respect to mortgage loans
generally has fluctuated in recent years. As is the case with fixed rate
mortgage loans, ARMs may be subject to a greater rate of principal prepayments
in a declining interest rate environment, particularly ARMs with minimum
interest rate provisions.
The rate of principal payments on the Offered Certificates will be affected
by the rate of principal payments (including prepayments) on the related
Mortgage Loans. Generally, prepayments on the Mortgage Loans (including
prepayments resulting from modifications, defaults or liquidations or
repurchases due to certain breaches of Seller's representations and warranties)
will tend to shorten the weighted average lives of the Class A Certificates
whereas delays in liquidations of defaulted Mortgage Loans and modifications
extending the maturity of Mortgage Loans will tend to lengthen the weighted
average lives of the Class A Certificates. Such prepayments may affect the Class
B, Class C, Class D, Class E and Class F Certificates differently as described
below. Any changes in weighted average lives may adversely affect the yield to
Certificateholders. Prepayments resulting in a shortening of such weighted
average lives may be made at a time of low interest rates when Holders may be
unable to reinvest such prepayments at Pass-Through Rates payable on the Offered
Certificates, while delays and extensions resulting in lengthening of such
weighted average lives may occur at a time of high interest rates when Holders
may have been able to reinvest payments received by them at higher rates.
Principal prepayments may be influenced by a variety of economic,
geographic, demographic, social, tax, legal and other factors. In general, if
prevailing interest rates fall significantly below the interest rates on the
Mortgage Loans (and in particular Mortgage Loans with fixed Mortgage Interest
Rates or with minimum adjustable Mortgage Interest Rates that are higher than
prevailing interest rates), the Mortgage Loans are likely to be subject to
higher prepayments than if prevailing rates remain at or above the interest
rates on such Mortgage Loans. Conversely, if prevailing interest rates rise
significantly above the Mortgage Interest Rates on the Mortgage Loans, the rate
of prepayment would be expected to decrease. Other factors affecting prepayment
of the Mortgage Loans include the availability of credit for mortgage
refinancing, changes in tax laws (including depreciation benefits), changes in
Borrowers' net equity in the Mortgaged Properties, servicing decisions,
prevailing general economic conditions and the relative economic vitality of the
areas in which the Mortgaged Properties are located, the terms of the Mortgage
Loans (for example, the existence of due-on-sale and due-on-encumbrance
clauses), the quality of management of the Mortgaged Properties and the
availability of other opportunities for investment. Some of the Mortgage Loans
may be prepaid at any time without penalty, or provide for small prepayment
premiums or penalties which are not expected to be an effective deterrent to
prepayment. Some of the Mortgage Loans, however, continue to have prepayment
premiums or penalties which could be a deterrent to prepayments. The Seller
makes no representation as to the particular factors that will affect the rate
of prepayment of the Mortgage Loans, the relative importance of any such
factors, the percentage of the principal balance of the Mortgage Loans that will
be paid as of any date or the overall rate of prepayments on the Mortgage Loans.
See "DESCRIPTION OF THE MORTGAGE LOANS" herein. Because the Mortgage Loans are
subject to prepayment, and because certain of the Mortgage Loans will have
remaining terms to stated maturity that are shorter than those assumed in
calculating the Final Scheduled Distribution Date of the Certificates, the
Certificate Principal Amount of one or more Classes of the Certificates may be
reduced to zero prior to their Final Scheduled Distribution Date. In addition,
delinquencies could result in distributions after the Final Scheduled
Distribution Date of one or more Classes of the Certificates. As a result, the
Certificate Principal Amount of each Class of Certificates may be reduced to
zero significantly earlier or later than its respective Final Scheduled
Distribution Date.
The effective yield to Holders of the Fixed Rate Certificates will differ
from the yield otherwise produced by the applicable Pass-Through Rate and
purchase prices of such Certificates because principal and interest
distributions will not be payable to such Holders until at least the 25th day of
the month following the month of accrual (without any additional distribution of
interest or earnings thereon in respect of such delay).
If the purchaser of an Offered Certificate purchased at a discount from its
initial Certificate Principal Amount calculates its anticipated yield to
maturity based on an assumed rate of payment of principal that is faster than
that actually experienced on such Certificate, the actual yield to maturity will
be lower than that so calculated. Conversely, if the purchaser of an Offered
Certificate purchased at a premium calculates its anticipated yield to maturity
based on an assumed rate of payment of principal that is slower than that
actually experienced on such Certificate, the actual yield to maturity will be
lower than that so calculated.
The timing of changes in the rate of prepayments on the related Mortgage
Loans may significantly affect an investor's actual yield to maturity, even if
the average rate of principal payments is consistent with an investor's
expectation. In general, the earlier a prepayment of principal of the related
Mortgage Loans, the greater the effect on an investor's yield to maturity. The
effect on an investor's yield of principal payments occurring at a rate higher
(or lower) than the rate anticipated by the investor during the period
immediately following the issuance of the Offered Certificates may not be offset
by a subsequent like decrease (or increase) in the rate of principal payments.
An investor must make an independent decision as to the appropriate prepayment
scenario to be used in deciding whether to purchase the Offered Certificates.
Investors should consider the risk that rapid rates of prepayments on the
related Mortgage Loans, and therefore of principal payments on the Offered
Certificates, may coincide with periods of low prevailing interest rates. During
such periods, the effective interest rates on securities in which an investor
may choose to reinvest amounts received as principal payments on such investor's
Offered Certificate may be lower than the applicable Pass-Through Rate.
Conversely, slow rates of prepayments on the Mortgage Loans, and therefore of
principal payments on the various Classes of Offered Certificates, may coincide
with periods of high prevailing interest rates. During such periods, the amount
of principal payments available to an investor for reinvestment at such high
prevailing interest rates may be relatively low.
Weighted Average Life of the Offered Certificates
Weighted average life refers to the average amount of time from the date of
issuance of a security until each dollar of principal of such security will be
repaid to the investor. The weighted average lives of the Offered Certificates
will be influenced by the rate at which principal payments (including scheduled
payments, principal prepayments and payments made pursuant to any applicable
policies of insurance) on the Mortgage Loans are made. Principal payments on
Mortgage Loans may be in the form of scheduled amortization or prepayments (for
this purpose, the term "prepayment" includes prepayments by Borrowers and
prepayments resulting from modifications, defaults, repurchases due to certain
breaches of the Seller's representations and warranties or other disposition of
the Mortgage Loans). Since all principal payments on the Mortgage Loans are
initially directed to reduce the respective Certificate Principal Amounts of the
Class A Certificates (subject, in the case of the Multifamily Certificates, to
the availability of cash flow from Eligible Multifamily Mortgage Loans) and
thereafter the Certificate Principal Amounts of the other Classes of
Certificates in alphabetical order, prepayments on the Mortgage Loans will have
a tendency to shorten the weighted average lives of the Class of Certificates
currently entitled to receive principal payments by a disproportionately greater
amount than the weighted average lives of each Class of Certificates that is
subordinate thereto.
In contrast, the excess of interest due on the Mortgage Loans, net of
servicing compensation, over interest due on the Offered Certificates will
generally be applied to the Offered Certificates as described herein under
"DESCRIPTION OF THE CERTIFICATES -- Allocation Among Classes." Accordingly,
while the amount of such excess interest will generally be affected primarily by
changes in interest rates and the interest rate adjustment terms of the Mortgage
Loans, and accordingly by the spread between LIBOR and the current Mortgage
Interest Rate, as described under "DESCRIPTION OF THE CERTIFICATES --
Distributions -- Basis Risk" herein, any payment experience which would reduce
such excess interest, including prepayments (Mortgage Loans having higher
interest rates being expected to prepay first) and Prepayment Interest
Shortfalls, will have a tendency to extend the weighted average lives of the
Class B, Class C, Class D, Class E and Class F Certificates although such
tendency may be offset to some extent by the application of principal
prepayments to such Classes of Certificates. The level of such excess interest
will also be affected by other factors described under "DESCRIPTION OF THE
CERTIFICATES -- Distributions -- Basis Risk" herein. The weighted average life
of each such Class will also be influenced by delays associated with realizing
on defaulted Mortgage Loans, and by extensions given in connection with
modifications of Mortgage Loans. Since a significant number of Mortgage Loans
have Balloon Payments due at maturity, and because the ability of the Borrower
to make a Balloon Payment typically will depend upon its ability either to
refinance the loan or to sell the related Mortgaged Property, there is a risk
that a number of Mortgage Loans having Balloon Payments may default at maturity,
or that the Special Servicer may extend the maturity of such a Mortgage Loan in
connection with a workout. In the case of defaults, recovery of proceeds may be
delayed by, among other things, bankruptcy of the Borrower or adverse conditions
in the market where the property is located. In order to minimize losses on
Specially Serviced Mortgage Loans, the Special Servicer is given considerable
flexibility under the Agreement to modify Mortgage Loans which are in default or
as to which default is reasonably foreseeable. Certificateholders are not
entitled to receive distributions of Balloon Payments when due except to the
extent they are actually received (and instead are entitled only to receive
certain Assumed Scheduled Payments until the related Mortgage Loan is modified
or until final liquidation, and the remaining balance upon such final
liquidation). Consequently, any defaulted Balloon Payment or modification which
extends the maturity of a Mortgage Loan will tend to extend the weighted average
lives of the Class A Certificates and, to a lesser extent, the weighted average
lives of other Classes of Offered Certificates. See "SERVICING OF THE MORTGAGE
LOANS -- Modifications, Waivers and Amendments" herein.
Any changes in weighted average life may adversely affect the yield to
Certificateholders. Prepayments resulting in a shortening of such weighted
average lives may be made at a time of low interest rates when a Holder may be
unable to reinvest the resulting payments of principal on its Offered
Certificates at a rate comparable to the Pass-Through Rate payable on such
Offered Certificates, while delays and extensions resulting in a lengthening of
such weighted average lives may occur at a time of high interest rates when a
Holder may have been able to reinvest principal payments that would otherwise
have been received by it at higher rates.
In addition, because the Class A-2C, Class B, Class C, Class D, Class E and
Class F Certificates are being offered at a discount, their effective yields
will depend to a significant extent on the rate at which excess interest
materializes and is applied to make distributions of principal in respect of the
applicable Classes of Certificates as described herein under "DESCRIPTION OF THE
CERTIFICATES -- Allocation Among Classes."
The weighted average lives of the Offered Certificates may also be shortened
by the exercise of an optional termination right as described under "DESCRIPTION
OF THE CERTIFICATES -- Optional Termination" herein.
Prepayments on mortgage loans are commonly measured by a prepayment standard
or model. The model used in this Prospectus in the tables below (the "Prepayment
Model" or "CPR") represents an assumed constant rate of prepayments each month,
expressed as an annual rate, relative to the then outstanding principal balance
of a pool of mortgage loans for the life of such mortgage loans. CPR does not
purport to be either an historical description of the prepayment experience of
any pool of mortgage loans or a prediction of the anticipated rate of prepayment
of any mortgage loans, including the Mortgage Loans to be included in the
Mortgage Pool.
The tables of Percentages of Initial Certificate Principal Amount
Outstanding set forth on pages 88 through 93 (the "Declining Balance Tables"),
the tables set forth on pages 94 through 104 (the "Price/Yield Tables") and the
tables set forth on pages 108 through 137 (the "Loss/Yield Tables") have been
prepared on the basis of the "Mortgage Loan Assumptions," which are the
assumptions that the Mortgage Loans consist of 813 subgroups, each treated as a
single assumed Mortgage Loan. Such assumed Mortgage Loans were derived as
follows:
1. First, the Mortgage Loans were sub-divided into commercial and
multifamily groups and further subdivided into subgroups consisting of
Mortgage Loans with fixed interest rates, ARMs and ARMs with Floor Interest
Rates equal to or greater than 8.375%. Within each such group as many as 6
separate groups were created for the Mortgage Loans based on a variety of
assumed Mortgage Interest Rate Indexes, including (i) no Index in the case
of Mortgage Loans assumed to have fixed interest rates, (ii) a cost-of-funds
Index, (iii) a one-year treasury Index, (iv) a three-year treasury Index,
(v) a five-year treasury Index, (vi) a prime rate-based Index and (vii)
miscellaneous other Indexes.
2. Second, each such group of Mortgage Loans in Mortgage Loan Groups 1
and 3 was divided into up to 9 subgroups based on Balloon Payment terms,
consisting of subgroups of Mortgage Loans with (i) no Balloon Payments
(i.e., fully amortizing), including fully amortizing Matured Performing
Mortgage Loans, and Mortgage Loans with Balloon Payments payable less than
or equal to 12 months prior to the end of their amortization term, (ii)
Balloon Payments due within 12 months after the Cut-Off Date, (iii) Balloon
Payments due between 13 and 24 months after the Cut-Off Date, (iv) Balloon
Payments due between 25 and 36 months after the Cut-Off Date, (v) Balloon
Payments due between 37 and 48 months after the Cut-Off Date, (vi) Balloon
Payments due between 49 and 60 months after the Cut-Off Date, (vii) Balloon
Payments due between 61 and 120 months after the Cut-Off Date, (viii)
Balloon Payments due more than 120 months after the Cut-Off Date and (ix)
Balloon Payments due one or more months after the Cut-Off Date and which pay
interest only until such Balloon Payment is due. Each such group of Mortgage
Loans in Mortgage Loan Groups 2 and 4 was divided as described in the
preceding sentence, provided that Mortgage Loans in Mortgage Loan Groups 2
and 4 with the characteristics described in clause (i) were not segregated
in a separate group but were apportioned among the groups of Balloon
Mortgage Loans described in the preceding clauses (ii) through (viii) on the
basis of their remaining terms to maturity. Then each subgroup was further
divided on the basis of remaining term to maturity or, in the case of
amortizing Balloon Mortgage Loans, amortization term, in each case in the
ranges set forth in the preceding clauses (ii) through (viii). With respect
to each interest only Matured Performing Mortgage Loan, its maturity date
was extended to a date five years from the Cut-Off Date. Based on such
revised maturity date, each such Mortgage Loan was grouped in the preceding
clause (vi). Then, each subgroup containing ARMs was further divided into
two categories, one category containing ARMs with various periodic Mortgage
Interest Rate caps and the other containing ARMs with no periodic Mortgage
Interest Rate caps. In addition, each subgroup containing ARMs was further
divided into two categories, one category containing ARMs with various
lifetime Mortgage Interest Rate caps and the other containing ARMs with no
lifetime Mortgage Interest Rate caps and further subdivided on the basis of
(i) the number of months between scheduled periodic rate adjustment dates,
(ii) the number of months from the Cut-Off Date to the first periodic rate
adjustment date following the Cut-Off Date, (iii) the number of months
between scheduled periodic payment adjustment dates and (iv) the number of
months from the Cut-Off Date to the first periodic payment adjustment date
following the Cut-Off Date. Finally, the Mortgage Interest Rate for each
assumed Mortgage Loan was rounded down to the nearest percent and aggregated
accordingly (i.e., all Mortgage Loans with Mortgage Interest Rates of 6.00%
to 6.99% were aggregated into a separate subgroup). The Group 1 Mortgage
Loans were contained in a total of 175 separate adjustable rate subgroups,
the Group 2 Mortgage Loans were contained in a total of 58 separate fixed
rate subgroups and 46 separate adjustable rate subgroups, the Group 3
Mortgage Loans were contained in a total of 399 separate adjustable rate
subgroups and the Group 4 Mortgage Loans were contained in a total of 94
separate fixed rate subgroups and 41 separate adjustable rate subgroups.
3. Third, each subgroup containing Mortgage Loans was treated as a
single assumed Mortgage Loan, each such assumed Mortgage Loan having a
principal balance, a mortgage interest rate, a remaining full amortization
term, a remaining term to maturity, an interest rate adjustment frequency, a
number of months to next interest rate adjustment, a payment adjustment
frequency, a number of months to next payment adjustment, a margin, a
periodic cap interest rate and a lifetime floor interest rate equal to the
aggregate Scheduled Principal Balance, weighted average Mortgage Interest
Rate, weighted average remaining full amortization term, weighted average
remaining term to maturity, weighted average interest rate adjustment
frequency, weighted average months to next Adjustment Date, weighted average
payment adjustment frequency, weighted average number of months to next
payment adjustment, weighted average Margin, weighted average periodic
Mortgage Interest Rate cap and weighted average Floor Interest Rate,
respectively, of the Mortgage Loans in the related subgroup.
In addition, it was assumed that: (i) the Mortgage Loans prepay (without
prepayment penalties) at the indicated percentage of the CPR; (ii) distributions
on the Offered Certificates are received, in cash, on the 25th day of each
month, commencing in October 1994; (iii) servicing fees are payable with respect
to all Mortgage Loans at the rate of 0.117% per annum; (iv) with respect to the
table assuming no extensions, that no defaults or delinquencies in, or
modifications, waivers or amendments respecting, the payment by the Borrowers of
principal and interest on the Mortgage Loans occur; (v) with respect to the
tables assuming extensions, that with respect to the assumed Balloon Mortgage
Loans (a)(1) in the case of the tables assuming three year extensions, the
maturity dates of such Mortgage Loans are extended on their maturity dates to
the earlier of a date three years after their original maturity dates and the
original amortization term and (2) in the case of the tables assuming five year
extensions, the maturity dates of such Mortgage Loans are extended on their
maturity dates to the earlier of a date five years after their original maturity
dates and the original amortization term, (b)(1) in the case of the Group 2 and
Group 4 Mortgage Loans, such extensions do not result in such Mortgage Loans
becoming Discounted Mortgage Loans and do not require reductions in the
Scheduled Principal Balances thereof and (2) in the case of the Group 1 and
Group 3 Mortgage Loans, such extensions result in each such Mortgage Loan
becoming a Discounted Mortgage Loan and require a 25% reduction on the Scheduled
Principal Balance thereof and an immediate withdrawal from the Reserve Fund, as
described under "DESCRIPTION OF THE CERTIFICATES -- Reserve Fund -- Credit
Draws," in an amount equal to the reduction in the Scheduled Principal Balance
thereof (calculated assuming that there are no other recoveries in respect of
such Mortgage Loan), (c) in the case of ARMs, their Mortgage Interest Rates
after extension are based on the same indices, margins, caps and floors and
their Monthly Payments are calculated in the same manner as they were prior to
such extension, (d) in the case of fixed rate Mortgage Loans, their Monthly
Payments after extension are the same as they were prior to extension, (e)
servicing fees following extension continue to be payable at the same rate as
prior to extension, and no Workout Fee is payable with respect thereto and (f)
apart from the assumed extensions, there are no defaults or delinquencies in, or
modifications, waivers or amendments respecting, the payment by the Borrowers of
principal and interest on such Mortgage Loans; (vi) the Mortgage Interest Rate
stays constant until the first Adjustment Date, if any, and then adjusts to a
Mortgage Interest Rate equal to the applicable Index for such assumed Mortgage
Loan as set forth below plus the applicable Margin for such assumed Mortgage
Loan, subject to the applicable Floor Interest Rates and Maximum Interest Rates;
(vii) LIBOR equals 5.0625% and remains at that rate or adjusts as set forth in
the tables; (viii) prepayments represent payment in full of individual Mortgage
Loans and are received on the respective Due Dates and include 30 days' interest
thereon; (ix) there are no repurchases of Mortgage Loans; (x) the Offered
Certificates are purchased on September 29, 1994; (xi) no right of optional
termination is exercised; (xii) the Index for each assumed Group 1 and Group 3
Mortgage Loan will adjust immediately to 3.86% per annum in the case of ARMs
assumed to have a cost-of-funds index, 5.87% for Mortgage Loans assumed to have
a one-year treasury index, 6.77% for Mortgage Loans assumed to have a three-year
treasury index, 7.19% for Mortgage Loans assumed to have a five-year treasury
index, 7.75% for Mortgage Loans assumed to have a prime rate-based index and
5.0625% for Mortgage Loans assumed to have miscellaneous other indexes; and
(xiii) the Index for each assumed Group 2 and Group 4 Mortgage Loan with an
adjustable Mortgage Interest Rate will adjust immediately to 5.39% per annum.
The Mortgage Loan Assumptions are expected to vary from the actual
characteristics of the Mortgage Loans. Any such discrepancy may have an effect
upon the percentages of the initial Certificate Principal Amounts outstanding
(and the weighted average lives) of the Offered Certificates set forth in the
tables below. In particular, actual prepayments are not likely to occur at
constant rates or at the assumed rates and the terms of extensions are not
likely to be uniform, and variations in prepayment speeds and extension terms,
even if averaging to the same constant prepayment rate over time and to the same
weighted average extension term, may have different effects on the payment rates
of the Offered Certificates. Furthermore, not all Balloon Mortgage Loans are
expected to be extended or to be extended for the suggested terms, and
prepayments and extensions may apply disproportionately to Mortgage Loans with
different Mortgage Interest Rates. To the extent fixed rate Mortgage Loans with
higher Mortgage Interest Rates prepay at higher rates or are extended less
frequently or for shorter terms, the excess interest available to make
distributions in reduction of the Certificate Principal Amounts of the Class B,
Class C, Class D, Class E and Class F Certificates may be reduced even at the
same constant prepayment rates. There can be no assurance as to the actual rates
of prepayment or extension of the Mortgage Loans or as to variations in
applicable interest rates. There can be no assurance as to the actual rates of
prepayment or extension of the Mortgage Loans or as to variations in applicable
interest rates.
Furthermore, the Mortgage Loan Assumptions vary to some degree from the
actual terms of the Offered Certificates and the Agreement in that: (i) any
extension of a Mortgage Loan will occur only under circumstances in which such
Mortgage Loan has become a Specially Serviced Mortgage Loan subject to deduction
of a Workout Fee from all future Monthly Payments, except in the case of certain
Mortgage Loans whose remaining terms are to be extended by the Master Servicer
as described above under "SERVICING OF THE MORTGAGE LOANS -- Modifications,
Waivers and Amendments; (ii) upon extension, and in contrast to the assumptions,
some of the Group 1 and Group 3 Mortgage Loans might not be Discounted Mortgage
Loans and some of the Group 2 and Group 4 Mortgage Loans might be Discounted
Mortgage Loans, depending upon the modified terms thereof; (iii) the terms of
any extension permitted under the Agreement may require an increase or allow a
decrease in the Mortgage Interest Rate or the Monthly Payment, rather than
providing for continuation of the same terms; and (iv) the actual servicing fee
available for payment with respect to the Mortgage Loans other than Specially
Serviced Mortgage Loans is 0.175% per annum, although the initial Master
Servicer will receive a fee for such Mortgage Loans equal to that described
above under the Mortgage Loan Assumptions.
Based on the Mortgage Loan Assumptions and on the allocation rules
described above under "DESCRIPTION OF THE CERTIFICATES -- Distributions --
Allocation Among Classes," the Declining Balance Tables indicate the weighted
average life of each Class of Offered Certificates and set forth the percentages
of the initial Certificate Principal Amount of each such Class of Offered
Certificates that would be outstanding after the Distribution Date in September
of each of the years indicated, at various percentages of CPR and under various
LIBOR and years-of-extension scenarios. None of the indicated percentages of CPR
purports to be an historical description of prepayment experience or a
prediction of the anticipated rate of prepayment of the Mortgage Loans included
in the Mortgage Pool. Variations in the actual prepayment experience and
extension experience and the balance of the Mortgage Loans that prepay or are
extended may increase or decrease the percentage of initial Certificate
Principal Amount (and weighted average life) shown in the following tables. Such
variations may occur even if the average prepayment experience of all such
Mortgage Loans equals any of the specified percentages of the CPR and the
average extension experience of all such Mortgage Loans equals any of the
specified years of extension. In addition, as described above under "DESCRIPTION
OF THE MORTGAGE LOANS -- General," the Mortgage Loans may be subject to periods
of slower amortization or to negative amortization, in which case the weighted
average lives of the Offered Certificates will be increased, and to periods of
accelerated amortization, in which case the weighted average lives of the
Offered Certificates will be decreased.
Percentage of Initial Certificate Principal Amount Outstanding at the
Respective Percentages of CPR Assuming Current LIBOR and Assuming No Extensions
<TABLE>
<CAPTION>
Class A-1 Class A-2A Class A-2B Class A-2C
--------- --------------- --------------- -------------
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing .... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
Date
September .. 98 95 92 89 86 86 70 54 38 22 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 85 80 74 69 64 70 39 9 0 0 100 100 100 68 23 100 100 100 100 100
25, 1996
September .. 79 71 64 57 50 44 0 0 0 0 100 100 34 0 0 100 100 100 95 84
25, 1997
September .. 72 63 53 45 37 1 0 0 0 0 100 16 0 0 0 100 100 88 75 62
25, 1998
September .. 69 57 46 36 27 0 0 0 0 0 0 0 0 0 0 90 74 59 46 33
25, 1999
September .. 61 48 36 25 16 0 0 0 0 0 0 0 0 0 0 53 38 25 12 1
25, 2000
September .. 58 43 30 15 0 0 0 0 0 0 0 0 0 0 0 36 21 8 0 0
25, 2001
September .. 51 36 22 1 0 0 0 0 0 0 0 0 0 0 0 33 17 2 0 0
25, 2002
September .. 45 29 12 0 0 0 0 0 0 0 0 0 0 0 0 30 12 0 0 0
25, 2003
September .. 41 24 2 0 0 0 0 0 0 0 0 0 0 0 0 28 8 0 0 0
25, 2004
September .. 37 19 0 0 0 0 0 0 0 0 0 0 0 0 0 24 4 0 0 0
25, 2005
September .. 33 14 0 0 0 0 0 0 0 0 0 0 0 0 0 21 0 0 0 0
25, 2006
September .. 23 1 0 0 0 0 0 0 0 0 0 0 0 0 0 17 0 0 0 0
25, 2007
September .. 18 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0
25, 2008
September .. 11 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2009
September .. 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2010
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2011
Weighted
average
life ...... 8.4 6.3 4.9 3.9 3.3 2.5 1.6 1.1 0.8 0.7 4.4 3.6 2.8 2.2 1.8 7.9 6.3 5.4 4.8 4.4
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class A-3 Class A-4 Class B Class C
--------------- --------------- --------------- ------------
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing .... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
Date
September .. 93 92 90 89 87 49 39 30 20 11 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 88 85 79 73 67 15 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1996
September .. 79 70 62 54 47 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1997
September .. 61 51 42 33 25 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1998
September .. 38 29 19 11 3 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1999
September .. 0 0 0 0 0 0 0 0 0 0 37 0 0 0 0 100 100 81 64 49
25, 2000
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 97 76 58 42 21
25, 2001
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 78 57 39 24 0
25, 2002
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 60 40 23 0 0
25, 2003
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 53 32 15 0 0
25, 2004
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 44 23 0 0 0
25, 2005
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 29 13 0 0 0
25, 2006
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 15 1 0 0 0
25, 2007
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0
25, 2008
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2009
Weighted
average
life ...... 4.2 3.8 3.5 3.1 2.8 1.1 0.9 0.8 0.7 0.6 6.0 5.8 5.8 5.8 5.6 10.3 8.9 7.7 6.9 6.3
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class D Class E Class F
------- ------- -------
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------------------------------ --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date ............................. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September 25, 1995 ....................... 95 95 95 96 96 94 94 94 94 94 90 90 90 90 90
September 25, 1996 ....................... 91 91 91 91 92 87 87 88 88 88 79 79 80 80 81
September 25, 1997 ....................... 86 86 87 88 88 81 81 82 83 84 68 69 71 72 73
September 25, 1998 ....................... 81 82 83 84 85 74 76 77 78 80 58 60 62 64 66
September 25, 1999 ....................... 77 78 80 81 83 69 71 73 75 76 48 51 55 58 61
September 25, 2000 ....................... 73 75 77 79 81 63 66 69 71 74 40 44 49 53 57
September 25, 2001 ....................... 70 73 75 77 79 59 63 66 69 71 33 38 43 48 53
September 25, 2002 ....................... 67 70 72 75 54 55 59 62 66 69 26 32 38 44 49
September 25, 2003 ....................... 63 67 70 61 4 50 55 59 63 66 18 25 32 39 44
September 25, 2004 ....................... 60 63 67 25 0 45 50 55 60 46 9 18 26 33 40
September 25, 2005 ....................... 56 60 58 0 0 40 46 51 51 25 * 10 20 28 34
September 25, 2006 ....................... 51 56 22 0 0 34 41 47 29 5 0 2 13 21 29
September 25, 2007 ....................... 47 53 0 0 0 28 35 33 5 0 0 0 5 15 0
September 25, 2008 ....................... 42 0 0 0 0 21 29 2 0 0 0 0 0 0 0
September 25, 2009 ....................... 17 0 0 0 0 14 1 0 0 0 0 0 0 0 0
September 25, 2010 ....................... 0 0 0 0 0 * 0 0 0 0 0 0 0 0 0
September 25, 2011 ....................... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average
life (years)(1) ......................... 10.3 10.1 9.3 8.1 7.2 8.7 9.1 9.1 8.8 8.3 5.2 5.7 6.3 7.0 7.3
<FN>
- ----------
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of an Offered Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the outstanding
Certificate Principal Amount of such Certificate by the number of years from
the date of issuance of the Offered Certificates to the related Distribution
Date, (ii) adding the results and (iii) dividing the sum by the initial
Certificate Principal Amount of the Offered Certificate.
</FN>
</TABLE>
Percentage of Initial Certificate Principal Amount Outstanding at the Respective
Percentages of CPR Assuming Current LIBOR and Assuming 3-Year Balloon Extensions
<TABLE>
<CAPTION>
Class A-1 Class A-2A Class A-2B Class A-2C
--------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing .... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
Date
September .. 98 95 92 89 86 89 73 57 41 25 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 93 87 81 76 70 77 46 15 0 0 100 100 100 77 32 100 100 100 100 100
25, 1996
September .. 89 81 73 65 58 65 19 0 0 0 100 100 62 0 0 100 100 100 99 88
25, 1997
September .. 85 75 64 55 46 49 0 0 0 0 100 85 0 0 0 100 100 100 85 72
25, 1998
September .. 75 63 52 41 31 33 0 0 0 0 100 41 0 0 0 100 100 89 72 57
25, 1999
September .. 69 55 42 31 20 6 0 0 0 0 100 0 0 0 0 100 97 77 58 42
25, 2000
September .. 63 47 34 22 11 0 0 0 0 0 40 0 0 0 0 100 83 61 42 25
25, 2001
September .. 58 41 27 14 3 0 0 0 0 0 0 0 0 0 0 80 56 36 18 3
25, 2002
September .. 50 33 18 0 0 0 0 0 0 0 0 0 0 0 0 44 24 6 0 0
25, 2003
September .. 47 28 6 0 0 0 0 0 0 0 0 0 0 0 0 28 8 0 0 0
25, 2004
September .. 40 21 0 0 0 0 0 0 0 0 0 0 0 0 0 24 4 0 0 0
25, 2005
September .. 34 15 0 0 0 0 0 0 0 0 0 0 0 0 0 21 0 0 0 0
25, 2006
September .. 28 4 0 0 0 0 0 0 0 0 0 0 0 0 0 17 0 0 0 0
25, 2007
September .. 23 0 0 0 0 0 0 0 0 0 0 0 0 0 0 13 0 0 0 0
25, 2008
September .. 18 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2009
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2010
Weighted
average
life ...... 9.2 7.0 5.4 4.5 3.8 3.7 1.9 1.2 0.9 0.7 6.9 4.7 3.2 2.4 1.9 9.8 8.3 7.2 6.3 5.4
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class A-3 Class A-4 Class B Class C
--------------- --------------- --------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing .... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
Date
September .. 97 95 94 92 91 90 79 69 58 48 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 94 91 88 85 83 79 59 39 20 1 100 100 100 100 100 100 100 100 100 100
25, 1996
September .. 91 87 83 76 67 68 39 10 0 0 100 100 100 100 100 100 100 100 100 100
25, 1997
September .. 84 76 65 54 44 18 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1998
September .. 75 61 49 38 27 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1999
September .. 63 48 35 23 13 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 2000
September .. 47 32 19 8 0 0 0 0 0 0 100 100 100 100 85 100 100 100 100 100
25, 2001
September .. 26 13 1 0 0 0 0 0 0 0 100 100 100 44 0 100 100 100 100 95
25, 2002
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 86 64 43 23 0
25, 2003
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 62 43 25 0 0
25, 2004
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 41 25 4 0 0
25, 2005
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 20 6 0 0 0
25, 2006
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 6 0 0 0 0
25, 2007
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2008
Weighted
average
life ...... 6.3 5.6 4.9 4.3 3.8 3.0 2.3 1.7 1.3 1.0 8.8 8.8 8.6 8.0 7.4 10.7 10.0 9.4 8.9 8.6
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class D Class E Class F
------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
Closing Date ............................. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September 25, 1995 ....................... 95 95 95 95 95 94 94 94 94 94 89 89 90 90 90
September 25, 1996 ....................... 90 90 91 91 91 87 87 87 88 88 78 78 79 80 80
September 25, 1997 ....................... 85 86 86 87 87 80 80 81 82 82 66 67 69 70 71
September 25, 1998 ....................... 80 81 82 82 83 72 74 75 76 77 54 56 58 61 63
September 25, 1999 ....................... 74 76 77 79 80 65 67 69 71 73 42 45 49 52 55
September 25, 2000 ....................... 69 71 73 75 77 57 60 63 66 69 29 35 40 44 49
September 25, 2001 ....................... 63 66 69 72 75 50 54 58 62 65 17 24 31 37 43
September 25, 2002 ....................... 58 62 66 69 72 43 48 53 58 62 5 14 23 30 37
September 25, 2003 ....................... 53 58 62 66 36 36 43 49 54 59 0 5 15 24 32
September 25, 2004 ....................... 48 54 59 37 0 30 37 44 50 44 0 0 8 18 26
September 25, 2005 ....................... 44 50 56 0 0 23 32 39 42 17 0 0 0 11 20
September 25, 2006 ....................... 38 45 12 0 0 16 25 34 15 0 0 0 0 3 0
September 25, 2007 ....................... 33 30 0 0 0 8 19 12 0 0 0 0 0 0 0
September 25, 2008 ....................... 11 0 0 0 0 0 9 0 0 0 0 0 0 0 0
September 25, 2009 ....................... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average
life (years)(1) ......................... 8.9 9.2 8.8 8.1 7.5 7.1 7.8 8.1 8.1 7.8 4.3 4.7 5.1 5.7 6.2
</TABLE>
Percentage of Initial Certificate Principal Amount Outstanding at the Respective
Percentages of CPR Assuming Current LIBOR and Assuming 5-Year Balloon Extensions
<TABLE>
<CAPTION>
Class A-1 Class A-2A Class A-2B Class A-2C
---------------- ---------------- --------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
Closing
Date.. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September .. 98 95 92 89 86 89 73 57 41 25 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 93 87 81 76 70 77 46 15 0 0 100 100 100 77 32 100 100 100 100 100
25, 1996
September .. 89 81 73 65 58 65 19 0 0 0 100 100 62 0 0 100 100 100 99 88
25, 1997
September .. 85 75 64 55 46 52 0 0 0 0 100 89 3 0 0 100 100 100 86 73
25, 1998
September .. 82 69 57 46 36 39 0 0 0 0 100 49 0 0 0 100 100 90 74 58
25, 1999
September .. 78 63 49 37 26 22 0 0 0 0 100 4 0 0 0 100 100 80 61 44
25, 2000
September .. 68 52 38 25 14 4 0 0 0 0 100 0 0 0 0 100 93 70 50 32
25, 2001
September .. 61 44 29 16 5 0 0 0 0 0 63 0 0 0 0 100 83 58 37 19
25, 2002
September .. 54 36 21 8 0 0 0 0 0 0 0 0 0 0 0 99 70 45 23 2
25, 2003
September .. 50 31 15 2 0 0 0 0 0 0 0 0 0 0 0 72 45 22 3 0
25, 2004
September .. 43 23 3 0 0 0 0 0 0 0 0 0 0 0 0 37 14 0 0 0
25, 2005
September .. 39 18 0 0 0 0 0 0 0 0 0 0 0 0 0 21 0 0 0 0
25, 2006
September .. 31 7 0 0 0 0 0 0 0 0 0 0 0 0 0 17 0 0 0 0
25, 2007
September .. 24 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 0 0 0 0
25, 2008
September .. 11 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2009
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2010
Weighted
average
life ...... 9.6 7.4 5.8 4.7 3.9 4.0 1.9 1.2 0.9 0.7 8.1 5.0 3.2 2.4 1.9 11.1 9.6 8.2 6.9 5.7
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class A-3 Class A-4 Class B Class C
---------------- ---------------- ---------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
Closing
Date. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September .. 97 95 94 92 91 90 79 69 58 48 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 94 91 88 85 83 79 59 39 20 1 100 100 100 100 100 100 100 100 100 100
25, 1996
September .. 91 87 83 76 67 68 39 10 0 0 100 100 100 100 100 100 100 100 100 100
25, 1997
September .. 87 82 74 63 52 56 18 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1998
September .. 83 77 63 51 39 44 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1999
September .. 76 60 46 33 21 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 2000
September .. 65 48 32 19 7 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 2001
September .. 53 36 21 7 0 0 0 0 0 0 100 100 100 100 76 100 100 100 100 100
25, 2002
September .. 38 21 6 0 0 0 0 0 0 0 100 100 100 63 1 94 99 100 100 100
25, 2003
September .. 19 4 0 0 0 0 0 0 0 0 100 100 45 0 0 88 94 100 90 32
25, 2004
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 54 35 20 0 0
25, 2005
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 27 12 0 0 0
25, 2006
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 0 0 0 0
25, 2007
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2008
Weighted
average
life ......7.6 6.5 5.6 4.8 4.1 3.9 2.5 1.7 1.3 1.0 10.8 10.7 10.1 9.2 8.4 11.3 11.1 10.9 10.5 9.8
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class D Class E Class F
------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing Date .............. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September 25, 1995 ........ 95 95 95 95 95 94 94 94 94 94 89 89 90 90 90
September 25, 1996 ........ 90 90 91 91 91 87 87 87 88 88 78 78 79 80 80
September 25, 1997 ........ 85 86 86 87 87 80 80 81 82 82 66 67 69 70 71
September 25, 1998 ........ 80 80 81 82 83 72 73 75 76 77 54 56 58 60 62
September 25, 1999 ........ 74 75 77 78 80 64 66 68 70 72 41 44 48 51 54
September 25, 2000 ........ 68 70 72 74 76 56 59 62 65 68 28 33 37 42 47
September 25, 2001 ........ 62 65 68 71 74 48 52 56 60 64 14 21 28 34 40
September 25, 2002 ........ 56 60 64 67 71 40 45 50 55 60 * 10 18 27 34
September 25, 2003 ........ 50 55 60 64 68 31 38 45 51 57 0 0 9 19 28
September 25, 2004 ........ 43 50 56 61 65 23 31 39 47 53 0 0 * 12 22
September 25, 2005 ........ 38 45 52 19 0 15 25 34 42 26 0 0 0 4 15
September 25, 2006 ........ 32 40 20 0 0 7 18 28 16 0 0 0 0 0 0
September 25, 2007 ........ 26 24 0 0 0 0 11 5 0 0 0 0 0 0 0
September 25, 2008 ........ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average
life (years)(1) .......... 8.5 8.9 8.7 8.5 8.5 6.7 7.4 7.8 8.0 8.0 4.2 4.5 4.9 5.4 6.0
</TABLE>
Percentage of Initial Certificate Principal Amount Outstanding at the Respective
Percentages of CPR Assuming Current LIBOR Decreases 1% and Assuming 3-Year
Balloon Extensions
<TABLE>
<CAPTION>
Class A-1 Class A-2A Class A-2B Class A-2C
--------------- --------------- --------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------ -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing
Date ....... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September .. 98 95 92 89 86 89 73 57 41 25 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 93 87 81 76 70 77 46 15 0 0 100 100 100 77 32 100 100 100 100 100
25, 1996
September .. 89 81 73 65 58 65 19 0 0 0 100 100 62 0 0 100 100 100 99 88
25, 1997
September .. 85 75 64 55 46 49 0 0 0 0 100 85 0 0 0 100 100 100 85 72
25, 1998
September .. 75 63 52 41 31 33 0 0 0 0 100 41 0 0 0 100 100 89 72 57
25, 1999
September .. 69 55 42 31 20 6 0 0 0 0 100 0 0 0 0 100 97 77 58 42
25, 2000
September .. 63 47 34 22 11 0 0 0 0 0 40 0 0 0 0 100 83 61 42 25
25, 2001
September .. 58 41 27 14 3 0 0 0 0 0 0 0 0 0 0 80 56 36 18 3
25, 2002
September .. 50 33 18 0 0 0 0 0 0 0 0 0 0 0 0 44 24 6 0 0
25, 2003
September .. 47 28 6 0 0 0 0 0 0 0 0 0 0 0 0 28 8 0 0 0
25, 2004
September .. 40 21 0 0 0 0 0 0 0 0 0 0 0 0 0 24 4 0 0 0
25, 2005
September .. 34 15 0 0 0 0 0 0 0 0 0 0 0 0 0 21 0 0 0 0
25, 2006
September .. 28 0 0 0 0 0 0 0 0 0 0 0 0 0 0 5 0 0 0 0
25, 2007
September .. 12 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2008
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2009
Weighted
average
life ...... 8.9 7.0 5.4 4.5 3.8 3.7 1.9 1.2 0.9 0.7 6.9 4.7 3.2 2.4 1.9 9.6 8.3 7.2 6.3 5.4
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class A-3 Class A-4 Class B Class C
--------------- --------------- --------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing
Date.. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September ... 97 95 94 92 91 90 79 69 58 48 100 100 100 100 100 100 100 100 100 100
25, 1995
September ... 94 91 88 85 83 79 59 39 20 1 100 100 100 100 100 100 100 100 100 100
25, 1996
September ... 91 87 83 76 67 68 39 10 0 0 100 100 100 100 100 100 100 100 100 100
25, 1997
September ... 84 76 65 54 44 18 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1998
September ... 75 61 49 38 27 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1999
September ... 63 48 35 23 13 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 2000
September ... 47 32 19 8 0 0 0 0 0 0 100 100 100 100 85 97 100 100 100 100
25, 2001
September ... 26 13 1 0 0 0 0 0 0 0 100 100 100 44 0 90 95 100 100 95
25, 2002
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 72 54 39 23 0
25, 2003
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 46 30 17 0 0
25, 2004
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 24 9 0 0 0
25, 2005
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2006
Weighted
average
life ....... 6.3 5.6 4.9 4.3 3.8 3.0 2.3 1.7 1.3 1.0 8.8 8.8 8.6 8.0 7.4 9.8 9.5 9.2 8.9 8.6
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class D Class E Class F
------- ------- -------
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date ............................. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September 25, 1995 ....................... 94 94 94 94 94 92 92 92 92 92 86 87 87 87 87
September 25, 1996 ....................... 87 88 88 88 89 83 83 84 84 84 72 72 73 74 74
September 25, 1997 ....................... 81 81 82 82 83 74 74 75 76 77 56 58 59 61 62
September 25, 1998 ....................... 74 75 76 77 78 64 66 67 69 71 40 43 46 49 51
September 25, 1999 ....................... 66 68 70 72 74 54 57 60 62 65 24 29 33 38 42
September 25, 2000 ....................... 59 62 65 68 70 44 48 52 56 60 8 15 21 27 33
September 25, 2001 ....................... 52 56 60 64 67 35 40 45 50 55 0 1 10 18 26
September 25, 2002 ....................... 45 50 55 60 64 25 32 39 45 51 0 0 0 10 19
September 25, 2003 ....................... 39 45 51 56 27 17 25 33 40 47 0 0 0 2 12
September 25, 2004 ....................... 33 40 47 22 0 9 18 27 35 25 0 0 0 0 5
September 25, 2005 ....................... 27 35 29 0 0 0 11 21 14 0 0 0 0 0 0
September 25, 2006 ....................... 5 14 0 0 0 0 3 2 0 0 0 0 0 0 0
September 25, 2007 ....................... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average
life (years)(1) ......................... 7.2 7.6 7.7 7.4 7.0 5.5 6.0 6.5 6.8 6.8 3.4 3.6 3.8 4.2 4.6
</TABLE>
Percentage of Initial Certificate Principal Amount Outstanding at the Respective
Percentages of CPR Assuming Current LIBOR Increases 1% and Assuming 3-Year
Balloon Extensions
<TABLE>
<CAPTION>
Class A-1 Class A-2A Class A-2B Class A-2C
--------- ---------- ---------- ----------
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing
Date.. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September ... 98 95 92 89 86 89 73 57 41 25 100 100 100 100 100 100 100 100 100 100
25, 1995
September ... 93 87 81 76 70 77 46 15 0 0 100 100 100 77 32 100 100 100 100 100
25, 1996
September ... 89 81 73 65 58 65 19 0 0 0 100 100 62 0 0 100 100 100 99 88
25, 1997
September ... 85 75 64 55 46 49 0 0 0 0 100 85 0 0 0 100 100 100 85 72
25, 1998
September ... 75 63 52 41 31 33 0 0 0 0 100 41 0 0 0 100 100 89 72 57
25, 1999
September ... 69 55 42 31 20 6 0 0 0 0 100 0 0 0 0 100 97 77 58 42
25, 2000
September ... 63 47 34 22 11 0 0 0 0 0 40 0 0 0 0 100 83 61 42 25
25, 2001
September ... 58 41 27 14 3 0 0 0 0 0 0 0 0 0 0 80 56 36 18 3
25, 2002
September ... 50 33 18 0 0 0 0 0 0 0 0 0 0 0 0 44 24 6 0 0
25, 2003
September ... 47 28 6 0 0 0 0 0 0 0 0 0 0 0 0 28 8 0 0 0
25, 2004
September ... 40 21 0 0 0 0 0 0 0 0 0 0 0 0 0 24 4 0 0 0
25, 2005
September ... 34 15 0 0 0 0 0 0 0 0 0 0 0 0 0 21 0 0 0 0
25, 2006
September ... 28 4 0 0 0 0 0 0 0 0 0 0 0 0 0 17 0 0 0 0
25, 2007
September ... 23 0 0 0 0 0 0 0 0 0 0 0 0 0 0 13 0 0 0 0
25, 2008
September ... 19 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 0 0 0 0
25, 2009
September ... 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 3 0 0 0 0
25, 2010
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2011
Weighted
average
life ....... 9.3 7.0 5.4 4.5 3.8 3.7 1.9 1.2 0.9 0.7 6.9 4.7 3.2 2.4 1.9 9.9 8.3 7.2 6.3 5.4
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class A-3 Class A-4 Class B Class C
--------- --------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing
Date.. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September ... 97 95 94 92 91 90 79 69 58 48 100 100 100 100 100 100 100 100 100 100
25, 1995
September ... 94 91 88 85 83 79 59 39 20 1 100 100 100 100 100 100 100 100 100 100
25, 1996
September ... 91 87 83 76 67 68 39 10 0 0 100 100 100 100 100 100 100 100 100 100
25, 1997
September ... 84 76 65 54 44 18 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1998
September ... 75 61 49 38 27 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1999
September ... 63 48 35 23 13 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 2000
September ... 47 32 19 8 0 0 0 0 0 0 100 100 100 100 85 100 100 100 100 100
25, 2001
September ... 26 13 1 0 0 0 0 0 0 0 100 100 100 44 0 100 100 100 100 95
25, 2002
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 89 64 43 23 0
25, 2003
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 69 45 25 0 0
25, 2004
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 53 30 4 0 0
25, 2005
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 38 17 0 0 0
25, 2006
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 26 8 0 0 0
25, 2007
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 12 0 0 0 0
25, 2008
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2009
Weighted
average
life ....... 6.3 5.6 4.9 4.3 3.8 3.0 2.3 1.7 1.3 1.0 8.8 8.8 8.6 8.0 7.4 11.4 10.3 9.4 8.9 8.6
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class D Class E Class F
------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing Date ............................. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September 25, 1995 ....................... 97 97 97 97 97 95 95 95 96 96 92 92 92 93 93
September 25, 1996 ....................... 93 93 93 94 94 91 91 91 91 91 84 85 85 86 86
September 25, 1997 ....................... 89 90 90 91 91 86 86 87 87 88 76 77 78 79 80
September 25, 1998 ....................... 86 86 87 88 88 80 81 82 83 84 68 69 71 72 74
September 25, 1999 ....................... 82 83 84 85 86 75 77 78 80 81 59 62 64 67 69
September 25, 2000 ....................... 78 80 81 83 84 70 72 74 76 78 51 54 58 61 64
September 25, 2001 ....................... 74 77 79 80 82 65 68 71 73 76 42 47 52 56 60
September 25, 2002 ....................... 71 73 76 78 80 60 64 67 70 73 34 40 46 51 56
September 25, 2003 ....................... 67 71 74 76 45 55 60 64 68 71 26 34 41 47 52
September 25, 2004 ....................... 64 68 71 48 0 51 56 61 65 62 19 28 35 42 48
September 25, 2005 ....................... 61 65 69 5 0 46 52 57 62 37 11 21 30 37 43
September 25, 2006 ....................... 57 62 32 0 0 41 48 54 40 15 3 14 24 32 39
September 25, 2007 ....................... 53 58 0 0 0 36 43 48 19 0 0 6 17 26 23
September 25, 2008 ....................... 49 43 0 0 0 30 38 26 0 0 0 0 10 16 0
September 25, 2009 ....................... 37 * 0 0 0 24 33 3 0 0 0 0 3 0 0
September 25, 2010 ....................... 8 0 0 0 0 17 1 0 0 0 0 0 0 0 0
September 25, 2011 ....................... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average
life (years)(1) ......................... 11.2 11.0 9.9 8.8 8.0 9.8 10.2 10.1 9.6 9.1 6.2 6.8 7.6 8.1 8.4
<FN>
- ----------
* Indicates an amount above zero and less than 0.5% of the original aggregate
Certificate Principal Amount is outstanding.
(1) The weighted average life of an Offered Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the outstanding
Certificate Principal Amount of such Certificate by the number of years from
the date of issuance of the Offered Certificates to the related Distribution
Date, (ii) adding the results and (iii) dividing the sum by the initial
Certificate Principal Amount of the Offered Certificate.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Percentage of Initial Certificate Principal Amount Outstanding at the Respective
Percentages of CPR Assuming Current LIBOR Increases 2% and Assuming 3-Year
Balloon Extensions
Class A-1 Class A-2A Class A-2B Class A-2C
--------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing
Date.. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September ... 98 95 92 89 86 89 73 57 41 25 100 100 100 100 100 100 100 100 100 100
25, 1995
September ... 93 87 81 76 70 77 46 15 0 0 100 100 100 77 32 100 100 100 100 100
25, 1996
September ... 89 81 73 65 58 65 19 0 0 0 100 100 62 0 0 100 100 100 99 88
25, 1997
September ... 85 75 64 55 46 49 0 0 0 0 100 85 0 0 0 100 100 100 85 72
25, 1998
September ... 75 63 52 41 31 33 0 0 0 0 100 41 0 0 0 100 100 89 72 57
25, 1999
September ... 69 55 42 31 20 6 0 0 0 0 100 0 0 0 0 100 97 77 58 42
25, 2000
September ... 63 47 34 22 11 0 0 0 0 0 40 0 0 0 0 100 83 61 42 25
25, 2001
September ... 58 41 27 14 3 0 0 0 0 0 0 0 0 0 0 80 56 36 18 3
25, 2002
September ... 50 33 18 0 0 0 0 0 0 0 0 0 0 0 0 44 24 6 0 0
25, 2003
September ... 47 28 6 0 0 0 0 0 0 0 0 0 0 0 0 28 8 0 0 0
25, 2004
September ... 40 21 0 0 0 0 0 0 0 0 0 0 0 0 0 24 4 0 0 0
25, 2005
September ... 34 15 0 0 0 0 0 0 0 0 0 0 0 0 0 21 0 0 0 0
25, 2006
September ... 28 4 0 0 0 0 0 0 0 0 0 0 0 0 0 17 0 0 0 0
25, 2007
September ... 23 0 0 0 0 0 0 0 0 0 0 0 0 0 0 13 0 0 0 0
25, 2008
September ... 19 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 0 0 0 0
25, 2009
September ... 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 3 0 0 0 0
25, 2010
September ... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2011
Weighted
average
life ....... 9.3 7.0 5.4 4.5 3.8 3.7 1.9 1.2 0.9 0.7 6.9 4.7 3.2 2.4 1.9 9.9 8.3 7.2 6.3 5.4
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class A-3 Class A-4 Class B Class C
--------- --------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ---- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --
Closing
Date ....... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September .. 97 95 94 92 91 90 79 69 58 48 100 100 100 100 100 100 100 100 100 100
25, 1995
September .. 94 91 88 85 83 79 59 39 20 1 100 100 100 100 100 100 100 100 100 100
25, 1996
September .. 91 87 83 76 67 68 39 10 0 0 100 100 100 100 100 100 100 100 100 100
25, 1997
September .. 84 76 65 54 44 18 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1998
September .. 75 61 49 38 27 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 1999
September .. 63 48 35 23 13 0 0 0 0 0 100 100 100 100 100 100 100 100 100 100
25, 2000
September .. 47 32 19 8 0 0 0 0 0 0 100 100 100 100 85 100 100 100 100 100
25, 2001
September .. 26 13 1 0 0 0 0 0 0 0 100 100 100 44 0 100 100 100 100 95
25, 2002
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 89 64 43 23 0
25, 2003
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 69 45 25 0 0
25, 2004
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 53 30 4 0 0
25, 2005
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 38 17 0 0 0
25, 2006
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 29 8 0 0 0
25, 2007
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 19 0 0 0 0
25, 2008
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 7 0 0 0 0
25, 2009
September .. 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
25, 2010
Weighted
average
life ...... 6.3 5.6 4.9 4.3 3.8 3.0 2.3 1.7 1.3 1.0 8.8 8.8 8.6 8.0 7.4 11.6 10.3 9.4 8.9 8.6
(years)(1)
</TABLE>
<TABLE>
<CAPTION>
Class D Class E Class F
------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Date 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
Closing Date ............................. 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
September 25, 1995 ....................... 98 98 98 98 98 97 97 97 97 97 95 95 95 95 96
September 25, 1996 ....................... 96 96 96 96 96 94 95 95 95 95 91 91 91 92 92
September 25, 1997 ....................... 94 94 94 95 95 92 92 92 93 93 86 87 87 88 88
September 25, 1998 ....................... 92 92 93 93 93 89 89 90 91 91 81 83 84 84 85
September 25, 1999 ....................... 90 90 91 92 92 86 87 88 89 89 77 78 80 81 82
September 25, 2000 ....................... 88 89 89 90 91 83 84 86 87 88 72 74 76 78 79
September 25, 2001 ....................... 85 87 88 89 90 80 82 83 85 86 67 70 73 75 77
September 25, 2002 ....................... 83 85 86 87 89 77 79 81 83 84 62 66 69 72 74
September 25, 2003 ....................... 81 83 85 86 54 75 77 79 81 83 58 62 66 69 72
September 25, 2004 ....................... 79 82 83 59 0 72 75 77 80 80 54 59 63 66 69
September 25, 2005 ....................... 78 80 82 17 0 69 73 75 78 57 49 55 60 63 67
September 25, 2006 ....................... 75 78 47 0 0 66 70 73 64 36 45 51 56 60 64
September 25, 2007 ....................... 73 76 13 0 0 63 68 71 45 19 39 46 52 57 61
September 25, 2008 ....................... 71 63 0 0 0 60 65 58 27 4 34 42 48 53 57
September 25, 2009 ....................... 68 28 0 0 0 56 62 38 10 0 28 37 44 49 24
September 25, 2010 ....................... 59 0 0 0 0 53 52 17 0 0 22 31 39 23 0
September 25, 2011 ....................... 27 0 0 0 0 49 22 0 0 0 15 26 15 0 0
September 25, 2012 ....................... 0 0 0 0 0 38 1 0 0 0 8 19 0 0 0
September 25, 2013 ....................... 0 0 0 0 0 12 0 0 0 0 * 0 0 0 0
September 25, 2014 ....................... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average
life (years)(1) ......................... 13.9 12.7 11.0 9.5 8.6 13.6 13.2 12.5 11.6 10.6 10.4 11.2 11.5 11.6 11.4
<FN>
- ----------
* Indicates an amount above zero and less than 0.5% of the original aggregate Certificate Principal Amount is outstanding.
(1) The weighted average life of an Offered Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the outstanding
Certificate Principal Amount of such Certificate by the number of years from
the date of issuance of the Offered Certificates to the related Distribution
Date, (ii) adding the results and (iii) dividing the sum by the initial
Certificate Principal Amount of the Offered Certificate.
</FN>
</TABLE>
The tables set forth below show the weighted average life, first principal
payment date and last principal payment date of each Class of Offered
Certificates under various prepayment, LIBOR and years-of-extension scenarios.
In addition, the tables show, for each Class of Fixed Rate Certificates, the
yield and duration at various assumed offering prices and, for each Class of
Floating Rate Certificates, the discounted margin at various assumed offering
prices, in each case under the same prepayment, LIBOR and years-of-extension
scenarios. The yields set forth in the following tables were calculated by
determining the monthly discount rates which, when applied to the assumed stream
of cash flows to be paid on each Class of Fixed Rate Certificates, would cause
the discounted present value of such assumed stream of cash flows as of
September 29, 1994 to equal the assumed purchase prices and converting such
monthly rates to corporate bond equivalent rates. Such calculation does not take
into account variations that may occur in the interest rates at which investors
may be able to reinvest funds received by them as reductions of the Certificate
Principal Amount on such Classes of Certificates and consequently does not
purport to reflect the return on any investment in such Classes of Certificates
when such reinvestment rates are considered. For purposes of these tables,
"duration" has been calculated using the modified Macaulay Duration as specified
in the "PSA Standard Formulas." The Macaulay Duration is calculated as the
present value-weighted average time to receive future payments of principal and
interest, and the PSA Standard Formula modified duration is calculated by
dividing the Macaulay Duration by the appropriate semi-annual compounding
factor. "Discounted margin" has been calculated as specified in the "PSA
Standard Formulas" to represent the increment over the index rate (LIBOR) that
causes the assumed purchase price of a Floating Rate Certificate to equal the
discounted present value of its cash flows, compounded monthly, and is set forth
in basis points. None of the prices in the tables take into account any accrued
interest that may be payable in excess of the stated offering or purchase
prices. Duration and discounted margin, like yield, will be affected by the
LIBOR levels, prepayment rates and Balloon extensions that actually occur during
the life of the Certificates and by the actual performance of the Mortgage
Loans, all of which may differ, and may differ significantly, from the
assumptions used in preparing the tables below.
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date
and Discount Margin of Class A-1 Certificates at Various Assumed Prices,
Percentages of CPR, LIBOR Levels and Balloon Extensions
<TABLE>
<CAPTION>
No Extension 3 Year Extension
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6%
- --------- -- -- -- -- -- -- -- -- --
8.39 6.33 4.87 3.92 3.30 9.23 6.99 5.41 4.47
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
11/10 11/07 11/04 10/02 05/01 06/10 03/08 04/05 08/03
99 22/32 ................. 50.0 51.2 52.7 54.2 55.7 49.6 50.7 52.0 53.2
99 24/32 ................. 49.0 50.0 51.2 52.4 53.6 48.6 49.5 50.6 51.6
99 26/32 ................. 48.0 48.7 49.6 50.5 51.4 47.7 48.4 49.2 49.9
99 28/32 ................. 47.0 47.5 48.1 48.7 49.3 46.8 47.3 47.8 48.3
99 30/32 ................. 46.0 46.2 46.5 46.8 47.1 45.9 46.1 46.4 46.6
100 ...................... 45.0 45.0 45.0 45.0 45.0 45.0 45.0 45.0 45.0
100 2/32 ................. 44.0 43.8 43.5 43.2 42.9 44.1 43.9 43.6 43.4
100 4/32 ................. 43.0 42.5 41.9 41.3 40.7 43.2 42.7 42.2 41.7
100 6/32 ................. 42.0 41.3 40.4 39.5 38.6 42.3 41.6 40.8 40.1
100 8/32 ................. 41.0 40.0 38.9 37.6 36.4 41.4 40.5 39.4 38.4
100 10/32 ............... 40.0 38.8 37.3 35.8 34.3 40.5 39.3 38.0 36.8
100 12/32 ............... 39.0 37.6 35.8 34.0 32.2 39.5 38.2 36.6 35.2
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
Unchanged LIBOR
---------------
Price (%) 8% 0% 2% 4% 6% 8%
<S> <C> <C> <C> <C> <C> <C> <C>
3.79 9.60 7.35 5.78 4.73 3.94 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
01/03 03/10 04/08 11/05 12/04 04/03 Last Principal Payment
Date
99 22/32.. 54.5 49.4 50.5 51.6 52.9 54.2 Discount Margin (bps)
99 24/32.. 52.6 48.5 49.4 50.3 51.3 52.4 Discount Margin (bps)
99 26/32.. 50.7 47.6 48.3 49.0 49.7 50.5 Discount Margin (bps)
99 28/32.. 48.8 46.8 47.2 47.7 48.1 48.7 Discount Margin (bps)
99 30/32.. 46.9 45.9 46.1 46.3 46.6 46.8 Discount Margin (bps)
100....... 45.0 45.0 45.0 45.0 45.0 45.0 Discount Margin (bps)
100 2/32.. 43.1 44.1 43.9 43.7 43.4 43.2 Discount Margin (bps)
100 4/32.. 41.2 43.2 42.8 42.3 41.9 41.3 Discount Margin (bps)
100 6/32.. 39.3 42.4 41.7 41.0 40.3 39.5 Discount Margin (bps)
100 8/32.. 37.4 41.5 40.7 39.7 38.7 37.7 Discount Margin (bps)
100 10/32. 35.5 40.6 39.6 38.4 37.2 35.8 Discount Margin (bps)
100 12/32. 33.6 39.7 38.5 37.1 35.6 34.0 Discount Margin (bps)
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6%
- ------------------ ----------- ---------- ------------- ------------- -------------- --------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.95 6.96 5.41 4.47 3.79 9.35 6.99 5.41 4.47
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
04/09 09/07 04/05 08/03 01/03 05/11 03/08 04/05 08/03
99 22/32 .. 50.5 51.7 53.3 54.9 56.4 48.7 49.6 50.6 51.5
99 24/32 .. 49.6 50.6 52.0 53.2 54.6 47.7 48.4 49.1 49.8
99 26/32 .. 48.7 49.5 50.6 51.6 52.7 46.8 47.2 47.7 48.1
99 28/32 .. 47.8 48.4 49.3 50.0 50.8 45.8 46.0 46.2 46.4
99 30/32 .. 46.9 47.3 47.9 48.4 49.0 44.9 44.8 44.8 44.7
100 ....... 46.0 46.3 46.6 46.8 47.1 43.9 43.6 43.3 43.1
100 2/32 .. 45.1 45.2 45.2 45.2 45.3 43.0 42.5 41.9 41.4
100 4/32 .. 44.2 44.1 43.9 43.6 43.4 42.0 41.3 40.5 39.7
100 6/32 .. 43.4 43.0 42.5 42.0 41.6 41.1 40.1 39.0 38.0
100 8/32 .. 42.5 41.9 41.2 40.5 39.7 40.1 38.9 37.6 36.3
100 10/32 41.6 40.8 39.8 38.9 37.9 39.2 37.8 36.2 34.6
100 12/32 40.7 39.7 38.5 37.3 36.0 38.2 36.6 34.7 33.0
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 8% 0% 2% 4% 6% 8%
- ------------------ ---------------- ---------------- ---------------- ---------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
3.79 9.35 6.99 5.41 4.47 3.79 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
01/03 05/11 03/08 04/05 08/03 01/03 Last Principal Payment
Date
99 22/32 .. 52.5 47.7 48.3 49.0 49.7 50.4 Discount Margin (bps)
99 24/32 .. 50.5 46.7 47.1 47.5 48.0 48.4 Discount Margin (bps)
99 26/32 .. 48.6 45.7 45.9 46.0 46.2 46.4 Discount Margin (bps)
99 28/32 .. 46.7 44.7 44.6 44.6 44.5 44.4 Discount Margin (bps)
99 30/32 .. 44.7 43.7 43.4 43.1 42.7 42.4 Discount Margin (bps)
100 ....... 42.8 42.7 42.2 41.6 41.0 40.4 Discount Margin (bps)
100 2/32 .. 40.8 41.7 41.0 40.1 39.3 38.4 Discount Margin (bps)
100 4/32 .. 38.9 40.7 39.7 38.6 37.5 36.4 Discount Margin (bps)
100 6/32 .. 36.9 39.7 38.5 37.1 35.8 34.5 Discount Margin (bps)
100 8/32 .. 35.0 38.7 37.3 35.7 34.1 32.5 Discount Margin (bps)
100 10/32 33.1 37.7 36.1 34.2 32.4 30.5 Discount Margin (bps)
100 12/32 31.1 36.8 34.8 32.7 30.6 28.5 Discount Margin (bps)
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class A-2A Certificates at Various Assumed Prices,
Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ------------ ----------- ----------- ----------- ----------- ----------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2.50 1.58 1.11 0.82 0.66 3.66 1.86 1.20 0.88 0.69
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
10/98 09/97 12/96 05/96 01/96 02/01 05/98 02/97 06/96 02/96
99 17/64.. 7.025 7.094 7.173 7.263 7.352 6.989 7.066 7.152 7.241 7.329
2.19 1.42 1.02 0.77 0.62 3.05 1.66 1.10 0.82 0.65
99 25/64.. 6.968 7.006 7.050 7.100 7.149 6.948 6.991 7.039 7.087 7.137
2.19 1.43 1.02 0.77 0.62 3.05 1.66 1.10 0.82 0.65
99 33/64.. 6.911 6.919 6.927 6.937 6.947 6.907 6.916 6.925 6.935 6.944
2.19 1.43 1.02 0.77 0.62 3.05 1.66 1.10 0.82 0.65
99 41/64.. 6.854 6.831 6.805 6.775 6.745 6.866 6.841 6.812 6.782 6.753
2.20 1.43 1.02 0.77 0.62 3.06 1.66 1.10 0.82 0.65
99 49/64.. 6.797 6.744 6.683 6.613 6.544 6.826 6.766 6.699 6.630 6.562
2.20 1.43 1.02 0.77 0.62 3.06 1.67 1.10 0.82 0.65
99 57/64.. 6.741 6.657 6.561 6.452 6.343 6.785 6.691 6.586 6.479 6.371
2.20 1.43 1.02 0.77 0.62 3.06 1.67 1.11 0.82 0.65
100 1/64.. 6.684 6.570 6.440 6.291 6.143 6.744 6.616 6.474 6.327 6.181
2.20 1.43 1.03 0.77 0.62 3.06 1.67 1.11 0.82 0.65
100 9/64.. 6.628 6.483 6.319 6.130 5.943 6.704 6.542 6.361 6.177 5.991
2.20 1.43 1.03 0.77 0.62 3.06 1.67 1.11 0.82 0.66
100 17/64. 6.571 6.396 6.198 5.970 5.744 6.663 6.468 6.249 6.026 5.802
2.20 1.43 1.03 0.77 0.62 3.07 1.67 1.11 0.82 0.66
100 25/64. 6.515 6.310 6.077 5.810 5.545 6.623 6.394 6.138 5.876 5.613
2.20 1.43 1.03 0.78 0.62 3.07 1.67 1.11 0.83 0.66
100 33/64. 6.459 6.224 5.957 5.651 5.347 6.582 6.320 6.026 5.726 5.425
2.20 1.44 1.03 0.78 0.63 3.07 1.67 1.11 0.83 0.66
100 41/64. 6.403 6.138 5.837 5.492 5.150 6.542 6.246 5.915 5.577 5.237
2.21 1.44 1.03 0.78 0.63 3.07 1.68 1.11 0.83 0.66
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- --------------- ---------------- -------------------
<S> <C> <C> <C> <C> <C>
3.97 1.88 1.20 0.88 0.69 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
12/01 06/98 02/97 06/96 02/96 Last Principal Payment
Date
99 17/64.. 6.983 7.065 7.152 7.241 7.329 Yield to Maturity (%)
3.26 1.67 1.10 0.82 0.65 Duration
99 25/64.. 6.945 6.990 7.039 7.087 7.137 Yield to Maturity (%)
3.26 1.67 1.10 0.82 0.65 Duration
99 33/64.. 6.907 6.915 6.925 6.935 6.944 Yield to Maturity (%)
3.26 1.67 1.10 0.82 0.65 Duration
99 41/64.. 6.868 6.841 6.812 6.782 6.753 Yield to Maturity (%)
3.26 1.68 1.10 0.82 0.65 Duration
99 49/64.. 6.830 6.767 6.699 6.630 6.562 Yield to Maturity (%)
3.27 1.68 1.10 0.82 0.65 Duration
99 57/64.. 6.792 6.692 6.586 6.479 6.371 Yield to Maturity (%)
3.27 1.68 1.11 0.82 0.65 Duration
100 1/64.. 6.754 6.618 6.474 6.327 6.181 Yield to Maturity (%)
3.27 1.68 1.11 0.82 0.65 Duration
100 9/64.. 6.716 6.544 6.361 6.177 5.991 Yield to Maturity (%)
3.27 1.68 1.11 0.82 0.66 Duration
100 17/64. 6.678 6.471 6.249 6.026 5.802 Yield to Maturity (%)
3.28 1.68 1.11 0.82 0.66 Duration
100 25/64. 6.640 6.397 6.138 5.876 5.613 Yield to Maturity (%)
3.28 1.68 1.11 0.83 0.66 Duration
100 33/64. 6.602 6.323 6.026 5.726 5.425 Yield to Maturity (%)
3.28 1.69 1.11 0.83 0.66 Duration
100 41/64. 6.565 6.250 5.915 5.577 5.237 Yield to Maturity (%)
3.28 1.69 1.11 0.83 0.66 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ -----------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ------------ ------------ --------- ------------ ----------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.66 1.86 1.20 0.88 0.69 3.66 1.86 1.20 0.88 0.69
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
02/01 05/98 02/97 06/96 02/96 02/01 05/98 02/97 06/96 02/96
99 17/64 6.989 7.066 7.152 7.241 7.329 6.989 7.066 7.152 7.241 7.329
3.05 1.66 1.10 0.82 0.65 3.05 1.66 1.10 0.82 0.65
99 25/64 6.948 6.991 7.039 7.087 7.137 6.948 6.991 7.039 7.087 7.137
3.05 1.66 1.10 0.82 0.65 3.05 1.66 1.10 0.82 0.65
99 33/64 6.907 6.916 6.925 6.935 6.944 6.907 6.916 6.925 6.935 6.944
3.05 1.66 1.10 0.82 0.65 3.05 1.66 1.10 0.82 0.65
99 41/64 6.866 6.841 6.812 6.782 6.753 6.866 6.841 6.812 6.782 6.753
3.06 1.66 1.10 0.82 0.65 3.06 1.66 1.10 0.82 0.65
99 49/64 6.826 6.766 6.699 6.630 6.562 6.826 6.766 6.699 6.630 6.562
3.06 1.67 1.10 0.82 0.65 3.06 1.67 1.10 0.82 0.65
99 57/64 6.785 6.691 6.586 6.479 6.371 6.785 6.691 6.586 6.479 6.371
3.06 1.67 1.11 0.82 0.65 3.06 1.67 1.11 0.82 0.65
100 1/64 6.744 6.616 6.474 6.327 6.181 6.744 6.616 6.474 6.327 6.181
3.06 1.67 1.11 0.82 0.65 3.06 1.67 1.11 0.82 0.65
100 9/64 6.704 6.542 6.361 6.177 5.991 6.704 6.542 6.361 6.177 5.991
3.06 1.67 1.11 0.82 0.66 3.06 1.67 1.11 0.82 0.66
100 17/64 6.663 6.468 6.249 6.026 5.802 6.663 6.468 6.249 6.026 5.802
3.07 1.67 1.11 0.82 0.66 3.07 1.67 1.11 0.82 0.66
100 25/64 6.623 6.394 6.138 5.876 5.613 6.623 6.394 6.138 5.876 5.613
3.07 1.67 1.11 0.83 0.66 3.07 1.67 1.11 0.83 0.66
100 33/64 6.582 6.320 6.026 5.726 5.425 6.582 6.320 6.026 5.726 5.425
3.07 1.67 1.11 0.83 0.66 3.07 1.67 1.11 0.83 0.66
100 41/64 6.542 6.246 5.915 5.577 5.237 6.542 6.246 5.915 5.577 5.237
3.07 1.68 1.11 0.83 0.66 3.07 1.68 1.11 0.83 0.66
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -----------------------
<S> <C> <C> <C> <C> <C>
3.66 1.86 1.20 0.88 0.69 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
02/01 05/98 02/97 06/96 02/96 Last Principal Payment
Date
99 17/64.. 6.989 7.066 7.152 7.241 7.329 Yield to Maturity (%)
3.05 1.66 1.10 0.82 0.65 Duration
99 25/64.. 6.948 6.991 7.039 7.087 7.137 Yield to Maturity (%)
3.05 1.66 1.10 0.82 0.65 Duration
99 33/64.. 6.907 6.916 6.925 6.935 6.944 Yield to Maturity (%)
3.05 1.66 1.10 0.82 0.65 Duration
99 41/64.. 6.866 6.841 6.812 6.782 6.753 Yield to Maturity (%)
3.06 1.66 1.10 0.82 0.65 Duration
99 49/64.. 6.826 6.766 6.699 6.630 6.562 Yield to Maturity (%)
3.06 1.67 1.10 0.82 0.65 Duration
99 57/64.. 6.785 6.691 6.586 6.479 6.371 Yield to Maturity (%)
3.06 1.67 1.11 0.82 0.65 Duration
100 1/64.. 6.744 6.616 6.474 6.327 6.181 Yield to Maturity (%)
3.06 1.67 1.11 0.82 0.65 Duration
100 9/64.. 6.704 6.542 6.361 6.177 5.991 Yield to Maturity (%)
3.06 1.67 1.11 0.82 0.66 Duration
100 17/64. 6.663 6.468 6.249 6.026 5.802 Yield to Maturity (%)
3.07 1.67 1.11 0.82 0.66 Duration
100 25/64. 6.623 6.394 6.138 5.876 5.613 Yield to Maturity (%)
3.07 1.67 1.11 0.83 0.66 Duration
100 33/64. 6.582 6.320 6.026 5.726 5.425 Yield to Maturity (%)
3.07 1.67 1.11 0.83 0.66 Duration
100 41/64. 6.542 6.246 5.915 5.577 5.237 Yield to Maturity (%)
3.07 1.68 1.11 0.83 0.66 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class A-2B Certificates at
Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ---------- ---------- ----------- ----------- --------- ---------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.43 3.64 2.80 2.18 1.78 6.89 4.74 3.20 2.37 1.86
10/98 09/97 12/96 05/96 01/96 02/01 05/98 02/97 06/96 02/96
08/99 11/98 03/98 05/97 12/96 03/02 05/00 09/98 09/97 01/97
98 22/32.. 7.791 7.833 7.903 7.989 8.076 7.724 7.779 7.865 7.958 8.056
3.64 3.07 2.43 1.93 1.60 5.19 3.84 2.74 2.09 1.67
98 26/32.. 7.757 7.792 7.851 7.924 7.998 7.700 7.746 7.819 7.898 7.981
3.64 3.07 2.43 1.93 1.60 5.19 3.85 2.74 2.09 1.67
98 30/32.. 7.722 7.751 7.799 7.859 7.919 7.676 7.714 7.773 7.838 7.906
3.64 3.07 2.43 1.93 1.61 5.19 3.85 2.74 2.09 1.67
99 2/32... 7.688 7.710 7.748 7.794 7.841 7.651 7.681 7.727 7.778 7.830
3.64 3.07 2.43 1.94 1.61 5.20 3.85 2.74 2.09 1.67
99 6/32... 7.653 7.669 7.696 7.730 7.763 7.627 7.649 7.682 7.718 7.755
3.64 3.07 2.44 1.94 1.61 5.20 3.85 2.74 2.09 1.67
99 10/32.. 7.619 7.629 7.645 7.665 7.685 7.603 7.616 7.636 7.658 7.681
3.64 3.07 2.44 1.94 1.61 5.20 3.85 2.74 2.09 1.67
99 14/32.. 7.585 7.588 7.593 7.600 7.607 7.579 7.584 7.590 7.598 7.606
3.65 3.07 2.44 1.94 1.61 5.20 3.85 2.74 2.09 1.67
99 18/32.. 7.550 7.547 7.542 7.536 7.530 7.555 7.551 7.545 7.538 7.531
3.65 3.08 2.44 1.94 1.61 5.20 3.85 2.74 2.09 1.67
99 22/32.. 7.516 7.507 7.491 7.472 7.452 7.531 7.519 7.500 7.479 7.457
3.65 3.08 2.44 1.94 1.61 5.21 3.85 2.75 2.09 1.67
99 26/32.. 7.482 7.466 7.440 7.407 7.375 7.507 7.486 7.454 7.419 7.382
3.65 3.08 2.44 1.94 1.61 5.21 3.86 2.75 2.09 1.68
99 30/32.. 7.448 7.426 7.389 7.343 7.298 7.483 7.454 7.409 7.360 7.308
3.65 3.08 2.44 1.94 1.61 5.21 3.86 2.75 2.09 1.68
100 2/32.. 7.414 7.385 7.338 7.279 7.220 7.460 7.422 7.364 7.300 7.234
3.65 3.08 2.44 1.94 1.61 5.21 3.86 2.75 2.09 1.68
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -----------------
<S> <C> <C> <C> <C> <C>
8.14 4.96 3.23 2.37 1.86 Weighted Average Life
(years)
12/01 06/98 02/97 06/96 02/96 First Principal Payment
Date
07/03 10/00 10/98 09/97 01/97 Last Principal Payment
Date
98 22/32.. 7.706 7.772 7.862 7.958 8.056 Yield to Maturity (%)
5.88 3.99 2.76 2.09 1.67 Duration
98 26/32.. 7.684 7.740 7.817 7.898 7.981 Yield to Maturity (%)
5.88 3.99 2.76 2.09 1.67 Duration
98 30/32.. 7.663 7.709 7.771 7.838 7.906 Yield to Maturity (%)
5.88 3.99 2.77 2.09 1.67 Duration
99 2/32... 7.642 7.677 7.726 7.778 7.830 Yield to Maturity (%)
5.89 3.99 2.77 2.09 1.67 Duration
99 6/32... 7.620 7.646 7.681 7.718 7.755 Yield to Maturity (%)
5.89 3.99 2.77 2.09 1.67 Duration
99 10/32.. 7.599 7.614 7.635 7.658 7.681 Yield to Maturity (%)
5.89 3.99 2.77 2.09 1.67 Duration
99 14/32.. 7.578 7.583 7.590 7.598 7.606 Yield to Maturity (%)
5.89 3.99 2.77 2.09 1.67 Duration
99 18/32.. 7.557 7.552 7.545 7.538 7.531 Yield to Maturity (%)
5.89 4.00 2.77 2.09 1.67 Duration
99 22/32.. 7.535 7.521 7.500 7.479 7.457 Yield to Maturity (%)
5.90 4.00 2.77 2.09 1.67 Duration
99 26/32.. 7.514 7.489 7.455 7.419 7.382 Yield to Maturity (%)
5.90 4.00 2.77 2.09 1.68 Duration
99 30/32.. 7.493 7.458 7.410 7.360 7.308 Yield to Maturity (%)
5.90 4.00 2.77 2.09 1.68 Duration
100 2/32.. 7.472 7.427 7.366 7.300 7.234 Yield to Maturity (%)
5.90 4.00 2.77 2.09 1.68 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ---------- ----------- ---------- ---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.89 4.74 3.20 2.37 1.86 6.89 4.74 3.20 2.37 1.86
02/01 05/98 02/97 06/96 02/96 02/01 05/98 02/97 06/96 02/96
03/02 05/00 09/98 09/97 01/97 03/02 05/00 09/98 09/97 01/97
98 22/32.. 7.724 7.779 7.865 7.958 8.056 7.724 7.779 7.865 7.958 8.056
5.19 3.84 2.74 2.09 1.67 5.19 3.84 2.74 2.09 1.67
98 26/32.. 7.700 7.746 7.819 7.898 7.981 7.700 7.746 7.819 7.898 7.981
5.19 3.85 2.74 2.09 1.67 5.19 3.85 2.74 2.09 1.67
98 30/32.. 7.676 7.714 7.773 7.838 7.906 7.676 7.714 7.773 7.838 7.906
5.19 3.85 2.74 2.09 1.67 5.19 3.85 2.74 2.09 1.67
99 2/32... 7.651 7.681 7.727 7.778 7.830 7.651 7.681 7.727 7.778 7.830
5.20 3.85 2.74 2.09 1.67 5.20 3.85 2.74 2.09 1.67
99 6/32... 7.627 7.649 7.682 7.718 7.755 7.627 7.649 7.682 7.718 7.755
5.20 3.85 2.74 2.09 1.67 5.20 3.85 2.74 2.09 1.67
99 10/32.. 7.603 7.616 7.636 7.658 7.681 7.603 7.616 7.636 7.658 7.681
5.20 3.85 2.74 2.09 1.67 5.20 3.85 2.74 2.09 1.67
99 14/32.. 7.579 7.584 7.590 7.598 7.606 7.579 7.584 7.590 7.598 7.606
5.20 3.85 2.74 2.09 1.67 5.20 3.85 2.74 2.09 1.67
99 18/32.. 7.555 7.551 7.545 7.538 7.531 7.555 7.551 7.545 7.538 7.531
5.20 3.85 2.74 2.09 1.67 5.20 3.85 2.74 2.09 1.67
99 22/32.. 7.531 7.519 7.500 7.479 7.457 7.531 7.519 7.500 7.479 7.457
5.21 3.85 2.75 2.09 1.67 5.21 3.85 2.75 2.09 1.67
99 26/32.. 7.507 7.486 7.454 7.419 7.382 7.507 7.486 7.454 7.419 7.382
5.21 3.86 2.75 2.09 1.68 5.21 3.86 2.75 2.09 1.68
99 30/32.. 7.483 7.454 7.409 7.360 7.308 7.483 7.454 7.409 7.360 7.308
5.21 3.86 2.75 2.09 1.68 5.21 3.86 2.75 2.09 1.68
100 2/32.. 7.460 7.422 7.364 7.300 7.234 7.460 7.422 7.364 7.300 7.234
5.21 3.86 2.75 2.09 1.68 5.21 3.86 2.75 2.09 1.68
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
6.89 4.74 3.20 2.37 1.86 Weighted Average Life
(years)
02/01 05/98 02/97 06/96 02/96 First Principal Payment
Date
03/02 05/00 09/98 09/97 01/97 Last Principal Payment
Date
98 22/32.. 7.724 7.779 7.865 7.958 8.056 Yield to Maturity (%)
5.19 3.84 2.74 2.09 1.67 Duration
98 26/32.. 7.700 7.746 7.819 7.898 7.981 Yield to Maturity (%)
5.19 3.85 2.74 2.09 1.67 Duration
98 30/32.. 7.676 7.714 7.773 7.838 7.906 Yield to Maturity (%)
5.19 3.85 2.74 2.09 1.67 Duration
99 2/32... 7.651 7.681 7.727 7.778 7.830 Yield to Maturity (%)
5.20 3.85 2.74 2.09 1.67 Duration
99 6/32... 7.627 7.649 7.682 7.718 7.755 Yield to Maturity (%)
5.20 3.85 2.74 2.09 1.67 Duration
99 10/32.. 7.603 7.616 7.636 7.658 7.681 Yield to Maturity (%)
5.20 3.85 2.74 2.09 1.67 Duration
99 14/32.. 7.579 7.584 7.590 7.598 7.606 Yield to Maturity (%)
5.20 3.85 2.74 2.09 1.67 Duration
99 18/32.. 7.555 7.551 7.545 7.538 7.531 Yield to Maturity (%)
5.20 3.85 2.74 2.09 1.67 Duration
99 22/32.. 7.531 7.519 7.500 7.479 7.457 Yield to Maturity (%)
5.21 3.85 2.75 2.09 1.67 Duration
99 26/32.. 7.507 7.486 7.454 7.419 7.382 Yield to Maturity (%)
5.21 3.86 2.75 2.09 1.68 Duration
99 30/32.. 7.483 7.454 7.409 7.360 7.308 Yield to Maturity (%)
5.21 3.86 2.75 2.09 1.68 Duration
100 2/32.. 7.460 7.422 7.364 7.300 7.234 Yield to Maturity (%)
5.21 3.86 2.75 2.09 1.68 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class A-2C Certificates
at Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ----------- ----------- --------- ---------- ---------- -------- ---------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.89 6.28 5.36 4.81 4.36 9.82 8.25 7.22 6.29 5.41
08/99 11/98 03/98 05/97 12/96 03/02 05/00 09/98 09/97 01/97
11/08 08/06 02/03 02/01 11/00 09/09 08/06 11/03 05/03 01/03
93 6/32... 8.753 8.947 9.118 9.262 9.413 8.559 8.677 8.797 8.944 9.127
5.42 4.67 4.16 3.81 3.50 6.49 5.81 5.24 4.68 4.13
93 18/32.. 8.679 8.862 9.023 9.157 9.298 8.498 8.608 8.721 8.859 9.031
5.43 4.68 4.17 3.81 3.50 6.50 5.82 5.25 4.69 4.13
93 30/32.. 8.606 8.777 8.927 9.053 9.185 8.437 8.540 8.645 8.774 8.935
5.44 4.68 4.17 3.82 3.50 6.51 5.83 5.26 4.69 4.14
94 10/32.. 8.533 8.692 8.832 8.949 9.072 8.376 8.472 8.570 8.690 8.839
5.45 4.69 4.18 3.82 3.51 6.52 5.83 5.26 4.70 4.15
94 22/32.. 8.461 8.608 8.738 8.846 8.960 8.315 8.405 8.495 8.606 8.744
5.46 4.70 4.18 3.83 3.51 6.53 5.84 5.27 4.71 4.15
95 2/32... 8.389 8.525 8.644 8.744 8.848 8.255 8.337 8.421 8.523 8.650
5.47 4.70 4.19 3.83 3.52 6.54 5.85 5.28 4.71 4.16
95 14/32.. 8.318 8.441 8.551 8.641 8.737 8.195 8.271 8.347 8.440 8.555
5.47 4.71 4.19 3.84 3.52 6.55 5.85 5.28 4.72 4.16
95 26/32.. 8.246 8.359 8.458 8.540 8.626 8.136 8.204 8.273 8.357 8.462
5.48 4.71 4.19 3.84 3.53 6.56 5.86 5.29 4.72 4.17
96 6/32... 8.176 8.276 8.365 8.439 8.516 8.077 8.138 8.200 8.275 8.369
5.49 4.72 4.20 3.84 3.53 6.56 5.87 5.30 4.73 4.17
96 18/32.. 8.105 8.195 8.273 8.338 8.407 8.018 8.072 8.127 8.193 8.276
5.50 4.73 4.20 3.85 3.53 6.57 5.87 5.30 4.74 4.18
96 30/32.. 8.035 8.113 8.181 8.238 8.298 7.959 8.006 8.054 8.112 8.184
5.51 4.73 4.21 3.85 3.54 6.58 5.88 5.31 4.74 4.19
97 10/32.. 7.966 8.032 8.090 8.139 8.189 7.901 7.941 7.982 8.031 8.092
5.52 4.74 4.21 3.86 3.54 6.59 5.89 5.31 4.75 4.19
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
11.07 9.57 8.19 6.86 5.70 Weighted Average Life
(years)
07/03 10/00 10/98 09/97 01/97 First Principal Payment
Date
03/09 08/06 05/05 01/05 11/03 Last Principal Payment
Date
93 6/32... 8.475 8.568 8.694 8.864 9.071 Yield to Maturity (%)
7.09 6.44 5.71 4.96 4.28 Duration
93 18/32.. 8.419 8.506 8.625 8.784 8.978 Yield to Maturity (%)
7.10 6.45 5.72 4.97 4.29 Duration
93 30/32.. 8.363 8.444 8.555 8.704 8.885 Yield to Maturity (%)
7.11 6.46 5.73 4.98 4.29 Duration
94 10/32.. 8.308 8.383 8.486 8.625 8.793 Yield to Maturity (%)
7.12 6.46 5.74 4.98 4.30 Duration
94 22/32.. 8.252 8.322 8.417 8.545 8.701 Yield to Maturity (%)
7.13 6.47 5.75 4.99 4.31 Duration
95 2/32... 8.197 8.262 8.349 8.467 8.610 Yield to Maturity (%)
7.14 6.48 5.75 5.00 4.31 Duration
95 14/32.. 8.142 8.201 8.281 8.389 8.519 Yield to Maturity (%)
7.15 6.49 5.76 5.01 4.32 Duration
95 26/32.. 8.088 8.141 8.214 8.311 8.429 Yield to Maturity (%)
7.16 6.50 5.77 5.01 4.33 Duration
96 6/32... 8.034 8.081 8.146 8.233 8.339 Yield to Maturity (%)
7.17 6.51 5.78 5.02 4.33 Duration
96 18/32.. 7.980 8.022 8.079 8.156 8.250 Yield to Maturity (%)
7.18 6.52 5.79 5.03 4.34 Duration
96 30/32.. 7.926 7.963 8.013 8.080 8.161 Yield to Maturity (%)
7.19 6.52 5.79 5.04 4.34 Duration
97 10/32.. 7.873 7.904 7.947 8.004 8.073 Yield to Maturity (%)
7.20 6.53 5.80 5.04 4.35 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ---------- ---------- ---------- ---------- ---------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
9.55 8.25 7.22 6.29 5.41 9.92 8.25 7.22 6.29 5.41
03/02 05/00 09/98 09/97 01/97 03/02 05/00 09/98 09/97 01/97
01/08 08/06 11/03 05/03 01/03 03/11 08/06 11/03 05/03 01/03
93 6/32... 8.573 8.677 8.797 8.944 9.127 8.555 8.677 8.797 8.944 9.127
6.41 5.81 5.24 4.68 4.13 6.52 5.81 5.24 4.68 4.13
93 18/32.. 8.511 8.608 8.721 8.859 9.031 8.493 8.608 8.721 8.859 9.031
6.41 5.82 5.25 4.69 4.13 6.53 5.82 5.25 4.69 4.13
93 30/32.. 8.449 8.540 8.645 8.774 8.935 8.433 8.540 8.645 8.774 8.935
6.42 5.83 5.26 4.69 4.14 6.54 5.83 5.26 4.69 4.14
94 10/32.. 8.387 8.472 8.570 8.690 8.839 8.372 8.472 8.570 8.690 8.839
6.43 5.83 5.26 4.70 4.15 6.55 5.83 5.26 4.70 4.15
94 22/32.. 8.326 8.405 8.495 8.606 8.744 8.312 8.405 8.495 8.606 8.744
6.44 5.84 5.27 4.71 4.15 6.56 5.84 5.27 4.71 4.15
95 2/32... 8.265 8.337 8.421 8.523 8.650 8.252 8.337 8.421 8.523 8.650
6.45 5.85 5.28 4.71 4.16 6.57 5.85 5.28 4.71 4.16
95 14/32.. 8.204 8.271 8.347 8.440 8.555 8.192 8.271 8.347 8.440 8.555
6.46 5.85 5.28 4.72 4.16 6.58 5.85 5.28 4.72 4.16
95 26/32.. 8.144 8.204 8.273 8.357 8.462 8.133 8.204 8.273 8.357 8.462
6.47 5.86 5.29 4.72 4.17 6.59 5.86 5.29 4.72 4.17
96 6/32... 8.084 8.138 8.200 8.275 8.369 8.074 8.138 8.200 8.275 8.369
6.48 5.87 5.30 4.73 4.17 6.59 5.87 5.30 4.73 4.17
96 18/32.. 8.024 8.072 8.127 8.193 8.276 8.016 8.072 8.127 8.193 8.276
6.48 5.87 5.30 4.74 4.18 6.60 5.87 5.30 4.74 4.18
96 30/32.. 7.965 8.006 8.054 8.112 8.184 7.957 8.006 8.054 8.112 8.184
6.49 5.88 5.31 4.74 4.19 6.61 5.88 5.31 4.74 4.19
97 10/32.. 7.906 7.941 7.982 8.031 8.092 7.899 7.941 7.982 8.031 8.092
6.50 5.89 5.31 4.75 4.19 6.62 5.89 5.31 4.75 4.19
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
9.92 8.25 7.22 6.29 5.41 Weighted Average Life
(years)
03/02 05/00 09/98 09/97 01/97 First Principal Payment
Date
03/11 08/06 11/03 05/03 01/03 Last Principal Payment
Date
93 6/32... 8.555 8.677 8.797 8.944 9.127 Yield to Maturity (%)
6.52 5.81 5.24 4.68 4.13 Duration
93 18/32.. 8.493 8.608 8.721 8.859 9.031 Yield to Maturity (%)
6.53 5.82 5.25 4.69 4.13 Duration
93 30/32.. 8.433 8.540 8.645 8.774 8.935 Yield to Maturity (%)
6.54 5.83 5.26 4.69 4.14 Duration
94 10/32.. 8.372 8.472 8.570 8.690 8.839 Yield to Maturity (%)
6.55 5.83 5.26 4.70 4.15 Duration
94 22/32.. 8.312 8.405 8.495 8.606 8.744 Yield to Maturity (%)
6.56 5.84 5.27 4.71 4.15 Duration
95 2/32... 8.252 8.337 8.421 8.523 8.650 Yield to Maturity (%)
6.57 5.85 5.28 4.71 4.16 Duration
95 14/32.. 8.192 8.271 8.347 8.440 8.555 Yield to Maturity (%)
6.58 5.85 5.28 4.72 4.16 Duration
95 26/32.. 8.133 8.204 8.273 8.357 8.462 Yield to Maturity (%)
6.59 5.86 5.29 4.72 4.17 Duration
96 6/32... 8.074 8.138 8.200 8.275 8.369 Yield to Maturity (%)
6.59 5.87 5.30 4.73 4.17 Duration
96 18/32.. 8.016 8.072 8.127 8.193 8.276 Yield to Maturity (%)
6.60 5.87 5.30 4.74 4.18 Duration
96 30/32.. 7.957 8.006 8.054 8.112 8.184 Yield to Maturity (%)
6.61 5.88 5.31 4.74 4.19 Duration
97 10/32.. 7.899 7.941 7.982 8.031 8.092 Yield to Maturity (%)
6.62 5.89 5.31 4.75 4.19 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date and Discount Margin of Class A-3 Certificates
at Various Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ --------- ---------- --------- --------- --------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.20 3.84 3.49 3.15 2.83 6.34 5.58 4.88 4.28 3.76
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
07/00 07/00 06/00 05/00 01/00 06/03 06/03 11/02 04/02 07/01
99 22/32.. 63.5 64.2 65.1 66.1 67.2 61.0 61.7 62.5 63.4 64.4
99 24/32.. 61.8 62.4 63.1 63.9 64.8 59.8 60.4 61.0 61.7 62.6
99 26/32.. 60.1 60.5 61.1 61.6 62.3 58.6 59.0 59.5 60.1 60.7
99 28/32.. 58.4 58.7 59.0 59.4 59.9 57.4 57.7 58.0 58.4 58.8
99 30/32.. 56.7 56.8 57.0 57.2 57.4 56.2 56.3 56.5 56.7 56.9
100....... 55.0 55.0 55.0 55.0 55.0 55.0 55.0 55.0 55.0 55.0
100 2/32.. 53.3 53.2 53.0 52.8 52.6 53.8 53.7 53.5 53.3 53.1
100 4/32.. 51.6 51.3 51.0 50.6 50.1 52.6 52.3 52.0 51.6 51.2
100 6/32.. 49.9 49.5 49.0 48.4 47.7 51.4 51.0 50.5 50.0 49.3
100 8/32.. 48.2 47.6 46.9 46.2 45.3 50.2 49.7 49.0 48.3 47.5
100 10/32. 46.5 45.8 44.9 43.9 42.8 49.0 48.3 47.5 46.6 45.6
100 12/32. 44.8 44.0 42.9 41.7 40.4 47.8 47.0 46.0 44.9 43.7
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
7.59 6.54 5.59 4.78 4.10 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/05 02/05 04/04 04/03 06/02 Last Principal Payment
Date
99 22/32.. 60.2 60.9 61.7 62.7 63.8 Discount Margin (bps)
99 24/32.. 59.2 59.7 60.4 61.2 62.0 Discount Margin (bps)
99 26/32.. 58.1 58.5 59.0 59.6 60.3 Discount Margin (bps)
99 28/32.. 57.1 57.4 57.7 58.1 58.5 Discount Margin (bps)
99 30/32.. 56.0 56.2 56.3 56.5 56.8 Discount Margin (bps)
100....... 55.0 55.0 55.0 55.0 55.0 Discount Margin (bps)
100 2/32.. 54.0 53.8 53.7 53.5 53.2 Discount Margin (bps)
100 4/32.. 52.9 52.6 52.3 51.9 51.5 Discount Margin (bps)
100 6/32.. 51.9 51.5 51.0 50.4 49.7 Discount Margin (bps)
100 8/32.. 50.9 50.3 49.6 48.9 48.0 Discount Margin (bps)
100 10/32. 49.8 49.1 48.3 47.3 46.2 Discount Margin (bps)
100 12/32. 48.8 48.0 47.0 45.8 44.5 Discount Margin (bps)
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ --------- ---------- --------- ----------- ---------- --------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.34 5.58 4.88 4.28 3.76 6.34 5.58 4.88 4.28 3.76
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
06/03 06/03 11/02 04/02 07/01 06/03 06/03 11/02 04/02 07/01
99 22/32.. 62.1 63.0 64.0 65.1 66.4 59.8 60.3 60.9 61.6 62.4
99 24/32.. 61.0 61.7 62.5 63.5 64.5 58.5 58.9 59.4 59.9 60.5
99 26/32.. 59.8 60.4 61.1 61.8 62.7 57.3 57.5 57.9 58.2 58.6
99 28/32.. 58.6 59.1 59.6 60.2 60.8 56.0 56.2 56.3 56.5 56.6
99 30/32.. 57.5 57.8 58.1 58.5 59.0 54.8 54.8 54.8 54.7 54.7
100....... 56.3 56.5 56.7 56.9 57.1 53.6 53.4 53.2 53.0 52.8
100 2/32.. 55.2 55.2 55.2 55.2 55.3 52.3 52.0 51.7 51.3 50.9
100 4/32.. 54.0 53.9 53.8 53.6 53.4 51.1 50.7 50.1 49.6 48.9
100 6/32.. 52.9 52.6 52.3 52.0 51.6 49.9 49.3 48.6 47.9 47.0
100 8/32.. 51.7 51.3 50.8 50.3 49.7 48.6 47.9 47.1 46.1 45.1
100 10/32. 50.6 50.0 49.4 48.7 47.9 47.4 46.5 45.5 44.4 43.2
100 12/32. 49.4 48.7 47.9 47.1 46.1 46.2 45.2 44.0 42.7 41.2
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
6.34 5.58 4.88 4.28 3.76 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/03 06/03 11/02 04/02 07/01 Last Principal Payment
Date
99 22/32.. 58.4 58.8 59.3 59.8 60.3 Discount Margin (bps)
99 24/32 . 57.2 57.4 57.7 58.0 58.4 Discount Margin (bps)
99 26/32.. 55.9 56.0 56.1 56.2 56.4 Discount Margin (bps)
99 28/32.. 54.6 54.6 54.5 54.5 54.4 Discount Margin (bps)
99 30/32.. 53.3 53.2 52.9 52.7 52.4 Discount Margin (bps)
100....... 52.1 51.7 51.4 50.9 50.5 Discount Margin (bps)
100 2/32.. 50.8 50.3 49.8 49.2 48.5 Discount Margin (bps)
100 4/32.. 49.5 48.9 48.2 47.4 46.5 Discount Margin (bps)
100 6/32.. 48.3 47.5 46.6 45.7 44.6 Discount Margin (bps)
100 8/32.. 47.0 46.1 45.0 43.9 42.6 Discount Margin (bps)
100 10/32. 45.7 44.7 43.5 42.1 40.7 Discount Margin (bps)
100 12/32. 44.4 43.3 41.9 40.4 38.7 Discount Margin (bps)
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class A-4 Certificates
at Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ --------- ---------- --------- --------- ---------- ---------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.15 0.89 0.76 0.65 0.58 3.03 2.26 1.68 1.26 1.01
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
04/97 08/96 05/96 01/96 11/95 05/99 04/98 01/98 04/97 10/96
99 10/32.. 7.556 7.607 7.649 7.695 7.735 7.439 7.464 7.497 7.538 7.581
1.04 0.83 0.71 0.61 0.54 2.59 1.98 1.49 1.15 0.93
99 14/32.. 7.436 7.456 7.472 7.490 7.505 7.391 7.400 7.413 7.429 7.446
1.04 0.83 0.71 0.61 0.55 2.59 1.98 1.50 1.15 0.93
99 18/32.. 7.316 7.305 7.295 7.285 7.276 7.343 7.337 7.330 7.320 7.311
1.05 0.83 0.71 0.61 0.55 2.59 1.98 1.50 1.15 0.93
99 22/32.. 7.197 7.154 7.119 7.081 7.048 7.295 7.274 7.246 7.212 7.176
1.05 0.83 0.71 0.61 0.55 2.59 1.98 1.50 1.15 0.93
99 26/32.. 7.078 7.004 6.944 6.878 6.820 7.247 7.211 7.163 7.103 7.042
1.05 0.83 0.71 0.61 0.55 2.60 1.98 1.50 1.15 0.93
99 30/32.. 6.960 6.854 6.769 6.675 6.593 7.199 7.148 7.080 6.995 6.908
1.05 0.83 0.71 0.61 0.55 2.60 1.98 1.50 1.15 0.93
100 2/32.. 6.841 6.705 6.594 6.472 6.366 7.151 7.086 6.998 6.887 6.775
1.05 0.83 0.71 0.61 0.55 2.60 1.98 1.50 1.15 0.93
100 6/32.. 6.723 6.556 6.420 6.270 6.140 7.103 7.023 6.915 6.780 6.642
1.05 0.83 0.71 0.62 0.55 2.60 1.99 1.50 1.15 0.93
100 10/32. 6.605 6.407 6.246 6.069 5.915 7.055 6.961 6.833 6.672 6.509
1.05 0.83 0.71 0.62 0.55 2.60 1.99 1.51 1.15 0.93
100 14/32. 6.488 6.259 6.072 5.868 5.690 7.008 6.899 6.750 6.565 6.376
1.05 0.84 0.71 0.62 0.55 2.60 1.99 1.51 1.16 0.93
100 18/32. 6.371 6.111 5.899 5.667 5.466 6.960 6.836 6.668 6.458 6.244
1.06 0.84 0.72 0.62 0.55 2.60 1.99 1.51 1.16 0.94
100 22/32. 6.254 5.963 5.727 5.467 5.242 6.913 6.774 6.587 6.351 6.112
1.06 0.84 0.72 0.62 0.55 2.60 1.99 1.51 1.16 0.94
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
3.89 2.47 1.68 1.26 1.01 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
04/00 09/99 02/98 04/97 10/96 Last Principal Payment
Date
99 10/32.. 7.424 7.456 7.497 7.538 7.581 Yield to Maturity (%)
3.19 2.13 1.50 1.15 0.93 Duration
99 14/32.. 7.385 7.397 7.413 7.429 7.446 Yield to Maturity (%)
3.19 2.13 1.50 1.15 0.93 Duration
99 18/32.. 7.346 7.339 7.330 7.320 7.311 Yield to Maturity (%)
3.19 2.13 1.50 1.15 0.93 Duration
99 22/32.. 7.307 7.280 7.246 7.212 7.176 Yield to Maturity (%)
3.19 2.13 1.50 1.15 0.93 Duration
99 26/32.. 7.268 7.222 7.163 7.103 7.042 Yield to Maturity (%)
3.19 2.14 1.50 1.15 0.93 Duration
99 30/32.. 7.229 7.164 7.081 6.995 6.908 Yield to Maturity (%)
3.20 2.14 1.50 1.15 0.93 Duration
100 2/32.. 7.190 7.106 6.998 6.887 6.775 Yield to Maturity (%)
3.20 2.14 1.50 1.15 0.93 Duration
100 6/32.. 7.151 7.048 6.915 6.780 6.642 Yield to Maturity (%)
3.20 2.14 1.50 1.15 0.93 Duration
100 10/32. 7.112 6.990 6.833 6.672 6.509 Yield to Maturity (%)
3.20 2.14 1.51 1.15 0.93 Duration
100 14/32. 7.074 6.932 6.751 6.565 6.376 Yield to Maturity (%)
3.20 2.14 1.51 1.16 0.93 Duration
100 18/32. 7.035 6.874 6.669 6.458 6.244 Yield to Maturity (%)
3.20 2.15 1.51 1.16 0.94 Duration
100 22/32. 6.997 6.817 6.587 6.351 6.112 Yield to Maturity (%)
3.21 2.15 1.51 1.16 0.94 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ---------- ---------- --------- ---------- ----------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.03 2.26 1.68 1.26 1.01 3.03 2.26 1.68 1.26 1.01
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
05/99 04/98 01/98 04/97 10/96 05/99 04/98 01/98 04/97 10/96
99 10/32.. 7.439 7.464 7.497 7.538 7.581 7.439 7.464 7.497 7.538 7.581
2.59 1.98 1.49 1.15 0.93 2.59 1.98 1.49 1.15 0.93
99 14/32.. 7.391 7.400 7.413 7.429 7.446 7.391 7.400 7.413 7.429 7.446
2.59 1.98 1.50 1.15 0.93 2.59 1.98 1.50 1.15 0.93
99 18/32.. 7.343 7.337 7.330 7.320 7.311 7.343 7.337 7.330 7.320 7.311
2.59 1.98 1.50 1.15 0.93 2.59 1.98 1.50 1.15 0.93
99 22/32.. 7.295 7.274 7.246 7.212 7.176 7.295 7.274 7.246 7.212 7.176
2.59 1.98 1.50 1.15 0.93 2.59 1.98 1.50 1.15 0.93
99 26/32.. 7.247 7.211 7.163 7.103 7.042 7.247 7.211 7.163 7.103 7.042
2.60 1.98 1.50 1.15 0.93 2.60 1.98 1.50 1.15 0.93
99 30/32.. 7.199 7.148 7.080 6.995 6.908 7.199 7.148 7.080 6.995 6.908
2.60 1.98 1.50 1.15 0.93 2.60 1.98 1.50 1.15 0.93
100 2/32.. 7.151 7.086 6.998 6.887 6.775 7.151 7.086 6.998 6.887 6.775
2.60 1.98 1.50 1.15 0.93 2.60 1.98 1.50 1.15 0.93
100 6/32.. 7.103 7.023 6.915 6.780 6.642 7.103 7.023 6.915 6.780 6.642
2.60 1.99 1.50 1.15 0.93 2.60 1.99 1.50 1.15 0.93
100 10/32. 7.055 6.961 6.833 6.672 6.509 7.055 6.961 6.833 6.672 6.509
2.60 1.99 1.51 1.15 0.93 2.60 1.99 1.51 1.15 0.93
100 14/32. 7.008 6.899 6.750 6.565 6.376 7.008 6.899 6.750 6.565 6.376
2.60 1.99 1.51 1.16 0.93 2.60 1.99 1.51 1.16 0.93
100 18/32. 6.960 6.836 6.668 6.458 6.244 6.960 6.836 6.668 6.458 6.244
2.60 1.99 1.51 1.16 0.94 2.60 1.99 1.51 1.16 0.94
100 22/32. 6.913 6.774 6.587 6.351 6.112 6.913 6.774 6.587 6.351 6.112
2.60 1.99 1.51 1.16 0.94 2.60 1.99 1.51 1.16 0.94
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
3.03 2.26 1.68 1.26 1.01 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
05/99 04/98 01/98 04/97 10/96 Last Principal Payment
Date
99 10/32.. 7.439 7.464 7.497 7.538 7.581 Yield to Maturity (%)
2.59 1.98 1.49 1.15 0.93 Duration
99 14/32.. 7.391 7.400 7.413 7.429 7.446 Yield to Maturity (%)
2.59 1.98 1.50 1.15 0.93 Duration
99 18/32.. 7.343 7.337 7.330 7.320 7.311 Yield to Maturity (%)
2.59 1.98 1.50 1.15 0.93 Duration
99 22/32.. 7.295 7.274 7.246 7.212 7.176 Yield to Maturity (%)
2.59 1.98 1.50 1.15 0.93 Duration
99 26/32.. 7.247 7.211 7.163 7.103 7.042 Yield to Maturity (%)
2.60 1.98 1.50 1.15 0.93 Duration
99 30/32.. 7.199 7.148 7.080 6.995 6.908 Yield to Maturity (%)
2.60 1.98 1.50 1.15 0.93 Duration
100 2/32.. 7.151 7.086 6.998 6.887 6.775 Yield to Maturity (%)
2.60 1.98 1.50 1.15 0.93 Duration
100 6/32.. 7.103 7.023 6.915 6.780 6.642 Yield to Maturity (%)
2.60 1.99 1.50 1.15 0.93 Duration
100 10/32. 7.055 6.961 6.833 6.672 6.509 Yield to Maturity (%)
2.60 1.99 1.51 1.15 0.93 Duration (years)
100 14/32. 7.008 6.899 6.750 6.565 6.376 Yield to Maturity (%)
2.60 1.99 1.51 1.16 0.93 Duration
100 18/32. 6.960 6.836 6.668 6.458 6.244 Yield to Maturity (%)
2.60 1.99 1.51 1.16 0.94 Duration
100 22/32. 6.913 6.774 6.587 6.351 6.112 Yield to Maturity (%)
2.60 1.99 1.51 1.16 0.94 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class B Certificates
at Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ --------- ---------- ----------- --------- ---------- ---------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.04 5.85 5.79 5.76 5.63 8.82 8.76 8.60 8.04 7.43
07/00 07/00 06/00 05/00 01/00 06/03 06/03 11/02 04/02 07/01
07/01 09/00 07/00 07/00 06/00 08/03 07/03 06/03 05/03 08/02
93 18/32.. 9.462 9.496 9.507 9.513 9.537 9.140 9.145 9.158 9.208 9.270
4.54 4.43 4.40 4.38 4.30 5.99 5.96 5.88 5.61 5.31
94 2/32... 9.346 9.376 9.386 9.392 9.414 9.052 9.056 9.069 9.113 9.171
4.55 4.44 4.40 4.38 4.31 6.00 5.97 5.89 5.62 5.31
94 18/32.. 9.230 9.258 9.267 9.272 9.292 8.964 8.968 8.979 9.020 9.071
4.55 4.44 4.41 4.39 4.31 6.01 5.98 5.90 5.63 5.32
95 2/32... 9.115 9.140 9.148 9.153 9.171 8.877 8.880 8.890 8.927 8.973
4.56 4.45 4.41 4.39 4.32 6.02 5.99 5.91 5.64 5.33
95 18/32.. 9.001 9.023 9.030 9.034 9.050 8.790 8.794 8.802 8.835 8.875
4.57 4.46 4.42 4.40 4.32 6.03 6.00 5.92 5.65 5.34
96 2/32... 8.888 8.906 8.913 8.916 8.930 8.705 8.707 8.715 8.743 8.778
4.57 4.46 4.43 4.41 4.33 6.04 6.01 5.93 5.66 5.35
96 18/32.. 8.775 8.791 8.796 8.799 8.811 8.619 8.621 8.628 8.652 8.682
4.58 4.47 4.43 4.41 4.34 6.05 6.02 5.94 5.67 5.36
97 2/32... 8.663 8.676 8.681 8.683 8.693 8.534 8.536 8.542 8.561 8.586
4.59 4.47 4.44 4.42 4.34 6.06 6.03 5.95 5.68 5.36
97 18/32.. 8.552 8.562 8.566 8.568 8.575 8.450 8.452 8.456 8.471 8.491
4.59 4.48 4.44 4.42 4.35 6.07 6.04 5.96 5.68 5.37
98 2/32... 8.441 8.449 8.451 8.453 8.458 8.366 8.368 8.371 8.382 8.397
4.60 4.49 4.45 4.43 4.35 6.08 6.05 5.97 5.69 5.38
98 18/32.. 8.331 8.336 8.338 8.339 8.342 8.283 8.284 8.286 8.293 8.303
4.60 4.49 4.46 4.44 4.36 6.09 6.06 5.98 5.70 5.39
99 2/32... 8.222 8.224 8.225 8.226 8.227 8.201 8.201 8.202 8.205 8.209
4.61 4.50 4.46 4.44 4.36 6.10 6.07 5.99 5.71 5.39
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
10.78 10.67 10.05 9.24 8.39 Weighted Average Life
(years)
06/05 02/05 04/04 04/03 06/02 First Principal Payment
Date
07/05 06/05 05/05 06/04 10/03 Last Principal Payment
Date
93 18/32.. 9.016 9.022 9.057 9.110 9.176 Yield to Maturity (%)
6.82 6.78 6.52 6.17 5.78 Duration
94 2/32... 8.939 8.944 8.976 9.024 9.085 Yield to Maturity (%)
6.83 6.79 6.54 6.19 5.79 Duration
94 18/32.. 8.862 8.867 8.895 8.939 8.994 Yield to Maturity (%)
6.85 6.80 6.55 6.20 5.80 Duration
95 2/32... 8.785 8.790 8.815 8.854 8.904 Yield to Maturity (%)
6.86 6.81 6.56 6.21 5.81 Duration
95 18/32.. 8.710 8.713 8.736 8.770 8.814 Yield to Maturity (%)
6.87 6.83 6.57 6.22 5.82 Duration
96 2/32... 8.634 8.637 8.657 8.687 8.725 Yield to Maturity (%)
6.88 6.84 6.58 6.23 5.83 Duration
96 18/32.. 8.559 8.562 8.579 8.604 8.637 Yield to Maturity (%)
6.90 6.85 6.59 6.24 5.84 Duration
97 2/32... 8.485 8.487 8.501 8.522 8.549 Yield to Maturity (%)
6.91 6.86 6.60 6.25 5.85 Duration
97 18/32.. 8.411 8.413 8.424 8.440 8.462 Yield to Maturity (%)
6.92 6.88 6.62 6.26 5.86 Duration
98 2/32... 8.338 8.339 8.347 8.359 8.375 Yield to Maturity (%)
6.93 6.89 6.63 6.27 5.87 Duration
98 18/32.. 8.265 8.266 8.271 8.279 8.289 Yield to Maturity (%)
6.95 6.90 6.64 6.28 5.87 Duration
99 2/32... 8.193 8.193 8.195 8.199 8.203 Yield to Maturity (%)
6.96 6.91 6.65 6.29 5.88 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
---------------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ---------- ------------ ---------- ----------- ----------- ----------- ---------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.82 8.76 8.60 8.04 7.43 8.82 8.76 8.60 8.04 7.43
06/03 06/03 11/02 04/02 07/01 06/03 06/03 11/02 04/02 07/01
08/03 07/03 06/03 05/03 08/02 08/03 07/03 06/03 05/03 08/02
93 18/32.. 9.140 9.145 9.158 9.208 9.270 9.140 9.145 9.158 9.208 9.270
5.99 5.96 5.88 5.61 5.31 5.99 5.96 5.88 5.61 5.31
94 2/32... 9.052 9.056 9.069 9.113 9.171 9.052 9.056 9.069 9.113 9.171
6.00 5.97 5.89 5.62 5.31 6.00 5.97 5.89 5.62 5.31
94 18/32.. 8.964 8.968 8.979 9.020 9.071 8.964 8.968 8.979 9.020 9.071
6.01 5.98 5.90 5.63 5.32 6.01 5.98 5.90 5.63 5.32
95 2/32... 8.877 8.880 8.890 8.927 8.973 8.877 8.880 8.890 8.927 8.973
6.02 5.99 5.91 5.64 5.33 6.02 5.99 5.91 5.64 5.33
95 18/32.. 8.790 8.794 8.802 8.835 8.875 8.790 8.794 8.802 8.835 8.875
6.03 6.00 5.92 5.65 5.34 6.03 6.00 5.92 5.65 5.34
96 2/32... 8.705 8.707 8.715 8.743 8.778 8.705 8.707 8.715 8.743 8.778
6.04 6.01 5.93 5.66 5.35 6.04 6.01 5.93 5.66 5.35
96 18/32.. 8.619 8.621 8.628 8.652 8.682 8.619 8.621 8.628 8.652 8.682
6.05 6.02 5.94 5.67 5.36 6.05 6.02 5.94 5.67 5.36
97 2/32... 8.534 8.536 8.542 8.561 8.586 8.534 8.536 8.542 8.561 8.586
6.06 6.03 5.95 5.68 5.36 6.06 6.03 5.95 5.68 5.36
97 18/32.. 8.450 8.452 8.456 8.471 8.491 8.450 8.452 8.456 8.471 8.491
6.07 6.04 5.96 5.68 5.37 6.07 6.04 5.96 5.68 5.37
98 2/32... 8.366 8.368 8.371 8.382 8.397 8.366 8.368 8.371 8.382 8.397
6.08 6.05 5.97 5.69 5.38 6.08 6.05 5.97 5.69 5.38
98 18/32.. 8.283 8.284 8.286 8.293 8.303 8.283 8.284 8.286 8.293 8.303
6.09 6.06 5.98 5.70 5.39 6.09 6.06 5.98 5.70 5.39
99 2/32... 8.201 8.201 8.202 8.205 8.209 8.201 8.201 8.202 8.205 8.209
6.10 6.07 5.99 5.71 5.39 6.10 6.07 5.99 5.71 5.39
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
8.82 8.76 8.60 8.04 7.43 Weighted Average Life
(years)
06/03 06/03 11/02 04/02 07/01 First Principal Payment
Date
08/03 07/03 06/03 05/03 08/02 Last Principal Payment
Date
93 18/32.. 9.140 9.145 9.158 9.208 9.270 Yield to Maturity (%)
5.99 5.96 5.88 5.61 5.31 Duration
94 2/32... 9.052 9.056 9.069 9.113 9.171 Yield to Maturity (%)
6.00 5.97 5.89 5.62 5.31 Duration
94 18/32.. 8.964 8.968 8.979 9.020 9.071 Yield to Maturity (%)
6.01 5.98 5.90 5.63 5.32 Duration
95 2/32... 8.877 8.880 8.890 8.927 8.973 Yield to Maturity (%)
6.02 5.99 5.91 5.64 5.33 Duration
95 18/32.. 8.790 8.794 8.802 8.835 8.875 Yield to Maturity (%)
6.03 6.00 5.92 5.65 5.34 Duration
96 2/32... 8.705 8.707 8.715 8.743 8.778 Yield to Maturity (%)
6.04 6.01 5.93 5.66 5.35 Duration
96 18/32.. 8.619 8.621 8.628 8.652 8.682 Yield to Maturity (%)
6.05 6.02 5.94 5.67 5.36 Duration
97 2/32... 8.534 8.536 8.542 8.561 8.586 Yield to Maturity (%)
6.06 6.03 5.95 5.68 5.36 Duration
97 18/32.. 8.450 8.452 8.456 8.471 8.491 Yield to Maturity (%)
6.07 6.04 5.96 5.68 5.37 Duration
98 2/32... 8.366 8.368 8.371 8.382 8.397 Yield to Maturity (%)
6.08 6.05 5.97 5.69 5.38 Duration
98 18/32.. 8.283 8.284 8.286 8.293 8.303 Yield to Maturity (%)
6.09 6.06 5.98 5.70 5.39 Duration
99 2/32... 8.201 8.201 8.202 8.205 8.209 Yield to Maturity (%)
6.10 6.07 5.99 5.71 5.39 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class C Certificates
at Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ---------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ---------- ----------- --------- ---------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10.32 8.94 7.73 6.90 6.34 10.69 10.00 9.40 8.88 8.59
07/01 09/00 07/00 07/00 06/00 03/03 07/03 06/03 05/03 08/02
10/08 11/07 07/05 07/03 04/02 02/08 03/07 11/05 02/04 07/03
89 26/32.. 9.681 9.836 10.008 10.160 10.284 9.633 9.695 9.756 9.816 9.854
6.43 5.85 5.32 4.93 4.65 6.64 6.38 6.15 5.94 5.80
90 10/32.. 9.595 9.742 9.905 10.048 10.166 9.550 9.609 9.667 9.723 9.760
6.44 5.86 5.33 4.94 4.66 6.66 6.40 6.16 5.95 5.81
90 26/32.. 9.510 9.649 9.802 9.937 10.048 9.468 9.523 9.578 9.631 9.665
6.46 5.87 5.34 4.95 4.67 6.67 6.41 6.17 5.96 5.82
91 10/32.. 9.426 9.556 9.700 9.827 9.932 9.386 9.438 9.489 9.539 9.572
6.47 5.88 5.35 4.96 4.67 6.68 6.42 6.18 5.97 5.83
91 26/32.. 9.342 9.464 9.599 9.718 9.816 9.305 9.354 9.402 9.448 9.479
6.49 5.90 5.36 4.97 4.68 6.70 6.43 6.19 5.98 5.84
92 10/32.. 9.259 9.372 9.498 9.609 9.700 9.224 9.270 9.315 9.358 9.387
6.50 5.91 5.37 4.97 4.69 6.71 6.45 6.21 5.99 5.85
92 26/32.. 9.177 9.282 9.398 9.501 9.586 9.144 9.187 9.228 9.269 9.295
6.51 5.92 5.38 4.98 4.69 6.73 6.46 6.22 6.00 5.86
93 10/32.. 9.095 9.192 9.299 9.394 9.472 9.065 9.104 9.143 9.180 9.204
6.53 5.93 5.39 4.99 4.70 6.74 6.47 6.23 6.01 5.87
93 26/32.. 9.013 9.102 9.201 9.288 9.360 8.987 9.022 9.058 9.092 9.114
6.54 5.94 5.40 5.00 4.71 6.75 6.48 6.24 6.02 5.88
94 10/32.. 8.933 9.014 9.103 9.182 9.247 8.908 8.941 8.973 9.004 9.024
6.56 5.96 5.41 5.01 4.72 6.77 6.50 6.25 6.03 5.89
94 26/32.. 8.853 8.925 9.006 9.077 9.136 8.831 8.860 8.889 8.917 8.935
6.57 5.97 5.42 5.01 4.72 6.78 6.51 6.26 6.04 5.90
95 10/32.. 8.773 8.838 8.910 8.973 9.026 8.754 8.780 8.806 8.831 8.847
6.58 5.98 5.43 5.02 4.73 6.79 6.52 6.27 6.05 5.91
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
11.26 11.06 10.86 10.54 9.84 Weighted Average Life
(years)
10/02 07/03 10/04 06/04 10/03 First Principal Payment
Date
11/07 05/07 02/06 07/05 04/05 Last Principal Payment
Date
89 26/32.. 9.583 9.596 9.610 9.638 9.706 Yield to Maturity (%)
6.87 6.81 6.75 6.63 6.34 Duration
90 10/32.. 9.503 9.515 9.528 9.555 9.619 Yield to Maturity (%)
6.88 6.83 6.76 6.64 6.36 Duration
90 26/32.. 9.423 9.435 9.447 9.472 9.533 Yield to Maturity (%)
6.90 6.84 6.78 6.65 6.37 Duration
91 10/32.. 9.344 9.355 9.367 9.390 9.447 Yield to Maturity (%)
6.91 6.85 6.79 6.66 6.38 Duration
91 26/32.. 9.266 9.276 9.287 9.309 9.362 Yield to Maturity (%)
6.93 6.87 6.80 6.68 6.39 Duration
92 10/32.. 9.188 9.198 9.208 9.228 9.278 Yield to Maturity (%)
6.94 6.88 6.82 6.69 6.40 Duration
92 26/32.. 9.111 9.120 9.129 9.148 9.194 Yield to Maturity (%)
6.96 6.90 6.83 6.70 6.42 Duration
93 10/32.. 9.034 9.042 9.051 9.069 9.111 Yield to Maturity (%)
6.97 6.91 6.84 6.72 6.43 Duration
93 26/32.. 8.958 8.966 8.974 8.990 9.029 Yield to Maturity (%)
6.99 6.92 6.86 6.73 6.44 Duration
94 10/32.. 8.882 8.889 8.897 8.911 8.947 Yield to Maturity (%)
7.00 6.94 6.87 6.74 6.45 Duration
94 26/32.. 8.807 8.814 8.820 8.834 8.865 Yield to Maturity (%)
7.01 6.95 6.88 6.75 6.46 Duration
95 10/32.. 8.733 8.739 8.745 8.756 8.785 Yield to Maturity (%)
7.03 6.96 6.90 6.77 6.47 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
----------- ----------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------ ----------- ----------- ---------- ----------- ---------- ---------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
9.81 9.48 9.21 8.88 8.59 11.40 10.26 9.40 8.88 8.59
04/01 11/01 09/02 05/03 08/02 08/03 07/03 06/03 05/03 08/02
07/06 04/06 06/05 01/04 07/03 06/09 05/08 11/05 02/04 07/03
89 26/32.. 9.717 9.749 9.777 9.816 9.854 9.580 9.674 9.756 9.816 9.854
6.29 6.18 6.07 5.94 5.80 6.88 6.47 6.15 5.94 5.80
90 10/32.. 9.630 9.659 9.686 9.723 9.760 9.500 9.589 9.667 9.723 9.760
6.31 6.19 6.08 5.95 5.81 6.89 6.48 6.16 5.95 5.81
90 26/32.. 9.543 9.571 9.596 9.631 9.665 9.420 9.504 9.578 9.631 9.665
6.32 6.20 6.09 5.96 5.82 6.91 6.49 6.17 5.96 5.82
91 10/32.. 9.457 9.483 9.507 9.539 9.572 9.341 9.420 9.489 9.539 9.572
6.33 6.21 6.11 5.97 5.83 6.92 6.51 6.18 5.97 5.83
91 26/32.. 9.371 9.396 9.418 9.449 9.479 9.263 9.337 9.402 9.448 9.479
6.34 6.22 6.12 5.98 5.84 6.94 6.52 6.19 5.98 5.84
92 10/32.. 9.286 9.309 9.330 9.358 9.387 9.185 9.254 9.315 9.358 9.387
6.36 6.23 6.13 5.99 5.85 6.95 6.53 6.21 5.99 5.85
92 26/32.. 9.202 9.223 9.243 9.269 9.295 9.108 9.172 9.228 9.269 9.295
6.37 6.25 6.14 6.00 5.86 6.97 6.55 6.22 6.00 5.86
93 10/32.. 9.118 9.138 9.156 9.180 9.204 9.032 9.091 9.143 9.180 9.204
6.38 6.26 6.15 6.01 5.87 6.98 6.56 6.23 6.01 5.87
93 26/32.. 9.035 9.053 9.069 9.092 9.114 8.956 9.010 9.057 9.092 9.114
6.39 6.27 6.16 6.02 5.88 7.00 6.57 6.24 6.02 5.88
94 10/32.. 8.952 8.969 8.984 9.004 9.024 8.881 8.930 8.973 9.004 9.024
6.40 6.28 6.17 6.03 5.89 7.01 6.59 6.25 6.03 5.89
94 26/32.. 8.870 8.885 8.899 8.917 8.935 8.806 8.850 8.889 8.917 8.935
6.42 6.29 6.18 6.04 5.90 7.03 6.60 6.26 6.04 5.90
95 10/32.. 8.789 8.802 8.814 8.831 8.847 8.731 8.771 8.806 8.831 8.847
6.43 6.30 6.19 6.05 5.91 7.04 6.61 6.27 6.05 5.91
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ---------------
<S> <C> <C> <C> <C> <C>
11.56 10.26 9.40 8.88 8.59 Weighted Average Life
(years)
08/03 07/03 06/03 05/03 08/02 First Principal Payment
Date
05/10 05/08 11/05 02/04 07/03 Last Principal Payment
Date
89 26/32.. 9.570 9.674 9.756 9.816 9.854 Yield to Maturity (%)
6.92 6.47 6.15 5.94 5.80 Duration
90 10/32.. 9.491 9.589 9.667 9.723 9.760 Yield to Maturity (%)
6.94 6.48 6.16 5.95 5.81 Duration
90 26/32.. 9.412 9.504 9.578 9.631 9.665 Yield to Maturity (%)
6.95 6.49 6.17 5.96 5.82 Duration
91 10/32.. 9.333 9.420 9.489 9.539 9.572 Yield to Maturity (%)
6.97 6.51 6.18 5.97 5.83 Duration
91 26/32.. 9.256 9.337 9.402 9.448 9.479 Yield to Maturity (%)
6.98 6.52 6.19 5.98 5.84 Duration
92 10/32.. 9.178 9.254 9.315 9.358 9.387 Yield to Maturity (%)
7.00 6.53 6.21 5.99 5.85 Duration
92 26/32.. 9.102 9.172 9.228 9.269 9.295 Yield to Maturity (%)
7.01 6.55 6.22 6.00 5.86 Duration
93 10/32.. 9.026 9.091 9.143 9.180 9.204 Yield to Maturity (%)
7.03 6.56 6.23 6.01 5.87 Duration
93 26/32.. 8.950 9.010 9.057 9.092 9.114 Yield to Maturity (%)
7.04 6.57 6.24 6.02 5.88 Duration
94 10/32.. 8.876 8.930 8.973 9.004 9.024 Yield to Maturity (%)
7.06 6.59 6.25 6.03 5.89 Duration
94 26/32.. 8.801 8.850 8.889 8.917 8.935 Yield to Maturity (%)
7.07 6.60 6.26 6.04 5.90 Duration
95 10/32.. 8.727 8.771 8.806 8.831 8.847 Yield to Maturity (%)
7.09 6.61 6.27 6.05 5.91 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ ----------------
Unchanged LIBOR Unchanged LIBOR
--------------- ----------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------- ---------- ---------- ---------- ----------- ----------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10.27 10.05 9.30 8.11 7.17 8.93 9.19 8.80 8.08 7.51
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
05/10 09/08 04/07 06/05 11/03 12/08 08/08 01/07 07/05 03/04
87 5/32... 10.322 10.322 10.398 10.578 10.772 10.524 10.464 10.497 10.602 10.706
5.74 5.75 5.58 5.20 4.83 5.26 5.40 5.35 5.14 4.95
87 21/32.. 10.223 10.224 10.297 10.469 10.655 10.416 10.359 10.391 10.491 10.591
5.76 5.78 5.60 5.21 4.85 5.28 5.42 5.37 5.16 4.96
88 5/32... 10.125 10.126 10.196 10.361 10.538 10.309 10.255 10.286 10.382 10.477
5.79 5.80 5.62 5.23 4.86 5.30 5.44 5.38 5.17 4.97
88 21/32.. 10.028 10.029 10.096 10.254 10.423 10.204 10.152 10.181 10.274 10.365
5.81 5.82 5.64 5.24 4.87 5.32 5.46 5.40 5.19 4.99
89 5/32... 9.932 9.934 9.998 10.147 10.308 10.099 10.050 10.078 10.166 10.253
5.83 5.84 5.66 5.26 4.88 5.34 5.48 5.42 5.20 5.00
89 21/32.. 9.837 9.839 9.900 10.042 10.195 9.995 9.949 9.976 10.059 10.142
5.85 5.86 5.68 5.27 4.90 5.36 5.50 5.44 5.22 5.02
90 5/32... 9.743 9.745 9.802 9.937 10.082 9.892 9.849 9.875 9.954 10.032
5.88 5.88 5.70 5.29 4.91 5.38 5.52 5.46 5.23 5.03
90 21/32.. 9.650 9.651 9.706 9.834 9.970 9.791 9.750 9.774 9.849 9.923
5.90 5.90 5.71 5.30 4.92 5.40 5.54 5.47 5.25 5.04
91 5/32... 9.557 9.559 9.611 9.731 9.859 9.690 9.651 9.674 9.745 9.815
5.92 5.92 5.73 5.32 4.93 5.42 5.56 5.49 5.26 5.06
91 21/32.. 9.466 9.467 9.516 9.629 9.749 9.590 9.554 9.576 9.642 9.707
5.94 5.94 5.75 5.33 4.94 5.44 5.58 5.51 5.28 5.07
92 5/32... 9.375 9.377 9.422 9.527 9.640 9.490 9.457 9.478 9.540 9.601
5.96 5.96 5.77 5.35 4.96 5.46 5.60 5.53 5.29 5.08
92 21/32.. 9.285 9.287 9.329 9.427 9.532 9.392 9.361 9.381 9.438 9.495
5.98 5.98 5.78 5.36 4.97 5.48 5.62 5.54 5.31 5.09
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
-----------------------------
Unchanged LIBOR
-----------------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
8.47 8.89 8.73 8.49 8.55 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
05/08 06/08 02/07 11/05 07/05 Last Principal Payment
Date
87 5/32... 10.597 10.514 10.514 10.534 10.511 Yield to Maturity (%)
5.12 5.29 5.31 5.28 5.33 Duration
87 21/32.. 10.486 10.407 10.407 10.427 10.405 Yield to Maturity (%)
5.13 5.31 5.33 5.29 5.35 Duration
88 5/32... 10.376 10.300 10.301 10.320 10.299 Yield to Maturity (%)
5.15 5.33 5.34 5.31 5.37 Duration
88 21/32.. 10.267 10.195 10.196 10.215 10.195 Yield to Maturity (%)
5.17 5.35 5.36 5.33 5.38 Duration
89 5/32... 10.159 10.091 10.092 10.110 10.091 Yield to Maturity (%)
5.19 5.37 5.38 5.34 5.40 Duration
89 21/32.. 10.053 9.988 9.989 10.006 9.988 Yield to Maturity (%)
5.21 5.39 5.40 5.36 5.42 Duration
90 5/32... 9.947 9.886 9.887 9.903 9.887 Yield to Maturity (%)
5.23 5.41 5.42 5.38 5.43 Duration
90 21/32.. 9.842 9.784 9.786 9.801 9.786 Yield to Maturity (%)
5.25 5.43 5.43 5.39 5.45 Duration
91 5/32... 9.738 9.684 9.686 9.700 9.685 Yield to Maturity (%)
5.26 5.45 5.45 5.41 5.46 Duration
91 21/32.. 9.635 9.584 9.586 9.600 9.586 Yield to Maturity (%)
5.28 5.47 5.47 5.43 5.48 Duration
92 5/32... 9.533 9.486 9.487 9.500 9.488 Yield to Maturity (%)
5.30 5.48 5.49 5.44 5.50 Duration
92 21/32.. 9.431 9.388 9.390 9.402 9.390 Yield to Maturity (%)
5.32 5.50 5.50 5.46 5.51 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
------------------------ ------------------
LIBOR Decreases 1% LIBOR Increases 1%
------------------------ ------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------- ------------- ------------ --------- ---------- -------- --------- -------- ------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.18 7.63 7.68 7.35 7.02 11.17 11.03 9.88 8.79 8.02
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
11/06 03/07 04/06 03/05 12/03 01/11 10/09 09/07 11/05 06/04
87 5/32... 10.907 10.793 10.756 10.804 10.867 10.188 10.181 10.286 10.429 10.558
4.54 4.73 4.81 4.74 4.64 6.13 6.16 5.89 5.54 5.26
87 21/32.. 10.782 10.674 10.638 10.684 10.744 10.096 10.089 10.190 10.327 10.450
4.56 4.75 4.82 4.75 4.66 6.15 6.18 5.91 5.56 5.28
88 5/32... 10.659 10.555 10.522 10.566 10.623 10.004 9.998 10.094 10.225 10.343
4.57 4.77 4.84 4.77 4.67 6.17 6.21 5.93 5.57 5.29
88 21/32.. 10.536 10.437 10.406 10.448 10.503 9.913 9.908 10.000 10.125 10.237
4.59 4.79 4.86 4.78 4.68 6.20 6.23 5.94 5.59 5.30
89 5/32... 10.415 10.321 10.291 10.332 10.384 9.823 9.818 9.906 10.025 10.132
4.61 4.80 4.88 4.80 4.70 6.22 6.25 5.96 5.61 5.32
89 21/32.. 10.294 10.205 10.177 10.216 10.266 9.734 9.729 9.813 9.926 10.028
4.62 4.82 4.89 4.82 4.71 6.24 6.27 5.98 5.62 5.33
90 5/32... 10.175 10.091 10.065 10.102 10.149 9.646 9.641 9.721 9.828 9.924
4.64 4.84 4.91 4.83 4.73 6.26 6.29 6.00 5.64 5.34
90 21/32.. 10.057 9.978 9.953 9.988 10.033 9.558 9.554 9.629 9.730 9.822
4.66 4.86 4.93 4.85 4.74 6.29 6.31 6.02 5.65 5.36
91 5/32... 9.940 9.865 9.842 9.876 9.918 9.472 9.468 9.539 9.634 9.720
4.67 4.87 4.94 4.86 4.75 6.31 6.33 6.03 5.67 5.37
91 21/32.. 9.824 9.754 9.733 9.764 9.804 9.386 9.382 9.449 9.538 9.619
4.69 4.89 4.96 4.88 4.77 6.33 6.36 6.05 5.68 5.38
92 5/32... 9.709 9.644 9.624 9.653 9.691 9.300 9.297 9.360 9.443 9.518
4.71 4.91 4.98 4.89 4.78 6.35 6.38 6.07 5.69 5.39
92 21/32.. 9.595 9.534 9.516 9.544 9.578 9.216 9.213 9.271 9.349 9.419
4.72 4.92 4.99 4.91 4.79 6.37 6.40 6.09 5.71 5.41
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
---------------------------
LIBOR Increases 2%
---------------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
13.92 12.75 10.97 9.53 8.55 Weighted Average Life (years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment Date
06/12 05/10 02/08 03/06 09/04 Last Principal Payment Date
87 5/32... 9.905 9.966 10.108 10.273 10.422 Yield to Maturity (%)
7.12 6.91 6.44 5.97 5.59 Duration
87 21/32.. 9.825 9.884 10.020 10.178 10.321 Yield to Maturity (%)
7.15 6.93 6.46 5.98 5.60 Duration
88 5/32... 9.746 9.803 9.933 10.084 10.220 Yield to Maturity (%)
7.17 6.95 6.48 6.00 5.62 Duration
88 21/32.. 9.668 9.722 9.846 9.990 10.120 Yield to Maturity (%)
7.20 6.98 6.50 6.01 5.63 Duration
89 5/32... 9.591 9.642 9.760 9.898 10.021 Yield to Maturity (%)
7.22 7.00 6.52 6.03 5.64 Duration
89 21/32.. 9.514 9.563 9.675 9.806 9.923 Yield to Maturity (%)
7.25 7.02 6.53 6.04 5.65 Duration
90 5/32... 9.438 9.484 9.591 9.714 9.825 Yield to Maturity (%)
7.27 7.04 6.55 6.05 5.67 Duration
90 21/32.. 9.362 9.407 9.507 9.624 9.728 Yield to Maturity (%)
7.30 7.06 6.57 6.07 5.68 Duration
91 5/32... 9.288 9.329 9.424 9.534 9.632 Yield to Maturity (%)
7.32 7.09 6.59 6.08 5.69 Duration
91 21/32.. 9.214 9.253 9.341 9.445 9.537 Yield to Maturity (%)
7.35 7.11 6.60 6.10 5.70 Duration
92 5/32... 9.140 9.177 9.260 9.356 9.442 Yield to Maturity (%)
7.37 7.13 6.62 6.11 5.72 Duration
92 21/32.. 9.067 9.102 9.179 9.268 9.348 Yield to Maturity (%)
7.40 7.15 6.64 6.13 5.73 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class E Certificates at
Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
------------ -----------------------
Unchanged LIBOR Unchanged LIBOR
---------------------- -----------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------- ----------- --------- --------- --------- ---------- ----------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.69 9.06 9.12 8.84 8.31 7.12 7.80 8.11 8.10 7.83
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
10/10 10/09 11/08 12/07 01/07 09/08 01/09 03/08 05/07 06/06
72 16/32.. 14.549 14.327 14.207 14.217 14.356 15.319 14.943 14.714 14.621 14.655
4.32 4.48 4.60 4.63 4.56 3.91 4.10 4.25 4.34 4.35
73........ 14.392 14.176 14.059 14.070 14.207 15.145 14.778 14.554 14.464 14.499
4.35 4.51 4.62 4.65 4.59 3.93 4.13 4.28 4.36 4.37
73 16/32.. 14.237 14.026 13.913 13.925 14.060 14.973 14.614 14.396 14.309 14.344
4.38 4.54 4.65 4.68 4.61 3.95 4.15 4.30 4.38 4.39
74........ 14.083 13.878 13.769 13.781 13.914 14.804 14.453 14.240 14.156 14.192
4.40 4.56 4.67 4.70 4.63 3.97 4.17 4.32 4.40 4.41
74 16/32.. 13.932 13.732 13.626 13.640 13.771 14.636 14.293 14.086 14.005 14.041
4.42 4.59 4.70 4.72 4.65 3.99 4.19 4.34 4.43 4.43
75........ 13.783 13.588 13.485 13.500 13.628 14.470 14.135 13.934 13.856 13.891
4.45 4.61 4.72 4.75 4.67 4.01 4.21 4.37 4.45 4.45
75 16/32.. 13.635 13.446 13.346 13.361 13.488 14.306 13.979 13.783 13.708 13.744
4.47 4.64 4.75 4.77 4.69 4.03 4.24 4.39 4.47 4.47
76........ 13.489 13.305 13.209 13.224 13.348 14.144 13.825 13.635 13.562 13.598
4.50 4.66 4.77 4.79 4.71 4.05 4.26 4.41 4.49 4.49
76 16/32.. 13.345 13.166 13.073 13.089 13.211 13.984 13.672 13.487 13.417 13.453
4.52 4.69 4.80 4.82 4.74 4.07 4.28 4.43 4.51 4.51
77........ 13.202 13.029 12.939 12.955 13.075 13.825 13.522 13.342 13.275 13.310
4.55 4.71 4.82 4.84 4.76 4.09 4.30 4.46 4.54 4.53
77 16/32.. 13.061 12.893 12.806 12.823 12.940 13.669 13.373 13.198 13.133 13.169
4.57 4.74 4.85 4.86 4.78 4.11 4.32 4.48 4.56 4.55
78........ 12.922 12.759 12.675 12.692 12.807 13.514 13.226 13.056 12.994 13.029
4.60 4.76 4.87 4.88 4.80 4.13 4.34 4.50 4.58 4.57
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
----------------
Unchanged LIBOR
---------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- ----------------
<C> <C> <C> <C> <C> <C>
6.68 7.35 7.80 7.96 7.97 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
08/07 08/08 11/07 04/07 07/06 Last Principal Payment
Date
72 16/32.. 15.548 15.156 14.869 14.704 14.614 Yield to Maturity (%)
3.81 4.00 4.16 4.28 4.36 Duration
73........ 15.370 14.986 14.706 14.545 14.458 Yield to Maturity (%)
3.83 4.02 4.19 4.31 4.39 Duration
73 16/32.. 15.194 14.818 14.545 14.388 14.304 Yield to Maturity (%)
3.85 4.04 4.21 4.33 4.41 Duration
74........ 15.020 14.652 14.385 14.233 14.152 Yield to Maturity (%)
3.87 4.06 4.23 4.35 4.43 Duration
74 16/32.. 14.848 14.488 14.228 14.080 14.002 Yield to Maturity (%)
3.89 4.08 4.25 4.37 4.45 Duration
75........ 14.677 14.326 14.072 13.929 13.853 Yield to Maturity (%)
3.91 4.10 4.27 4.39 4.47 Duration
75 16/32.. 14.509 14.166 13.919 13.779 13.706 Yield to Maturity (%)
3.92 4.12 4.30 4.42 4.49 Duration
76........ 14.343 14.007 13.767 13.631 13.560 Yield to Maturity (%)
3.94 4.14 4.32 4.44 4.51 Duration
76 16/32.. 14.178 13.851 13.616 13.485 13.417 Yield to Maturity (%)
3.96 4.16 4.34 4.46 4.53 Duration
77........ 14.015 13.696 13.468 13.340 13.275 Yield to Maturity (%)
3.98 4.18 4.36 4.48 4.55 Duration
77 16/32.. 13.854 13.543 13.321 13.197 13.134 Yield to Maturity (%)
4.00 4.20 4.38 4.50 4.58 Duration
78........ 13.695 13.391 13.175 13.056 12.995 Yield to Maturity (%)
4.01 4.22 4.40 4.52 4.60 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
-------------------- -------------------
LIBOR Decreases 1% LIBOR Increases 1%
-------------------- -------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------- --------- --------- --------- -------- --------- --------- --------- ------------- ----------
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.49 6.03 6.54 6.77 6.80 9.76 10.20 10.12 9.63 9.05
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
09/05 02/07 10/06 03/06 08/05 08/11 10/10 11/09 09/08 07/07
72 16/32.. 16.738 16.265 15.850 15.600 15.479 13.985 13.789 13.720 13.785 13.919
3.28 3.45 3.62 3.75 3.83 4.77 4.94 5.03 5.02 4.94
73........ 16.531 16.068 15.662 15.418 15.301 13.843 13.651 13.585 13.649 13.782
3.30 3.47 3.64 3.77 3.85 4.80 4.97 5.06 5.04 4.96
73 16/32.. 16.326 15.873 15.476 15.239 15.126 13.703 13.516 13.451 13.515 13.646
3.32 3.49 3.66 3.79 3.87 4.83 5.00 5.09 5.07 4.99
74........ 16.124 15.681 15.293 15.062 14.953 13.564 13.382 13.320 13.383 13.511
3.33 3.50 3.68 3.81 3.89 4.85 5.03 5.11 5.09 5.01
74 16/32.. 15.924 15.491 15.112 14.888 14.782 13.426 13.249 13.189 13.252 13.378
3.35 3.52 3.70 3.83 3.91 4.88 5.05 5.14 5.12 5.03
75........ 15.726 15.303 14.933 14.715 14.612 13.291 13.118 13.061 13.123 13.247
3.36 3.54 3.72 3.85 3.93 4.90 5.08 5.16 5.14 5.05
75 16/32.. 15.531 15.117 14.757 14.544 14.445 13.157 12.989 12.933 12.995 13.116
3.38 3.56 3.74 3.87 3.95 4.93 5.10 5.19 5.16 5.07
76........ 15.338 14.934 14.582 14.375 14.280 13.024 12.861 12.807 12.868 12.987
3.40 3.58 3.76 3.89 3.97 4.96 5.13 5.22 5.19 5.09
76 16/32.. 15.147 14.752 14.409 14.209 14.116 12.893 12.734 12.683 12.743 12.860
3.41 3.59 3.78 3.91 3.99 4.98 5.16 5.24 5.21 5.11
77........ 14.958 14.573 14.239 14.044 13.955 12.764 12.609 12.560 12.619 12.734
3.43 3.61 3.80 3.93 4.01 5.01 5.18 5.27 5.23 5.13
77 16/32.. 14.771 14.396 14.070 13.881 13.795 12.636 12.486 12.438 12.497 12.609
3.44 3.63 3.81 3.95 4.03 5.03 5.21 5.29 5.25 5.15
78........ 14.586 14.220 13.903 13.719 13.637 12.510 12.363 12.318 12.376 12.486
3.46 3.65 3.83 3.97 4.04 5.06 5.23 5.32 5.28 5.18
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
----------------
LIBOR Increases 2%
------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -------------
<C> <C> <C> <C> <C> <C>
13.63 13.25 12.55 11.56 10.55 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
02/14 10/12 06/11 04/10 01/09 Last Principal Payment
Date
72 16/32.. 12.843 12.829 12.889 13.042 13.252 Yield to Maturity (%)
5.94 6.00 5.97 5.83 5.63 Duration
73........ 12.729 12.716 12.775 12.925 13.132 Yield to Maturity (%)
5.97 6.03 5.99 5.85 5.65 Duration
73 16/32.. 12.616 12.603 12.662 12.809 13.012 Yield to Maturity (%)
6.00 6.06 6.02 5.88 5.68 Duration
74........ 12.504 12.493 12.551 12.695 12.894 Yield to Maturity (%)
6.04 6.09 6.05 5.91 5.70 Duration
74 16/32.. 12.394 12.383 12.441 12.583 12.777 Yield to Maturity (%)
6.07 6.12 6.08 5.93 5.72 Duration
75........ 12.285 12.275 12.332 12.471 12.661 Yield to Maturity (%)
6.10 6.15 6.11 5.96 5.74 Duration
75 16/32.. 12.177 12.168 12.224 12.361 12.547 Yield to Maturity (%)
6.13 6.18 6.14 5.98 5.77 Duration
76........ 12.070 12.063 12.118 12.251 12.434 Yield to Maturity (%)
6.16 6.21 6.16 6.01 5.79 Duration
76 16/32.. 11.965 11.958 12.012 12.143 12.321 Yield to Maturity (%)
6.20 6.24 6.19 6.03 5.81 Duration
77........ 11.861 11.855 11.908 12.036 12.210 Yield to Maturity (%)
6.23 6.27 6.22 6.05 5.83 Duration
77 16/32.. 11.758 11.753 11.805 11.930 12.100 Yield to Maturity (%)
6.26 6.30 6.25 6.08 5.85 Duration
78........ 11.657 11.652 11.703 11.826 11.992 Yield to Maturity (%)
6.29 6.33 6.27 6.10 5.87 Duration
</TABLE>
<TABLE>
<CAPTION>
Weighted Average Life, First Principal Payment Date, Last Principal Payment Date, Yield and Duration of Class F Certificates at
Various Assumed Prices, Percentages of CPR, LIBOR Levels and Balloon Extensions
No Extension 3 Year Extension
-------------------- ---------------------
Unchanged LIBOR Unchanged LIBOR
-------------------- ---------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------- -------- ---------- -------- --------- --------- ---------- --------- ----------- ----------
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.21 5.72 6.35 6.95 7.28 4.33 4.68 5.13 5.71 6.23
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
10/05 12/06 05/08 03/08 05/07 03/03 05/04 09/05 02/07 09/06
71 10/32.. 17.856 17.306 16.750 16.255 15.919 19.021 18.489 17.908 17.306 16.785
3.00 3.16 3.34 3.52 3.68 2.72 2.85 2.99 3.16 3.33
72 10/32.. 17.398 16.872 16.338 15.866 15.547 18.517 18.006 17.449 16.871 16.374
3.03 3.19 3.38 3.57 3.73 2.75 2.88 3.02 3.20 3.38
73 10/32.. 16.952 16.448 15.938 15.487 15.184 18.024 17.535 17.001 16.448 15.973
3.07 3.23 3.42 3.61 3.78 2.78 2.90 3.06 3.23 3.42
74 10/32.. 16.516 16.034 15.547 15.118 14.831 17.542 17.075 16.564 16.035 15.582
3.10 3.27 3.46 3.66 3.83 2.80 2.93 3.09 3.27 3.46
75 10/32.. 16.090 15.631 15.167 14.758 14.486 17.071 16.625 16.137 15.632 15.201
3.13 3.31 3.50 3.71 3.87 2.83 2.96 3.12 3.31 3.50
76 10/32.. 15.675 15.237 14.795 14.407 14.151 16.610 16.185 15.720 15.239 14.829
3.17 3.34 3.54 3.75 3.92 2.85 2.99 3.15 3.34 3.54
77 10/32.. 15.269 14.853 14.433 14.064 13.823 16.160 15.755 15.313 14.855 14.466
3.20 3.38 3.58 3.80 3.97 2.88 3.02 3.19 3.38 3.58
78 10/32.. 14.872 14.478 14.079 13.730 13.503 15.718 15.335 14.914 14.479 14.111
3.23 3.41 3.62 3.84 4.01 2.90 3.05 3.22 3.42 3.62
79 10/32.. 14.484 14.111 13.734 13.404 13.191 15.287 14.923 14.525 14.113 13.765
3.26 3.45 3.66 3.88 4.06 2.93 3.07 3.25 3.45 3.65
80 10/32.. 14.105 13.752 13.396 13.086 12.886 14.864 14.520 14.144 13.754 13.426
3.29 3.48 3.70 3.93 4.10 2.95 3.10 3.28 3.49 3.69
81 10/32.. 13.734 13.402 13.066 12.775 12.588 14.450 14.126 13.771 13.404 13.095
3.32 3.52 3.74 3.97 4.14 2.98 3.13 3.31 3.52 3.73
82 10/32.. 13.370 13.059 12.744 12.471 12.297 14.044 13.740 13.406 13.061 12.772
3.35 3.55 3.78 4.01 4.19 3.00 3.15 3.34 3.55 3.77
</TABLE>
<TABLE>
<CAPTION>
5 Year Extension
--------------------------
Unchanged LIBOR
--------------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -------------
<C> <C> <C> <C> <C> <C>
4.24 4.51 4.88 5.41 6.01 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
10/02 07/03 10/04 04/06 09/06 Last Principal Payment
Date
71 10/32.. 19.163 18.697 18.170 17.569 16.975 Yield to Maturity (%)
2.69 2.80 2.93 3.09 3.27 Duration
72 10/32.. 18.653 18.207 17.702 17.125 16.556 Yield to Maturity (%)
2.72 2.83 2.96 3.13 3.31 Duration
73 10/32.. 18.155 17.728 17.244 16.691 16.147 Yield to Maturity (%)
2.75 2.86 2.99 3.16 3.35 Duration
74 10/32.. 17.668 17.260 16.797 16.269 15.749 Yield to Maturity (%)
2.77 2.88 3.02 3.20 3.39 Duration
75 10/32.. 17.191 16.803 16.361 15.856 15.360 Yield to Maturity (%)
2.80 2.91 3.05 3.23 3.43 Duration
76 10/32.. 16.725 16.355 15.934 15.453 14.980 Yield to Maturity (%)
2.82 2.94 3.08 3.26 3.47 Duration
77 10/32.. 16.270 15.918 15.517 15.059 14.610 Yield to Maturity (%)
2.84 2.96 3.11 3.30 3.50 Duration
78 10/32.. 15.823 15.489 15.109 14.674 14.248 Yield to Maturity (%)
2.87 2.99 3.14 3.33 3.54 Duration
79 10/32.. 15.386 15.070 14.710 14.298 13.895 Yield to Maturity (%)
2.89 3.02 3.17 3.36 3.58 Duration
80 10/32.. 14.958 14.660 14.320 13.930 13.549 Yield to Maturity (%)
2.92 3.04 3.20 3.39 3.62 Duration
81 10/32.. 14.539 14.258 13.937 13.570 13.211 Yield to Maturity (%)
2.94 3.07 3.22 3.43 3.65 Duration
82 10/32.. 14.128 13.864 13.563 13.217 12.880 Yield to Maturity (%)
2.96 3.09 3.25 3.46 3.69 Duration
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension 3 Year Extension
--------------------- --------------------
LIBOR Decreases 1% LIBOR Increases 1%
--------------------- --------------------
Price (%) 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- ------------------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -------- ---------
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.39 3.57 3.82 4.16 4.63 6.18 6.82 7.58 8.12 8.35
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
04/01 11/01 09/02 12/03 05/05 01/07 07/08 12/09 01/09 02/08
71 10/32.. 21.425 20.917 20.348 19.681 18.932 16.528 16.056 15.601 15.254 15.035
2.23 2.31 2.41 2.53 2.68 3.51 3.69 3.88 4.06 4.21
72 10/32.. 20.810 20.323 19.778 19.138 18.420 16.136 15.683 15.248 14.916 14.709
2.25 2.34 2.43 2.56 2.71 3.54 3.73 3.93 4.11 4.26
73 10/32.. 20.208 19.743 19.221 18.608 17.920 15.754 15.320 14.903 14.587 14.391
2.28 2.36 2.46 2.59 2.74 3.58 3.77 3.98 4.16 4.31
74 10/32.. 19.621 19.177 18.678 18.091 17.433 15.380 14.966 14.567 14.266 14.081
2.30 2.38 2.48 2.61 2.77 3.61 3.81 4.02 4.21 4.36
75 10/32.. 19.046 18.623 18.146 17.587 16.958 15.016 14.620 14.239 13.953 13.779
2.32 2.40 2.51 2.64 2.81 3.65 3.85 4.07 4.26 4.40
76 10/32.. 18.484 18.081 17.627 17.094 16.494 14.659 14.281 13.919 13.648 13.483
2.34 2.43 2.53 2.67 2.84 3.69 3.89 4.11 4.31 4.45
77 10/32.. 17.935 17.551 17.120 16.612 16.041 14.310 13.951 13.606 13.349 13.195
2.36 2.45 2.56 2.69 2.87 3.72 3.93 4.15 4.35 4.50
78 10/32.. 17.396 17.033 16.624 16.141 15.599 13.969 13.628 13.301 13.058 12.913
2.38 2.47 2.58 2.72 2.90 3.75 3.97 4.20 4.40 4.55
79 10/32.. 16.869 16.526 16.138 15.681 15.167 13.635 13.312 13.003 12.773 12.637
2.40 2.49 2.60 2.75 2.93 3.79 4.01 4.24 4.45 4.59
80 10/32.. 16.353 16.029 15.663 15.230 14.745 13.308 13.003 12.711 12.495 12.368
2.42 2.51 2.63 2.77 2.96 3.82 4.04 4.28 4.49 4.64
81 10/32.. 15.848 15.542 15.197 14.790 14.332 12.989 12.701 12.426 12.223 12.104
2.44 2.53 2.65 2.80 2.99 3.86 4.08 4.32 4.54 4.68
82 10/32.. 15.352 15.065 14.741 14.358 13.928 12.675 12.405 12.146 11.957 11.847
2.46 2.55 2.67 2.83 3.02 3.89 4.12 4.37 4.58 4.73
</TABLE>
<TABLE>
<CAPTION>
3 Year Extension
---------------------------
LIBOR Increases 2%
---------------------------
Price (%) 0% 2% 4% 6% 8%
- ----------------------------- ---------------- ---------------- ---------------- -----------------
<C> <C> <C> <C> <C> <C>
10.38 11.19 11.51 11.58 11.39 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
10/13 02/13 01/12 03/11 04/10 Last Principal Payment
Date
71 10/32.. 14.139 13.880 13.723 13.629 13.598 Yield to Maturity (%)
4.85 5.05 5.20 5.32 5.38 Duration
72 10/32.. 13.856 13.609 13.459 13.371 13.342 Yield to Maturity (%)
4.90 5.11 5.27 5.38 5.44 Duration
73 10/32.. 13.580 13.344 13.202 13.119 13.093 Yield to Maturity (%)
4.96 5.17 5.33 5.44 5.49 Duration
74 10/32.. 13.310 13.085 12.951 12.873 12.850 Yield to Maturity (%)
5.01 5.23 5.39 5.50 5.55 Duration
75 10/32.. 13.047 12.833 12.706 12.633 12.612 Yield to Maturity (%)
5.07 5.29 5.44 5.55 5.61 Duration
76 10/32.. 12.790 12.587 12.467 12.399 12.380 Yield to Maturity (%)
5.12 5.34 5.50 5.61 5.66 Duration
77 10/32.. 12.539 12.346 12.234 12.170 12.153 Yield to Maturity (%)
5.17 5.40 5.56 5.67 5.72 Duration
78 10/32.. 12.294 12.112 12.006 11.946 11.931 Yield to Maturity (%)
5.23 5.46 5.62 5.72 5.77 Duration
79 10/32.. 12.054 11.882 11.783 11.727 11.714 Yield to Maturity (%)
5.28 5.51 5.67 5.78 5.82 Duration
80 10/32.. 11.820 11.658 11.565 11.513 11.501 Yield to Maturity (%)
5.33 5.57 5.73 5.83 5.88 Duration
81 10/32.. 11.591 11.438 11.351 11.303 11.293 Yield to Maturity (%)
5.38 5.62 5.78 5.89 5.93 Duration
82 10/32.. 11.366 11.223 11.143 11.098 11.089 Yield to Maturity (%)
5.43 5.68 5.84 5.94 5.98 Duration
</TABLE>
Special Yield Considerations
The yields on the Class D, Class E and Class F Certificates will be affected
by (x) the rate of return of principal on the Class D, Class E and Class F
Certificates (which will be affected principally by the amount of excess
interest available for payment of principal of such Certificates, which in turn
will be affected by changes in LIBOR and other indices, the level of prepayments
and other factors) and (y) the amount of Mortgage Loan payment and interest rate
shortfalls, if any, allocable to the Class D, Class E and Class F Certificates.
Because the Class D, Class E and Class F Certificates are being offered at a
discount, the yield to purchasers will be increased if principal is paid early,
and will be decreased if principal payments are delayed. As collections in
respect of principal on the Mortgage Loans are applied to reduce the Certificate
Principal Amounts of the Class A, Class B and Class C Certificates prior to
allocation to the Class D, Class E and Class F Certificates, it is not
anticipated that such funds will substantially accelerate the prepayment of the
Class D, Class E and Class F Certificates. However, collections in respect of
interest on the Mortgage Loans, net of Servicing Fees, may exceed interest
payments on the Certificates and any such excess ("Excess Interest") will be
used, to the extent described herein, to prepay the Class D, Class E and Class F
Certificates, to the extent not required to pay interest or principal on, or be
used as a reserve for, more senior Classes of Certificates after the Reserve
Fund has been reduced to or below the Liquidity Amount. Thus, the yield on the
Class D, Class E and Class F Certificates is favorably impacted when Excess
Interest arises and is negatively impacted when Excess Interest is below
expectations. The tables on pages 88 through 93 set forth the timing of the
reduction of the Certificate Principal Amounts of the Offered Certificates under
certain assumptions set forth therein, including the assumption that no
delinquencies or defaults occur on the Mortgage Loans. The simplifying
assumptions made in preparing those tables and the yield tables which follow are
expected to vary from the actual performance of the Mortgage Loans. Excess
Interest may be reduced if: (i) interest rates on the Floating Rate Certificates
increase faster than interest rates on the Mortgage Loans, (ii) Mortgage Loans
with high interest rates prepay more quickly than Mortgage Loans with lower
rates or experience a higher rate of default, or (iii) principal prepayments
reduce the balances of Mortgage Loans and Certificate Principal Amounts from
which Excess Interest is generated.
In the event collections on the Mortgage Loans, net of servicing fees, are
insufficient to make all payments on the Offered Certificates (whether due to
losses and delinquencies on the Mortgage Loans, or due to basis risk shortfalls
resulting because net interest accrued on the Mortgage Loans is less than
interest accrued on the Offered Certificates), the Trustee will effect a
withdrawal from the Reserve Fund to ensure payments due on the Offered
Certificates; provided, that the Trustee will not reduce the balance of the
Reserve Fund below the Liquidity Amount to make a payment on a Certificate if
any more senior Certificate remains outstanding. If such a shortfall occurs and
the Reserve Fund is no longer available to cover such shortfall, such shortfall
will first result in a decrease in payments in reduction of principal otherwise
allocable from Excess Interest to the Class D, Class E and Class F Certificates,
then principal payments otherwise allocable to the Class F Certificates on such
Distribution Date, then payments in respect of interest due on the Class F
Certificates, then principal payments otherwise allocable to the Class E
Certificates, then payments in respect of interest due on the Class E
Certificates, then principal payments otherwise allocable to the Class D
Certificates and, lastly, interest payments on the Class D Certificates, except
that losses may be borne by the Class A-1, Class A-2A, Class A-2B and Class A-2C
Certificates before the Class D, Class E and Class F Certificates since payments
on Group 3 and Group 4 Mortgage Loans cannot be used to make payments on the
Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates. See "DESCRIPTION
OF THE CERTIFICATES -- Subordination of the Class B, Class C, Class D, Class E
and Class F Certificates" and "--Distributions -- Basis Risk" above.
The yield tables set forth on pages 108 through 137 are designed to
illustrate the impact of losses and delinquencies on the Mortgage Loans and
changes in Excess Interest (resulting from changes in LIBOR) on the yields of
the Class D, Class E and Class F Certificates. In preparing the tables, the
Mortgage Loan Annual Default Rates (converted to monthly rates) are applied to
the principal balance of the Mortgage Loans for each month from 13 months after
the Cut-Off Date until 72 months after the Cut-Off Date. It is assumed that upon
default, 50% of the current principal balance of the Mortgage Loans is
immediately recovered from liquidation and no further proceeds are recovered
relative to that month's loan defaults. The yield tables have otherwise been
prepared using the "Mortgage Loan Assumptions" set forth on pages 84 through 86,
except it was assumed that non-defaulted loans prepay according to the CPRs set
forth in the tables. It was assumed that (i) all required payments are made
during the applicable Due Period, except those due on Mortgage Loans which are
to be liquidated, (ii) for loans which are to be liquidated, no payment is
received prior to liquidation, other than Reserve Fund withdrawals, (iii)
liquidation occurs in the month the Mortgage Loan defaults, (iv) upon
liquidation 50% of the principal balance of the Mortgage Loan is recovered, (v)
a draw is made on the Reserve Fund in the month each Mortgage Loan is defaulted
equal to the difference between the current Mortgage Loan principal balance and
the amount recovered from liquidation, (vi) none of the Mortgage Loans are
Simple Interest Loans, and all Mortgage Loans require monthly payments, and
payment of interest in arrears, (vii) there are no Debt Service Reductions or
Deficiency Valuations, (viii) defaults are spread pro rata among all Mortgage
Loan Groups and, within each Mortgage Loan Group, among Mortgage Loans having
interest rates and interest rate adjustment terms that are representative of the
Mortgage Loan Group as a whole and (ix) LIBOR equals 5.0625% and remains at that
rate or adjusts as set forth in the tables. Thus, Mortgage Loans are assumed to
incur no delinquency period prior to liquidation, and hence, no Reserve Fund
draws are made for delinquent Monthly Payments on Mortgage Loans.
The rate of distributions in reduction of Certificate Principal Amount on
the Class D, Class E and Class F Certificates will be directly related to the
actual amortization schedule of the Mortgage Loans and the rate of deposits in
and withdrawals from the Reserve Fund; accordingly, the interest distributions
and distributions in reduction of Certificate Principal Amount received on the
Class D, Class E and Class F Certificates may result in yields and maturities
which differ from those reflected below. The Mortgage Loans will not have the
characteristics assumed, and it is unlikely that they will prepay at any of the
rates specified or that each Index will stay constant at any assumed rate or
that losses and delinquencies will occur at constant rates or that liquidation
will occur in the month the Mortgage Loan defaults. The assumed percentages of
liquidations and loss severities on the Mortgage Loans shown in the tables below
are for illustrative purposes only and the Seller makes no representations with
respect to the reasonableness of such assumptions or that the actual liquidation
and loss severity experience of the Mortgage Loans will in any way correspond to
any of the assumptions made herein. Consequently, there can be no assurance that
the pre-tax yield to an investor in the Class D, Class E or Class F Certificates
will correspond to any of the pre-tax yields shown below.
Because the foregoing assumptions include the assumption that each
defaulted Mortgage Loan is liquidated as soon as it becomes delinquent, they do
not take into account losses attributable to accrued interest during the period
from the date a Mortgage Loan becomes delinquent to the date of final
liquidation. Draws on the Reserve Fund resulting from such accrual of interest
are reduced by the requirement that a draw be made on the Reserve Fund, to the
extent funds are available therefor, for distribution of principal on the
Certificates at the time of foreclosure for the difference between the actual
principal balance of the Mortgage Loan and the appraised value of the underlying
Mortgaged Property. Nevertheless, due to the additional losses incurred as a
result of such accrual of interest, the 50% loss rate assumption applied in the
tables corresponds to a significantly lower rate of loss of principal as a
percentage of the principal balance of the Mortgage Loan. Similarly, draws on
the the Reserve Fund will tend to occur primarily at the time of foreclosure on
or final liquidation of a Mortgaged Property, and from time to time for accrued
interest on the Scheduled Principal Balance of such Mortgage Loan, rather than
entirely at the time the Mortgage Loan becomes delinquent. Accordingly, the
assumptions will produce results which are more likely to correspond to a
scenario in which Mortgage Loans default at earlier dates and are subject to
foreclosure at or about the dates assumed for default and liquidation in the
tables.
The yields set forth in the following tables were calculated by determining
the monthly discount rates which, when applied to the assumed stream of cash
flows to be paid on the Class D, Class E and Class F Certificates, would cause
the discounted present value of such assumed stream of cash flows as of
September 29, 1994 to equal the assumed purchase prices and converting such
monthly rates to corporate bond equivalent rates. In each case, the assumed
purchase price does not include accrued interest; an investor in a Class of
Certificates would be required to add accrued interest to the applicable
purchase price. Such calculation does not take into account variations that may
occur in the interest rates at which investors may be able to reinvest funds
received by them as reductions of the Certificate Principal Amount on the Class
D, Class E and Class F Certificates and consequently does not purport to reflect
the return on any investment in Class D, Class E and Class F Certificates when
such reinvestment rates are considered. Where the Certificate Principal Amounts
are not projected to be repaid to zero, no weighted average life is stated and
the principal balance remaining unpaid after the assets of the Trust Fund are
exhausted is indicated rather than a maturity date.
The following tables show higher yields for the Class F Certificates in
certain scenarios involving higher rates of prepayments, primarily because loss
percentages are applied to remaining Mortgage Loan balances rather than original
Mortgage Loan balances. Accordingly, in scenarios with high prepayments, losses
are lower, offsetting the negative effect of reductions in Excess Interest
available to pay principal of the Class D, Class E and Class F Certificates.
Contrary to the assumptions made in preparing such tables, prepayments are less
likely to occur in connection with nonperforming or troubled Mortgage Loans, and
accordingly, a higher rate of prepayments is not likely to result in a
proportionate reduction of defaults. As a result, the yield on the Class F
Certificates may in fact not improve as significantly at higher prepayment
speeds as shown in the tables. In fact, if default rates remained at a constant
percentage of original Mortgage Loan balances rather than current balances, the
yield on the Class F Certificates under the other assumptions in the tables
could be worse at higher prepayment rates due to the reductions in the amount of
Excess Interest applied to pay down the Class F Certificates. High prepayment
rates are more likely to occur in an environment of improved property values and
lower interest rates, and to the extent defaults are less likely to occur in
such an environment, defaults could decline as a percentage or original
principal amounts while prepayment rates are high.
The following tables assume constant rates of prepayments and defaults.
Variable rates of default which create the same overall prepayment or default
rate for a given period of time may not generate the same result as constant
prepayment and default rates.
<PAGE>
<TABLE>
<CAPTION>
Table 1
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming Unchanged LIBOR
and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
------------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- -------- ------- -------- -------- ------- -------- ------- --------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
9.02 7.15 6.05 5.28 5.22 5.11 4.97 4.56 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal
Payment Date
04/07 07/04 09/02 11/00 08/00 07/00 06/00 01/00 Last Principal Payment
Date
87 5/32.............. 10.431 10.785 11.111 11.416 11.451 11.502 11.576 11.814 Yield to Maturity (%)
5.51 4.81 4.29 3.91 3.86 3.81 3.73 3.49 Duration
87 21/32............. 10.329 10.667 10.979 11.271 11.304 11.353 11.423 11.651 Yield to Maturity (%)
5.53 4.82 4.30 3.91 3.87 3.81 3.73 3.50 Duration
88 5/32.............. 10.227 10.550 10.848 11.127 11.159 11.205 11.272 11.489 Yield to Maturity (%)
5.55 4.83 4.31 3.92 3.88 3.82 3.74 3.50 Duration
88 21/32............. 10.125 10.434 10.718 10.984 11.014 11.058 11.122 11.329 Yield to Maturity (%)
5.57 4.84 4.32 3.93 3.89 3.83 3.75 3.51 Duration
89 5/32.............. 10.025 10.319 10.589 10.842 10.870 10.913 10.974 11.170 Yield to Maturity (%)
5.58 4.86 4.33 3.94 3.90 3.84 3.76 3.52 Duration
89 21/32............. 9.926 10.205 10.461 10.701 10.728 10.768 10.826 11.012 Yield to Maturity (%)
5.60 4.87 4.34 3.95 3.90 3.85 3.76 3.52 Duration
90 5/32.............. 9.827 10.091 10.334 10.561 10.587 10.625 10.679 10.856 Yield to Maturity (%)
5.62 4.88 4.35 3.95 3.91 3.85 3.77 3.53 Duration
90 21/32............. 9.730 9.979 10.208 10.422 10.446 10.482 10.534 10.700 Yield to Maturity (%)
5.63 4.89 4.36 3.96 3.92 3.87 3.78 3.54 Duration
91 5/32.............. 9.633 9.867 10.083 10.284 10.307 10.341 10.389 10.546 Yield to Maturity (%)
5.65 4.91 4.37 3.97 3.93 3.87 3.79 3.54 Duration
91 21/32............. 9.537 9.757 9.959 10.148 10.169 10.201 10.246 10.393 Yield to Maturity (%)
5.67 4.92 4.38 3.98 3.94 3.86 3.79 3.55 Duration
92 5/32.............. 9.442 9.647 9.835 10.012 10.032 10.061 10.104 10.241 Yield to Maturity (%)
5.69 4.93 4.39 3.99 3.94 3.88 3.80 3.56 Duration
92 21/32............. 9.347 9.538 9.713 9.877 9.896 9.923 9.962 10.090 Yield to Maturity (%)
5.70 4.94 4.40 3.99 3.95 3.89 3.81 3.56 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- -------- ------- -------- -------- -------- ------- -------- -------
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
4.90 4.47 4.14 3.79 4.61 4.12 3.74 3.22 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/00 01/00 07/99 01/99 06/00 08/99 03/99 06/98 Last Principal Payment
Date
87 5/32.............. 11.546 11.838 12.108 12.420 11.663 12.055 12.423 13.059 Yield to Maturity (%)
3.76 3.47 3.23 3.00 3.64 3.28 3.00 2.61 Duration
87 21/32............. 11.395 11.675 11.932 12.230 11.508 11.882 12.234 12.841 Yield to Maturity (%)
3.77 3.47 3.24 3.00 3.65 3.28 3.00 2.61 Duration
88 5/32.............. 11.245 11.512 11.758 12.043 11.353 11.710 12.046 12.626 Yield to Maturity (%)
3.78 3.48 3.24 3.01 3.65 3.29 3.01 2.62 Duration
88 21/32............. 11.096 11.351 11.585 11.856 11.199 11.539 11.859 12.411 Yield to Maturity (%)
3.78 3.49 3.25 3.01 3.66 3.30 3.01 2.62 Duration
89 5/32.............. 10.949 11.191 11.413 11.671 11.047 11.370 11.674 12.199 Yield to Maturity (%)
3.79 3.49 3.26 3.02 3.67 3.30 3.02 2.63 Duration
89 21/32............. 10.803 11.032 11.243 11.487 10.896 11.202 11.490 11.988 Yield to Maturity (%)
3.80 3.50 3.26 3.03 3.67 3.31 3.02 2.63 Duration
90 5/32.............. 10.657 10.874 11.074 11.305 10.745 11.035 11.308 11.778 Yield to Maturity (%)
3.81 3.51 3.27 3.03 3.68 3.31 3.03 2.64 Duration
90 21/32............. 10.513 10.718 10.906 11.124 10.596 10.870 11.127 11.570 Yield to Maturity (%)
3.81 3.51 3.27 3.04 3.69 3.32 3.03 2.64 Duration
91 5/32.............. 10.370 10.562 10.739 10.944 10.448 10.705 10.947 11.364 Yield to Maturity (%)
3.82 3.52 3.28 3.04 3.69 3.33 3.04 2.65 Duration
91 21/32............. 10.228 10.408 10.574 10.766 10.301 10.542 10.768 11.159 Yield to Maturity (%)
3.83 3.53 3.29 3.05 3.70 3.33 3.05 2.65 Duration
92 5/32.............. 10.087 10.255 10.410 10.589 10.155 10.380 10.591 10.955 Yield to Maturity (%)
3.83 3.53 3.29 3.05 3.71 3.34 3.05 2.66 Duration
92 21/32............. 9.947 10.103 10.246 10.413 10.011 10.219 10.415 10.753 Yield to Maturity (%)
3.84 3.54 3.30 3.06 3.71 3.34 3.06 2.66 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Table 2
Weighted Average Life, First Principal Payment Date, Last Principal
Payment Date, Yield and Duration of Class D Certificates at Various Assumed
Prices, Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR
Decreases 1% and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
----------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- - ------- ------- -------- ------- -------- ------- ------- -------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
8.29 6.71 5.76 5.11 5.05 4.96 4.82 4.44 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
01/07 03/04 07/02 10/00 08/00 06/00 05/00 12/99 Last Principal Payment
Date
87 5/32.............. 10.598 10.936 11.249 11.524 11.564 11.609 11.681 11.913 Yield to Maturity (%)
5.13 4.54 4.10 3.77 3.73 3.68 3.61 3.39 Duration
87 21/32............. 10.487 10.811 11.110 11.374 11.411 11.455 11.524 11.746 Yield to Maturity (%)
5.14 4.55 4.11 3.78 3.74 3.69 3.62 3.40 Duration
88 5/32.............. 10.378 10.687 10.973 11.224 11.260 11.302 11.368 11.580 Yield to Maturity (%)
5.16 4.56 4.12 3.79 3.75 3.70 3.63 3.41 Duration
88 21/32............. 10.269 10.564 10.837 11.076 11.111 11.150 11.213 11.415 Yield to Maturity (%)
5.18 4.58 4.13 3.80 3.75 3.71 3.63 3.41 Duration
89 5/32.............. 10.161 10.442 10.701 10.930 10.962 11.000 11.060 11.252 Yield to Maturity (%)
5.20 4.59 4.14 3.81 3.76 3.72 3.64 3.42 Duration
89 21/32............. 10.055 10.321 10.567 10.784 10.815 10.851 10.907 11.090 Yield to Maturity (%)
5.21 4.60 4.15 3.82 3.77 3.72 3.65 3.43 Duration
90 5/32.............. 9.949 10.201 10.434 10.639 10.668 10.702 10.756 10.929 Yield to Maturity (%)
5.23 4.61 4.16 3.83 3.78 3.73 3.66 3.43 Duration
90 21/32............. 9.844 10.082 10.302 10.496 10.523 10.555 10.606 10.769 Yield to Maturity (%)
5.25 4.63 4.17 3.83 3.79 3.74 3.66 3.44 Duration
91 5/32.............. 9.740 9.965 10.171 10.354 10.379 10.409 10.457 10.610 Yield to Maturity (%)
5.27 4.64 4.18 3.84 3.80 3.75 3.67 3.45 Duration
91 21/32............. 9.637 9.848 10.042 10.212 10.236 10.265 10.309 10.453 Yield to Maturity (%)
5.28 4.65 4.19 3.85 3.80 3.76 3.68 3.45 Duration
92 5/32.............. 9.535 9.732 9.913 10.072 10.094 10.121 10.162 10.296 Yield to Maturity (%)
5.30 4.66 4.20 3.86 3.81 3.76 3.69 3.46 Duration
92 21/32............. 9.434 9.616 9.785 9.933 9.954 9.978 10.017 10.141 Yield to Maturity (%)
5.32 4.68 4.21 3.87 3.82 3.77 3.69 3.47 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
---------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- --------- -------- -------- ------- -------- -------- -------- -------
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
4.78 4.36 4.04 3.71 4.50 4.03 3.66 3.16 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/00 12/99 06/99 01/99 05/00 08/99 02/99 05/98 Last Principal Payment
Date
87 5/32.............. 11.647 11.942 12.209 12.515 11.761 12.152 12.522 13.155 Yield to Maturity (%)
3.65 3.37 3.15 2.93 3.54 3.19 2.92 2.56 Duration
87 21/32............. 11.491 11.773 12.028 12.322 11.600 11.974 12.328 12.933 Yield to Maturity (%)
3.65 3.37 3.15 2.93 3.54 3.20 2.93 2.56 Duration
88 5/32.............. 11.337 11.606 11.849 12.129 11.441 11.798 12.136 12.713 Yield to Maturity (%)
3.66 3.38 3.16 2.94 3.55 3.21 2.94 2.57 Duration
88 21/32............. 11.184 11.440 11.672 11.938 11.283 11.623 11.945 12.494 Yield to Maturity (%)
3.67 3.39 3.17 2.95 3.56 3.21 2.94 2.57 Duration
89 5/32.............. 11.032 11.275 11.496 11.749 11.126 11.449 11.755 12.277 Yield to Maturity (%)
3.68 3.39 3.17 2.95 3.57 3.22 2.95 2.58 Duration
89 21/32............. 10.881 11.112 11.321 11.561 10.971 11.277 11.567 12.062 Yield to Maturity (%)
3.69 3.40 3.18 2.96 3.57 3.23 2.95 2.58 Duration
90 5/32.............. 10.731 10.950 11.147 11.375 10.816 11.106 11.380 11.848 Yield to Maturity (%)
3.69 3.41 3.19 2.96 3.58 3.23 2.96 2.59 Duration
90 21/32............. 10.583 10.789 10.975 11.189 10.663 10.936 11.194 11.636 Yield to Maturity (%)
3.70 3.42 3.19 2.97 3.59 3.24 2.96 2.59 Duration
91 5/32.............. 10.435 10.629 10.804 11.006 10.511 10.767 11.010 11.426 Yield to Maturity (%)
3.71 3.42 3.20 2.97 3.59 3.24 2.97 2.60 Duration
91 21/32............. 10.289 10.470 10.634 10.823 10.360 10.600 10.828 11.216 Yield to Maturity (%)
3.72 3.43 3.20 2.98 3.60 3.25 2.98 2.60 Duration
92 5/32.............. 10.143 10.313 10.466 10.642 10.210 10.434 10.646 11.009 Yield to Maturity (%)
3.72 3.44 3.21 2.99 3.61 3.26 2.98 2.61 Duration
92 21/32............. 9.999 10.156 10.299 10.462 10.061 10.269 10.466 10.803 Yield to Maturity (%)
3.73 3.44 3.22 2.99 3.61 3.26 2.99 2.61 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Table 3
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates of Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
1% and No Extensions
10% Annual Default Rate 20% Annual Default Rate
------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ --------- -------- -------- -------- ------- -------- ---------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
9.77 7.61 6.35 5.46 5.38 5.27 5.12 4.69 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
09/07 11/04 11/02 11/00 08/00 07/00 06/00 01/00 Last Principal Payment
Date
87 5/32.............. 10.282 10.644 10.980 11.314 11.346 11.400 11.475 11.718 Yield to Maturity (%)
5.91 5.09 4.50 4.04 4.00 3.93 3.84 3.59 Duration
87 21/32............. 10.186 10.532 10.854 11.173 11.204 11.256 11.328 11.560 Yield to Maturity (%)
5.93 5.10 4.51 4.05 4.01 3.94 3.85 3.59 Duration
88 5/32.............. 10.091 10.422 10.729 11.034 11.063 11.112 11.181 11.403 Yield to Maturity (%)
5.95 5.11 4.52 4.05 4.01 3.95 3.86 3.60 Duration
88 21/32............. 9.997 10.312 10.605 10.896 10.923 10.970 11.036 11.247 Yield to Maturity (%)
5.96 5.13 4.53 4.06 4.02 3.95 3.87 3.61 Duration
89 5/32.............. 9.903 10.203 10.482 10.758 10.784 10.829 10.892 11.092 Yield to Maturity (%)
5.98 5.14 4.54 4.07 4.03 3.96 3.87 3.61 Duration
89 21/32............. 9.811 10.095 10.359 10.622 10.647 10.689 10.748 10.939 Yield to Maturity (%)
6.00 5.15 4.55 4.08 4.04 3.97 3.88 3.62 Duration
90 5/32.............. 9.719 9.988 10.238 10.487 10.510 10.550 10.606 10.786 Yield to Maturity (%)
6.02 5.16 4.56 4.08 4.04 3.98 3.89 3.63 Duration
90 21/32............. 9.628 9.882 10.118 10.352 10.374 10.412 10.465 10.635 Yield to Maturity (%)
6.03 5.17 4.57 4.09 4.05 3.98 3.90 3.63 Duration
91 5/32.............. 9.537 9.776 9.998 10.219 10.239 10.275 10.325 10.485 Yield to Maturity (%)
6.05 5.19 4.58 4.10 4.06 3.99 3.90 3.64 Duration
91 21/32............. 9.447 9.672 9.880 10.086 10.106 10.139 10.186 10.335 Yield to Maturity (%)
6.07 5.20 4.59 4.11 4.07 4.00 3.91 3.65 Duration
92 5/32.............. 9.358 9.568 9.762 9.955 9.973 10.004 10.048 10.187 Yield to Maturity (%)
6.08 5.21 4.60 4.11 4.07 4.01 3.92 3.65 Duration
92 21/32............. 9.270 9.465 9.645 9.824 9.841 9.870 9.911 10.040 Yield to Maturity (%)
6.10 5.22 4.61 4.12 4.08 4.01 3.92 3.66 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
-------------------- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ --------- --------- --------- -------- --------- --------- --------
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
5.03 4.59 4.24 3.87 4.72 4.21 3.82 3.28 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal
Payment Date
06/00 01/00 07/99 01/99 06/00 09/99 03/99 06/98 Last Principal Payment
Date
87 5/32.............. 11.450 11.739 12.011 12.328 11.570 11.961 12.328 12.965 Yield to Maturity (%)
3.88 3.57 3.32 3.07 3.74 3.36 3.07 2.66 Duration
87 21/32............. 11.304 11.580 11.840 12.143 11.418 11.792 12.143 12.752 Yield to Maturity (%)
3.88 3.57 3.32 3.07 3.75 3.37 3.07 2.67 Duration
88 5/32.............. 11.158 11.422 11.670 11.960 11.268 11.625 11.959 12.540 Yield to Maturity (%)
3.89 3.58 3.33 3.08 3.76 3.37 3.08 2.67 Duration
88 21/32............. 11.014 11.265 11.501 11.777 11.118 11.458 11.777 12.330 Yield to Maturity (%)
3.90 3.59 3.34 3.08 3.76 3.38 3.08 2.68 Duration
89 5/32.............. 10.871 11.110 11.334 11.596 10.970 11.293 11.596 12.122 Yield to Maturity (%)
3.90 3.59 3.34 3.09 3.77 3.39 3.09 2.68 Duration
89 21/32............. 10.729 10.955 11.168 11.417 10.823 11.129 11.416 11.915 Yield to Maturity (%)
3.91 3.60 3.35 3.09 3.78 3.39 3.09 2.69 Duration
90 5/32.............. 10.588 10.802 11.003 11.238 10.677 10.967 11.238 11.710 Yield to Maturity (%)
3.92 3.60 3.35 3.10 3.78 3.40 3.10 2.69 Duration
90 21/32............. 10.448 10.650 10.839 11.061 10.532 10.805 11.061 11.506 Yield to Maturity (%)
3.93 3.61 3.36 3.10 3.79 3.40 3.11 2.70 Duration
91 5/32.............. 10.309 10.499 10.677 10.885 10.388 10.645 10.885 11.303 Yield to Maturity (%)
3.93 3.62 3.36 3.11 3.80 3.41 3.11 2.70 Duration
91 21/32............. 10.171 10.349 10.515 10.711 10.245 10.485 10.711 11.102 Yield to Maturity (%)
3.94 3.62 3.37 3.12 3.80 3.41 3.12 2.70 Duration
92 5/32.............. 10.034 10.200 10.355 10.538 10.103 10.327 10.537 10.902 Yield to Maturity (%)
3.95 3.63 3.38 3.12 3.81 3.42 3.12 2.71 Duration
92 21/32............. 9.898 10.052 10.196 10.365 9.962 10.170 10.365 10.704 Yield to Maturity (%)
3.95 3.64 3.38 3.13 3.82 3.43 3.13 2.71 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Table 4
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
2% and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ --------- --------- -------- ---------- ---------- -------- --------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
10.57 8.10 6.67 5.63 5.54 5.43 5.27 4.81 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
03/08 04/05 02/03 11/00 08/00 07/00 06/00 02/00 Last Principal Payment
Date
87 5/32.............. 10.146 10.511 10.857 11.218 11.246 11.304 11.381 11.626 Yield to Maturity (%)
6.33 5.38 4.71 4.17 4.13 4.06 3.96 3.69 Duration
87 21/32............. 10.056 10.406 10.736 11.082 11.109 11.164 11.237 11.473 Yield to Maturity (%)
6.35 5.40 4.72 4.18 4.14 4.07 3.97 3.69 Duration
88 5/32.............. 9.967 10.301 10.617 10.947 10.973 11.025 11.095 11.320 Yield to Maturity (%)
6.37 5.41 4.73 4.19 4.15 4.07 3.98 3.70 Duration
88 21/32............. 9.879 10.198 10.498 10.813 10.838 10.887 10.954 11.168 Yield to Maturity (%)
6.38 5.42 4.74 4.19 4.15 4.08 3.98 3.71 Duration
89 5/32.............. 9.792 10.095 10.381 10.680 10.703 10.751 10.814 11.017 Yield to Maturity (%)
6.40 5.43 4.75 4.20 4.16 4.09 3.99 3.71 Duration
89 21/32............. 9.705 9.993 10.264 10.547 10.570 10.615 10.675 10.868 Yield to Maturity (%)
6.42 5.44 4.76 4.21 4.17 4.09 4.00 3.72 Duration
90 5/32.............. 9.619 9.891 10.148 10.416 10.438 10.480 10.537 10.719 Yield to Maturity (%)
6.43 5.46 4.77 4.22 4.18 4.10 4.00 3.72 Duration
90 21/32............. 9.534 9.791 10.033 10.286 10.306 10.346 10.400 10.572 Yield to Maturity (%)
6.45 5.47 4.78 4.22 4.18 4.11 4.01 3.73 Duration
91 5/32.............. 9.449 9.691 9.919 10.157 10.176 10.213 10.264 10.426 Yield to Maturity (%)
6.47 5.48 4.79 4.23 4.19 4.12 4.02 3.74 Duration
91 21/32............. 9.365 9.592 9.805 10.029 10.046 10.081 10.129 10.280 Yield to Maturity (%)
6.48 5.49 4.80 4.24 4.20 4.12 4.02 3.74 Duration
92 5/32.............. 9.282 9.493 9.693 9.901 9.918 9.951 9.995 10.136 Yield to Maturity (%)
6.50 5.50 4.81 4.24 4.20 4.13 4.03 3.75 Duration
92 21/32............. 9.199 9.396 9.581 9.775 9.790 9.820 9.861 9.993 Yield to Maturity (%)
6.51 5.51 4.81 4.25 4.21 4.14 4.04 3.75 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
-------------------- -------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ --------- --------- -------- --------- -------- -------- --------
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
5.16 4.70 4.34 3.96 4.83 4.31 3.90 3.34 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/00 02/00 08/99 02/99 06/00 10/99 03/99 06/98 Last Principal Payment
Date
87 5/32.............. 11.359 11.644 11.917 12.239 11.481 11.870 12.236 12.875 Yield to Maturity (%)
3.99 3.67 3.40 3.14 3.85 3.45 3.14 2.72 Duration
87 21/32............. 11.217 11.489 11.751 12.058 11.333 11.706 12.056 12.666 Yield to Maturity (%)
4.00 3.68 3.41 3.14 3.86 3.45 3.15 2.72 Duration
88 5/32.............. 11.076 11.336 11.585 11.878 11.187 11.542 11.876 12.458 Yield to Maturity (%)
4.01 3.68 3.42 3.15 3.86 3.46 3.15 2.73 Duration
88 21/32............. 10.936 11.183 11.421 11.700 11.042 11.380 11.698 12.252 Yield to Maturity (%)
4.01 3.69 3.42 3.15 3.87 3.47 3.16 2.73 Duration
89 5/32.............. 10.797 11.032 11.258 11.523 10.897 11.219 11.521 12.048 Yield to Maturity (%)
4.02 3.69 3.43 3.16 3.88 3.47 3.16 2.73 Duration
89 21/32............. 10.659 10.882 11.096 11.348 10.754 11.059 11.346 11.845 Yield to Maturity (%)
4.03 3.70 3.43 3.16 3.88 3.48 3.17 2.74 Duration
90 5/32.............. 10.522 10.732 10.935 11.173 10.612 10.901 11.171 11.644 Yield to Maturity (%)
4.03 3.71 3.44 3.17 3.89 3.48 3.17 2.74 Duration
90 21/32............. 10.386 10.584 10.775 11.000 10.471 10.743 10.998 11.444 Yield to Maturity (%)
4.04 3.71 3.44 3.17 3.89 3.49 3.18 2.75 Duration
91 5/32.............. 10.250 10.437 10.617 10.828 10.331 10.586 10.826 11.245 Yield to Maturity (%)
4.05 3.72 3.45 3.18 3.90 3.49 3.18 2.75 Duration
91 21/32............. 10.116 10.291 10.459 10.657 10.191 10.431 10.656 11.048 Yield to Maturity (%)
4.05 3.72 3.45 3.18 3.91 3.50 3.19 2.76 Duration
92 5/32.............. 9.983 10.146 10.303 10.488 10.053 10.277 10.486 10.852 Yield to Maturity (%)
4.06 3.73 3.46 3.19 3.91 3.50 3.19 2.76 Duration
92 21/32............. 9.851 10.002 10.148 10.319 9.916 10.123 10.318 10.657 Yield to Maturity (%)
4.06 3.74 3.46 3.19 3.92 3.51 3.20 2.77 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Table 5
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
3% and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
---------------------------- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- -------- -------- --------- ------- --------- --------- --------- -------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
11.40 8.63 7.00 5.80 5.70 5.59 5.43 4.94 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
04/08 10/05 05/03 12/00 09/00 07/00 06/00 02/00 Last Principal Payment
Date
87 5/32.............. 10.022 10.387 10.740 11.127 11.152 11.213 11.291 11.539 Yield to Maturity (%)
6.76 5.69 4.93 4.30 4.27 4.19 4.08 3.79 Duration
87 21/32............. 9.938 10.287 10.625 10.995 11.019 11.077 11.152 11.389 Yield to Maturity (%)
6.78 5.71 4.94 4.31 4.28 4.19 4.09 3.79 Duration
88 5/32.............. 9.855 10.188 10.511 10.864 10.887 10.943 11.014 11.240 Yield to Maturity (%)
6.80 5.72 4.95 4.32 4.28 4.20 4.10 3.80 Duration
88 21/32............. 9.772 10.090 10.397 10.734 10.756 10.809 10.877 11.092 Yield to Maturity (%)
6.81 5.73 4.96 4.33 4.29 4.21 4.10 3.80 Duration
89 5/32.............. 9.691 9.993 10.285 10.605 10.626 10.676 10.741 10.945 Yield to Maturity (%)
6.83 5.74 4.97 4.33 4.30 4.21 4.11 3.81 Duration
89 21/32............. 9.609 9.896 10.173 10.477 10.497 10.545 10.606 10.800 Yield to Maturity (%)
6.85 5.75 4.98 4.34 4.30 4.22 4.12 3.82 Duration
90 5/32.............. 9.529 9.800 10.062 10.350 10.369 10.414 10.472 10.655 Yield to Maturity (%)
6.86 5.76 4.99 4.35 4.31 4.23 4.12 3.82 Duration
90 21/32............. 9.449 9.705 9.952 10.224 10.242 10.284 10.338 10.512 Yield to Maturity (%)
6.88 5.77 5.00 4.35 4.32 4.23 4.13 3.83 Duration
91 5/32.............. 9.370 9.610 9.843 10.098 10.115 10.155 10.206 10.369 Yield to Maturity (%)
6.89 5.79 5.01 4.36 4.32 4.24 4.13 3.83 Duration
91 21/32............. 9.291 9.516 9.735 9.974 9.990 10.027 10.075 10.227 Yield to Maturity (%)
6.91 5.80 5.01 4.37 4.33 4.25 4.14 3.84 Duration
92 5/32.............. 9.213 9.423 9.627 9.850 9.865 9.900 9.944 10.087 Yield to Maturity (%)
6.93 5.81 5.02 4.37 4.34 4.25 4.15 3.85 Duration
92 21/32............. 9.135 9.331 9.520 9.728 9.741 9.773 9.815 9.947 Yield to Maturity (%)
6.94 5.82 5.03 4.38 4.34 4.26 4.15 3.85 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- -------- -------- -------- -------- ------- -------- -------- -------
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
5.28 4.82 4.44 4.04 4.95 4.40 3.98 3.40 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal
Payment Date
06/00 02/00 08/99 02/99 07/00 11/99 04/99 06/98 Last Principal Payment
Date
87 5/32.............. 11.274 11.553 11.827 12.153 11.396 11.783 12.148 12.787 Yield to Maturity (%)
4.11 3.77 3.49 3.21 3.96 3.54 3.21 2.77 Duration
87 21/32............. 11.135 11.402 11.665 11.976 11.252 11.622 11.971 12.582 Yield to Maturity (%)
4.11 3.78 3.50 3.21 3.96 3.54 3.22 2.77 Duration
88 5/32.............. 10.998 11.253 11.503 11.800 11.110 11.463 11.796 12.379 Yield to Maturity (%)
4.12 3.78 3.50 3.22 3.97 3.55 3.22 2.78 Duration
88 21/32............. 10.862 11.105 11.343 11.626 10.968 11.305 11.622 12.177 Yield to Maturity (%)
4.13 3.79 3.51 3.22 3.97 3.55 3.23 2.78 Duration
89 5/32.............. 10.727 10.957 11.184 11.453 10.828 11.148 11.449 11.977 Yield to Maturity (%)
4.13 3.80 3.51 3.23 3.98 3.56 3.23 2.79 Duration
89 21/32............. 10.592 10.811 11.026 11.281 10.689 10.992 11.277 11.778 Yield to Maturity (%)
4.14 3.80 3.52 3.23 3.99 3.56 3.24 2.79 Duration
90 5/32.............. 10.459 10.666 10.869 11.110 10.550 10.837 11.107 11.580 Yield to Maturity (%)
4.15 3.81 3.52 3.24 3.99 3.57 3.24 2.80 Duration
90 21/32............. 10.327 10.522 10.714 10.941 10.413 10.683 10.938 11.384 Yield to Maturity (%)
4.15 3.81 3.53 3.24 4.00 3.57 3.25 2.80 Duration
91 5/32.............. 10.195 10.379 10.559 10.772 10.276 10.530 10.770 11.189 Yield to Maturity (%)
4.16 3.82 3.53 3.25 4.00 3.58 3.25 2.80 Duration
91 21/32............. 10.065 10.236 10.405 10.605 10.140 10.378 10.603 10.995 Yield to Maturity (%)
4.16 3.82 3.54 3.25 4.01 3.58 3.26 2.81 Duration
92 5/32.............. 9.935 10.095 10.253 10.439 10.006 10.227 10.437 10.803 Yield to Maturity (%)
4.17 3.83 3.54 3.26 4.01 3.59 3.26 2.81 Duration
92 21/32............. 9.806 9.955 10.101 10.274 9.872 10.078 10.272 10.612 Yield to Maturity (%)
4.18 3.83 3.55 3.26 4.02 3.59 3.27 2.82 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Table 6
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed, Percentages
of CPR, Prices and Mortgage Loan Default Rates and Assuming Unchanged LIBOR and
3-Year Balloon Extensions*
10% Annual Default Rate 20% Annual Default Rate
--------------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ------------ ------------ ------------- ----------- ----------- ---------- ----------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
8.93 7.72 7.43 6.90 7.63 6.78 5.89 5.01
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
05/07 12/04 08/03 03/03 07/03 04/03 03/02 08/00
87 5/32.............. 10.463 10.664 10.717 10.838 10.522 10/785 11.133 11.553
5.43 5.02 4.93 4.72 5.35 4.82 4.27 3.75
87 21/32............. 10.359 10.551 10.602 10.718 10.416 10.667 11.000 11.401
5.45 5.04 4.94 4.73 5.36 4.83 4.28 3.76
88 5/32.............. 10.255 10.439 10.488 10.599 10.311 10.551 10.868 11.251
5.47 5.05 4.96 4.74 5.37 4.84 4.29 3.77
88 21/32............. 10.153 10.328 10.374 10.480 10.206 10.435 10.737 11.102
5.48 5.07 4.97 4.76 5.39 4.85 4.30 3.77
89 5/32.............. 10.051 10.218 10.262 10.363 10.103 10.320 10.608 10.954
5.50 5.08 4.98 4.77 5.40 4.87 4.30 3.78
89 21/32............. 9.950 10.109 10.151 10.247 10.000 10.206 10.479 10.808
5.52 5.10 5.00 4.78 5.41 4.88 4.31 3.79
90 5/32.............. 9.850 10.001 10.040 10.131 9.898 10.093 10.351 10.662
5.54 5.11 5.01 4.79 5.42 4.89 4.32 3.80
90 21/32............. 9.751 9.893 9.931 10.017 9.797 9.981 10.224 10.518
5.55 5.12 5.02 4.80 5.44 4.90 4.33 3.80
91 5/32.............. 9.653 9.787 9.822 9.903 9.697 9.869 10.098 10.374
5.57 5.14 5.03 4.81 5.45 4.91 4.34 3.81
91 21/32............. 9.556 9.681 9.715 9.790 9.597 9.759 9.973 10.232
5.59 5.15 5.05 4.82 5.46 4.92 4.35 3.82
92 5/32.............. 9.459 9.576 9.608 9.678 9.498 9.649 9.849 10.090
5.61 5.16 5.06 4.84 5.48 4.93 4.36 3.83
92 21/32............. 9.363 9.473 9.502 9.567 9.400 9.540 9.726 9.950
5.62 5.18 5.07 4.85 5.49 4.94 4.37 3.83
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
------------------------- ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ------------ ----------- ----------- ------------- ---------- -------- ---------
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3% 85.8% 81.6% 77.6% 70.1%
7.67 6.23 5.14 4.13 N/A 6.26 4.79 3.73
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
05/04 12/02 03/01 08/99 $29,953,793** 02/04 03/01 03/99
87 5/32.............. 10.408 10.887 11.393 12.106 9.124 10.846 11.545 12.436
5.63 4.65 3.94 3.23 7.03 4.72 3.76 2.99
87 21/32............. 10.307 10.765 11.249 11.931 9.043 10.726 11.395 12.246
5.65 4.66 3.94 3.24 7.06 4.73 3.77 2.99
88 5/32.............. 10.207 10.644 11.106 11.757 8.963 10.607 11.245 12.058
5.66 4.67 3.95 3.25 7.08 4.74 3.78 3.00
88 21/32............. 10.108 10.524 10.964 11.584 8.884 10.488 11.097 11.871
5.67 4.68 3.96 3.25 7.10 4.75 3.79 3.00
89 5/32.............. 10.009 10.405 10.823 11.412 8.806 10.371 10.949 11.685
5.68 4.69 3.97 3.26 7.13 4.76 3.79 3.01
89 21/32............. 9.912 10.286 10.683 11.242 8.728 10.255 10.803 11.500
5.69 4.70 3.98 3.26 7.15 4.77 3.80 3.01
90 5/32.............. 9.815 10.169 10.544 11.073 8.651 10.139 10.658 11.317
5.71 4.71 3.98 3.27 7.17 4.78 3.81 3.02
90 21/32............. 9.719 10.053 10.407 10.905 8.574 10.024 10.514 11.136
5.72 4.72 3.99 3.28 7.19 4.79 3.81 3.03
91 5/32.............. 9.623 9.937 10.270 10.738 8.498 9.910 10.371 10.955
5.73 4.73 4.00 3.28 7.22 4.80 3.82 3.03
91 21/32............. 9.529 9.822 10.134 10.573 8.423 9.797 10.229 10.776
5.74 4.74 4.01 3.29 7.24 4.81 3.83 3.04
92 5/32.............. 9.435 9.709 9.999 10.409 8.349 9.685 10.088 10.598
5.75 4.75 4.01 3.29 7.26 4.82 3.84 3.04
92 21/32............. 9.341 9.596 9.866 10.246 8.275 9.574 9.948 10.422
5.77 4.76 4.02 3.30 7.28 4.83 3.84 3.05
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
<TABLE>
<CAPTION>
Table 7
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Decreases
1% and 3-Year Balloon Extensions*
10% Annual Default Rate 20% Annual Default Rate
--------------------------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------------ --------- --------- -------- -------- -------- -------- -------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
7.96 7.17 7.03 6.58 7.37 6.53 5.67 4.86 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal
Payment Date
06/06 09/04 08/03 02/03 06/03 02/03 01/02 07/00 Last Principal Payment
Date
87 5/32.............. 10.684 10.833 10.856 10.962 10.630 10.901 11.254 11.660 Yield to Maturity (%)
4.95 4.69 4.66 4.50 5.10 4.61 4.09 3.63 Duration
87 21/32............. 10.569 10.712 10.735 10.836 10.518 10.778 11.115 11.504 Yield to Maturity (%)
4.96 4.71 4.68 4.51 5.11 4.62 4.10 3.64 Duration
88 5/32.............. 10.456 10.593 10.614 10.711 10.408 10.656 10.977 11.349 Yield to Maturity (%)
4.98 4.72 4.69 4.53 5.13 4.63 4.11 3.65 Duration
88 21/32............. 10.343 10.474 10.494 10.587 10.299 10.535 10.841 11.195 Yield to Maturity (%)
5.00 4.74 4.70 4.54 5.14 4.64 4.12 3.65 Duration
89 5/32.............. 10.232 10.356 10.376 10.464 10.190 10.415 10.706 11.042 Yield to Maturity (%)
5.02 4.75 4.72 4.55 5.16 4.65 4.13 3.66 Duration
89 21/32............. 10.121 10.240 10.258 10.342 10.083 10.296 10.572 10.891 Yield to Maturity (%)
5.03 4.77 4.73 4.56 5.17 4.67 4.14 3.67 Duration
90 5/32.............. 10.011 10.124 10.142 10.222 9.976 10.177 10.438 10.741 Yield to Maturity (%)
5.05 4.78 4.75 4.57 5.18 4.68 4.15 3.68 Duration
90 21/32............. 9.903 10.009 10.026 10.102 9.870 10.060 10.306 10.591 Yield to Maturity (%)
5.07 4.80 4.76 4.59 5.20 4.69 4.16 3.69 Duration
91 5/32.............. 9.795 9.896 9.912 9.983 9.765 9.944 10.175 10.443 Yield to Maturity (%)
5.09 4.81 4.77 4.60 5.21 4.70 4.17 3.69 Duration
91 21/32............. 9.689 9.783 9.798 9.865 9.661 9.828 10.045 10.296 Yield to Maturity (%)
5.10 4.83 4.79 4.61 5.22 4.71 4.18 3.70 Duration
92 5/32.............. 9.583 9.671 9.685 9.748 9.558 9.714 9.916 10.151 Yield to Maturity (%)
5.12 4.84 4.80 4.62 5.24 4.72 4.19 3.71 Duration
92 21/32............. 9.478 9.560 9.573 9.631 9.455 9.600 9.788 10.006 Yield to Maturity (%)
5.14 4.85 4.81 4.63 5.25 4.74 4.20 3.72 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
---------------------------- -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- -------- -------- --------- -------- ----------- -------- -------- -------
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3% 85.8% 81.6% 77.6% 70.1%
7.42 6.02 4.99 4.03 N/A 6.03 4.66 3.65 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
12/03 10/02 02/01 07/99 $17,152,119** 09/03 01/01 02/99 Last Principal Payment
Date
87 5/32.............. 10.501 10.995 11.500 12.209 9.579 10.954 11.651 12.536 Yield to Maturity (%)
5.40 4.47 3.80 3.15 6.75 4.53 3.65 2.92 Duration
87 21/32............. 10.396 10.868 11.351 12.029 9.495 10.829 11.495 12.342 Yield to Maturity (%)
5.41 4.48 3.81 3.15 6.77 4.55 3.65 2.92 Duration
88 5/32.............. 10.292 10.742 11.203 11.850 9.412 10.705 11.341 12.149 Yield to Maturity (%)
5.42 4.49 3.82 3.16 6.79 4.56 3.66 2.93 Duration
88 21/32............. 10.189 10.617 11.056 11.672 9.329 10.582 11.187 11.957 Yield to Maturity (%)
5.44 4.50 3.83 3.17 6.82 4.57 3.67 2.93 Duration
89 5/32.............. 10.086 10.493 10.911 11.496 9.247 10.459 11.035 11.767 Yield to Maturity (%)
5.45 4.51 3.84 3.17 6.84 4.58 3.68 2.94 Duration
89 21/32............. 9.984 10.370 10.766 11.321 9.166 10.338 10.884 11.578 Yield to Maturity (%)
5.46 4.52 3.85 3.18 6.86 4.59 3.68 2.94 Duration
90 5/32.............. 9.883 10.248 10.623 11.148 9.086 10.218 10.735 11.390 Yield to Maturity (%)
5.47 4.53 3.85 3.19 6.89 4.60 3.69 2.95 Duration
90 21/32............. 9.783 10.127 10.480 10.976 9.006 10.099 10.586 11.204 Yield to Maturity (%)
5.49 4.54 3.86 3.19 6.91 4.61 3.70 2.96 Duration
91 5/32.............. 9.684 10.007 10.339 10.805 8.927 9.980 10.438 11.020 Yield to Maturity (%)
5.50 4.55 3.87 3.20 6.93 4.62 3.71 2.96 Duration
91 21/32............. 9.585 9.887 10.199 10.635 8.849 9.863 10.292 10.836 Yield to Maturity (%)
5.51 4.56 3.88 3.20 6.96 4.63 3.71 2.97 Duration
92 5/32.............. 9.487 9.769 10.060 10.466 8.771 9.746 10.147 10.654 Yield to Maturity (%)
5.52 4.57 3.89 3.21 6.98 4.64 3.72 2.97 Duration
92 21/32............. 9.390 9.652 9.921 10.299 8.695 9.630 10.002 10.474 Yield to Maturity (%)
5.54 4.58 3.89 3.22 7.00 4.65 3.73 2.98 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Table 8
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases 1%
and 3-Year Balloon Extensions*
10% Annual Default Rate 20% Annual Default Rate
------------------------ ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ---------- ------------ ------------ ------------- ------------ ----------- ---------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
9.84 8.29 7.85 7.24 7.89 7.04 6.11 5.17
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
11/07 05/05 11/03 04/03 07/03 04/03 03/02 08/00
87 5/32.............. 10.284 10.509 10.588 10.722 10.423 10.677 11.021 11.451
5.90 5.37 5.20 4.94 5.59 5.04 4.44 3.87
87 21/32............. 10.188 10.403 10.479 10.607 10.321 10.565 10.893 11.304
5.92 5.38 5.22 4.95 5.61 5.05 4.45 3.88
88 5/32.............. 10.093 10.299 10.371 10.493 10.220 10.453 10.767 11.159
5.94 5.39 5.23 4.97 5.62 5.06 4.46 3.89
88 21/32............. 9.998 10.195 10.264 10.380 10.121 10.342 10.641 11.014
5.95 5.41 5.24 4.98 5.63 5.07 4.47 3.90
89 5/32.............. 9.904 10.091 10.157 10.268 10.022 10.232 10.516 10.871
5.97 5.42 5.25 4.99 5.64 5.08 4.48 3.90
89 21/32............. 9.812 9.989 10.052 10.157 9.923 10.123 10.392 10.729
5.99 5.44 5.27 5.00 5.66 5.09 4.49 3.91
90 5/32.............. 9.719 9.888 9.947 10.047 9.826 10.014 10.269 10.588
6.01 5.45 5.28 5.01 5.67 5.10 4.50 3.92
90 21/32............. 9.628 9.787 9.843 9.937 9.729 9.907 10.147 10.448
6.02 5.46 5.29 5.02 5.68 5.11 4.50 3.92
91 5/32.............. 9.538 9.687 9.740 9.829 9.633 9.800 10.026 10.309
6.04 5.48 5.30 5.03 5.69 5.12 4.51 3.93
91 21/32............. 9.448 9.588 9.637 9.721 9.537 9.694 9.906 10.171
6.06 5.49 5.32 5.04 5.70 5.13 4.52 3.94
92 5/32.............. 9.359 9.490 9.536 9.614 9.443 9.589 9.786 10.033
6.08 5.50 5.33 5.05 5.72 5.14 4.53 3.95
92 21/32............. 9.270 9.392 9.435 9.507 9.349 9.484 9.668 9.897
6.09 5.52 5.34 5.06 5.73 5.15 4.54 3.95
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
------------------------------ ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ -------------- -------------- ------------ --------------- --------- ---------- -----------
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3% 85.8% 81.6% 77.6% 70.1%
7.94 6.45 5.29 4.23 N/A 6.51 4.93 3.81
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
11/04 02/03 04/01 08/99 $39,636,591** 12/04 06/01 03/99
87 5/32.............. 10.316 10.783 11.291 12.008 8.683 10.738 11.443 12.340
5.88 4.84 4.07 3.32 7.33 4.92 3.89 3.06
87 21/32............. 10.219 10.666 11.151 11.837 8.605 10.623 11.297 12.155
5.89 4.85 4.08 3.33 7.35 4.93 3.89 3.06
88 5/32.............. 10.124 10.550 11.013 11.667 8.529 10.509 11.152 11.971
5.91 4.86 4.09 3.33 7.37 4.95 3.90 3.07
88 21/32............. 10.029 10.435 10.876 11.499 8.452 10.395 11.008 11.788
5.92 4.87 4.09 3.34 7.40 4.96 3.91 3.07
89 5/32.............. 9.934 10.320 10.739 11.331 8.377 10.283 10.865 11.606
5.93 4.88 4.10 3.34 7.42 4.97 3.91 3.08
89 21/32............. 9.841 10.207 10.604 11.165 8.302 10.171 10.724 11.426
5.94 4.89 4.11 3.35 7.44 4.97 3.92 3.09
90 5/32.............. 9.748 10.094 10.470 11.001 8.228 10.060 10.583 11.247
5.95 4.90 4.12 3.36 7.46 4.98 3.93 3.09
90 21/32............. 9.656 9.982 10.337 10.837 8.155 9.950 10.443 11.070
5.96 4.91 4.12 3.36 7.49 4.99 3.93 3.10
91 5/32.............. 9.564 9.871 10.204 10.675 8.082 9.841 10.305 10.894
5.98 4.92 4.13 3.37 7.51 5.00 3.94 3.10
91 21/32............. 9.473 9.760 10.073 10.514 8.010 9.732 10.167 10.718
5.99 4.93 4.14 3.37 7.53 5.01 3.95 3.11
92 5/32.............. 9.383 9.651 9.942 10.354 7.938 9.625 10.030 10.545
6.00 4.94 4.15 3.38 7.55 5.02 3.95 3.11
92 21/32............. 9.294 9.542 9.813 10.195 7.867 9.518 9.894 10.372
6.01 4.95 4.15 3.38 7.57 5.03 3.96 3.12
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
<TABLE>
<CAPTION>
Table 9
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
2% and 3-Year Balloon Extensions*
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ---------- ---------- ----------- ----------- --------- ----------- ------------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
10.82 8.90 8.28 7.57 8.14 7.29 6.33 5.33
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
07/08 09/05 11/03 05/03 07/03 05/03 04/02 09/00
87 5/32.............. 10.122 10.367 10.470 10.615 10.331 10.577 10.916 11.354
6.40 5.72 5.48 5.17 5.84 5.25 4.62 4.00
87 21/32............. 10.034 10.267 10.366 10.505 10.234 10.469 10.793 11.212
6.42 5.74 5.49 5.18 5.85 5.26 4.63 4.00
88 5/32.............. 9.946 10.169 10.264 10.396 10.137 10.362 10.671 11.071
6.44 5.75 5.51 5.19 5.87 5.28 4.64 4.01
88 21/32............. 9.859 10.072 10.162 10.288 10.042 10.256 10.550 10.931
6.45 5.77 5.52 5.20 5.88 5.29 4.64 4.02
89 5/32.............. 9.772 9.975 10.061 10.181 9.947 10.150 10.430 10.792
6.47 5.78 5.53 5.21 5.89 5.30 4.65 4.02
89 21/32............. 9.686 9.879 9.960 10.075 9.852 10.045 10.311 10.654
6.49 5.79 5.54 5.22 5.90 5.31 4.66 4.03
90 5/32.............. 9.601 9.784 9.861 9.969 9.759 9.941 10.192 10.517
6.51 5.81 5.55 5.23 5.91 5.32 4.67 4.04
90 21/32............. 9.517 9.689 9.762 9.864 9.666 9.838 10.075 10.381
6.52 5.82 5.56 5.24 5.92 5.33 4.68 4.04
91 5/32.............. 9.433 9.595 9.664 9.760 9.574 9.736 9.958 10.246
6.54 5.83 5.58 5.25 5.93 5.34 4.69 4.05
91 21/32............. 9.350 9.502 9.567 9.657 9.483 9.634 9.842 10.112
6.56 5.84 5.59 5.26 5.95 5.35 4.70 4.06
92 5/32.............. 9.268 9.410 9.470 9.554 9.392 9.533 9.727 9.979
6.57 5.86 5.60 5.27 5.96 5.36 4.70 4.06
92 21/32............. 9.186 9.318 9.374 9.452 9.302 9.433 9.613 9.847
6.59 5.87 5.61 5.28 5.97 5.37 4.71 4.07
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life (year)
First Principal Payment Date
Last Principal Payment Date
87 5/32.............. Field to Maturity (%)
Duration
87 21/32............. Field to Maturity (%)
Duration
88 5/32.............. Field to Maturity (%)
Duration
88 21/32............. Field to Maturity (%)
Duration
89 5/32.............. Field to Maturity (%)
Duration
89 21/32............. Field to Maturity (%)
Duration
90 5/32.............. Field to Maturity (%)
Duration
90 21/32............. Field to Maturity (%)
Duration
91 5/32.............. Field to Maturity (%)
Duration
91 21/32............. Field to Maturity (%)
Duration
92 5/32.............. Field to Maturity (%)
Duration
92 21/32............. Field to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
-------------------------------------------- -----------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ------------- ------------- ------------ ---------------- ---------- ---------- --------
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3% 85.8% 81.6% 77.6% 70.1%
8.24 6.68 5.45 4.34 N/A 6.80 5.08 3.89
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
05/05 04/03 06/01 09/99 $47,136,496** 11/05 09/01 04/99
87 5/32.............. 10.226 10.685 11.192 11.913 8.255 10.629 11.343 12.247
6.15 5.04 4.21 3.41 7.63 5.15 4.01 3.13
87 21/32............. 10.134 10.573 11.057 11.746 8.180 10.519 11.201 12.066
6.16 5.05 4.22 3.41 7.65 5.16 4.02 3.14
88 5/32.............. 10.042 10.461 10.924 11.581 8.107 10.410 11.061 11.886
6.17 5.06 4.22 3.42 7.68 5.17 4.03 3.14
88 21/32............. 9.951 10.350 10.791 11.417 8.033 10.301 10.921 11.708
6.18 5.07 4.23 3.43 7.70 5.18 4.03 3.15
89 5/32.............. 9.861 10.240 10.659 11.254 7.961 10.193 10.783 11.530
6.19 5.08 4.24 3.43 7.72 5.19 4.04 3.15
89 21/32............. 9.772 10.131 10.528 11.092 7.889 10.086 10.646 11.354
6.20 5.09 4.24 3.44 7.74 5.20 4.05 3.16
90 5/32.............. 9.683 10.022 10.398 10.932 7.818 9.980 10.509 11.179
6.21 5.09 4.25 3.44 7.76 5.21 4.05 3.16
90 21/32............. 9.594 9.914 10.269 10.772 7.747 9.875 10.374 11.006
6.22 5.10 4.26 3.45 7.79 5.22 4.06 3.17
91 5/32.............. 9.507 9.807 10.141 10.614 7.677 9.770 10.240 10.834
6.23 5.11 4.27 3.45 7.81 5.22 4.07 3.17
91 21/32............. 9.419 9.701 10.013 10.457 7.608 9.666 10.106 10.662
6.24 5.12 4.27 3.46 7.83 5.23 4.07 3.18
92 5/32.............. 9.333 9.596 9.887 10.300 7.539 9.563 9.974 10.492
6.26 5.13 4.28 3.46 7.85 5.24 4.08 3.18
92 21/32............. 9.247 9.491 9.762 10.145 7.470 9.461 9.842 10.324
6.27 5.14 4.29 3.47 7.87 5.25 4.09 3.19
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
<TABLE>
<CAPTION>
Table 10
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class D Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
3% and 3-Year Balloon Extensions*
10% Annual Default Rate 20% Annual Default Rate
---------------------------------------------- -----------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ --------------- --------------- ------------- ---------- --------- -------- --------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
11.90 9.55 8.71 7.91 8.39 7.54 6.55 5.49
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
03/09 02/06 12/03 05/03 08/03 05/03 06/02 09/00
87 5/32.............. 9.975 10.234 10.362 10.516 10.244 10.484 10.816 11.262
6.93 6.10 5.76 5.40 6.10 5.48 4.80 4.12
87 21/32............. 9.893 10.141 10.263 10.410 10.151 10.380 10.698 11.124
6.95 6.11 5.77 5.41 6.11 5.49 4.81 4.13
88 5/32.............. 9.812 10.049 10.166 10.306 10.059 10.277 10.581 10.987
6.97 6.13 5.78 5.42 6.12 5.50 4.82 4.13
88 21/32............. 9.731 9.958 10.069 10.202 9.967 10.175 10.464 10.851
6.99 6.14 5.80 5.43 6.13 5.51 4.82 4.14
89 5/32.............. 9.652 9.867 9.972 10.100 9.876 10.074 10.348 10.717
7.00 6.15 5.81 5.44 6.14 5.51 4.83 4.15
89 21/32............. 9.572 9.777 9.877 9.998 9.786 9.973 10.234 10.583
7.02 6.17 5.82 5.45 6.15 5.52 4.84 4.15
90 5/32.............. 9.494 9.687 9.782 9.896 9.696 9.873 10.120 10.450
7.04 6.18 5.83 5.46 6.16 5.53 4.85 4.16
90 21/32............. 9.416 9.598 9.688 9.796 9.607 9.774 10.006 10.318
7.05 6.19 5.84 5.47 6.17 5.54 4.86 4.17
91 5/32.............. 9.338 9.510 9.594 9.696 9.518 9.675 9.894 10.187
7.07 6.20 5.85 5.48 6.18 5.55 4.86 4.17
91 21/32............. 9.262 9.423 9.502 9.597 9.431 9.578 9.782 10.057
7.09 6.22 5.86 5.49 6.19 5.56 4.87 4.18
92 5/32.............. 9.185 9.336 9.410 9.498 9.343 9.481 9.671 9.928
7.10 6.23 5.87 5.49 6.20 5.57 4.88 4.19
92 21/32............. 9.110 9.250 9.318 9.400 9.257 9.384 9.561 9.799
7.12 6.24 5.88 5.50 6.21 5.58 4.89 4.19
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life (years)
Principal Payment Date
Principal Payment Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
<TABLE>
30% Annual Default Rate 40% Annual Default Rate
---------------------------------------------- ---------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ -------------- -------------- -------------- ---------------- --------- ----------- ----------
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3% 85.8% 81.6% 77.6% 70.1%
8.54 6.90 5.61 4.44 N/A 7.15 5.23 3.97
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
11/05 05/03 07/01 09/99 $52,756,869** 01/07 12/01 04/99
87 5/32.............. 10.140 10.593 11.098 11.821 7.839 10.519 11.244 12.157
6.42 5.24 4.35 3.50 7.95 5.39 4.15 3.21
87 21/32............. 10.052 10.485 10.967 11.659 7.768 10.414 11.107 11.980
6.43 5.25 4.36 3.50 7.97 5.40 4.15 3.21
88 5/32.............. 9.964 10.377 10.838 11.498 7.697 10.310 10.971 11.804
6.45 5.26 4.36 3.51 7.99 5.41 4.16 3.22
88 21/32............. 9.877 10.270 10.709 11.338 7.627 10.206 10.836 11.630
6.46 5.26 4.37 3.51 8.01 5.42 4.17 3.22
89 5/32.............. 9.790 10.164 10.581 11.179 7.557 10.103 10.702 11.457
6.47 5.27 4.38 3.52 8.03 5.43 4.17 3.23
89 21/32............. 9.705 10.059 10.455 11.021 7.488 10.001 10.569 11.285
6.48 5.28 4.38 3.52 8.05 5.44 4.18 3.23
90 5/32.............. 9.619 9.955 10.329 10.865 7.420 9.899 10.437 11.114
6.49 5.29 4.39 3.53 8.07 5.45 4.19 3.23
90 21/32............. 9.535 9.851 10.204 10.709 7.352 9.798 10.306 10.944
6.50 5.30 4.40 3.53 8.09 5.46 4.19 3.24
91 5/32.............. 9.451 9.748 10.080 10.555 7.284 9.698 10.175 10.776
6.51 5.31 4.40 3.54 8.11 5.47 4.20 3.24
91 21/32............. 9.367 9.646 9.956 10.401 7.217 9.599 10.046 10.608
6.52 5.32 4.41 3.55 8.13 5.48 4.20 3.25
92 5/32.............. 9.284 9.544 9.834 10.249 7.151 9.501 9.918 10.442
6.53 5.32 4.42 3.55 8.16 5.49 4.21 3.25
92 21/32............. 9.202 9.443 9.712 10.098 7.085 9.403 9.790 10.277
6.54 5.33 4.42 3.56 8.18 5.50 4.22 3.26
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
87 5/32.............. Yield to Maturity (%)
Duration
87 21/32............. Yield to Maturity (%)
Duration
88 5/32.............. Yield to Maturity (%)
Duration
88 21/32............. Yield to Maturity (%)
Duration
89 5/32.............. Yield to Maturity (%)
Duration
89 21/32............. Yield to Maturity (%)
Duration
90 5/32.............. Yield to Maturity (%)
Duration
90 21/32............. Yield to Maturity (%)
Duration
91 5/32.............. Yield to Maturity (%)
Duration
91 21/32............. Yield to Maturity (%)
Duration
92 5/32.............. Yield to Maturity (%)
Duration
92 21/32............. Yield to Maturity (%)
Duration
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
<TABLE>
<CAPTION>
Table 11
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming Unchanged LIBOR
and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------- ------ ------- ------- ------- ------- -------- -------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
9.78 9.06 8.15 6.64 8.12 6.73 5.81 5.20 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
12/09 05/08 04/07 11/04 05/10 03/07 03/04 01/02 Last Principal Payment
Date
72 16/32............. 13.955 14.105 14.421 15.209 14.457 15.246 15.898 16.452 Yield to Maturity (%)
4.78 4.71 4.53 4.09 4.47 4.03 3.75 3.53 Duration
73................... 13.813 13.961 14.271 15.042 14.305 15.077 15.717 16.259 Yield to Maturity (%)
4.81 4.74 4.55 4.10 4.49 4.05 3.76 3.54 Duration
73 16/32............. 13.672 13.818 14.122 14.878 14.155 14.911 15.537 16.068 Yield to Maturity (%)
4.84 4.76 4.57 4.12 4.52 4.07 3.77 3.55 Duration
74................... 13.534 13.678 13.976 14.715 14.006 14.746 15.359 15.879 Yield to Maturity (%)
4.87 4.79 4.59 4.14 4.54 4.09 3.79 3.56 Duration
74 16/32............. 13.397 13.538 13.830 14.554 13.860 14.583 15.183 15.692 Yield to Maturity (%)
4.89 4.81 4.61 4.15 4.56 4.10 3.80 3.57 Duration
75................... 13.262 13.401 13.687 14.394 13.714 14.421 15.009 15.506 Yield to Maturity (%)
4.92 4.84 4.63 4.17 4.58 4.12 3.81 3.58 Duration
75 16/32............. 13.128 13.265 13.545 14.236 13.571 14.262 14.836 15.323 Yield to Maturity (%)
4.95 4.86 4.65 4.18 4.60 4.14 3.83 3.59 Duration
76................... 12.996 13.131 13.405 14.080 13.429 14.104 14.666 15.141 Yield to Maturity (%)
4.97 4.88 4.67 4.20 4.62 4.15 3.84 3.60 Duration
76 16/32............. 12.866 12.998 13.266 13.925 13.289 13.947 14.496 14.960 Yield to Maturity (%)
5.00 4.91 4.69 4.21 4.64 4.17 3.85 3.62 Duration
77................... 12.737 12.866 13.128 13.772 13.150 13.792 14.329 14.782 Yield to Maturity (%)
5.03 4.93 4.71 4.23 4.67 4.18 3.86 3.63 Duration
77 16/32............. 12.609 12.737 12.992 13.621 13.012 13.639 14.163 14.605 Yield to Maturity (%)
5.05 4.95 4.73 4.24 4.69 4.20 3.88 3.64 Duration
78................... 12.483 12.608 12.858 13.470 12.877 13.488 13.999 14.430 Yield to Maturity (%)
5.08 4.98 4.75 4.26 4.71 4.22 3.89 3.65 Duration
</TABLE>
<TABLE>
30% Annual Default Rate 40% Annual Default Rate
------------------------------- --------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- ----------- ------ ------- -------- -------------- -------------- ------------ --------
Total
Assumed
Defaults
From
Month 13
Through
Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
NA 9.02 5.98 4.54 NA NA NA 5.13 Weighted Average
Life (years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal
Payment Date
$79,437,339** 11/16 08/06 07/00 $109,988,323** $99,080,301** $70,990,647** 04/10 Last Principal
Payment Date
72 16/32... 11.586 14.048 15.621 17.343 3.850 6.769 10.063 16.749 Yield to Maturity (%)
5.69 4.74 3.87 3.20 7.09 5.35 4.36 3.36 Duration
73......... 11.467 13.905 15.445 17.130 3.755 6.642 9.907 16.547 Yield to Maturity (%)
5.72 4.76 3.89 3.21 7.14 5.38 4.38 3.37 Duration
73 16/32... 11.349 13.763 15.271 16.920 3.660 6.517 9.753 16.346 Yield to Maturity (%)
5.75 4.79 3.90 3.22 7.18 5.41 4.41 3.39 Duration
74......... 11.232 13.623 15.099 16.711 3.567 6.393 9.600 16.148 Yield to Maturity (%)
5.79 4.81 3.92 3.23 7.22 5.44 4.43 3.40 Duration
74 16/32... 11.117 13.485 14.929 16.505 3.474 6.271 9.450 15.952 Yield to Maturity (%)
5.82 4.84 3.93 3.24 7.26 5.48 4.45 3.41 Duration
75......... 11.004 13.348 14.761 16.300 3.383 6.150 9.302 15.758 Yield to Maturity (%)
5.85 4.86 3.94 3.25 7.31 5.51 4.48 3.42 Duration
75 16/32... 10.891 13.213 14.594 16.098 3.293 6.030 9.155 15.566 Yield to Maturity (%)
5.89 4.89 3.96 3.26 7.35 5.54 4.50 3.43 Duration
76......... 10.780 13.079 14.429 15.897 3.204 5.913 9.009 15.375 Yield to Maturity (%)
5.92 4.91 3.97 3.27 7.39 5.57 4.52 3.45 Duration
76 16/32... 10.671 12.947 14.265 15.698 3.117 5.796 8.866 15.187 Yield to Maturity (%)
5.95 4.94 3.99 3.27 7.43 5.60 4.54 3.46 Duration
77......... 10.563 12.816 14.103 15.501 3.030 5.681 8.724 15.000 Yield to Maturity (%)
5.99 4.96 4.00 3.28 7.47 5.63 4.57 3.47 Duration
77 16/32... 10.456 12.687 13.943 15.305 2.944 5.568 8.584 14.816 Yield to Maturity (%)
6.02 4.98 4.01 3.29 7.51 5.67 4.59 3.48 Duration
78......... 10.350 12.559 13.784 15.112 2.860 5.455 8.445 14.633 Yield to Maturity (%)
6.05 5.01 4.03 3.30 7.55 5.70 4.61 3.49 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Table 12
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Decreases
1% and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
---------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- -------- -------- -------- -------- -------- -------- -------- ------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
8.31 7.88 7.19 6.05 7.20 5.99 5.32 4.91 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/08 06/07 04/06 01/04 07/08 09/05 03/03 06/01 Last Principal Payment
Date
72 16/32............. 14.745 14.823 15.103 15.805 15.125 15.940 16.509 16.925 Yield to Maturity (%)
4.18 4.18 4.06 3.75 4.02 3.67 3.46 3.32 Duration
73................... 14.582 14.660 14.935 15.623 14.956 15.755 16.313 16.720 Yield to Maturity (%)
4.21 4.20 4.08 3.76 4.04 3.68 3.47 3.33 Duration
73 16/32............. 14.422 14.500 14.770 15.444 14.789 15.571 16.118 16.517 Yield to Maturity (%)
4.23 4.22 4.10 3.78 4.06 3.70 3.48 3.34 Duration
74................... 14.263 14.341 14.606 15.266 14.624 15.390 15.925 16.316 Yield to Maturity (%)
4.26 4.25 4.12 3.80 4.09 3.71 3.50 3.35 Duration
74 16/32............. 14.107 14.184 14.444 15.091 14.461 15.210 15.735 16.117 Yield to Maturity (%)
4.28 4.27 4.14 3.81 4.11 3.73 3.51 3.37 Duration
75................... 13.952 14.029 14.284 14.917 14.300 15.033 15.546 15.920 Yield to Maturity (%)
4.31 4.29 4.16 3.83 4.13 3.75 3.52 3.38 Duration
75 16/32............. 13.800 13.876 14.126 14.745 14.140 14.857 15.359 15.726 Yield to Maturity (%)
4.33 4.31 4.18 3.84 4.15 3.76 3.54 3.39 Duration
76................... 13.649 13.725 13.970 14.575 13.983 14.684 15.174 15.533 Yield to Maturity (%)
4.36 4.34 4.20 3.86 4.17 3.78 3.55 3.40 Duration
76 16/32............. 13.50 13.575 13.815 14.407 13.827 14.512 14.991 15.342 Yield to Maturity (%)
4.38 4.36 4.22 3.87 4.19 3.79 3.56 3.41 Duration
77................... 13.353 13.427 13.662 14.240 13.673 14.342 14.810 15.152 Yield to Maturity (%)
4.40 4.38 4.24 3.89 4.21 3.81 3.57 3.42 Duration
77 16/32............. 13.207 13.281 13.511 14.075 13.521 14.173 14.631 14.965 Yield to Maturity (%)
4.43 4.40 4.25 3.90 4.23 3.82 3.59 3.43 Duration
78................... 13.064 13.136 13.361 13.912 13.370 14.007 14.453 14.779 Yield to Maturity (%)
4.45 4.43 4.27 3.91 4.25 3.84 3.60 3.44 Duration
</TABLE>
<TABLE>
30% Annual Default Rate 40% Annual Default Rate
------------------------------- -------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- --------- ------------- ------- ------- ------- -------------- ------------- ------------ ------
Total
Assumed
Defaults
From
Month 13
Through
Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
N/A 7.42 5.41 4.35 N/A N/A N/A 4.50 Weighted Average
Life (years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal
Payment Date
$47,319,075** 06/11 10/04 06/00 $105,617,479** $91,030,523** $63,207,418** 09/04 Last Principal
Payment Date
72 16/32.. 12.658 14.797 16.268 17.764 4.759 7.834 11.232 17.511 Yield to Maturity (%)
5.20 4.23 3.56 3.04 6.44 4.92 4.08 3.11 Duration
73........ 12.527 14.637 16.077 17.541 4.653 7.696 11.065 17.292 Yield to Maturity (%)
5.24 4.25 3.58 3.05 6.48 4.95 4.10 3.12 Duration
73 16/32.. 12.398 14.478 15.888 17.320 4.549 7.560 10.900 17.076 Yield to Maturity (%)
5.27 4.28 3.59 3.06 6.53 4.99 4.12 3.13 Duration
74........ 12.271 14.321 15.701 17.100 4.447 7.425 10.738 16.861 Yield to Maturity (%)
5.31 4.30 3.60 3.07 6.57 5.02 4.14 3.14 Duration
74 16/32.. 12.146 14.166 15.516 16.884 4.345 7.293 10.577 16.649 Yield to Maturity (%)
5.34 4.32 3.61 3.08 6.61 5.05 4.17 3.15 Duration
75........ 12.022 14.013 15.333 16.669 4.245 7.162 10.418 16.439 Yield to Maturity (%)
5.37 4.34 3.63 3.09 6.65 5.08 4.19 3.16 Duration
75 16/32.. 11.899 13.861 15.152 16.456 4.147 7.032 10.261 16.231 Yield to Maturity (%)
5.41 4.36 3.64 3.10 6.70 5.11 4.21 3.17 Duration
76........ 11.779 13.711 14.972 16.245 4.049 6.905 10.106 16.025 Yield to Maturity (%)
5.44 4.38 3.65 3.11 6.74 5.14 4.23 3.18 Duration
76 16/32.. 11.659 13.563 14.795 16.037 3.953 6.779 9.953 15.821 Yield to Maturity (%)
5.47 4.40 3.67 3.12 6.78 5.17 4.26 3.19 Duration
77........ 11.542 13.417 14.619 15.830 3.858 6.654 9.801 15.619 Yield to Maturity (%)
5.50 4.42 3.68 3.13 6.82 5.20 4.28 3.20 Duration
77 16/32.. 11.425 13.272 14.444 15.625 3.764 6.531 9.652 15.419 Yield to Maturity (%)
5.54 4.44 3.69 3.14 6.86 5.24 4.30 3.21 Duration
78........ 11.310 13.128 14.272 15.422 3.671 6.410 9.504 15.220 Yield to Maturity (%)
5.57 4.46 3.70 3.15 6.90 5.27 4.32 3.22 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Table 13
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
1% and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
------------------------- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------- ------- ------- ------- ------- ------- ------- -------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
11.53 10.43 9.26 7.33 9.11 7.55 6.41 5.54 Weighted Average Life(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment Date
05/11 09/09 03/08 10/05 08/11 08/08 06/05 10/02 Last Principal Payment Date
72 16/32............. 13.263 13.468 13.803 14.644 13.871 14.622 15.296 15.979 Yield to Maturity (%)
5.47 5.32 5.05 4.47 4.96 4.44 4.08 3.76 Duration
73................... 13.139 13.340 13.669 14.492 13.734 14.469 15.129 15.798 Yield to Maturity (%)
5.50 5.35 5.08 4.48 4.98 4.45 4.09 3.77 Duration
73 16/32............. 13.017 13.214 13.535 14.341 13.598 14.317 14.964 15.619 Yield to Maturity (%)
5.53 5.37 5.10 4.50 5.01 4.47 4.10 3.78 Duration
74................... 12.895 13.089 13.404 14.192 13.464 14.167 14.800 15.441 Yield to Maturity (%)
5.56 5.40 5.12 4.51 5.03 4.49 4.12 3.79 Duration
74 16/32............. 12.776 12.966 13.274 14.044 13.332 14.019 14.638 15.266 Yield to Maturity (%)
5.59 5.42 5.14 4.53 5.05 4.51 4.13 3.80 Duration
75................... 12.657 12.844 13.145 13.898 13.201 13.872 14.478 15.091 Yield to Maturity (%)
5.62 5.45 5.16 4.55 5.07 4.52 4.14 3.81 Duration
75 16/32............. 12.540 12.723 13.018 13.753 13.071 13.726 14.319 14.919 Yield to Maturity (%)
5.65 5.47 5.18 4.56 5.10 4.54 4.16 3.82 Duration
76................... 12.425 12.604 12.892 13.610 12.943 13.583 14.162 14.748 Yield to Maturity (%)
5.68 5.50 5.21 4.58 5.12 4.56 4.17 3.83 Duration
76 16/32............. 12.310 12.486 12.767 13.468 12.816 13.440 14.006 14.578 Yield to Maturity (%)
5.70 5.52 5.23 4.59 5.14 4.58 4.18 3.84 Duration
77................... 12.197 12.369 12.643 13.327 12.691 13.299 13.852 14.410 Yield to Maturity (%)
5.73 5.55 5.25 4.61 5.16 4.59 4.20 3.85 Duration
77 16/32............. 12.086 12.253 12.521 13.188 12.567 13.160 13.699 14.244 Yield to Maturity (%)
5.76 5.57 5.27 4.62 5.18 4.61 4.21 3.87 Duration
78................... 11.975 12.139 12.400 13.051 12.444 13.022 13.548 14.079 Yield to Maturity (%)
5.79 5.59 5.29 4.64 5.20 4.63 4.22 3.88 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A 6.75 4.74
10/94 10/94 10/94 10/94
$101,273,910** $32,059,355** 10/08 11/00
72 16/32............. 10.583 13.044 14.971 16.942
6.21 5.17 4.24 3.36
73................... 10.473 12.913 14.810 16.740
6.24 5.19 4.25 3.37
73 16/32............. 10.365 12.782 14.651 16.539
6.27 5.22 4.27 3.38
74................... 10.258 12.654 14.494 16.341
6.31 5.24 4.28 3.39
74 16/32............. 10.153 12.527 14.339 16.144
6.34 5.27 4.30 3.40
75................... 10.048 12.401 14.185 15.949
6.37 5.30 4.32 3.41
75 16/32............. 9.945 12.277 14.032 15.756
6.41 5.32 4.33 3.42
76................... 9.843 12.154 13.881 15.565
6.44 5.35 4.35 3.43
76 16/32............. 9.742 12.033 13.732 15.375
6.47 5.37 4.36 3.43
77................... 9.643 11.913 13.584 15.187
6.51 5.40 4.38 3.44
77 16/32............. 9.544 11.794 13.437 15.001
6.54 5.42 4.39 3.45
78................... 9.447 11.677 13.292 14.816
6.57 5.45 4.41 3.46
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$114,359,168** $107,109,798** $78,758,124** $15,055,771** Last Principal Payment Date
72 16/32............. 3.005 5.767 8.947 15.647 Yield to Maturity (%)
7.79 5.81 4.67 3.57 Duration
73................... 2.918 5.650 8.802 15.456 Yield to Maturity (%)
7.83 5.84 4.69 3.59 Duration
73 16/32............. 2.832 5.535 8.658 15.268 Yield to Maturity (%)
7.88 5.87 4.71 3.60 Duration
74................... 2.746 5.420 8.515 15.081 Yield to Maturity (%)
7.92 5.90 4.74 3.61 Duration
74 16/32............. 2.662 5.308 8.375 14.897 Yield to Maturity (%)
7.96 5.94 4.76 3.63 Duration
75................... 2.579 5.196 8.236 14.714 Yield to Maturity (%)
8.00 5.97 4.79 3.64 Duration
75 16/32............. 2.497 5.086 8.099 14.534 Yield to Maturity (%)
8.04 6.00 4.81 3.65 Duration
76................... 2.416 4.977 7.963 14.355 Yield to Maturity (%)
8.08 6.03 4.83 3.67 Duration
76 16/32............. 2.336 4.870 7.828 14.178 Yield to Maturity (%)
8.12 6.07 4.86 3.68 Duration
77................... 2.256 4.764 7.696 14.002 Yield to Maturity (%)
8.16 6.10 4.88 3.69 Duration
77 16/32............. 2.178 4.658 7.564 13.829 Yield to Maturity (%)
8.20 6.13 4.90 3.71 Duration
78................... 2.100 4.555 7.435 13.657 Yield to Maturity (%)
8.24 6.16 4.93 3.72 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 14
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
2% and No Extensions*
10% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4%
13.67 12.13 10.57 8.15
10/94 10/94 10/94 10/94
01/13 05/11 08/09 12/06
72 16/32............. 12.652 12.889 13.242 14.105
6.27 6.02 5.65 4.89
73................... 12.544 12.776 13.122 13.966
6.30 6.04 5.67 4.91
73 16/32............. 12.437 12.664 13.003 13.828
6.33 6.07 5.69 4.93
74................... 12.331 12.554 12.885 13.692
6.36 6.10 5.72 4.94
74 16/32............. 12.226 12.444 12.768 13.557
6.39 6.12 5.74 4.96
75................... 12.123 12.336 12.653 13.423
6.42 6.15 5.76 4.97
75 16/32............. 12.020 12.229 12.539 13.291
6.45 6.17 5.78 4.99
76................... 11.919 12.124 12.426 13.160
6.48 6.20 5.80 5.01
76 16/32............. 11.819 12.019 12.314 13.030
6.51 6.22 5.82 5.02
77................... 11.720 11.915 12.203 12.902
6.54 6.25 5.85 5.04
77 16/32............. 11.622 11.813 12.093 12.775
6.57 6.27 5.87 5.05
78................... 11.525 11.711 11.985 12.649
6.60 6.30 5.89 5.07
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 54.7% 51.7% 48.8% 43.4%
10.20 8.42 7.18 5.95 Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
08/12 02/10 02/07 08/03 Last Principal Payment Date
72 16/32............. 13.352 14.076 14.702 15.505 Yield to Maturity (%)
5.49 4.86 4.45 4.02 Duration
73................... 13.229 13.936 14.549 15.336 Yield to Maturity (%)
5.52 4.88 4.47 4.03 Duration
73 16/32............. 13.106 13.798 14.398 15.168 Yield to Maturity (%)
5.54 4.90 4.48 4.04 Duration
74................... 12.985 13.661 14.248 15.002 Yield to Maturity (%)
5.56 4.92 4.50 4.05 Duration
74 16/32............. 12.865 13.525 14.100 14.837 Yield to Maturity (%)
5.58 4.94 4.51 4.06 Duration
75................... 12.747 13.391 13.953 14.674 Yield to Maturity (%)
5.61 4.96 4.53 4.07 Duration
75 16/32............. 12.629 13.259 13.807 14.512 Yield to Maturity (%)
5.63 4.97 4.54 4.08 Duration
76................... 12.513 13.127 13.663 14.352 Yield to Maturity (%)
5.65 4.99 4.55 4.09 Duration
76 16/32............. 12.398 12.997 13.521 14.193 Yield to Maturity (%)
5.68 5.01 4.57 4.10 Duration
77................... 12.285 12.869 13.380 14.036 Yield to Maturity (%)
5.70 5.03 4.58 4.11 Duration
77 16/32............. 12.172 12.741 13.240 13.880 Yield to Maturity (%)
5.72 5.05 4.59 4.12 Duration
78................... 12.061 12.615 13.101 13.726 Yield to Maturity (%)
5.74 5.06 4.61 4.13 Duration
</TABLE>
<PAGE>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- ---------- ----------
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A 7.86 4.96
10/94 10/94 10/94 10/94
$116,418,451** $61,420,799** 12/12 06/01
72 16/32............. 9.642 12.014 14.313 16.541
6.77 5.56 4.67 3.54
73................... 9.542 11.892 14.168 16.349
6.80 5.59 4.69 3.55
73 16/32............. 9.443 11.771 14.024 16.158
6.83 5.61 4.70 3.56
74................... 9.345 11.652 13.881 15.970
6.87 5.64 4.72 3.57
74 16/32............. 9.248 11.534 13.740 15.783
6.90 5.67 4.74 3.57
75................... 9.152 11.417 13.600 15.597
6.93 5.69 4.76 3.58
75 16/32............. 9.057 11.301 13.462 15.414
6.96 5.72 4.77 3.59
76................... 8.963 11.187 13.325 15.232
7.00 5.74 4.79 3.60
76 16/32............. 8.870 11.074 13.190 15.051
7.03 5.77 4.81 3.61
77................... 8.779 10.962 13.055 14.872
7.06 5.80 4.83 3.62
77 16/32............. 8.688 10.852 12.923 14.695
7.09 5.82 4.84 3.62
78................... 8.598 10.742 12.791 14.519
7.13 5.85 4.86 3.63
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$118,730,012** $115,139,296** $86,525,601** $28,561,897** Last Principal Payment Date
72 16/32............. 2.218 4.824 7.884 14.474 Yield to Maturity (%)
8.54 6.30 5.00 3.75 Duration
73................... 2.138 4.717 7.748 14.293 Yield to Maturity (%)
8.58 6.34 5.02 3.76 Duration
73 16/32............. 2.060 4.610 7.614 14.114 Yield to Maturity (%)
8.62 6.37 5.05 3.78 Duration
74................... 1.982 4.505 7.481 13.936 Yield to Maturity (%)
8.66 6.40 5.07 3.79 Duration
74 16/32............. 1.905 4.401 7.350 13.760 Yield to Maturity (%)
8.70 6.43 5.10 3.80 Duration
75................... 1.829 4.298 7.220 13.586 Yield to Maturity (%)
8.74 6.47 5.12 3.82 Duration
75 16/32............. 1.754 4.196 7.091 13.414 Yield to Maturity (%)
8.78 6.50 5.14 3.83 Duration
76................... 1.680 4.096 6.964 13.243 Yield to Maturity (%)
8.82 6.53 5.17 3.84 Duration
76 16/32............. 1.606 3.996 6.839 13.074 Yield to Maturity (%)
8.86 6.56 5.19 3.86 Duration
77................... 1.533 3.898 6.715 12.907 Yield to Maturity (%)
8.90 6.60 5.21 3.87 Duration
77 16/32............. 1.461 3.801 6.592 12.741 Yield to Maturity (%)
8.94 6.63 5.24 3.88 Duration
78................... 1.390 3.705 6.470 12.577 Yield to Maturity (%)
8.98 6.66 5.26 3.90 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 15
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
3% and No Extensions*
10% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4%
16.38 14.29 12.24 9.15
10/94 10/94 10/94 10/94
02/15 06/13 11/11 03/08
72 16/32............. 12.109 12.361 12.717 13.591
7.19 6.82 6.33 5.38
73................... 12.015 12.261 12.610 13.465
7.22 6.84 6.36 5.39
73 16/32............. 11.921 12.162 12.503 13.340
7.25 6.87 6.38 5.41
74................... 11.829 12.065 12.398 13.215
7.28 6.90 6.40 5.43
74 16/32............. 11.737 11.968 12.294 13.093
7.31 6.93 6.43 5.44
75................... 11.647 11.872 12.191 12.971
7.35 6.95 6.45 5.46
75 16/32............. 11.557 11.778 12.089 12.850
7.38 6.98 6.47 5.48
76................... 11.469 11.684 11.988 12.731
7.41 7.01 6.49 5.49
76 16/32............. 11.381 11.591 11.888 12.613
7.44 7.03 6.52 5.51
77................... 11.294 11.500 11.789 12.496
7.47 7.06 6.54 5.52
77 16/32............. 11.208 11.409 11.691 12.380
7.50 7.08 6.56 5.54
78................... 11.124 11.319 11.594 12.265
7.53 7.11 6.58 5.56
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 54.7% 51.7% 48.8% 43.4%
11.32 9.38 8.10 6.45 Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
09/13 07/11 11/08 12/04 Last Principal Payment Date
72 16/32............. 12.893 13.582 14.145 15.026 Yield to Maturity (%)
6.07 5.33 4.87 4.31 Duration
73................... 12.781 13.455 14.006 14.868 Yield to Maturity (%)
6.09 5.35 4.89 4.32 Duration
73 16/32............. 12.670 13.328 13.868 14.712 Yield to Maturity (%)
6.12 5.37 4.90 4.33 Duration
74................... 12.560 13.203 13.731 14.557 Yield to Maturity (%)
6.14 5.39 4.92 4.34 Duration
74 16/32............. 12.452 13.080 13.595 14.403 Yield to Maturity (%)
6.16 5.41 4.93 4.35 Duration
75................... 12.344 12.957 13.461 14.251 Yield to Maturity (%)
6.18 5.42 4.95 4.36 Duration
75 16/32............. 12.238 12.836 13.328 14.100 Yield to Maturity (%)
6.21 5.44 4.96 4.38 Duration
76................... 12.132 12.716 13.196 13.951 Yield to Maturity (%)
6.23 5.46 4.98 4.39 Duration
76 16/32............. 12.028 12.597 13.066 13.803 Yield to Maturity (%)
6.25 5.48 4.99 4.40 Duration
77................... 11.925 12.479 12.937 13.656 Yield to Maturity (%)
6.28 5.50 5.01 4.41 Duration
77 16/32............. 11.823 12.362 12.809 13.510 Yield to Maturity (%)
6.30 5.52 5.02 4.42 Duration
78................... 11.722 12.247 12.682 13.366 Yield to Maturity (%)
6.32 5.53 5.04 4.43 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- ----------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A N/A 5.24
10/94 10/94 10/94 10/94
$122,755,793** $82,024,887** $15,770,998** 04/02
72 16/32............. 8.761 11.038 13.494 16.125
7.37 5.99 5.11 3.74
73................... 8.669 10.924 13.361 15.943
7.40 6.01 5.13 3.75
73 16/32............. 8.578 10.812 13.229 15.763
7.43 6.04 5.15 3.76
74................... 8.487 10.701 13.099 15.584
7.46 6.07 5.17 3.76
74 16/32............. 8.398 10.591 12.970 15.407
7.50 6.09 5.19 3.77
75................... 8.310 10.482 12.842 15.231
7.53 6.12 5.21 3.78
75 16/32............. 8.222 10.375 12.716 15.057
7.56 6.14 5.23 3.79
76................... 8.136 10.268 12.591 14.884
7.59 6.17 5.25 3.80
76 16/32............. 8.050 10.163 12.467 14.713
7.62 6.19 5.27 3.81
77................... 7.966 10.059 12.345 14.544
7.65 6.22 5.29 3.81
77 16/32............. 7.882 9.956 12.224 14.375
7.68 6.25 5.31 3.82
78................... 7.799 9.854 12.104 14.209
7.72 6.27 5.33 3.83
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$123,100,856** $123,088,239** $94,264,412** $38,440,661** Last Principal Payment Date
72 16/32............. 1.484 3.938 6.873 13.339 Yield to Maturity (%)
9.34 6.84 5.36 3.94 Duration
73................... 1.412 3.838 6.746 13.166 Yield to Maturity (%)
9.38 6.87 5.38 3.95 Duration
73 16/32............. 1.340 3.740 6.620 12.995 Yield to Maturity (%)
9.42 6.90 5.40 3.97 Duration
74................... 1.268 3.643 6.496 12.826 Yield to Maturity (%)
9.46 6.94 5.43 3.98 Duration
74 16/32............. 1.198 3.547 6.373 12.658 Yield to Maturity (%)
9.49 6.97 5.45 3.99 Duration
75................... 1.128 3.452 6.252 12.492 Yield to Maturity (%)
9.53 7.00 5.48 4.01 Duration
75 16/32............. 1.059 3.358 6.132 12.328 Yield to Maturity (%)
9.57 7.03 5.50 4.02 Duration
76................... 0.991 3.265 6.013 12.166 Yield to Maturity (%)
9.61 7.06 5.53 4.03 Duration
76 16/32............. 0.923 3.173 5.896 12.005 Yield to Maturity (%)
9.64 7.10 5.55 4.05 Duration
77................... 0.856 3.082 5.780 11.845 Yield to Maturity (%)
9.68 7.13 5.57 4.06 Duration
77 16/32............. 0.790 2.992 5.665 11.687 Yield to Maturity (%)
9.72 7.16 5.60 4.07 Duration
78................... 0.725 2.903 5.551 11.531 Yield to Maturity (%)
9.75 7.19 5.62 4.09 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 16
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming Unchanged LIBOR
and 3-Year Balloon Extensions*
10% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5%
8.97 8.51 7.91 7.28
10/94 10/94 10/94 10/94
05/09 01/08 10/06 10/04
72 16/32............. 14.336 14.401 14.586 14.808
4.49 4.48 4.40 4.31
73................... 14.184 14.249 14.431 14.650
4.51 4.51 4.42 4.32
73 16/32............. 14.035 14.100 14.279 14.494
4.54 4.53 4.44 4.34
74................... 13.887 13.952 14.128 14.339
4.56 4.56 4.46 4.36
74 16/32............. 13.741 13.805 13.978 14.186
4.59 4.58 4.48 4.38
75................... 13.597 13.661 13.831 14.035
4.61 4.60 4.50 4.40
75 16/32............. 13.454 13.518 13.685 13.885
4.64 4.62 4.53 4.41
76................... 13.313 13.377 13.541 13.737
4.66 4.65 4.55 4.43
76 16/32............. 13.174 13.237 13.398 13.591
4.69 4.67 4.57 4.45
77................... 13.037 13.099 13.257 13.446
4.71 4.69 4.59 4.47
77 16/32............. 12.901 12.963 13.117 13.302
4.74 4.72 4.61 4.48
78................... 12.767 12.828 12.979 13.160
4.76 4.74 4.62 4.50
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 61.1% 57.6% 54.3% 48.1%
11.59 8.95 7.57 6.41 Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
11/13 02/09 10/05 07/03 Last Principal Payment Date
72 16/32............. 12.744 13.608 14.363 15.319 Yield to Maturity (%)
6.09 5.21 4.63 4.04 Duration
73................... 12.633 13.477 14.216 15.151 Yield to Maturity (%)
6.12 5.24 4.64 4.05 Duration
73 16/32............. 12.522 13.348 14.070 14.984 Yield to Maturity (%)
6.15 5.26 4.66 4.07 Duration
74................... 12.413 13.221 13.927 14.819 yield to Maturity (%)
6.19 5.28 4.68 4.08 Duration
74 16/32............. 12.306 13.095 13.784 14.656 Yield to Maturity (%)
6.22 5.31 4.70 4.10 Duration
75................... 12.199 12.970 13.643 14.494 Yield to Maturity (%)
6.25 5.33 4.72 4.11 Duration
75 16/32............. 12.094 12.847 13.504 14.334 Yield to Maturity (%)
6.28 5.35 4.74 4.13 Duration
76................... 11.990 12.725 13.366 14.176 Yield to Maturity (%)
6.32 5.38 4.76 4.14 Duration
76 16/32............. 11.888 12.604 13.230 14.019 Yield to Maturity (%)
6.35 5.40 4.77 4.16 Duration
77................... 11.786 12.484 13.095 13.864 Yield to Maturity (%)
6.38 5.42 4.79 4.17 Duration
77 16/32............. 11.686 12.366 12.961 13.710 Yield to Maturity (%)
6.41 5.44 4.81 4.18 Duration
78................... 11.586 12.249 12.828 13.558 Yield to Maturity (%)
6.44 5.47 4.83 4.20 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A 6.59
10/94 10/94 10/94 10/94
$106,274,236** $106,618,997** $90,338,305** 05/07
72 16/32............. 5.285 7.726 10.267 15.042
8.83 7.02 5.87 4.19
73................... 5.208 7.630 10.152 14.880
8.88 7.06 5.90 4.21
73 16/32............. 5.132 7.534 10.037 14.719
8.93 7.10 5.93 4.22
74................... 5.057 7.439 9.924 14.560
8.97 7.14 5.96 4.24
74 16/32............. 4.982 7.346 9.812 14.403
9.02 7.17 5.99 4.25
75................... 4.909 7.254 9.702 14.247
9.07 7.21 6.02 4.27
75 16/32............. 4.836 7.163 9.592 14.093
9.11 7.25 6.04 4.28
76................... 4.765 7.073 9.484 13.940
9.16 7.28 6.07 4.30
76 16/32............. 4.694 6.984 9.377 13.789
9.20 7.32 6.10 4.32
77................... 4.624 6.895 9.272 13.640
9.25 7.36 6.13 4.33
77 16/32............. 4.555 6.808 9.167 13.492
9.29 7.39 6.16 4.35
78................... 4.486 6.722 9.064 13.345
9.33 7.43 6.19 4.36
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$109,609,000** $109,790,711** $110,054,179** $77,742,632** Last Principal Payment Date
72 16/32............. *** (1.361) 2.105 9.014 Yield to Maturity (%)
10.03 7.07 4.43 Duration
73................... *** (1.428) 2.009 8.861 Yield to Maturity (%)
10.08 7.10 4.45 Duration
73 16/32............. *** (1.495) 1.914 8.709 Yield to Maturity (%)
10.13 7.14 4.47 Duration
74................... *** (1.561) 1.820 8.559 yield to Maturity (%)
10.18 7.18 4.49 Duration
74 16/32............. *** (1.627) 1.727 8.411 Yield to Maturity (%)
10.23 7.22 4.51 Duration
75................... *** (1.692) 1.636 8.264 Yield to Maturity (%)
10.28 7.25 4.53 Duration
75 16/32............. *** (1.756) 1.545 8.119 Yield to Maturity (%)
10.33 7.29 4.56 Duration
76................... *** (1.819) 1.456 7.976 Yield to Maturity (%)
10.37 7.33 4.58 Duration
76 16/32............. *** (1.881) 1.367 7.834 Yield to Maturity (%)
10.42 7.36 4.60 Duration
77................... *** (1.943) 1.279 7.694 Yield to Maturity (%)
10.47 7.40 4.62 Duration
77 16/32............. *** (2.004) 1.193 7.555 Yield to Maturity (%)
10.51 7.43 4.64 Duration
78................... *** (2.065) 1.107 7.418 Yield to Maturity (%)
10.56 7.47 4.66 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment
</FN>
</TABLE>
<PAGE>
Table 17
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Decreases
1% and 3-Year Balloon Extensions*
10% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5%
7.29 7.24 6.93 6.69
10/94 10/94 10/94 10/94
09/07 09/06 10/05 12/03
72 16/32............. 15.357 15.266 15.346 15.364
3.84 3.91 3.91 3.94
73................... 15.180 15.093 15.172 15.192
3.86 3.94 3.93 3.96
73 16/32............. 15.006 14.921 15.000 15.021
3.88 3.96 3.95 3.98
74................... 14.833 14.752 14.830 14.852
3.90 3.98 3.97 3.99
74 16/32............. 14.662 14.585 14.662 14.686
3.93 4.00 3.99 4.01
75................... 14.494 14.419 14.496 14.521
3.95 4.02 4.01 4.03
75 16/32............. 14.327 14.256 14.332 14.357
3.97 4.04 4.03 4.05
76................... 14.163 14.094 14.170 14.196
3.99 4.06 4.05 4.07
76 16/32............. 14.001 13.935 14.010 14.036
4.02 4.09 4.06 4.08
77................... 13.840 13.777 13.851 13.878
4.04 4.11 4.08 4.10
77 16/32............. 13.682 13.621 13.694 13.722
4.06 4.13 4.10 4.12
78................... 13.525 13.467 13.539 13.568
4.08 4.15 4.12 4.13
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 61.1% 57.6% 54.3% 48.1%
10.08 8.08 7.02 6.00 Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
06/11 07/07 09/04 06/03 Last Principal Payment Date
72 16/32............. 13.380 14.216 14.901 15.815 Yield to Maturity (%)
5.30 4.65 4.22 3.75 Duration
73................... 13.252 14.070 14.740 15.633 Yield to Maturity (%)
5.33 4.68 4.24 3.76 Duration
73 16/32............. 13.125 13.926 14.581 15.454 Yield to Maturity (%)
5.36 4.70 4.26 3.78 Duration
74................... 13.000 13.783 14.424 15.276 Yield to Maturity (%)
5.40 4.72 4.28 3.80 Duration
74 16/32............. 12.877 13.642 14.268 15.101 Yield to Maturity (%)
5.43 4.74 4.30 3.81 Duration
75................... 12.755 13.503 14.114 14.927 Yield to Maturity (%)
5.46 4.77 4.32 3.83 Duration
75 16/32............. 12.635 13.365 13.961 14.755 Yield to Maturity (%)
5.49 4.79 4.33 3.84 Duration
76................... 12.516 13.228 13.811 14.585 Yield to Maturity (%)
5.52 4.81 4.35 3.85 Duration
76 16/32............. 12.398 13.093 13.661 14.416 Yield to Maturity (%)
5.55 4.83 4.37 3.87 Duration
77................... 12.282 12.960 13.514 14.250 Yield to Maturity (%)
5.58 4.86 4.39 3.88 Duration
77 16/32............. 12.167 12.828 13.368 14.085 Yield to Maturity (%)
5.61 4.88 4.41 3.90 Duration
78................... 12.054 12.698 13.223 13.921 Yield to Maturity (%)
5.64 4.90 4.42 3.91 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A 6.00
10/94 10/94 10/94 10/94
$100,708,278** $101,193,728** $74,797,538** 01/05
72 16/32............. 6.230 8.732 11.330 15.630
7.93 6.40 5.41 3.85
73................... 6.144 8.626 11.204 15.453
7.98 6.44 5.44 3.87
73 16/32............. 6.059 8.521 11.080 15.278
8.02 6.48 5.47 3.88
74................... 5.976 8.418 10.957 15.105
8.07 6.52 5.50 3.90
74 16/32............. 5.893 8.316 10.836 14.934
8.12 6.56 5.53 3.91
75................... 5.812 8.215 10.717 14.765
8.17 6.59 5.56 3.93
75 16/32............. 5.731 8.115 10.598 14.598
8.22 6.63 5.59 3.94
76................... 5.652 8.017 10.482 14.432
8.26 6.67 5.62 3.96
76 16/32............. 5.574 7.919 10.366 14.268
8.31 6.70 5.65 3.97
77................... 5.496 7.823 10.252 14.105
8.36 6.74 5.68 3.98
77 16/32............. 5.419 7.728 10.139 13.944
8.40 6.78 5.70 4.00
78................... 5.344 7.634 10.028 13.785
8.45 6.81 5.73 4.01
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$105,087,261** $105,328,110** $105,675,368** $67,945,949** Last Principal Payment Date
72 16/32............. *** (0.458) 3.070 10.185 Yield to Maturity (%)
9.01 6.45 4.15 Duration
73................... *** (0.533) 2.965 10.021 Yield to Maturity (%)
9.06 6.49 4.17 Duration
73 16/32............. *** (0.608) 2.861 9.860 Yield to Maturity (%)
9.11 6.53 4.19 Duration
74................... *** (0.681) 2.758 9.700 Yield to Maturity (%)
9.16 6.56 4.21 Duration
74 16/32............. *** (0.754) 2.657 9.542 Yield to Maturity (%)
9.21 6.60 4.23 Duration
75................... *** (0.826) 2.557 9.385 Yield to Maturity (%)
9.26 6.64 4.26 Duration
75 16/32............. *** (0.897) 2.458 9.231 Yield to Maturity (%)
9.31 6.68 4.28 Duration
76................... *** (0.967) 2.360 9.078 Yield to Maturity (%)
9.36 6.71 4.30 Duration
76 16/32............. *** (1.036) 2.263 8.927 Yield to Maturity (%)
9.41 6.75 4.32 Duration
77................... *** (1.105) 2.168 8.778 Yield to Maturity (%)
9.45 6.79 4.34 Duration
77 16/32............. *** (1.173) 2.073 8.630 Yield to Maturity (%)
9.50 6.82 4.36 Duration
78................... *** (1.240) 1.980 8.484 Yield to Maturity (%)
9.55 6.86 4.38 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 18
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
1% and 3-Year Balloon Extensions*
10% Annual Default Rate
---------------------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5%
10.99 10.07 9.10 7.98
10/94 10/94 10/94 10/94
01/11 07/09 01/08 08/05
72 16/32............. 13.467 13.632 13.891 14.278
5.25 5.15 4.97 4.72
73................... 13.338 13.500 13.755 14.134
5.28 5.18 4.99 4.73
73 16/32............. 13.210 13.369 13.619 13.991
5.31 5.20 5.01 4.75
74................... 13.084 13.241 13.485 13.850
5.34 5.23 5.03 4.77
74 16/32............. 12.959 13.113 13.353 13.710
5.36 5.25 5.06 4.79
75................... 12.836 12.987 13.222 13.572
5.39 5.28 5.08 4.81
75 16/32............. 12.714 12.862 13.093 13.435
5.42 5.30 5.10 4.82
76................... 12.593 12.739 12.965 13.299
5.45 5.33 5.12 4.84
76 16/32............. 12.474 12.617 12.838 13.165
5.48 5.35 5.14 4.86
77................... 12.357 12.497 12.712 13.032
5.50 5.37 5.16 4.87
77 16/32............. 12.240 12.378 12.588 12.901
5.53 5.40 5.18 4.89
78................... 12.125 12.260 12.465 12.770
5.56 5.42 5.20 4.91
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 61.1% 57.6% 54.3% 48.1%
13.71 10.00 8.20 6.83 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 First Principal Payment
Date
09/17 01/11 11/06 11/03 Last Principal Payment
Date
72 16/32............. 12.154 13.048 13.862 14.876 Yield to Maturity (%)
7.03 5.85 5.07 4.33 Duration
73................... 12.057 12.932 13.728 14.719 Yield to Maturity (%)
7.07 5.87 5.09 4.35 Duration
73 16/32............. 11.962 12.817 13.595 14.563 Yield to Maturity (%)
7.11 5.90 5.11 4.36 Duration
74................... 11.867 12.703 13.464 14.410 Yield to Maturity (%)
7.14 5.92 5.13 4.38 Duration
74 16/32............. 11.774 12.591 13.334 14.257 Yield to Maturity (%)
7.18 5.94 5.15 4.39 Duration
75................... 11.682 12.479 13.205 14.106 Yield to Maturity (%)
7.21 5.97 5.16 4.41 Duration
75 16/32............. 11.591 12.369 13.077 13.957 Yield to Maturity (%)
7.24 5.99 5.18 4.42 Duration
76................... 11.500 12.260 12.951 13.809 Yield to Maturity (%)
7.28 6.02 5.20 4.44 Duration
76 16/32............. 11.411 12.152 12.826 13.663 Yield to Maturity (%)
7.31 6.04 5.22 4.45 Duration
77................... 11.323 12.045 12.703 13.518 Yield to Maturity (%)
7.35 6.06 5.23 4.46 Duration
77 16/32............. 11.236 11.940 12.580 13.374 Yield to Maturity (%)
7.38 6.09 5.25 4.48 Duration
78................... 11.150 11.835 12.459 13.232 Yield to Maturity (%)
7.41 6.11 5.27 4.49 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A 7.57
10/94 10/94 10/94 10/94
$111,840,195** $112,044,266** $104,622,428** 06/12
72 16/32............. 4.396 6.779 9.263 14.409
9.80 7.69 6.36 4.60
73................... 4.326 6.690 9.156 14.262
9.84 7.72 6.39 4.62
73 16/32............. 4.258 6.603 9.050 14.115
9.89 7.76 6.41 4.64
74................... 4.190 6.516 8.945 13.971
9.93 7.80 6.44 4.66
74 16/32............. 4.123 6.431 8.842 13.828
9.98 7.83 6.47 4.67
75................... 4.056 6.346 8.740 13.686
10.02 7.87 6.50 4.69
75 16/32............. 3.991 6.263 8.639 13.546
10.07 7.91 6.53 4.71
76................... 3.926 6.180 8.538 13.407
10.11 7.94 6.56 4.73
76 16/32............. 3.862 6.098 8.439 13.270
10.15 7.98 6.59 4.74
77................... 3.798 6.018 8.342 13.134
10.19 8.01 6.61 4.76
77 16/32............. 3.735 5.938 8.245 12.999
10.24 8.05 6.64 4.78
78................... 3.673 5.858 8.149 12.866
10.28 8.08 6.67 4.79
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$114,130,738** $114,253,313** $114,432,990** $87,459,236** Last Principal Payment Date
72 16/32............. *** (2.238) 1.195 7.894 Yield to Maturity (%)
11.16 7.73 4.73 Duration
73................... *** (2.299) 1.107 7.750 Yield to Maturity (%)
11.20 7.77 4.75 Duration
73 16/32............. *** (2.359) 1.020 7.608 Yield to Maturity (%)
11.25 7.80 4.77 Duration
74................... *** (2.419) 0.934 7.467 Yield to Maturity (%)
11.30 7.84 4.79 Duration
74 16/32............. *** (2.478) 0.849 7.328 Yield to Maturity (%)
11.34 7.88 4.81 Duration
75................... *** (2.536) 0.765 7.191 Yield to Maturity (%)
11.39 7.91 4.83 Duration
75 16/32............. *** (2.594) 0.682 7.055 Yield to Maturity (%)
11.43 7.95 4.85 Duration
76................... *** (2.651) 0.600 6.920 Yield to Maturity (%)
11.48 7.98 4.88 Duration
76 16/32............. *** (2.707) 0.519 6.787 Yield to Maturity (%)
11.52 8.02 4.90 Duration
77................... *** (2.763) 0.438 6.655 Yield to Maturity (%)
11.57 8.06 4.92 Duration
77 16/32............. *** (2.819) 0.359 6.525 Yield to Maturity (%)
11.61 8.09 4.94 Duration
78................... *** (2.874) 0.280 6.396 Yield to Maturity (%)
11.65 8.13 4.96 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 19
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
2% and 3-Year Balloon Extensions*
10% Annual Default Rate
---------------------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 39.5% 32.4% 28.5%
13.39 12.01 10.60 8.82
10/94 10/94 10/94 10/94
09/12 03/11 10/09 10/06
72 16/32............. 12.736 12.946 13.250 13.770
6.14 5.93 5.63 5.18
73................... 12.626 12.831 13.129 13.638
6.17 5.96 5.65 5.20
73 16/32............. 12.516 12.718 13.010 13.508
6.20 5.99 5.68 5.21
74................... 12.408 12.606 12.891 13.380
6.23 6.01 5.70 5.23
74 16/32............. 12.301 12.495 12.774 13.252
6.26 6.04 5.72 5.25
75................... 12.196 12.386 12.659 13.126
6.29 6.07 5.74 5.27
75 16/32............. 12.091 12.277 12.544 13.001
6.32 6.09 5.77 5.28
76................... 11.988 12.170 12.431 12.877
6.35 6.12 5.79 5.30
76 16/32............. 11.886 12.064 12.319 12.755
6.38 6.14 5.81 5.32
77................... 11.785 11.959 12.208 12.634
6.41 6.17 5.83 5.33
77 16/32............. 11.685 11.855 12.098 12.513
6.44 6.19 5.85 5.35
78................... 11.586 11.752 11.989 12.394
6.47 6.22 5.87 5.37
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 61.1% 57.6% 54.3% 48.1%
N/A 11.34 8.95 7.27 Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$39,562,574** 08/13 04/08 07/04 Last Principal Payment Date
72 16/32............. 11.336 12.521 13.375 14.459 Yield to Maturity (%)
7.95 6.59 5.58 4.65 Duration
73................... 11.251 12.417 13.253 14.313 Yield to Maturity (%)
7.99 6.61 5.60 4.67 Duration
73 16/32............. 11.166 12.315 13.132 14.168 Yield to Maturity (%)
8.03 6.64 5.62 4.68 Duration
74................... 11.083 12.214 13.013 14.025 Yield to Maturity (%)
8.06 6.67 5.64 4.69 Duration
74 16/32............. 11.000 12.114 12.895 13.883 Yield to Maturity (%)
8.10 6.69 5.65 4.71 Duration
75................... 10.918 12.015 12.777 13.742 Yield to Maturity (%)
8.13 6.72 5.67 4.72 Duration
75 16/32............. 10.837 11.917 12.661 13.603 Yield to Maturity (%)
8.17 6.74 5.69 4.74 Duration
76................... 10.757 11.820 12.547 13.465 Yield to Maturity (%)
8.20 6.77 5.71 4.75 Duration
76 16/32............. 10.678 11.724 12.433 13.328 Yield to Maturity (%)
8.24 6.79 5.73 4.76 Duration
77................... 10.600 11.629 12.320 13.192 Yield to Maturity (%)
8.27 6.81 5.74 4.78 Duration
77 16/32............. 10.522 11.535 12.209 13.058 Yield to Maturity (%)
8.31 6.84 5.76 4.79 Duration
78................... 10.446 11.442 12.098 12.925 Yield to Maturity (%)
8.34 6.86 5.78 4.80 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$117,406,153** $117,469,535** $117,034,050** $21,398,000**
72 16/32............. 3.553 5.883 8.311 13.467
10.83 8.40 6.88 4.97
73................... 3.491 5.802 8.212 13.330
10.87 8.43 6.90 4.99
73 16/32............. 3.429 5.722 8.115 13.195
10.92 8.47 6.93 5.00
74................... 3.367 5.643 8.018 13.061
10.96 8.50 6.96 5.02
74 16/32............. 3.306 5.565 7.922 12.928
11.00 8.54 6.99 5.04
75................... 3.246 5.487 7.827 12.797
11.04 8.57 7.02 5.06
75 16/32............. 3.187 5.410 7.734 12.667
11.08 8.61 7.04 5.08
76................... 3.128 5.335 7.641 12.538
11.12 8.64 7.07 5.10
76 16/32............. 3.069 5.259 7.549 12.411
11.16 8.68 7.10 5.11
77................... 3.011 5.185 7.458 12.284
11.20 8.71 7.13 5.13
77 16/32............. 2.954 5.112 7.368 12.160
11.24 8.74 7.15 5.15
78................... 2.898 5.039 7.279 12.036
11.28 8.78 7.18 5.17
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$118,652,476** $118,715,915** $118,811,801** $97,062,567** Last Principal Payment Date
72 16/32............. *** (3.112) 0.333 6.822 Yield to Maturity (%)
12.39 8.44 5.05 Duration
73................... *** (3.167) 0.253 6.688 Yield to Maturity (%)
12.43 8.48 5.07 Duration
73 16/32............. *** (3.222) 0.173 6.554 Yield to Maturity (%)
12.47 8.51 5.09 Duration
74................... *** (3.276) 0.094 6.422 Yield to Maturity (%)
12.52 8.55 5.11 Duration
74 16/32............. *** (3.329) 0.016 6.292 Yield to Maturity (%)
12.56 8.58 5.13 Duration
75................... *** (3.382) (0.061) 6.163 Yield to Maturity (%)
12.60 8.62 5.15 Duration
75 16/32............. *** (3.434) (0.137) 6.035 Yield to Maturity (%)
12.64 8.65 5.17 Duration
76................... *** (3.485) (0.212) 5.909 Yield to Maturity (%)
12.69 8.69 5.19 Duration
76 16/32............. *** (3.537) (0.287) 5.784 Yield to Maturity (%)
12.73 8.72 5.21 Duration
77................... *** (3.587) (0.361) 5.660 Yield to Maturity (%)
12.77 8.76 5.23 Duration
77 16/32............. *** (3.638) (0.434) 5.538 Yield to Maturity (%)
12.81 8.79 5.25 Duration
78................... *** (3.687) (0.507) 5.417 Yield to Maturity (%)
12.85 8.83 5.28 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 20
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class E Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
3% and 3-Year Balloon Extensions*
10% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------ ------------ ------------ ----------
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5%
16.59 14.49 12.53 9.89
10/94 10/94 10/94 10/94
05/15 09/13 09/11 07/08
72 16/32............. 12.094 12.336 12.656 13.276
7.20 6.85 6.41 5.71
73................... 11.999 12.237 12.550 13.157
7.24 6.88 6.44 5.73
73 16/32............. 11.906 12.139 12.445 13.039
7.27 6.90 6.46 5.75
74................... 11.814 12.041 12.341 12.922
7.30 6.93 6.48 5.76
74 16/32............. 11.723 11.945 12.239 12.806
7.33 6.96 6.51 5.78
75................... 11.632 11.850 12.137 12.692
7.37 6.99 6.53 5.80
75 16/32............. 11.543 11.756 12.036 12.578
7.40 7.01 6.55 5.82
76................... 11.455 11.663 11.936 12.466
7.43 7.04 6.58 5.83
76 16/32............. 11.367 11.571 11.838 12.354
7.46 7.07 6.60 5.85
77................... 11.281 11.479 11.740 12.244
7.49 7.10 6.62 5.87
77 16/32............. 11.195 11.389 11.643 12.135
7.52 7.12 6.64 5.88
78................... 11.111 11.300 11.547 12.027
7.55 7.15 6.67 5.90
<PAGE>
<TABLE>
<CAPTION>
20% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 61.1% 57.6% 54.3% 48.1%
N/A 13.38 9.91 7.78 Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$99,179,747** 03/19 03/10 08/05 Last Principal Payment Date
72 16/32............. 10.375 12.011 12.897 14.061 Yield to Maturity (%)
8.78 7.47 6.17 5.00 Duration
73................... 10.297 11.920 12.787 13.924 Yield to Maturity (%)
8.81 7.50 6.19 5.01 Duration
73 16/32............. 10.221 11.830 12.677 13.789 Yield to Maturity (%)
8.85 7.53 6.21 5.02 Duration
74................... 10.145 11.741 12.569 13.656 Yield to Maturity (%)
8.88 7.56 6.23 5.04 Duration
74 16/32............. 10.070 11.653 12.462 13.523 Yield to Maturity (%)
8.92 7.59 6.25 5.05 Duration
75................... 9.996 11.565 12.356 13.392 Yield to Maturity (%)
8.95 7.61 6.27 5.06 Duration
75 16/32............. 9.922 11.479 12.251 13.262 Yield to Maturity (%)
8.98 7.64 6.29 5.08 Duration
76................... 9.849 11.393 12.147 13.133 Yield to Maturity (%)
9.01 7.67 6.30 5.09 Duration
76 16/32............. 9.777 11.309 12.044 13.006 Yield to Maturity (%)
9.05 7.69 6.32 5.10 Duration
77................... 9.706 11.225 11.942 12.879 Yield to Maturity (%)
9.08 7.72 6.34 5.12 Duration
77 16/32............. 9.635 11.142 11.841 12.754 Yield to Maturity (%)
9.11 7.75 6.36 5.13 Duration
78................... 9.565 11.060 11.741 12.630 Yield to Maturity (%)
9.14 7.77 6.37 5.14 Duration
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$122,933,782** $122,894,804** $122,889,811** $42,264,245**
72 16/32............. 2.755 5.037 7.410 12.443
11.93 9.16 7.43 5.28
73................... 2.698 4.962 7.318 12.314
11.97 9.19 7.46 5.30
73 16/32............. 2.641 4.889 7.227 12.186
12.01 9.23 7.48 5.32
74................... 2.585 4.816 7.138 12.060
12.05 9.26 7.51 5.33
74 16/32............. 2.530 4.744 7.049 11.935
12.08 9.29 7.54 5.35
75................... 2.475 4.673 6.961 11.811
12.12 9.33 7.56 5.37
75 16/32............. 2.421 4.602 6.874 11.689
12.16 9.36 7.59 5.39
76................... 2.367 4.532 6.788 11.568
12.20 9.39 7.62 5.41
76 16/32............. 2.314 4.463 6.703 11.447
12.23 9.42 7.64 5.42
77................... 2.261 4.395 6.618 11.329
12.27 9.46 7.67 5.44
77 16/32............. 2.209 4.327 6.535 11.211
12.31 9.49 7.70 5.46
78................... 2.157 4.260 6.452 11.094
12.34 9.52 7.72 5.48
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$123,174,214** $123,178,517** $123,190,612** $106,665,901** Last Principal Payment Date
72 16/32............. *** (4.010) (0.486) 5.797 Yield to Maturity (%)
13.74 9.20 5.39 Duration
73................... *** (4.059) (0.560) 5.671 Yield to Maturity (%)
13.78 9.24 5.41 Duration
73 16/32............. *** (4.108) (0.633) 5.546 Yield to Maturity (%)
13.82 9.27 5.43 Duration
74................... *** (4.157) (0.706) 5.422 Yield to Maturity (%)
13.86 9.31 5.45 Duration
74 16/32............. *** (4.205) (0.777) 5.300 Yield to Maturity (%)
13.90 9.34 5.47 Duration
75................... *** (4.252) (0.848) 5.179 Yield to Maturity (%)
13.94 9.37 5.49 Duration
75 16/32............. *** (4.300) (0.918) 5.059 Yield to Maturity (%)
13.98 9.41 5.51 Duration
76................... *** (4.346) (0.988) 4.941 Yield to Maturity (%)
14.02 9.44 5.53 Duration
76 16/32............. *** (4.393) (1.057) 4.823 Yield to Maturity (%)
14.05 9.47 5.55 Duration
77................... *** (4.439) (1.125) 4.707 Yield to Maturity (%)
14.09 9.51 5.57 Duration
77 16/32............. *** (4.484) (1.192) 4.592 Yield to Maturity (%)
14.13 9.54 5.59 Duration
78................... *** (4.529) (1.259) 4.478 Yield to Maturity (%)
14.17 9.57 5.61 Duration
<FN>
- ----------
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 21
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming Unchanged LIBOR
and No Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------------------------- -----------------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ---------- --------- ---------- ------- -------- -------- ---------
<C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% % % % %
7.18 7.56 7.70 7.43 12.35 9.60 7.58 6.39
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
12/09 09/08 11/07 02/06 09/12 02/09 05/06 02/04
71 10/32............. 16.193 15.859 15.652 15.552 13.306 14.304 15.386 16.076
3.52 3.68 3.80 3.92 5.40 4.62 4.01 3.74
72 10/32............. 15.804 15.486 15.291 15.201 13.053 14.007 15.044 15.709
3.57 3.73 3.85 3.97 5.49 4.69 4.06 3.78
73 10/32............. 15.425 15.123 14.940 14.860 12.807 13.719 14.710 15.350
3.62 3.78 3.90 4.01 5.58 4.75 4.11 3.81
74 10/32............. 15.057 14.770 14.598 14.527 12.568 13.438 14.385 15.000
3.67 3.83 3.95 4.06 5.66 4.81 4.15 3.85
75 10/32............. 14.698 14.427 14.265 14.202 12.336 13.164 14.068 14.657
3.72 3.88 4.00 4.10 5.75 4.88 4.20 3.88
76 10/32............. 14.348 14.092 13.940 13.885 12.110 12.897 13.758 14.321
3.77 3.93 4.05 4.15 5.83 4.94 4.24 3.92
77 10/32............. 14.007 13.765 13.623 13.575 11.890 12.637 13.455 13.993
3.81 3.98 4.10 4.19 5.91 5.00 4.29 3.95
78 10/32............. 13.675 13.447 13.314 13.272 11.676 12.384 13.159 13.672
3.86 4.03 4.15 4.23 6.00 5.06 4.33 3.99
79 10/32............. 13.351 13.136 13.012 12.977 11.467 12.136 12.870 13.358
3.90 4.08 4.20 4.28 6.08 5.12 4.38 4.02
80 10/32............. 13.034 12.833 12.718 12.687 11.264 11.895 12.588 13.050
3.95 4.12 4.24 4.32 6.15 5.17 4.42 4.05
81 10/32............. 12.725 12.537 12.430 12.404 11.065 11.659 12.311 12.748
4.00 4.17 4.29 4.36 6.23 5.23 4.46 4.09
82 10/32............. 12.423 12.248 12.149 12.127 10.872 11.428 12.040 12.452
4.04 4.22 4.34 4.40 6.31 5.29 4.50 4.12
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate 40% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ------------ -- -- -- -- -- -- -- --
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed
Defaults From
Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9% 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A 6.57 N/A N/A N/A N/A
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
$34,530,497** $34,785,151** $35,065,135** 09/05 $36,402,994** $36,584,987** $36,800,132** $37,181,412**
71 10/32........ *** (0.791) 8.133 15.703 *** *** *** (3.891)
9.54 7.32 3.94 9.46
72 10/32........ *** (0.934) 7.946 15.354 *** *** *** (4.035)
9.72 7.43 3.98 9.59
73 10/32........ *** (1.073) 7.764 15.013 *** *** *** (4.176)
9.90 7.53 4.01 9.73
74 10/32........ *** (1.208) 7.586 14.679 *** *** *** (4.314)
10.08 7.63 4.05 9.86
75 10/32........ *** (1.338) 7.414 14.353 *** *** *** (4.447)
10.25 7.74 4.08 9.99
76 10/32........ *** (1.465) 7.246 14.034 *** *** *** (4.577)
10.41 7.83 4.12 10.11
77 10/32........ *** (1.588) 7.082 13.722 *** *** *** (4.704)
10.57 7.93 4.15 10.24
78 10/32........ *** (1.708) 6.922 13.417 *** *** *** (4.828)
10.73 8.03 4.19 10.36
79 10/32........ *** (1.824) 6.766 13.117 *** *** *** (4.949)
10.89 8.12 4.22 10.48
80 10/32........ *** (1.937) 6.614 12.824 *** *** *** (5.067)
11.04 8.21 4.26 10.59
81 10/32........ *** (2.048) 6.465 12.537 *** *** *** (5.182)
11.19 8.30 4.29 10.71
82 10/32........ *** (2.156) 6.320 12.255 *** *** *** (5.295)
11.34 8.39 4.32 10.82
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any
accrued and unpaid interest) after assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 22
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Decreases
1% and No Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ------------- -- -- -- -- -- -- -- --
<C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed
Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.9%
5.25 5.76 6.08 6.13 9.66 7.76 6.16 5.40 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
11/06 07/07 08/06 12/04 04/10 05/07 10/04 01/03 Last Principal Payment
Date
71 10/32.......... 18.231 17.645 17.218 16.849 14.713 15.649 16.753 17.312 Yield to Maturity (%)
2.82 2.97 3.12 3.30 4.16 3.73 3.34 3.21 Duration
72 10/32.......... 17.744 17.184 16.778 16.433 14.384 15.282 16.343 16.884 Yield to Maturity (%)
2.86 3.02 3.16 3.34 4.23 3.79 3.39 3.24 Duration
73 10/32.......... 17.271 16.735 16.350 16.028 14.066 14.926 15.944 16.466 Yield to Maturity (%)
2.89 3.06 3.20 3.38 4.31 3.85 3.43 3.28 Duration
74 10/32.......... 16.809 16.299 15.934 15.634 13.757 14.579 15.554 16.058 Yield to Maturity (%)
2.93 3.10 3.25 3.43 4.38 3.91 3.47 3.31 Duration
75 10/32.......... 16.360 15.874 15.528 15.249 13.457 14.243 15.175 15.659 Yield to Maturity (%)
2.97 3.14 3.29 3.47 4.46 3.96 3.51 3.34 Duration
76 10/32.......... 15.922 15.460 15.133 14.874 13.166 13.915 14.805 15.270 Yield to Maturity (%)
3.01 3.18 3.34 3.51 4.53 4.02 3.55 3.38 Duration
77 10/32.......... 15.495 15.057 14.749 14.508 12.883 13.596 14.443 14.889 Yield to Maturity (%)
3.04 3.22 3.38 3.55 4.60 4.07 3.59 3.41 Duration
78 10/32.......... 15.079 14.664 14.373 14.151 12.608 13.285 14.090 14.517 Yield to Maturity (%)
3.08 3.26 3.42 3.59 4.68 4.13 3.63 3.44 Duration
79 10/32.......... 14.672 14.280 14.007 13.802 12.341 12.982 13.745 14.152 Yield to Maturity (%)
3.12 3.30 3.46 3.63 4.75 4.18 3.67 3.47 Duration
80 10/32.......... 14.276 13.906 13.650 13.461 12.081 12.686 13.409 13.795 Yield to Maturity (%)
3.15 3.34 3.50 3.67 4.82 4.23 3.71 3.50 Duration
81 10/32.......... 13.889 13.541 13.302 13.127 11.828 12.398 13.079 13.446 Yield to Maturity (%)
3.19 3.38 3.54 3.70 4.88 4.29 3.75 3.53 Duration
82 10/32.......... 13.510 13.185 12.962 12.802 11.581 12.116 12.757 13.104 Yield to Maturity (%)
3.22 3.42 3.58 3.74 4.95 4.34 3.79 3.56 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
--------- -- -- -- --
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A N/A 5.35
10/94 10/94 10/94 10/94
$31,352,838** $31,706,136** $32,090,327** 04/03
71 10/32............. (22.000) 5.764 11.259 17.173
1.72 7.46 5.94 3.28
72 10/32............. (22.799) 5.581 11.028 16.755
1.73 7.61 6.04 3.32
73 10/32............. (23.580) 5.404 10.804 16.346
1.75 7.76 6.13 3.35
74 10/32............. (24.345) 5.232 10.587 15.947
1.76 7.90 6.23 3.38
75 10/32............. *** 5.066 10.376 15.557
8.04 6.32 3.41
76 10/32............. *** 4.904 10.170 15.175
8.18 6.42 3.44
77 10/32............. *** 4.748 9.970 14.801
8.31 6.51 3.47
78 10/32............. *** 4.596 9.776 14.436
8.45 6.60 3.50
79 10/32............. *** 4.448 9.586 14.078
8.58 6.69 3.53
80 10/32............. *** 4.304 9.402 13.727
8.71 6.77 3.56
81 10/32............. *** 4.164 9.221 13.384
8.83 6.86 3.59
82 10/32............. *** 4.027 9.046 13.047
8.95 6.94 3.62
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
--------- -- -- -- --
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$33,780,487** $34,025,669** $34,315,690** $34,833,251** Last Principal Payment Date
71 10/32............. *** *** *** 2.023 Yield to Maturity (%)
6.75 Duration
72 10/32............. *** *** *** 1.821 Yield to Maturity (%)
6.86 Duration
73 10/32............. *** *** *** 1.623 Yield to Maturity (%)
6.96 Duration
74 10/32............. *** *** *** 1.432 Yield to Maturity (%)
7.07 Duration
75 10/32............. *** *** *** 1.246 Yield to Maturity (%)
7.17 Duration
76 10/32............. *** *** *** 1.065 Yield to Maturity (%)
7.27 Duration
77 10/32............. *** *** *** 0.888 Yield to Maturity (%)
7.37 Duration
78 10/32............. *** *** *** 0.716 Yield to Maturity (%)
7.46 Duration
79 10/32............. *** *** *** 0.549 Yield to Maturity (%)
7.56 Duration
80 10/32............. *** *** *** 0.385 Yield to Maturity (%)
7.65 Duration
81 10/32............. *** *** *** 0.226 Yield to Maturity (%)
7.74 Duration
82 10/32............. *** *** *** 0.070 Yield to Maturity (%)
7.84 Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any
accrued and unpaid interest) after assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
Table 23
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
1% and No Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- -------------- -- -- -- -- -- -- -- --
<C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
9.91 9.95 9.73 9.11 15.06 12.18 9.43 7.72 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
10/11 06/10 04/09 06/07 06/14 01/12 02/08 08/05 Last Principal Payment
Date
71 10/32............. 14.530 14.404 14.367 14.426 12.277 13.121 14.207 14.942 Yield to Maturity (%)
4.47 4.58 4.65 4.67 6.93 5.80 4.84 4.40 Duration
72 10/32............. 14.223 14.104 14.071 14.132 12.079 12.885 13.923 14.630 Yield to Maturity (%)
4.53 4.64 4.70 4.72 7.03 5.88 4.89 4.44 Duration
73 10/32............. 13.924 13.813 13.783 13.845 11.886 12.654 13.646 14.325 Yield to Maturity (%)
4.59 4.70 4.76 4.77 7.12 5.95 4.94 4.48 Duration
74 10/32............. 13.633 13.529 13.503 13.565 11.699 12.430 13.376 14.026 Yield to Maturity (%)
4.64 4.76 4.81 4.82 7.21 6.02 5.00 4.52 Duration
75 10/32............. 13.349 13.252 13.229 13.292 11.516 12.211 13.112 13.734 Yield to Maturity (%)
4.70 4.82 4.87 4.87 7.30 6.09 5.05 4.56 Duration
76 10/32............. 13.073 12.982 12.962 13.024 11.338 11.997 12.854 13.448 Yield to Maturity (%)
4.76 4.87 4.92 4.92 7.39 6.16 5.10 4.59 Duration
77 10/32............. 12.803 12.718 12.701 12.763 11.164 11.789 12.602 13.167 Yield to Maturity (%)
4.82 4.93 4.98 4.97 7.48 6.23 5.14 4.63 Duration
78 10/32............. 12.540 12.461 12.446 12.508 10.995 11.585 12.355 12.893 Yield to Maturity (%)
4.87 4.98 5.03 5.01 7.56 6.29 5.19 4.67 Duration
79 10/32............. 12.283 12.210 12.197 12.258 10.829 11.386 12.114 12.624 Yield to Maturity (%)
4.93 5.04 5.08 5.06 7.64 6.36 5.24 4.70 Duration
80 10/32............. 12.032 11.964 11.954 12.013 10.667 11.192 11.878 12.361 Yield to Maturity (%)
4.99 5.09 5.13 5.10 7.73 6.42 5.29 4.74 Duration
81 10/32............. 11.787 11.724 11.716 11.773 10.509 11.001 11.646 12.103 Yield to Maturity (%)
5.04 5.15 5.19 5.15 7.81 6.49 5.33 4.77 Duration
82 10/32............. 11.548 11.490 11.483 11.539 10.355 10.815 11.420 11.849 Yield to Maturity (%)
5.09 5.20 5.24 5.19 7.89 6.55 5.38 4.81 Duration
</TABLE>
<TABLE>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- --------------- --------------- ---------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A N/A 8.72
10/94 10/94 10/94 10/94
$37,708,157** $37,864,167** $38,039,943** 01/10
71 10/32............. *** *** 4.819 14.182
9.11 4.93
72 10/32............. *** *** 4.669 13.903
9.22 4.98
73 10/32............. *** *** 4.522 13.631
9.33 5.02
74 10/32............. *** *** 4.379 13.364
9.44 5.07
75 10/32............. *** *** 4.239 13.104
9.55 5.11
76 10/32............. *** *** 4.103 12.849
9.65 5.16
77 10/32............. *** *** 3.970 12.600
9.76 5.20
78 10/32............. *** *** 3.840 12.355
9.86 5.24
79 10/32............. *** *** 3.713 12.116
9.96 5.28
80 10/32............. *** *** 3.588 11.882
10.05 5.33
81 10/32............. *** *** 3.467 11.652
10.15 5.37
82 10/32............. *** *** 3.348 11.427
10.24 5.41
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- --------------- --------------- --------------- ---------
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
<S> <C> <C> <C> <C>
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$39,025,501** $39,144,306** $39,284,574** $39,529,573** Last Principal Payment Date
71 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
72 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
73 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
74 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
75 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
76 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
77 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
78 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
79 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
80 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
81 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
82 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
- --------
<FN>
* See "Special Yield Considerations" for a discussion of other
assumptions used in preparing the Tables.
** Principal balance
remaining (before any accrued and unpaid interest) after assets of the
Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors
will suffer a loss of a substantial portion of their initial
investment.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Table 24
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
2% and No Extensions*
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------- -- -- -- -- -- -- -- --
<C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
13.63 13.29 12.68 11.29 18.97 15.19 11.89 9.61 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
11/13 09/12 08/11 04/09 02/20 06/14 09/10 08/07 Last Principal Payment
Date
71 10/32............. 13.223 13.213 13.259 13.460 11.375 12.176 13.203 13.897 Yield to Maturity (%)
5.68 5.73 5.72 5.58 9.06 7.30 5.85 5.23 Duration
72 10/32............. 12.982 12.974 13.019 13.214 11.223 11.988 12.969 13.634 Yield to Maturity (%)
5.75 5.80 5.78 5.64 9.17 7.38 5.91 5.28 Duration
73 10/32............. 12.746 12.740 12.785 12.973 11.075 11.804 12.739 13.377 Yield to Maturity (%)
5.82 5.86 5.85 5.69 9.27 7.45 5.97 5.32 Duration
74 10/32............. 12.517 12.512 12.556 12.738 10.931 11.625 12.515 13.126 Yield to Maturity (%)
5.89 5.93 5.91 5.75 9.37 7.53 6.03 5.36 Duration
75 10/32............. 12.293 12.290 12.333 12.509 10.790 11.450 12.296 12.879 Yield to Maturity (%)
5.96 5.99 5.97 5.80 9.46 7.60 6.08 5.40 Duration
76 10/32............. 12.075 12.073 12.115 12.284 10.653 11.279 12.082 12.638 Yield to Maturity (%)
6.03 6.06 6.03 5.85 9.56 7.68 6.14 5.45 Duration
77 10/32............. 11.862 11.861 11.902 12.064 10.519 11.111 11.873 12.402 Yield to Maturity (%)
6.09 6.12 6.09 5.90 9.65 7.75 6.19 5.49 Duration
78 10/32............. 11.653 11.653 11.693 11.849 10.387 10.947 11.668 12.170 Yield to Maturity (%)
6.16 6.18 6.15 5.95 9.74 7.82 6.25 5.53 Duration
79 10/32............. 11.450 11.451 11.489 11.638 10.258 10.787 11.467 11.943 Yield to Maturity (%)
6.22 6.25 6.20 6.00 9.83 7.89 6.30 5.57 Duration
80 10/32............. 11.251 11.253 11.290 11.432 10.133 10.630 11.270 11.721 Yield to Maturity (%)
6.28 6.31 6.26 6.05 9.92 7.96 6.35 5.60 Duration
81 10/32............. 11.057 11.059 11.095 11.229 10.009 10.477 11.078 11.503 Yield to Maturity (%)
6.35 6.37 6.32 6.09 10.01 8.02 6.40 5.64 Duration
82 10/32............. 10.867 10.869 10.903 11.031 9.889 10.326 10.889 11.288 Yield to Maturity (%)
6.41 6.43 6.37 6.14 10.09 8.09 6.45 5.68 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- ---------------- ---------------- ---------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$40,885,816** $40,943,182** $41,014,751** $20,727,344**
71 10/32............. *** *** 0.363 11.914
11.62 6.16
72 10/32............. *** *** 0.244 11.691
11.75 6.22
73 10/32............. *** *** 0.129 11.473
11.87 6.28
74 10/32............. *** *** 0.017 11.260
11.99 6.33
75 10/32............. *** *** (0.093) 11.052
12.11 6.39
76 10/32............. *** *** (0.201) 10.848
12.22 6.44
77 10/32............. *** *** (0.306) 10.648
12.33 6.50
78 10/32............. *** *** (0.409) 10.453
12.44 6.55
79 10/32............. *** *** (0.510) 10.261
12.55 6.61
80 10/32............. *** *** (0.608) 10.074
12.66 6.66
81 10/32............. *** *** (0.705) 9.890
12.76 6.71
82 10/32............. *** *** (0.800) 9.710
12.86 6.76
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ---------------- ---------------- ---------------- ---------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A N/A Weighted Average Life (years)
10/94 10/94 10/94 10/94 First Principal Payment Date
$41,648,007** $41,703,625** $41,769,016** $41,877,734** Last Principal Payment Date
71 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
72 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
73 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
74 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
75 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
76 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
77 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
78 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
79 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
80 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
81 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
82 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other
assumptions used in preparing the Tables.
** Principal balance
remaining (before any accrued and unpaid interest) after assets of the
Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors
will suffer a loss of a substantial portion of their initial
investment.
</FN>
</TABLE>
<PAGE>
Table 25
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
3% and No Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ------------------ ------ --------- ---------- ---------- ---------- --------- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed
Defaults
From Month 13
Through Month 72 32.6% 30.6% 28.8% 25.4% 54.7% 51.7% 48.8% 43.4%
19.40 18.35 17.24 14.76 N/A N/A 16.25 12.51 Weighted Average Life
(years)
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94 First Principal Payment
Date
06/17 05/16 02/15 12/12 $43,438,809** $1,187,248** 11/15 04/11 Last Principal Payment
Date
71 10/32.......... 12.166 12.226 12.307 12.564 9.166 11.323 12.231 12.932 Yield to Maturity (%)
7.27 7.20 7.10 6.77 11.06 9.34 7.29 6.31 Duration
72 10/32.......... 11.977 12.036 12.113 12.360 9.042 11.176 12.043 12.714 Yield to Maturity (%)
7.35 7.27 7.17 6.83 11.16 9.42 7.35 6.36 Duration
73 10/32.......... 11.792 11.849 11.924 12.162 8.920 11.032 11.858 12.501 Yield to Maturity (%)
7.43 7.35 7.24 6.89 11.26 9.51 7.42 6.41 Duration
74 10/32.......... 11.613 11.668 11.740 11.968 8.802 10.891 11.678 12.292 Yield to Maturity (%)
7.51 7.42 7.31 6.95 11.36 9.59 7.49 6.46 Duration
75 10/32.......... 11.437 11.490 11.559 11.778 8.685 10.753 11.502 12.088 Yield to Maturity (%)
7.59 7.50 7.38 7.00 11.45 9.67 7.55 6.51 Duration
76 10/32.......... 11.265 11.316 11.383 11.592 8.572 10.619 11.330 11.887 Yield to Maturity (%)
7.66 7.57 7.45 7.06 11.55 9.75 7.62 6.56 Duration
77 10/32.......... 11.098 11.146 11.210 11.409 8.460 10.487 11.161 11.691 Yield to Maturity (%)
7.74 7.64 7.51 7.12 11.64 9.83 7.68 6.60 Duration
78 10/32.......... 10.934 10.980 11.041 11.231 8.351 10.357 10.995 11.499 Yield to Maturity (%)
7.81 7.71 7.58 7.17 11.72 9.90 7.74 6.65 Duration
79 10/32.......... 10.773 10.818 10.875 11.056 8.244 10.231 10.833 11.310 Yield to Maturity (%)
7.88 7.78 7.64 7.23 11.81 9.98 7.80 6.69 Duration
80 10/32.......... 10.616 10.659 10.714 10.885 8.139 10.107 10.675 11.125 Yield to Maturity (%)
7.96 7.85 7.71 7.28 11.90 10.05 7.86 6.74 Duration
81 10/32.......... 10.463 10.503 10.555 10.717 8.036 9.985 10.519 10.943 Yield to Maturity (%)
8.03 7.92 7.77 7.33 11.98 10.13 7.92 6.78 Duration
82 10/32.......... 10.312 10.350 10.399 10.552 7.935 9.866 10.367 10.765 Yield to Maturity (%)
8.10 7.98 7.83 7.39 12.06 10.20 7.98 6.82 Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- --------------- --------------- ---------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 69.3% 65.7% 62.3% 55.9%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$44,063,476** $44,022,197** $43,989,559** $43,901,642**
71 10/32............. *** *** *** 9.129
7.32
72 10/32............. *** *** *** 8.941
7.38
73 10/32............. *** *** *** 8.757
7.44
74 10/32............. *** *** *** 8.577
7.49
75 10/32............. *** *** *** 8.401
7.55
76 10/32............. *** *** *** 8.229
7.61
77 10/32............. *** *** *** 8.060
7.66
78 10/32............. *** *** *** 7.894
7.72
79 10/32............. *** *** *** 7.731
7.77
80 10/32............. *** *** *** 7.572
7.83
81 10/32............. *** *** *** 7.416
7.88
82 10/32............. *** *** *** 7.262
7.93
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- --------------- --------------- --------------- ---------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 78.5% 74.8% 71.2% 64.5%
N/A N/A N/A N/A Weighted Average Life
(years)
10/94 10/94 10/94 10/94 First Principal Payment
Date
$44,270,514** $44,262,944** $44,253,458** $44,225,895** Last Principal Payment
Date
71 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
72 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
73 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
74 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
75 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
76 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
77 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
78 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
79 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
80 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
81 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
82 10/32............. *** *** *** *** Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other
assumptions used in preparing the Tables.
** Principal balance
remaining (before any accrued and unpaid interest) after assets of the
Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors
will suffer a loss of a substantial portion of their initial
investment.
</FN>
</TABLE>
<PAGE>
Table 26
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming Unchanged LIBOR
and 3-Year Balloon Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- ----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ----- --------- --------- -------- ------------- -------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
5.90 6.50 6.83 6.88 N/A 15.82 10.75 7.39
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
09/07 03/08 03/07 08/05 $30,292,882** 12/18 07/10 04/05
71 10/32............. 17.194 16.672 16.319 16.020 8.919 12.347 13.646 15.329
3.18 3.35 3.50 3.68 7.41 6.56 5.16 4.08
72 10/32............. 16.763 16.263 15.927 15.647 8.734 12.139 13.380 14.992
3.22 3.39 3.54 3.72 7.57 6.68 5.23 4.12
73 10/32............. 16.342 15.864 15.545 15.283 8.556 11.936 13.122 14.664
3.26 3.44 3.59 3.77 7.72 6.79 5.31 4.17
74 10/32............. 15.932 15.476 15.173 14.929 8.384 11.740 12.870 14.343
3.30 3.48 3.64 3.81 7.87 6.91 5.38 4.21
75 10/32............. 15.532 15.097 14.811 14.583 8.217 11.550 12.626 14.030
3.33 3.52 3.68 3.85 8.02 7.02 5.45 4.25
76 10/32............. 15.141 14.728 14.457 14.245 8.056 11.365 12.387 13.724
3.37 3.57 3.72 3.90 8.17 7.13 5.52 4.30
77 10/32............. 14.761 14.368 14.112 13.915 7.899 11.185 12.155 13.425
3.41 3.61 3.77 3.94 8.31 7.23 5.59 4.34
78 10/32............. 14.389 14.017 13.776 13.593 7.747 11.010 11.928 13.132
3.45 3.65 3.81 3.98 8.45 7.34 5.66 4.38
79 10/32............. 14.026 13.674 13.448 13.278 7.599 10.840 11.707 12.846
3.49 3.69 3.85 4.02 8.59 7.44 5.73 4.42
80 10/32............. 13.671 13.339 13.127 12.971 7.456 10.674 11.491 12.567
3.52 3.73 3.90 4.06 8.73 7.55 5.79 4.46
81 10/32............. 13.324 13.012 12.814 12.670 7.316 10.512 11.280 12.293
3.56 3.77 3.94 4.10 8.86 7.65 5.86 4.50
82 10/32............. 12.985 12.692 12.507 12.375 7.180 10.355 11.074 12.024
3.60 3.81 3.98 4.14 9.00 7.75 5.92 4.54
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- ---------------------- ---------------------- ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 % 76.5 % 72.4 % 68.5 % 61.3
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$34,174,542** $34,381,398** $34,679,267** $35,208,604**
71 10/32............. *** *** *** 4.256
7.39
72 10/32............. *** *** *** 4.071
7.50
73 10/32............. *** *** *** 3.891
7.61
74 10/32............. *** *** *** 3.715
7.72
75 10/32............. *** *** *** 3.545
7.83
76 10/32............. *** *** *** 3.379
7.94
77 10/32............. *** *** *** 3.217
8.04
78 10/32............. *** *** *** 3.060
8.14
79 10/32............. *** *** *** 2.906
8.24
80 10/32............. *** *** *** 2.756
8.34
81 10/32............. *** *** *** 2.610
8.44
82 10/32............. *** *** *** 2.467
8.54
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- -------------------- --------------------- ----------------- ------------
Total Assumed Defaults
From Month 13
Through Month 72 % 85.8 % 81.6 % 77.6 % 70.1
<S> <C> <C> <C> <C>
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$36,175,400** $36,284,427** $36,442,507** $36,852,706**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other
assumptions used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest)
after assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors
will suffer a loss of a substantial portion of their initial
investment.
</FN>
</TABLE>
<PAGE>
Table 27
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Decreases
1% and 3-Year Balloon Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ---------- --------- ------- ------- ------- -------- -------
<C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
4.27 4.74 5.21 5.58 16.80 11.58 8.37 6.44
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
07/04 10/05 12/05 08/04 07/20 02/12 09/07 02/04
71 10/32............. 19.599 18.891 18.245 17.538 12.715 13.876 15.195 16.436
2.53 2.67 2.82 3.05 5.66 4.70 3.96 3.48
72 10/32............. 19.056 18.377 17.759 17.089 12.474 13.585 14.849 16.041
2.56 2.70 2.86 3.09 5.80 4.80 4.02 3.52
73 10/32............. 18.527 17.876 17.286 16.651 12.242 13.304 14.513 15.657
2.59 2.74 2.89 3.13 5.94 4.89 4.09 3.56
74 10/32............. 18.010 17.388 16.824 16.225 12.019 13.032 14.187 15.282
2.62 2.77 2.93 3.17 6.08 4.98 4.15 3.61
75 10/32............. 17.506 16.912 16.375 15.809 11.803 12.768 13.869 14.917
2.65 2.80 2.97 3.21 6.22 5.07 4.21 3.65
76 10/32............. 17.015 16.448 15.937 15.404 11.595 12.513 13.561 14.560
2.67 2.84 3.01 3.25 6.36 5.16 4.27 3.69
77 10/32............. 16.534 15.995 15.510 15.009 11.394 12.265 13.261 14.213
2.70 2.87 3.04 3.28 6.49 5.25 4.33 3.73
78 10/32............. 16.065 15.554 15.094 14.623 11.200 12.024 12.968 13.873
2.73 2.90 3.08 3.32 6.62 5.34 4.39 3.77
79 10/32............. 15.607 15.122 14.687 14.246 11.011 11.790 12.684 13.541
2.76 2.93 3.11 3.36 6.75 5.43 4.45 3.81
80 10/32............. 15.159 14.700 14.290 13.878 10.829 11.563 12.406 13.217
2.79 2.97 3.15 3.40 6.87 5.51 4.51 3.85
81 10/32............. 14.720 14.288 13.903 13.518 10.652 11.342 12.135 12.900
2.82 3.00 3.19 3.43 7.00 5.60 4.56 3.89
82 10/32............. 14.291 13.886 13.524 13.166 10.480 11.126 11.871 12.590
2.84 3.03 3.22 3.47 7.12 5.68 4.62 3.93
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
</TABLE>
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- ---------------------- ---------------------- ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$30,834,967** $31,126,237** $31,524,394** $32,254,698**
71 10/32............. (23.500) (23.246) (23.338) 8.375
1.65 1.68 1.71 5.80
72 10/32............. (24.333) (24.065) (24.143) 8.139
1.67 1.69 1.72 5.90
73 10/32............. *** (24.865) (24.930) 7.910
1.71 1.74 6.00
74 10/32............. *** *** *** 7.688
6.10
75 10/32............. *** *** *** 7.472
6.19
76 10/32............. *** *** *** 7.262
6.29
77 10/32............. *** *** *** 7.059
6.38
78 10/32............. *** *** *** 6.860
6.47
79 10/32............. *** *** *** 6.667
6.56
80 10/32............. *** *** *** 6.479
6.65
81 10/32............. *** *** *** 6.295
6.73
82 10/32............. *** *** *** 6.116
6.82
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ---------------- ----------------- ----------------- -----------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$33,462,357** $33,606,866** $33,815,221** $34,368,813**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other
assumptions used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest)
after assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors
will suffer a loss of a substantial portion of their initial
investment.
</FN>
</TABLE>
<PAGE>
Table 28
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
1% and 3-Year Balloon Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
------------------------ -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ------ ------- -------- ------------- ------------ ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
8.58 8.99 9.02 8.56 N/A N/A 14.26 8.68
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
02/11 01/10 12/08 01/07 $34,796,371** $34,963,474** 01/16 10/06
71 10/32............. 15.121 14.863 14.732 14.724 3.322 9.252 12.327 14.259
4.11 4.27 4.38 4.46 9.41 8.37 6.89 4.85
72 10/32............. 14.787 14.542 14.419 14.416 3.177 9.089 12.128 13.976
4.16 4.33 4.44 4.50 9.58 8.49 6.98 4.90
73 10/32............. 14.462 14.229 14.113 14.115 3.036 8.929 11.934 13.700
4.21 4.38 4.49 4.55 9.75 8.62 7.07 4.95
74 10/32............. 14.145 13.924 13.816 13.822 2.899 8.775 11.745 13.430
4.27 4.43 4.54 4.60 9.92 8.74 7.16 5.00
75 10/32............. 13.836 13.627 13.526 13.535 2.767 8.624 11.561 13.166
4.32 4.49 4.59 4.65 10.09 8.86 7.24 5.04
76 10/32............. 13.535 13.337 13.243 13.255 2.638 8.477 11.381 12.907
4.37 4.54 4.65 4.69 10.25 8.97 7.32 5.09
77 10/32............. 13.241 13.054 12.966 12.981 2.513 8.334 11.206 12.654
4.42 4.59 4.70 4.74 10.41 9.09 7.41 5.13
78 10/32............. 12.954 12.778 12.696 12.713 2.392 8.195 11.035 12.407
4.47 4.64 4.75 4.78 10.56 9.20 7.49 5.17
79 10/32............. 12.674 12.508 12.432 12.451 2.273 8.059 10.868 12.164
4.52 4.69 4.80 4.83 10.72 9.31 7.57 5.22
80 10/32............. 12.400 12.245 12.175 12.195 2.158 7.926 10.704 11.927
4.57 4.74 4.85 4.87 10.87 9.42 7.64 5.26
81 10/32............. 12.133 11.987 11.923 11.944 2.046 7.796 10.544 11.694
4.62 4.79 4.90 4.91 11.01 9.53 7.72 5.30
82 10/32............. 11.871 11.736 11.676 11.698 1.936 7.670 10.388 11.466
4.66 4.84 4.94 4.96 11.16 9.63 7.79 5.34
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- ---------------------- ---------------------- ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$37,514,117** $37,636,560** $37,834,140** $38,162,511**
71 10/32............. *** *** *** (1.840)
9.89
72 10/32............. *** *** *** (1.979)
10.03
73 10/32............. *** *** *** (2.114)
10.17
74 10/32............. *** *** *** (2.245)
10.31
75 10/32............. *** *** *** (2.373)
10.44
76 10/32............. *** *** *** (2.497)
10.57
77 10/32............. *** *** *** (2.619)
10.70
78 10/32............. *** *** *** (2.737)
10.82
79 10/32............. *** *** *** (2.853)
10.95
80 10/32............. *** *** *** (2.966)
11.07
81 10/32............. *** *** *** (3.076)
11.19
82 10/32............. *** *** *** (3.184)
11.30
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ---------------- -------------- -------------- --------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$38,888,443** $38,961,988** $39,069,794** $39,336,599**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life (years)
First Principal Payment Date
Last Principal Payment Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any accrued and unpaid interest) after
assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
Duration
<PAGE>
Table 29
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
2% and 3-Year Balloon Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ ------- -------- -------- ------------ ----------- ----------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
12.58 12.41 12.13 10.94 N/A N/A N/A 10.43
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
06/13 03/12 03/11 03/09 $39,299,859** $39,351,584** $39,452,853** 02/09
71 10/32............. 13.489 13.440 13.428 13.588 *** 5.445 9.826 13.245
5.40 5.48 5.53 5.45 10.59 8.78 5.89
72 10/32............. 13.235 13.189 13.180 13.336 *** 5.316 9.670 13.011
5.47 5.55 5.59 5.50 10.72 8.88 5.94
73 10/32............. 12.987 12.945 12.937 13.089 *** 5.189 9.517 12.783
5.53 5.61 5.65 5.55 10.85 8.98 5.99
74 10/32............. 12.746 12.707 12.701 12.849 *** 5.066 9.369 12.560
5.60 5.67 5.71 5.60 10.98 9.07 6.04
75 10/32............. 12.511 12.475 12.470 12.613 *** 4.946 9.223 12.341
5.66 5.74 5.77 5.66 11.10 9.16 6.09
76 10/32............. 12.281 12.248 12.244 12.383 *** 4.829 9.081 12.127
5.73 5.80 5.83 5.71 11.22 9.25 6.14
77 10/32............. 12.057 12.026 12.024 12.158 *** 4.715 8.942 11.917
5.79 5.86 5.89 5.76 11.34 9.34 6.18
78 10/32............. 11.837 11.810 11.809 11.937 *** 4.603 8.806 11.712
5.85 5.92 5.95 5.81 11.46 9.43 6.23
79 10/32............. 11.623 11.598 11.598 11.721 *** 4.493 8.673 11.511
5.91 5.98 6.00 5.85 11.57 9.51 6.28
80 10/32............. 11.414 11.391 11.392 11.510 *** 4.386 8.543 11.313
5.97 6.04 6.06 5.90 11.68 9.60 6.32
81 10/32............. 11.210 11.189 11.190 11.302 *** 4.282 8.416 11.120
6.03 6.09 6.11 5.95 11.79 9.68 6.36
82 10/32............. 11.009 10.991 10.993 11.099 *** 4.179 8.291 10.930
6.09 6.15 6.17 5.99 11.90 9.76 6.41
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- ---------------------- ---------------------- ------------
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
<S> <C> <C> <C> <C>
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$40,853,692** $40,891,721** $40,989,013** $41,116,418**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
- ----------
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------------ ------------- ------------------ ----------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$41,601,485** $41,639,549** $41,697,081** $41,820,493**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any
accrued and unpaid interest) after assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
Table 30
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Yield and Duration of Class F Certificates at Various Assumed Prices,
Percentages of CPR, and Mortgage Loan Default Rates and Assuming LIBOR Increases
3% and 3-Year Balloon Extensions*
<TABLE>
<CAPTION>
10% Annual Default Rate 20% Annual Default Rate
----------------------- -----------------------
Price (%) 0% 2% 4% 8% 0% 2% 4% 8%
- ---------------------- ------ -------- --------- -------- ------------ ------------------- --------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 36.8% 34.5% 32.4% 28.5% 61.1% 57.6% 54.3% 48.1%
19.11 18.19 17.06 14.78 N/A N/A N/A 12.83
10/94 10/94 10/94 10/94 10/94 10/94 10/94 10/94
05/17 04/16 03/15 10/12 $43,803,348** $43,739,694** $43,666,568** 02/13
71 10/32............. 12.208 12.257 12.336 12.564 *** (2.724) 6.727 12.317
7.19 7.14 7.05 6.76 13.47 10.83 7.28
72 10/32............. 12.017 12.065 12.141 12.361 *** (2.826) 6.601 12.128
7.27 7.22 7.12 6.83 13.62 10.93 7.33
73 10/32............. 11.831 11.877 11.951 12.162 *** (2.926) 6.477 11.943
7.35 7.29 7.19 6.89 13.77 11.03 7.39
74 10/32............. 11.649 11.694 11.765 11.968 *** (3.023) 6.355 11.761
7.43 7.37 7.26 6.94 13.92 11.12 7.44
75 10/32............. 11.472 11.515 11.583 11.778 *** (3.118) 6.236 11.584
7.50 7.44 7.33 7.00 14.07 11.21 7.49
76 10/32............. 11.298 11.339 11.405 11.592 *** (3.210) 6.120 11.410
7.58 7.51 7.39 7.06 14.21 11.30 7.54
77 10/32............. 11.128 11.168 11.232 11.409 *** (3.300) 6.006 11.239
7.65 7.58 7.46 7.12 14.35 11.39 7.59
78 10/32............. 10.963 11.001 11.061 11.231 *** (3.389) 5.895 11.072
7.73 7.65 7.52 7.17 14.48 11.47 7.64
79 10/32............. 10.801 10.837 10.895 11.056 *** (3.475) 5.786 10.908
7.80 7.72 7.59 7.23 14.62 11.56 7.69
80 10/32............. 10.642 10.677 10.732 10.885 *** (3.560) 5.678 10.746
7.87 7.79 7.65 7.28 14.75 11.64 7.74
81 10/32............. 10.487 10.520 10.572 10.717 *** (3.643) 5.573 10.588
7.94 7.86 7.72 7.33 14.88 11.72 7.79
82 10/32............. 10.335 10.366 10.415 10.552 *** (3.724) 5.470 10.433
8.01 7.92 7.78 7.39 15.00 11.80 7.83
</TABLE>
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
<TABLE>
<CAPTION>
30% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ------------- ---------------------- ---------------------- ------------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 76.5% 72.4% 68.5% 61.3%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$44,170,269** $44,146,883** $44,143,886** $44,070,325**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
</TABLE>
<TABLE>
<CAPTION>
40% Annual Default Rate
-----------------------
Price (%) 0% 2% 4% 8%
- ---------------------- ----------------- -------------- -------------- ---------
<S> <C> <C> <C> <C>
Total Assumed Defaults
From Month 13
Through Month 72 85.8% 81.6% 77.6% 70.1%
N/A N/A N/A N/A
10/94 10/94 10/94 10/94
$44,314,529** $44,317,110** $44,324,367** $44,304,386**
71 10/32............. *** *** *** ***
72 10/32............. *** *** *** ***
73 10/32............. *** *** *** ***
74 10/32............. *** *** *** ***
75 10/32............. *** *** *** ***
76 10/32............. *** *** *** ***
77 10/32............. *** *** *** ***
78 10/32............. *** *** *** ***
79 10/32............. *** *** *** ***
80 10/32............. *** *** *** ***
81 10/32............. *** *** *** ***
82 10/32............. *** *** *** ***
Price (%)
---------
Total Assumed Defaults
From Month 13
Through Month 72
Weighted Average Life
(years)
First Principal Payment
Date
Last Principal Payment
Date
71 10/32............. Yield to Maturity (%)
Duration
72 10/32............. Yield to Maturity (%)
Duration
73 10/32............. Yield to Maturity (%)
Duration
74 10/32............. Yield to Maturity (%)
Duration
75 10/32............. Yield to Maturity (%)
Duration
76 10/32............. Yield to Maturity (%)
Duration
77 10/32............. Yield to Maturity (%)
Duration
78 10/32............. Yield to Maturity (%)
Duration
79 10/32............. Yield to Maturity (%)
Duration
80 10/32............. Yield to Maturity (%)
Duration
81 10/32............. Yield to Maturity (%)
Duration
82 10/32............. Yield to Maturity (%)
Duration
- ----------
<FN>
* See "Special Yield Considerations" for a discussion of other assumptions
used in preparing the Tables.
** Principal balance remaining (before any
accrued and unpaid interest) after assets of the Trust Fund are exhausted.
*** Indicates a yield of (25.00)% or less and therefore that investors will
suffer a loss of a substantial portion of their initial investment.
</FN>
</TABLE>
<PAGE>
THE RESOLUTION TRUST CORPORATION
The Resolution Trust Corporation (the "RTC") is an instrumentality of the
United States organized as a government corporation. The RTC was established on
August 9, 1989, by the enactment of the Financial Institutions Reform, Recovery,
and Enforcement Act of 1989 (as amended from time to time, "FIRREA") for the
purpose of managing and resolving all cases involving depository institutions
formerly insured by the Federal Savings and Loan Insurance Corporation and for
which a conservator or receiver is appointed under federal law at any time from
January 1, 1989 to September 30, 1993. FIRREA directs the RTC to conduct its
operations in a manner which maximizes the net present value return from the
sale of failed institutions or the assets thereof, minimizes the impact of such
transactions on local markets, makes efficient use of public funds, minimizes
losses incurred in the resolution of failed institutions, and maximizes the
preservation of affordable housing for low-and moderate-income individuals. The
principal office of the RTC is located at 801 17th Street, N.W., Washington,
D.C. 20434.
Until February 1, 1992, the FDIC served as the exclusive manager of the RTC
and, accordingly, the Board of Directors of the FDIC served as the Board of
Directors of the RTC. In its capacity as exclusive manager of the RTC, the FDIC
was authorized to perform all responsibilities of the RTC.
FIRREA also created the Thrift Depositor Protection Oversight Board (the
"Oversight Board"), currently consisting of: the Secretary of the Treasury; the
Chairman of the Board of Governors of the Federal Reserve System; the Acting
Director of the Office of Thrift Supervision; the Acting Chairman of the Board
of Directors of the FDIC; the Acting President and Chief Executive Officer of
the RTC (the "CEO"); and two independent members selected by the President of
the United States with the advice and consent of the United States Senate. The
Oversight Board has the responsibility to review overall strategies, policies
and goals for the RTC's activities, including general policies and procedures
for case resolution and for the management and disposition of assets.
The Resolution Trust Corporation Refinancing, Restructuring and Improvement
Act of 1991, enacted into law on December 12, 1991, made a number of changes in
the management structure of the RTC which generally became effective on February
1, 1992. First, the FDIC was removed as the exclusive manager of the RTC, the
position of CEO was created, and, all powers of the RTC (including those
formerly vested in the RTC Board of Directors) were vested in the CEO.
Thereafter, the CEO was appointed by the President of the United States and
confirmed by the United States Senate. Second, the power to develop overall
strategies, policies and goals was vested in the RTC, rather than the Oversight
Board, and the powers of the Oversight Board were limited to reviewing and,
under certain circumstances, requiring changes in, the overall strategies,
policies and goals formulated by the RTC.
The RTC in its corporate capacity has the following powers, among others: to
enter into contracts; to make advance, progress and other payments; to acquire,
hold, lease, mortgage and sell real and personal property and to exercise all
the usual incidents of ownership of property; to sue and be sued; to take
warrants, equity and participation interests in failed institutions or assets or
properties thereof; to make loans; to organize and control one or more insured
federal savings associations; subject to review by the Oversight Board, to adopt
rules, regulations, policies, procedures and guidelines; and such incidental
powers as are necessary to carry out its duties under FIRREA.
The RTC has been appointed as conservator or receiver with respect to a
large number of depository institutions, including each of the Depository
Institutions. The RTC as conservator or receiver of a Depository Institution
succeeds by operation of law to all rights and powers of the Depository
Institution, and of any stockholder, creditor, officer or director of such
institution with respect to the institution and its assets. As conservator or
receiver, the RTC is authorized to take over the assets of the Depository
Institution and operate it with all the powers of the members, shareholders,
directors and officers of the institution, to collect all obligations and money
due to the institution and to preserve and conserve the institution's assets. As
conservator, the RTC is empowered to take such action as may be necessary to put
the Depository Institution in a sound and solvent condition and as may be
appropriate to carry on and preserve the business of the institution. As
receiver, the RTC is also empowered to liquidate the institution and realize on
its assets having due regard to credit conditions in the locality.
When acting in its capacity as conservator or receiver of a Depository
Institution, the RTC has the power to enter into binding agreements for the sale
of assets of the Depository Institution, including Mortgage Loans. The RTC, in
its corporate capacity, however, is not liable for the obligations of the RTC in
its capacity as a conservator or receiver of a Depository Institution under such
agreements. Accordingly, the RTC in its corporate capacity has no liability in
connection with the issuance and sale of the Certificates or in connection with
the Seller's assignment of the Mortgage Loans to the Trustee, other than the
RTC's guarantee of the Seller's obligations with respect to Mortgage Loans for
which it is not acting in its corporate capacity as the Seller, pursuant to its
representations and warranties, to repurchase Mortgage Loans, cure a breach or
indemnify against loss under certain circumstances. See "DESCRIPTION OF THE
MORTGAGE LOANS -- Representations and Warranties."
FIRREA provides that the full faith and credit of the United States is
pledged to the payment of any obligation issued by the RTC if (i) the principal
amount of the obligation is stated therein and (ii) the term to maturity or the
date of maturity of such obligation is stated therein. FIRREA prohibits the RTC
from incurring outstanding obligations (including the estimated cost of any
contingent liabilities) in excess of certain amounts.
FIRREA provides that the RTC may borrow from the Secretary of the Treasury
an amount not exceeding $5 billion outstanding at any one time. Pursuant to that
authority, the RTC and the Department of the Treasury have entered into a
Financing Agreement pursuant to which the RTC may borrow amounts from time to
time to provide emergency liquidity funding to institutions under its
jurisdiction. In addition, the RTC and the Federal Financing Bank (the "FFB"),
an instrumentality of the U.S. Government under the supervision and direction of
the Secretary of the Treasury, have entered into a Note Purchase Commitment
Agreement pursuant to which the FFB has agreed to purchase obligations of the
RTC from time to time in an aggregate amount which, when added to all other
outstanding obligations of the RTC, does not exceed the maximum amount of
obligations that FIRREA permits the RTC to incur.
Under FIRREA, the RTC was originally scheduled to terminate on December 31,
1996; upon such termination and by operation of law, the FDIC will succeed the
RTC as conservator or receiver of any institutions for which the RTC is then
acting in such capacity. FIRREA further provides that, at the time of such
termination, all assets and liabilities of the RTC will be transferred to the
FSLIC Resolution Fund (the "FRF"). FIRREA created the FRF as a separate fund to
be managed by the FDIC, and transferred to the FRF all assets and liabilities of
the former Federal Savings and Loan Insurance Corporation. FIRREA provides that,
if certain other specified funds are insufficient to satisfy the liabilities of
the FRF, the Secretary of the Treasury shall pay to the FRF such amounts as may
be necessary for FRF purposes.
The RTC Completion Act, which amended FIRREA, (i) provides for additional
funding to carry out the RTC's objectives; (ii) extends, to a date between
January 1, 1995 and July 1, 1995 (as determined by the Chairman of the Oversight
Board), the time for which the RTC can be appointed conservator or receiver of
depository institutions; (iii) accelerates to December 31, 1995 the original RTC
termination date stated above; and (iv) implements certain changes in RTC
operating procedures.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
General
The following is a general discussion of the anticipated material federal
income tax consequences of the purchase, ownership and disposition of the
Offered Certificates. This discussion does not purport to address all federal
income tax consequences that may be applicable to particular categories of
investors, some of which may be subject to special tax regimens because of their
status under the Code and some of which may be subject to special rules based on
their particular circumstances. The authorities on which this discussion is
based are subject to change or differing interpretations, and any such change or
interpretation could apply retroactively. This discussion reflects the
applicable provisions of the Code as well as regulations (the "REMIC
Regulations") promulgated by the U.S. Department of the Treasury on December 23,
1992. Investors should consult their own tax advisors in determining the
federal, state, local and any other tax consequences to them of the purchase,
ownership and disposition of the Offered Certificates.
An election will be made to treat a segregated pool of assets within the
Trust Fund (excluding the Reserve Fund and the rights of Class A-1 and Class A-3
Certificateholders under "yield supplement agreements" to receive payments from
the Reserve Fund in the event of a Basis Risk Shortfall (the "Yield Supplement
Agreements")) as a REMIC within the meaning of Code Section 860D. Qualification
as a REMIC requires ongoing compliance with certain conditions. Cadwalader,
Wickersham & Taft, counsel to the Seller, has advised the Seller that in the
firm's opinion, assuming (i) the making of an appropriate election, (ii)
compliance with the Agreement, and (iii) compliance with any changes in the law,
including any amendments to the Code or applicable Treasury regulations
thereunder, the REMIC Pool will qualify as a REMIC. The Class A-1-R, Class
A-2A-R, Class A-2B-R, Class A-2C-R, Class A-3-R, Class A-4-R, Class B-R, Class
C-R, Class D-R, Class E-R and Class F-R Interests, corresponding to the Class
A-1, Class A-2A, Class A-2B, Class A-2C, Class A-3, Class A-4, Class B, Class C,
Class D, Class E and Class F Certificates, respectively, will be considered to
be "regular interests" in a REMIC and will be referred to herein as "Regular
Interests." The Regular Interests generally will be treated for federal income
tax purposes as if they were newly originated debt instruments.
Holders of Floating Rate Certificates are entitled to payments from the
Reserve Fund in the event of a Basis Risk Shortfall and will be required to
allocate their purchase price between their beneficial ownership interests in
the related Regular Interests and Yield Supplement Agreements and to report
their income realized with respect to each, calculated taking into account such
allocation. In general, such allocation would be based on the respective fair
market values of the Classes of Regular Interests corresponding to the Floating
Rate Certificates and the related Yield Supplement Agreements on the date of
purchase of the related Certificate. The REMIC Administrator intends to treat
the Yield Supplement Agreements as having a negligible value for purposes of
such allocation in complying with its reporting obligation to Holders of
Floating Rate Certificates under the Agreement. However, no representation is or
will be made as to the fair market value of the Yield Supplement Agreements or
of the relative values of the Regular Interests and the Yield Supplement
Agreements, upon initial issuance of the related Certificates or at any time
thereafter. Holders of Floating Rate Certificates are advised to consult their
own tax advisors concerning the determination of such fair market values. Under
the Agreement, Holders of Floating Rate Certificates will agree that, for
federal income tax purposes, they will be treated as owners of the respective
Class of Regular Interests and of the corresponding Yield Supplement Agreement.
Status of Regular Interests
Regular Interests held by a mutual savings bank or a domestic building and
loan association will constitute "qualifying real property loans" within the
meaning of Code Section 593(d)(1) in the same proportion that the assets of the
REMIC Pool would be so treated (or in whole if such proportion is at least 95%).
Regular Interests held by a real estate investment trust will constitute "real
estate assets" within the meaning of Code Section 856(c)(5)(A), and interest
payments on the Regular Interests will be considered "interests on obligations
secured by mortgages on real property or on interests in real property" within
the meaning of Code Section 856(c)(3)(B) in the same proportion that, for both
purposes, the assets and income of the REMIC Pool would be so treated (or in
whole if such proportion is at least 95%). The REMIC Regulations provide that
payments of principal and interest on the Mortgage Loans that are reinvested
pending distribution to holders of the Regular Interests are qualifying assets
for purposes of Code Sections 593(d)(1) and 856(c)(5)(A). Regular Interests held
by a domestic building and loan association will be treated as "regular or
residual interests in a REMIC" under Code Section 7701(a)(19)(C)(xi), but only
in the proportion that the REMIC Pool holds "loans . . . secured by an interest
in real property which is residential real property" within the meaning of Code
Section 7701(a)(19)(C)(v), such as Mortgage Loans secured by multifamily
dwellings or loans secured by certain other real property. It is not clear
whether the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates will
qualify in whole or only in part under this test, or whether and to what extent
the remaining classes of Offered Certificates will so qualify. Regular Interests
held by a regulated investment company will not constitute "Government
securities" within the meaning of Code Section 851(b)(4)(A)(i). Regular
Interests held by certain financial institutions will constitute an "evidence of
indebtedness" within the meaning of Code Section 582(c)(1).
Qualification as a REMIC
In order for the REMIC Pool to qualify as a REMIC, there must be ongoing
compliance on the part of the REMIC Pool with the requirements set forth in the
Code. The REMIC Pool must fulfill an asset test, which requires that no more
than a de minimis amount of the assets of the REMIC Pool, as of the close of the
third calendar month beginning after the "Startup Day" (which for purposes of
this discussion is the issue date of a REMIC within the meaning of Code Section
860G(a)(9)) and at all times thereafter, may consist of assets other than
"qualified mortgages" and "permitted investments." The REMIC Regulations provide
a "safe harbor" pursuant to which the de minimis requirement is met at any time
when the aggregate adjusted basis of the nonqualified assets is less than 1% of
the aggregate adjusted basis of all the REMIC Pool's assets. An entity that
fails to meet the safe harbor may nevertheless demonstrate that it holds no more
than a de minimis amount of nonqualified assets. The REMIC Pool must also
provide "reasonable arrangements" to prevent its residual interest from being
held by certain disqualified organizations (generally, certain entities wholly
exempt from tax) or agents thereof and must furnish applicable tax information
to transferors or agents that violate this requirement.
A qualified mortgage is any obligation that is principally secured by an
interest in real property and that is either transferred to the REMIC Pool on
the Startup Day or is purchased by the REMIC Pool within a three-month period
thereafter pursuant to a fixed price contract in effect on the Startup Day.
Qualified mortgages include whole mortgage loans secured by commercial real
estate, such as the Mortgage Loans, provided, in general, (i) the fair market
value of the real property security (including buildings and structural
components thereof) is at least 80% of the principal balance of the related
Mortgage Loan either at origination or as of the Startup Day (an original
loan-to-value ratio of not more than 125% with respect to the real property
security) or (ii) substantially all the proceeds of the Mortgage Loan were used
to acquire, improve or protect an interest in real property that, at the
origination date, was the only security for the Mortgage Loan. A Mortgage Loan
that was "substantially modified" prior to the Startup Day must either have been
so modified as a result of a default or reasonably foreseeable default or meet
the tests of the preceding sentence as of the date of the latest modification.
The Seller is required under the Agreement to repurchase any Mortgage Loan
within 90 days of discovery of noncompliance with these requirements. Any loan
not so secured is treated as a "defective obligation" to the extent described
below. A "defective obligation" includes (i) a mortgage in default or as to
which default is reasonably foreseeable, (ii) a mortgage as to which a customary
representation or warranty made at the time of transfer to the REMIC Pool has
been breached, (iii) a mortgage that was fraudulently procured by the mortgagor
and (iv) a mortgage that was not in fact principally secured by real property
(but only if such mortgage is disposed of within 90 days of discovery). A
Mortgage Loan that is "defective" as described in clause (iv) that is not sold
within 90 days of discovery ceases to be a qualified mortgage after such 90-day
period.
Permitted investments include cash flow investments, qualified reserve
assets and foreclosure property. A cash flow investment is generally an
investment of amounts received on or with respect to qualified mortgages for a
temporary period, not exceeding thirteen months, which investment must earn a
return in the nature of interest. A qualified reserve asset is any intangible
property held for investment that is part of any reserve reasonably required to
be maintained by the REMIC Pool to provide for payments of expenses of the REMIC
Pool or to provide additional security for payments due on regular or residual
interests that otherwise may be delayed or defaulted upon because of default
(including delinquencies) on the qualified mortgages or lower than expected
reinvestment returns. The Reserve Fund will not be part of the REMIC Pool.
Foreclosure property is real property acquired by the REMIC Pool in connection
with the default or imminent default of a qualified mortgage and generally held
for not more than two years, with extensions granted by the Internal Revenue
Service. See "DESCRIPTION OF THE MORTGAGE LOANS -- Representations and
Warranties" concerning the Seller's obligation to purchase real property that
would not qualify as foreclosure property under certain circumstances.
In addition to the foregoing requirements, the various interests in the
REMIC Pool also must meet certain requirements. All of the interests in the
REMIC Pool must be either of the following: (i) one or more classes of regular
interests; or (ii) a single class of residual interests on which distributions,
if any, are made pro rata. A regular interest is an interest in a REMIC that is
issued on the Startup Day with fixed terms, is designated as a regular interest,
unconditionally entitles the holder to receive a specified principal amount (or
other similar amount), and provides that interest payments (or other similar
amounts), if any, at or before maturity either are payable based on a fixed rate
or a qualified variable rate, or consist of a specified, nonvarying portion of
the interest payments on qualified mortgages. Qualified variable rates are
described below under "-- Taxation of Regular Interests -- Variable Rate Regular
Interests." A residual interest is an interest in a REMIC other than a regular
interest that is issued on the Startup Day and that is designated as a residual
interest. The REMIC Regulations provide that an interest in a REMIC may be
treated as a regular interest even if payments with respect to such interest are
subordinated to payments on other regular interests or the residual interest in
the REMIC, and are dependent on the absence of defaults or delinquencies on
qualified mortgages or permitted investments, lower than reasonably expected
returns on permitted investments and expenses incurred by the REMIC.
Accordingly, the Regular Interests will constitute regular interests, and the
Residual Interest will constitute a single class of residual interests on which
distributions are made pro rata.
If the REMIC Pool fails to comply with one or more of the ongoing
requirements of the Code for REMIC status during any taxable year, the Code
provides that the entity will not be treated as a REMIC for such year and
thereafter. In this event, an entity with multiple classes of ownership
interests may be treated as a separate association taxable as a corporation
under Treasury regulations, and the REMIC Interests may be treated as equity
interests therein. The Code, however, authorizes the Treasury Department to
issue regulations that address situations where failure to meet one or more of
the requirements for REMIC status occurs inadvertently and in good faith, and
disqualification of a REMIC would occur absent regulatory relief. Investors
should be aware, however, that the Conference Committee Report to the Tax Reform
Act of 1986 (the "1986 Act") indicates that the relief may be accompanied by
sanctions, such as the imposition of a corporate income tax on all or a portion
of the REMIC Pool's income for the period of time in which the requirements for
REMIC status are not satisfied.
Taxation of Regular Interests
General
In general, interest, original issue discount and market discount on a
Regular Interest will be treated as ordinary income to a beneficial owner of an
Offered Certificate ("Regular Certificateholder"), and principal payments on a
Regular Interest will be treated as a return of capital to the extent of the
Regular Certificateholder's basis in the Regular Interest allocable to such
payments. Regular Certificateholders must use the accrual method of accounting
with regard to Regular Interests, regardless of the method of accounting
otherwise used by such Regular Certificateholders.
Original Issue Discount
It is anticipated that the REMIC Administrator will treat the Regular
Interests as issued with "original issue discount" within the meaning of Code
Section 1273(a). Regular Certificateholders generally must include original
issue discount in ordinary income for federal income tax purposes as it accrues,
in accordance with a constant interest method that takes into account the
compounding of interest, in advance of receipt of the cash attributable to such
income. The following discussion is based in part on temporary and final
Treasury regulations issued on February 2, 1994 under Code Sections 1271 through
1273 and 1275 (the "OID Regulations") and in part on the provisions of the 1986
Act. Regular Certificateholders should be aware, however, that the OID
Regulations do not adequately address certain issues relevant to prepayable
mortgage-backed securities, such as the Regular Interests. To the extent such
issues are not addressed in the OID Regulations, the REMIC Administrator intends
to apply the principles of such regulations and the methodology described in the
Conference Committee Report to the 1986 Act. No assurance can be provided that
the Internal Revenue Service will not take a different position as to those
matters not currently addressed by the OID Regulations. Moreover, the OID
Regulations include an anti-abuse rule allowing the Internal Revenue Service to
apply or depart from the OID Regulations where necessary or appropriate to
ensure a reasonable tax result in light of the applicable statutory provisions.
A tax result will not be considered unreasonable under the anti-abuse rule in
the absence of a substantial effect on the present value of a taxpayer's tax
liability. Investors are advised to consult their own tax advisors as to the
discussion herein and the appropriate method of reporting interest and original
issue discount with respect to their Regular Interests.
Each Regular Interest will be treated as a single installment obligation for
purposes of determining the original issue discount includible in a Regular
Certificateholder's income. The total amount of original issue discount on a
Regular Interest is the excess, if any, of the "stated redemption price at
maturity" of the Regular Interest over its "issue price," if such excess is
greater than a statutory de minimis amount. The issue price of a Class of
Regular Interests is the first price at which a substantial amount of the
corresponding Class of Offered Certificates, allocable to such Regular Interests
as described above under "-- General," is sold to the public (excluding bond
houses, brokers and underwriters). Although unclear under the OID Regulations,
the REMIC Administrator intends to treat the issue price of a Class as to which
there is no substantial sale as of the Closing Date as the fair market value of
the allocable portion of such Class as of the Closing Date. The issue price will
be reduced in each case if any portion of such price is allocable to a related
Yield Supplement Agreement. The issue price of a Regular Interest also includes
the amount paid by an initial Regular Certificateholder for accrued interest, if
any, that relates to the period prior to the issue date of the Certificate. The
stated redemption price at maturity of a Regular Interest always includes the
principal amount of the Regular Interest, but generally will not include
distributions of interest if such interest distributions constitute "qualified
stated interest." Under the OID Regulations, qualified stated interest generally
means interest payable at a single fixed or qualified variable rate, provided
that such interest payments are unconditionally payable at intervals of one year
or less during the entire term of the Regular Interest. Although the
Pass-Through Rates with respect to the Regular Interests are generally expected
to meet this definition, the possibility that deferred interest may be allocated
to one or more Classes of the Regular Interests may cause all interest thereon
not to be treated as qualified stated interest. In this event, all interest
would be included in the stated redemption price at maturity of such Regular
Interests and characterized as original issue discount. For this reason, it is
anticipated that the REMIC Administrator will take the position in reporting to
Regular Certificateholders that all interest on a Regular Interest is not
qualified stated interest and is includible in the stated redemption price at
maturity. However, it should be noted that the original issue discount accrued
under this method for a period should not be materially different than the sum
of interest accrued at the applicable Certificate interest rate plus the accrual
of any discount from par or less the amortization of any premium over par, in
each case under the constant yield method.
A Regular Certificateholder generally must include in gross income for any
taxable year the sum of the "daily portions," as defined below, of the original
issue discount, if any, on the Regular Interest accrued during an accrual period
(the period ending on each Distribution Date) for each day on which the Regular
Interest is held, including the date of purchase but excluding the date of
disposition. The Conference Committee Report to the 1986 Act provides that the
rate of accrual of original issue discount is to be based on a schedule of
payments that assumes a rate of prepayment of the Mortgage Loans and the
anticipated reinvestment rate, if any, relating to the Regular Interests (the
"Prepayment Assumption"). The Prepayment Assumption with respect to the Regular
Interests is as set forth in the "Summary of Information" above and will assume
a zero reinvestment rate. No representation is made as to the actual rate at
which the Mortgage Loans will prepay.
The original issue discount accruing in a full accrual period would be the
excess, if any, of (i) the sum of (a) the present value of all of the remaining
distributions to be made on the Regular Interest as of the end of that accrual
period that are included in the Regular Interest's stated redemption price at
maturity and (b) the distributions made on the Regular Interest during the
accrual period that are included in the Regular Interest's stated redemption
price at maturity over (ii) the adjusted issue price of the Regular Interest at
the beginning of the accrual period. The present value of the remaining
distributions referred to in the preceding sentence is calculated based on (i)
the yield to maturity of the Regular Interest at the issue date, (ii) events
(including actual prepayments) that have occurred prior to the end of the
accrual period, (iii) the Prepayment Assumption and (iv) with respect to a Class
that bears a variable rate of interest, the assumption that interest will be
payable for the life of the Regular Interest at the initial rate thereon, taking
into account any actual discount from par. For these purposes, the adjusted
issue price of a Regular Interest at the beginning of any accrual period equals
the issue price of the Regular Interest, increased by the aggregate amount of
original issue discount with respect to the Regular Interest that accrued in all
such prior periods and reduced by the amount of distributions included in the
Regular Interest's stated redemption price at maturity that were made on the
Regular Interest in such prior periods. The original issue discount accruing
during an accrual period (as determined in this paragraph) will then be divided
by the number of days in the period to determine the daily portion of original
issue discount for each day in the period. With respect to an initial accrual
period shorter than a full accrual period, the daily portions of original issue
discount must be determined according to an appropriate allocation under any
reasonable method.
Under the method described above, the daily portions of original issue
discount required to be included in income by a Regular Certificateholder
generally will increase to take into account payments of principal on the
Mortgage Loans that exceed the Prepayment Assumption, and generally will
decrease (but not below zero for any period) if the payments of principal are
slower than the Prepayment Assumption. Adjustments also will be made in each
accrual period to reflect changes in the actual Pass-Through Rates with respect
to the Regular Interests, to the extent they differ from the initial
Pass-Through Rates.
Acquisition Premium
A purchaser of a Regular Interest at a price greater than its adjusted issue
price will be required to include in gross income the daily portions of the
original issue discount on the Regular Interest reduced pro rata by a fraction,
the numerator of which is the excess of the purchase price over such adjusted
issue price and the denominator of which is the excess of the remaining stated
redemption price at maturity over the adjusted issue price. Alternatively, such
a subsequent purchaser may elect to treat all such acquisition premium under the
constant yield method, as described below under the heading "Election to Treat
All Interest Under the Constant Yield Method."
Variable Rate Regular Interests
The Class A-1-R and Class A-3-R Interests provide for interest based on a
variable rate. Under the OID Regulations, interest is treated as payable at a
variable rate if, generally, (i) the issue price does not exceed the original
principal balance by more than a specified amount, and (ii) the interest
compounds or is payable at least annually at current values of certain objective
rates measured by or based on lending rates for newly borrowed funds or on the
yield or changes in the price of actively traded property or an index of the
prices of such property. The variable interest generally will be qualified
stated interest to the extent it is unconditionally payable at least annually
and, to the extent successive variable rates are used, interest is not
significantly accelerated or deferred. Moreover, under the REMIC Regulations, a
regular interest (i) bearing a variable rate tied to current values of a
"qualified floating rate" (i.e., a rate with respect to which variations can
reasonably be expected to measure contemporaneous variations in the cost of
newly borrowed funds), or the highest, lowest or average of two or more
qualified floating rates, including a rate based on the average cost of funds of
one or more financial institutions or that represents a weighted average of
rates on some or all of the Mortgage Loans that bear either a fixed rate or a
qualified floating rate, including such a rate that is subject to one or more
caps or floors, or (ii) bearing one or more such qualifying variable rates for
one or more periods, or one or more fixed rates for one or more periods, will
qualify as a regular interest in a REMIC. Accordingly, the Class A-1-R and Class
A-3-R Interests have qualifying variable rates for REMIC purposes.
The amount of original issue discount with respect to a Regular Interest
bearing a variable rate of interest will accrue in the manner described above
under "-- Original Issue Discount," with the yield to maturity and future
payments on such Regular Interest to be determined by assuming that interest
will be payable for the life of the Regular Interest at the initial rate payable
on the Regular Interests corresponding to the respective Classes of Floating
Rate Certificates. Ordinary income reportable for any period will be adjusted
based on subsequent changes in the applicable index.
Market Discount
A Regular Interest may be subject to the market discount rules of Code
Sections 1276 through 1278. Subject to a statutory de minimis exception, "market
discount" equals the adjusted issue price of the Regular Interest at the time of
purchase, as described above, minus the purchaser's original basis allocable
thereto. The purchaser generally will be required to recognize ordinary income
to the extent of accrued market discount on such Regular Interest as
distributions of principal thereon are received, in an amount not exceeding any
such distribution. Such market discount will accrue in a manner to be provided
in Treasury regulations and should take into account the Prepayment Assumption.
The Conference Committee Report to the 1986 Act provides that until such
regulations are issued, such market discount would accrue either (i) in the same
manner as original issue discount or (ii) in the ratio of interest or original
issue discount allocable to the relevant period to the interest or original
issue discount remaining on the Regular Interest as of the beginning of such
period. Such purchaser also generally will be required to treat a portion of any
gain on a sale or exchange of a Regular Interest as ordinary income to the
extent of the market discount accrued to the date of disposition under one of
the foregoing methods, less any accrued market discount previously reported as
ordinary income as principal was received. Such purchaser will be required to
defer deduction of a portion of the interest expense attributable to any
indebtedness incurred or continued to purchase or carry the Regular Interest.
The deferred portion of such interest expense would not exceed the accrued
market discount on the Regular Interest for such year. Any such deferred
interest expense is, in general, allowed as a deduction not later than the year
in which the related market discount income is recognized or the Regular
Interest is disposed of. As an alternative to the inclusion of market discount
in income on the foregoing basis, the Regular Certificateholder may elect to
include market discount in income currently as it accrues on all market discount
instruments acquired by such Regular Certificateholder in that taxable year or
thereafter, in which case the interest deferral rule will not apply. See
"Election to Treat All Interest Under the Constant Yield Method" below regarding
an alternative manner in which such election may be deemed to be made.
Treasury regulations implementing the market discount rules have not yet
been issued, and investors should therefore consult their own tax advisors
regarding the application of these rules. Investors should also consult Revenue
Procedure 92-67 concerning the elections to include market discount in income
currently and to accrue market discount on the basis of the constant yield
method.
Premium
A Regular Interest purchased at a cost greater than its remaining stated
redemption price at maturity generally is considered to be purchased at a
premium. If the Regular Certificateholder holds such Regular Interest as a
"capital asset" within the meaning of Code Section 1221, the Regular
Certificateholder may elect under Code Section 171 to amortize such premium
under the constant yield method. The Conference Committee Report to the 1986 Act
indicates a Congressional intent that the same rules that will apply to the
accrual of market discount on installment obligations will also apply to
amortizing bond premium under Code Section 171 on installment obligations such
as the Regular Interests, although it is unclear whether the alternative to the
constant interest method described above under "-- Market Discount" is
available. Amortizable bond premium will be treated as an offset to interest
income on a Regular Interest, rather than as a separate deduction item. If all
interest payments on the Regular Interests are included in the stated redemption
price at maturity of the Regular Interests, then the Regular Interests would
never be considered to be purchased at a premium. Rather, an allocable portion
of the excess of the purchase price over the then outstanding principal amount
would reduce the amount of stated interest that is treated as original issue
discount in each period.
Treatment of Losses
Regular Certificateholders will be required to report income with respect to
Regular Interests on the accrual method of accounting, without giving effect to
delays or reductions in distributions attributable to defaults or delinquencies
on the Mortgage Loans, except to the extent it can be established that such
amounts are uncollectible. Accordingly, a Regular Certificateholder may have
income, or may incur a diminution in cash flow, as a result of a default or
delinquency, but may not be able to take a deduction (subject to the discussion
below) for the corresponding loss until a subsequent taxable year. To the extent
the rules of Code Section 166 regarding bad debts are applicable, it appears
that Regular Certificateholders that are corporations or that otherwise hold the
Regular Certificates in connection with a trade or business should in general be
allowed to deduct as an ordinary loss any such loss sustained during the taxable
year on account of any such Regular Interest becoming wholly or partially
worthless, and that, in general, Regular Certificateholders that are not
corporations and do not hold the Regular Certificates in connection with a trade
or business will be allowed to deduct as a short term capital loss any such loss
sustained during the taxable year on account of any such Regular Interest
becoming wholly worthless. Although the matter is not free from doubt,
non-corporate Regular Certificateholders should be allowed a bad debt deduction
at such time as the principal balance of such Regular Certificates is reduced to
reflect losses resulting from any liquidated Mortgage Loans. The Internal
Revenue Service, however, could take the position that non-corporate holders
will be allowed a bad debt deduction to reflect such losses only after all
Mortgage Loans remaining in the Trust Fund have been liquidated or the Regular
Certificates have been otherwise retired. The Internal Revenue Service could
also assert that losses on the Regular Certificates are deductible based on some
other method that may defer such deductions for all holders, such as reducing
future cash flow for purposes of computing original issue discount. This may
have the effect of creating "negative" original issue discount which would be
deductible only against future positive original issue discount or otherwise
upon termination of the Class. Regular Certificateholders are urged to consult
their own tax advisors regarding the appropriate timing, amount and character of
any loss sustained with respect to the Regular Interests. Losses attributable to
interest previously reported as income should be deductible as ordinary losses
by both corporate and non-corporate holders. Special loss rules are applicable
to banks and thrift institutions, including rules regarding reserves for bad
debts. Such taxpayers are advised to consult their own tax advisors regarding
the treatment of losses on the Regular Interests.
Election to Treat All Interest Under the Constant Yield Method
A holder of a debt instrument such as a Regular Interest may elect to treat
all interest that accrues on the instrument using the constant yield method,
with none of the interest being treated as qualified stated interest. For
purposes of applying the constant yield method to a debt instrument subject to
such an election, (i) "interest" includes stated interest, original issue
discount, de minimis original issue discount, market discount and de minimis
market discount, as adjusted by any amortizable bond premium or acquisition
premium and (ii) the debt instrument is treated as if the instrument were issued
on the holder's acquisition date in the amount of the holder's adjusted basis
immediately after acquisition. It is unclear whether, for this purpose, the
initial Prepayment Assumption would continue to apply or if a new prepayment
assumption as of the date of the holder's acquisition would apply. A holder
generally may make such an election on an instrument by instrument basis or for
a class or group of debt instruments. However, if the holder makes such an
election with respect to a debt instrument with amortizable bond premium or with
market discount, the holder is deemed to have made elections to amortize bond
premium or to report market discount income currently as it accrues under the
constant yield method, respectively, for all premium bonds held or market
discount bonds acquired by the holder in the same taxable year or thereafter.
The election is made on the holder's federal income tax return for the year in
which the debt instrument is acquired and is irrevocable except with the
approval of the Internal Revenue Service. Investors should consult their own tax
advisors regarding the advisability of making such an election.
Sale or Exchange of Regular Interests
If a Regular Certificateholder sells or exchanges its interest in a Regular
Interest, the Regular Certificateholder will recognize gain or loss equal to the
difference, if any, between the amount received allocable thereto and such
Regular Certificateholder's adjusted basis in the Regular Interest. The adjusted
basis of a Regular Interest generally will equal the portion of the cost to the
seller of the respective Certificate allocated to the Regular Interest,
increased by any original issue discount or market discount previously included
in the seller's gross income with respect to the Regular Interest and reduced by
amounts included in the stated redemption price at maturity of the Regular
Interest that were previously received by the seller and by any amortized
premium.
Except as described above with respect to market discount, and except as
provided in this paragraph, any gain or loss on the sale or exchange of a
Regular Interest realized by an investor who holds the Regular Interest as a
capital asset will be capital gain or loss and will be long-term or short-term
depending on whether the Regular Interest has been held for the long-term
capital gain holding period (more than one year). Such gain will be treated as
ordinary income (i) if an Offered Certificate is held as part of a "conversion
transaction" as defined in Code Section 1258(c), up to the amount of interest
that would have accrued on the holder's net investment in the conversion
transaction at 120% of the appropriate applicable Federal rate under Code
Section 1274(d) in effect at the time the holder entered into the transaction
minus any amount previously treated as ordinary income with respect to any prior
disposition of property that was held as a part of such transaction, (ii) in the
case of a non-corporate taxpayer, to the extent such taxpayer has made an
election under Code Section 163(d)(4) to have net capital gains taxed as
investment income at ordinary income rates, or (iii) to the extent that such
gain does not exceed the excess, if any, of (a) the amount that would have been
includible in the gross income of the holder if its yield on the related Regular
Interest were 110% of the applicable Federal rate as of the date of purchase,
over (b) the amount of income actually includible in the gross income of such
holder with respect to such Regular Interest. In addition, gain or loss
recognized from the sale of a Regular Interest by certain banks or thrift
institutions will be treated as ordinary income or loss pursuant to Code Section
582(c). Pursuant to the Revenue Reconciliation Act of 1993, capital gains of
certain non-corporate taxpayers are subject to a lower maximum tax rate than
ordinary income of such taxpayers. The maximum tax rate for corporations is the
same with respect to both ordinary income and capital gains.
Tax Treatment of Yield Supplement Agreements
The tax treatment of payments received by the Holder of a Floating Rate
Certificate under a Yield Supplement Agreement depends on the portion, if any,
of such Holder's purchase price allocable thereto. If the fair market value of
the Yield Supplement Agreement related to a Floating Rate Certificate is nominal
at the time of acquisition of such Certificate (for example, due to the
remoteness of the risk that a Basis Risk Shortfall will occur), then the Regular
Certificateholder would not be required to allocate any portion of its purchase
price to its beneficial ownership interest in the Yield Supplement Agreement. In
such event, all payments, if any, received with respect to the Yield Supplement
Agreement (either separately or combined) would be treated as ordinary income.
If, as expected, such payments are taxable under the rules relating to notional
principal contracts, then under applicable Treasury regulations such payments
will be taxed as they are paid or accrue, depending on the method of accounting
used by the Certificateholder. For an accrual method holder, such amounts most
likely would accrue at the same time as the interest or original issue discount
income, as the case may be, on the related Regular Interest. Thus, such amounts
would most likely be taken into income at substantially the same time as if they
represented additional interest on the related Regular Interest. If a Yield
Supplement Agreement has a positive fair market value at the time the Floating
Rate Certificate is acquired, so that the Holder is required to allocate a
portion of its purchase price to such Yield Supplement Agreement, it is unclear
how such allocated cost would be recovered for tax purposes. Among other
possibilities, such cost might be recovered in the same manner as if it were
included in the basis of the related Regular Interest, under a straight-line
method, by allocating such cost among different periods based on the value of
the right to receive payments under the Yield Supplement Agreement in those
periods, or upon termination of the Yield Supplement Agreement. Because the
Seller believes that the fair market value of the Yield Supplement Agreements
upon issuance of the Offered Certificates will be negligible, the REMIC
Administrator will treat the entire issue price of the Floating Rate
Certificates as the issue price of the related Regular Interests in computing
original issue discount, and will treat payments under the Yield Supplement
Agreements, if any, as ordinary income as they accrue and will not take into
account subsequent changes, if any, in the fair market value of the Yield
Supplement Agreements. If a Yield Supplement Agreement has a positive fair
market value at the time a Floating Rate Certificateholder sells or exchanges
its Floating Rate Certificate, such holder generally will have capital gain or
loss equal to the difference between the allocable portion of the amount
realized on such sale or exchange (based on the relative fair market values of
the Yield Supplement Agreements and the related Regular Interests at that time)
and the holder's adjusted basis therein, if any. Holders of Floating Rate
Certificates are advised to consult their own tax advisors regarding the
appropriate method of accounting for income and recovery of basis with respect
to the Yield Supplement Agreements.
Taxation of Certain Foreign Investors
Interest, including original issue discount, distributable to a Regular
Certificateholder who is a "Non-U.S. Person" (as defined below) with respect to
a Regular Interest will be considered "portfolio interest" and, therefore,
generally will not be subject to 30% United States withholding tax, provided
that such Non-U.S. Person (i) is not a "10-percent shareholder" within the
meaning of Code Section 871(h)(3)(B) or a controlled foreign corporation
described in Code Section 881(c)(3)(C) and (ii) provides the Trustee or the
person who would otherwise be required to withhold tax from such distributions
under Code Section 1441 or 1442, with an appropriate statement, signed under
penalties of perjury, identifying the beneficial owner and stating, among other
things, that the beneficial owner of the related Offered Certificate is a
Non-U.S. Person. If such statement, or any other required statement, is not
provided, 30% withholding will apply unless reduced or eliminated pursuant to an
applicable tax treaty or unless the interest on the Offered Certificate is
effectively connected with the conduct of a trade or business within the United
States by such Non-U.S. Person. In the latter case, such Non-U.S. Person will be
subject to United States federal income tax at regular rates. Although not free
from doubt, the Seller believes that payments, if any, under the Yield
Supplement Agreements would not be subject to United States withholding tax as
income attributable to notional principal contracts (which should generally not
be treated as U.S.-source income in the hands of a Non-U.S. Person, other than a
nonresident alien individual with a "tax home" in the United States). For the
purposes of this discussion, the term "Non-U.S. Person" means any person other
than a citizen or resident of the United States, a corporation, partnership or
other entity created or organized in or under the laws of the United States or
any political subdivision thereof, or an estate or trust that is subject to U.S.
federal income tax regardless of the source of its income. Investors who are
Non-U.S. Persons should consult their own tax advisors regarding the specific
tax consequences to them of owning an Offered Certificate.
Backup Withholding
Distributions made on the Offered Certificates, and proceeds from the sale
of the Offered Certificates to or through certain brokers, may be subject to a
"backup" withholding tax under Code Section 3406 of 31% of "reportable payments"
(including interest distributions, original issue discount, and, under certain
circumstances, principal distributions) unless, in general, the Regular
Certificateholder complies with certain reporting or certification procedures,
including the provision of its taxpayer identification number to the Trustee,
its agent or the broker who effected the sale of the Offered Certificate, as the
case may be, or such Regular Certificateholder is an exempt recipient under
applicable provisions of the Code. Any amounts to be withheld from distribution
on the Offered Certificates would be refunded by the Internal Revenue Service or
allowed as a credit against the Regular Certificateholder's federal income tax
liability.
Reporting Requirements
Reports of accrued interest, original issue discount, information necessary
to compute the accrual of any market discount or premium on the Regular
Interests, and information concerning payments on the Yield Supplement
Agreements and the percentage of the REMIC's assets meeting the qualified asset
tests described above under "Status of Regular Interests" will be made annually
to the Internal Revenue Service and to individuals, estates, non-exempt and
non-charitable trusts, and partnerships who are either holders of record of
Offered Certificates or beneficial owners who own Offered Certificates through a
broker or middleman as nominee. All brokers, nominees and all other non-exempt
holders of record of Offered Certificates (including corporations, non-calendar
year taxpayers, securities or commodities dealers, real estate investment
trusts, investment companies, common trust funds, thrift institutions and
charitable trusts) may request such information for any calendar quarter by
telephone or in writing by contacting the person designated in Internal Revenue
Service Publication 938 with respect to the Offered Certificates. Holders
through nominees must request such information from the nominee.
DUE TO THE COMPLEXITY OF THESE RULES AND THE CURRENT UNCERTAINTY AS TO THE
MANNER OF THEIR APPLICATION TO THE REMIC, THE TRUST FUND AND REGULAR
CERTIFICATEHOLDERS, IT IS PARTICULARLY IMPORTANT THAT POTENTIAL INVESTORS
CONSULT THEIR OWN TAX ADVISORS REGARDING THE TAX TREATMENT OF THEIR ACQUISITION,
OWNERSHIP AND DISPOSITION OF THE OFFERED CERTIFICATES.
CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS
The following discussion contains summaries of certain legal aspects of
mortgage loans which are general in nature. Because many of the legal aspects of
mortgage loans are governed by applicable state laws (which may vary
substantially), the following summaries do not purport to be complete, to
reflect the laws of any particular state, to reflect all the laws applicable to
any particular Mortgage Loan or to encompass the laws of all states in which the
properties securing the Mortgage Loans are situated. The summaries are qualified
in their entirety by reference to the applicable federal and state laws
governing the Mortgage Loans.
Mortgages and Deeds of Trust Generally
The Mortgage Loans (other than Installment Contracts) included in the
Mortgage Pool will consist of (or, in the case of mortgage pass-through
certificates, be supported by) loans secured by either mortgages or deeds of
trust or other similar security instruments. There are two parties to a
mortgage, the mortgagor, who is the borrower and owner of the mortgaged
property, and the mortgagee, who is the lender. In a mortgage transaction, the
mortgagor delivers to the mortgagee a note, bond or other written evidence of
indebtedness and a mortgage. A mortgage creates a lien upon the real property
encumbered by the mortgage as security for the obligation evidenced by the note,
bond or other evidence of indebtedness. Although a deed of trust is similar to a
mortgage, a deed of trust has three parties, the borrower-property owner called
the trustor (similar to a mortgagor), a lender called the beneficiary (similar
to a mortgagee), and a third-party grantee called the trustee. Under a deed of
trust, the borrower irrevocably grants the property to the trustee, until the
debt is paid, in trust for the benefit of the beneficiary to secure payment of
the obligation generally with a power of sale. The trustee's authority under a
deed of trust and the mortgagee's authority under a mortgage are governed by
applicable law, the express provisions of the deed of trust or mortgage, and, in
some cases, the directions of the beneficiary.
The real property covered by a mortgage is most often the fee estate in land
and improvements. However, a mortgage may encumber other interests in real
property such as a tenant's interest in a lease of land or improvements, or
both, and the leasehold estate created by such lease. A mortgage covering an
interest in real property other than the fee estate requires special provisions
in the instrument creating such interest or in the mortgage to protect the
mortgagee against termination of such interest before the mortgage is paid. The
Seller will make certain representations and warranties in the Agreement with
respect to the Mortgage Loans which are secured by an interest in a leasehold
estate. See "DESCRIPTION OF THE MORTGAGE LOANS -- Representations and
Warranties."
Priority of the lien on mortgaged property created by mortgages and deeds of
trust depends on their terms and, generally, on the order of filing with a
state, county or municipal office, although such priority may in some states be
altered by the mortgagee's or beneficiary's knowledge of unrecorded liens,
leases or encumbrances against the mortgaged property. However, filing or
recording does not establish priority over governmental claims for real estate
taxes and assessments or, in some states, for reimbursement of remediation costs
of certain environmental conditions. See "-- Environmental Risks." In addition,
the Code provides priority to certain tax liens over the lien of the mortgage.
Installment Contracts
The Mortgage Loans included in the Mortgage Pool also consist of Installment
Contracts. Under an Installment Contract the seller (hereinafter referred to in
this Section as the "lender") retains legal title to the property and enters
into an agreement with the purchaser (hereinafter referred to in this Section as
the "borrower") for the payment of the purchase price, plus interest, over the
term of such contract. Only after full performance by the borrower of the
contract is the lender obligated to convey title to the real estate to the
purchaser. As with mortgage or deed of trust financing, during the effective
period of the Installment Contract, the borrower is generally responsible for
maintaining the property in good condition and for paying real estate taxes,
assessments and hazard insurance premiums associated with the property.
The method of enforcing the rights of the lender under an Installment
Contract varies on a state-by-state basis depending upon the extent to which
state courts are willing, or able pursuant to state statute, to enforce the
contract strictly according to its terms. The terms of Installment Contracts
generally provide that upon a default by the borrower, the borrower loses his or
her right to occupy the property, the entire indebtedness is accelerated, and
the buyer's equitable interest in the property is forfeited. The lender in such
a situation does not have to foreclose in order to obtain title to the property,
although in some cases a quiet title action is in order if the borrower has
filed the Installment Contract in local land records and an ejectment action may
be necessary to recover possession. In a few states, particularly in cases of
borrower default during the early years of an Installment Contract, the courts
will permit ejectment of the buyer and a forfeiture of his or her interest in
the property. However, most state legislatures have enacted provisions by
analogy to mortgage law protecting borrowers under Installment Contracts from
the harsh consequences of forfeiture. Under such statutes, a judicial or
nonjudicial foreclosure may be required, the lender may be required to give
notice of default and the borrower may be granted some grace period during which
the contract may be reinstated upon full payment of the default amount and the
borrower may have a post-foreclosure statutory redemption right. In other
states, courts in equity may permit a borrower with significant investment in
the property under an Installment Contract for the sale of real estate to share
in the proceeds of sale of the property after the indebtedness is repaid or may
otherwise refuse to enforce the forfeiture clause. Nevertheless, generally
speaking, the lender's procedures for obtaining possession and clear title under
an Installment Contract for the sale of real estate in a given state are simpler
and less time-consuming and costly than are the procedures for foreclosing and
obtaining clear title to a mortgaged property.
Junior Mortgages; Rights of Senior Mortgagees or Beneficiaries
Some of the Mortgage Loans included in the Mortgage Pool will be secured by
junior mortgages or deeds of trust which are subordinate to senior mortgages or
deeds of trust held by other lenders or institutional investors. The rights of
the Trust Fund (and therefore the Certificateholders), as beneficiary under a
junior deed of trust or as mortgagee under a junior mortgage, are subordinate to
those of the mortgagee or beneficiary under the senior mortgage or deed of
trust, including the prior rights of the senior mortgagee or beneficiary to
receive rents, hazard insurance and condemnation proceeds and to cause the
property securing the Mortgage Loan to be sold upon default of the mortgagor or
trustor, thereby extinguishing the junior mortgagee's or junior beneficiary's
lien unless the Special Servicer asserts its subordinate interest in a property
in foreclosure litigation or satisfies the defaulted senior loan. As discussed
more fully below, in many states a junior mortgagee or beneficiary may satisfy a
defaulted senior loan in full, or may cure such default and bring the senior
loan current, in either event adding the amounts expended to the balance due on
the junior loan. Absent a provision in the senior mortgage, no notice of default
is required to be given to the junior mortgagee.
The form of the mortgage or deed of trust used by many institutional lenders
confers on the mortgagee or beneficiary the right both to receive all proceeds
collected under any hazard insurance policy and all awards made in connection
with any condemnation proceedings, and to apply such proceeds and awards to any
indebtedness secured by the mortgage or deed of trust, in such order as the
mortgagee or beneficiary may determine. Thus, in the event improvements on the
property are damaged or destroyed by fire or other casualty, or in the event the
property is taken by condemnation, the mortgagee or beneficiary under the senior
mortgage or deed of trust will have the prior right to collect any insurance
proceeds payable under a hazard insurance policy and any award of damages in
connection with the condemnation and to apply the same to the indebtedness
secured by the senior mortgage or deed of trust. Proceeds in excess of the
amount of senior mortgage indebtedness will, in most cases, be applied to the
indebtedness of a junior mortgage or trust deed. The laws of certain states may
limit the ability of mortgagees or beneficiaries to apply the proceeds of hazard
insurance and partial condemnation awards to the secured indebtedness. In such
states, the mortgagor or trustor must be allowed to use the proceeds of hazard
insurance to repair the damage unless the security of the mortgagee or
beneficiary has been impaired. Similarly, in certain states, the mortgagee or
beneficiary is entitled to the award for a partial condemnation of the real
property security only to the extent that its security is impaired.
The form of mortgage or deed of trust used by many institutional lenders
typically contains a "future advance" clause, which provides, in essence, that
additional amounts advanced to or on behalf of the mortgagor or trustor by the
mortgagee or beneficiary are to be secured by the mortgage or deed of trust.
While such a clause is valid under the laws of most states, the priority of any
advance made under the clause depends, in some states, on whether the advance
was an "obligatory" or "optional" advance. If the mortgagee or beneficiary is
obligated to advance the additional amounts, the advance may be entitled to
receive the same priority as amounts initially made under the mortgage or deed
of trust, notwithstanding that there may be intervening junior mortgages or
deeds of trust and other liens between the date of recording of the mortgage or
deed of trust and the date of the future advance, and notwithstanding that the
mortgagee or beneficiary had actual knowledge of such intervening junior
mortgages or deeds of trust and other liens at the time of the advance. Where
the mortgagee or beneficiary is not obligated to advance the additional amounts
and has actual knowledge of the intervening junior mortgages or deeds of trust
and other liens, the advance may be subordinate to such intervening junior
mortgages or deeds of trust and other liens. Priority of advances under a
"future advance" clause rests, in many other states, on state law giving
priority to all advances made under the loan agreement up to a "credit limit"
amount stated in the recorded mortgage.
Another provision typically found in the form of the mortgage or deed of
trust used by many institutional lenders obligates the mortgagor or trustor to
pay before delinquency all taxes and assessments on the property and, when due,
all encumbrances, charges and liens on the property which appear prior to the
mortgage or deed of trust, to provide and maintain fire insurance on the
property, to maintain and repair the property and not to commit or permit any
waste thereof, and to appear in and defend any action or proceeding purporting
to affect the property or the rights of the mortgagee or beneficiary under the
mortgage or deed of trust. Upon a failure of the mortgagor or trustor to perform
any of these obligations, the mortgagee or beneficiary is given the right under
the mortgage or deed of trust to perform the obligation itself, at its election,
with the mortgagor or trustor agreeing to reimburse the mortgagee or beneficiary
for any sums expended by the mortgagee or beneficiary on behalf of the trustor.
All sums so expended by the mortgagee or beneficiary become part of the
indebtedness secured by the mortgage or deed of trust.
The form of mortgage or deed of trust used by many institutional lenders
typically requires the mortgagor or trustor to obtain the consent of the
mortgagee or beneficiary in respect of actions affecting the mortgaged property,
including, without limitation, leasing activities (including new leases and
termination or modification of existing leases), alterations and improvements to
buildings forming a part of the mortgaged property and management and leasing
agreements for the mortgaged property. Tenants will often refuse to execute a
lease unless the mortgagee or beneficiary executes a written agreement with the
tenant not to disturb the tenant's possession of its premises in the event of a
foreclosure. A senior mortgagee or beneficiary may refuse to consent to matters
approved by a junior mortgagee or beneficiary with the result that the value of
the security for the junior mortgage or deed of trust is diminished. For
example, a senior mortgagee or beneficiary may decide not to approve a lease or
to refuse to grant a tenant a non-disturbance agreement. If, as a result, the
lease is not executed, the value of the mortgaged property may be diminished.
Cooperative Apartment Share Loans
The Mortgage Pool contains Mortgage Loans made in connection with a purchase
or refinancing of cooperative apartments. Such loans ("Co-op Loans") are not
secured by liens on real estate. The "owner" of a cooperative apartment does not
own the real estate constituting the apartment, but owns shares of stock in a
corporation which holds title to the building in which the apartment is located,
and by virtue of owning such stock is entitled to a proprietary lease to occupy
the specific apartment (the "Lease"). Thus, a Co-op Loan is a personal loan
secured by a lien on the shares and an assignment of the Lease. If the borrower
defaults on a Co-op Loan, the lender's remedies are similar to the remedies
which apply to a foreclosure of a mortgage or deed of trust, in that the lender
can foreclose the loan and assume "ownership" of the apartment shares.
There are certain risks which arise as a result of the cooperative form of
ownership which differentiate Co-op Loans from other types of mortgage loans.
For example, the power of the board of directors of most cooperative
corporations to reject a proposed purchaser of a unit owner's shares (and
prevent the sale of an apartment) for any reason (other than reasons based upon
unlawful discrimination), or for no reason, significantly reduces the universe
of potential purchasers in the event of a foreclosure. Moreover, cooperative
apartment owners run a special risk in buildings where the "sponsor" (i.e., the
owner of the unsold shares in the corporation) holds a significant number of
unsold apartments in that the sponsor may go into default on a loan which is
secured by a mortgage on the building. In such event, the unit owners would be
forced by special assessment to make payments on the delinquent loan or risk
losing their apartments in a foreclosure proceeding brought by the holder of the
mortgage on the building. Not only would the value attributable to the right to
occupy a particular apartment be adversely affected by the special assessment,
but the foreclosure of a mortgage on the building in which the apartment is
located could result in a total loss of the shareholder's equity in the building
(and a corresponding loss of the lender's security for its Co-op Loan).
Foreclosure
Foreclosure of a mortgage is generally accomplished by judicial action
initiated by the service of legal pleadings upon all necessary parties having an
interest in the real property. Delays in completion of foreclosure may
occasionally result from difficulties in locating necessary parties defendant.
When the mortgagee's right to foreclose is contested, the legal proceedings
necessary to resolve the issue can be time-consuming. A judicial foreclosure may
be subject to most of the delays and expenses of other litigation, sometimes
requiring up to several years to complete. At the completion of the judicial
foreclosure proceedings, if the mortgagee prevails, the court ordinarily issues
a judgment of foreclosure and appoints a referee or other designated official to
conduct the sale of the property. Such sales are made in accordance with
procedures which vary from state to state. The purchaser at such sale acquires
the estate or interest in real property covered by the mortgage. If the mortgage
covered the tenant's interest in a lease and leasehold estate, the purchaser
will acquire such tenant's interest subject to the tenant's obligations under
the lease to pay rent and perform other covenants contained therein.
In a majority of cases, foreclosure of a deed of trust is accomplished by a
non-judicial trustee's sale under a specific provision in the deed of trust
and/or applicable statutory requirements which authorizes the trustee, generally
following a request from the beneficiary/lender, to sell the property at public
sale upon any default by the borrower under the terms of the note or deed of
trust. A number of states may also require that a lender provide notice of
acceleration of a note to the borrower. Notice requirements under a trustee's
sale vary from state to state. In some states, prior to the trustee's sale the
trustee must record a notice of default and send a copy to the borrower-trustor,
to any person who has recorded a request for a copy of a notice of default and
notice of sale and to any successor in interest to the trustor. In addition, the
trustee must provide notice in some states to any other person having an
interest in the real property, including any junior lienholders, and to certain
other persons connected with the deed of trust. In some states, the borrower, or
any other person having a junior encumbrance on the real estate, may, during a
reinstatement period, cure the default by paying the entire amount in arrears
plus the costs and expenses (in some states, limited to reasonable costs and
expenses) incurred in enforcing the obligation. Generally, state law controls
the amount of foreclosure expenses and costs, including attorneys' fees, which
may be recovered by a lender. If the deed of trust is not reinstated, a notice
of sale must be posted in a public place and, in most states, published for a
specific period of time in one or more newspapers. In addition, some state laws
require that a copy of the notice of sale be posted on the property and sent to
all parties having an interest in the real property.
In case of foreclosure under either a mortgage or a deed of trust, the sale
by the referee or other designated official or by the trustee is often a public
sale. However, because of the difficulty a potential buyer at the sale might
have in determining the exact status of title to the property subject to the
lien of the mortgage or deed of trust and the redemption rights that may exist
(see "-- Statutory Rights of Redemption" below), and because the physical
condition and financial performance of the property may have deteriorated during
the foreclosure proceedings and/or for a variety of other reasons, a third party
may be unwilling to purchase the property at the foreclosure sale. Some states
require that the lender disclose to potential bidders at a trustee's sale all
known facts materially affecting the value of the property. Such disclosure may
have an adverse effect on the trustee's ability to sell the property or the sale
price thereof. Potential buyers may further question the prudence of purchasing
property at a foreclosure sale as a result of the 1980 decision of the United
States Court of Appeals for the Fifth Circuit in Durrett v. Washington National
Insurance Company, other decisions that have followed the reasoning of Durrett
and the codification of the Durrett reasoning in the federal bankruptcy code, as
amended from time to time (11 U.S.C.) (the "Bankruptcy Code"). As a result, even
a non-collusive, regularly conducted foreclosure sale may be a fraudulent
transfer under the Bankruptcy Code, regardless of the parties' intent, and,
therefore, may be rescinded in favor of the bankrupt's estate, if (i) the
foreclosure sale is held while the debtor is insolvent and not more than one
year prior to the filing of the bankruptcy petition (or if applicable state
fraudulent conveyance law also allows the avoidance of such a foreclosure sale,
the applicable state statute of limitations if the bankruptcy trustee elects to
proceed under state fraudulent conveyance law), and (ii) the price paid for the
foreclosed property does not represent "fair consideration" ("reasonably
equivalent value" under the Bankruptcy Code). For these and other reasons, it is
common for the lender to purchase the property from the trustee, referee or
other designated official for an amount equal to the outstanding principal
amount of the indebtedness secured by the mortgage or deed of trust, together
with accrued and unpaid interest and the expenses of foreclosure, in which
event, if the amount bid by the lender equals the full amount of such debt,
interest and expenses, the mortgagee's debt will be extinguished. Thereafter,
the lender will assume the burdens of ownership, including paying operating
expenses and real estate taxes and making repairs. The lender is then obligated
as an owner until it can arrange a sale of the property to a third party.
Frequently, the lender employs a third party management company to manage and
operate the property. The costs of operating and maintaining commercial property
may be significant and may be greater than the income derived from that
property. The costs of management and operation of those mortgaged properties
which are hotels, motels or nursing or convalescent homes or hospitals may be
particularly significant because of the expertise, knowledge and, with respect
to nursing or convalescent homes or hospitals, regulatory compliance, required
to run such operations and the effect which foreclosure and a change in
ownership may have on the public's and the industry's (including franchisors')
perception of the quality of such operations. The lender will commonly obtain
the services of a real estate broker and pay the broker's commission in
connection with the sale of the property. Depending upon market conditions, the
ultimate proceeds of the sale of the property may not equal the lender's
investment in the property. Moreover, a lender commonly incurs substantial legal
fees and court costs in acquiring a mortgaged property through contested
foreclosure and/or bankruptcy proceedings. Furthermore, an increasing number of
states require that any environmental hazards be eliminated before a property
may be resold. In addition, a lender may be responsible under federal or state
law for the cost of cleaning up a mortgaged property that is environmentally
contaminated. See "-- Environmental Risks" below. As a result, a lender could
realize an overall loss on a mortgage loan even if the related mortgaged
property is sold at foreclosure or resold after it is acquired through
foreclosure for an amount equal to the full outstanding principal amount of the
mortgage loan, plus accrued interest.
In foreclosure proceedings, some courts have applied general equitable
principles. These equitable principles are generally designed to relieve the
borrower from the legal effect of his defaults under the loan documents.
Examples of judicial remedies that have been fashioned include judicial
requirements that the lender undertake affirmative and expensive actions to
determine the causes of the borrower's default and the likelihood that the
borrower will be able to reinstate the loan. In some cases, courts have
substituted their judgment for the lender's judgment and have required that
lenders reinstate loans or recast payment schedules in order to accommodate
borrowers who are suffering from temporary financial disability. In other cases,
courts have limited the right of the lender to foreclose if the default under
the mortgage instrument is not monetary, such as the borrower's failing to
maintain adequately the property or the borrower's executing a second mortgage
or deed of trust affecting the property. Finally, some courts have been faced
with the issue of whether or not federal or state constitutional provisions
reflecting due process concerns for adequate notice require that borrowers under
deeds of trust or mortgages receive notices in addition to the statutorily-
prescribed minimum. For the most part, these cases have upheld the notice
provisions as being reasonable or have found that the sale by a trustee under a
deed of trust, or under a mortgage having a power of sale, does not involve
sufficient state action to afford constitutional protections to the borrower.
Under the REMIC provisions of the Code and the Agreement, the Special
Servicer may be required to hire an independent contractor to operate any REO
Property. The costs of such operation may be significantly greater than the cost
of direct operation by the Special Servicer. See "SERVICING OF THE MORTGAGE
LOANS -- Collection and Other Servicing Procedures."
Environmental Risks
Real property pledged as security to a lender may be subject to unforeseen
environmental risks. Of particular concern may be those mortgaged properties
which are, or have been, the site of manufacturing, industrial or disposal
activity. Such environmental risks may give rise to (a) a diminution in value of
property securing any Mortgage Loan or the inability to foreclose against such
property or (b) in certain circumstances as more fully described below,
liability for clean-up costs or other remedial actions, which liability could
exceed the value of such property or the principal balance of the related
Mortgage Loan.
Under the laws of certain states, failure to perform the remediation of any
condition or circumstance that (i) may pose an imminent or substantial
endangerment to the public health or welfare or the environment, (ii) may result
in a release or threatened release of any Hazardous Material, or (iii) may give
rise to any environmental claim or demand (each such condition or circumstance,
an "Environmental Condition") required or demanded by the state may give rise to
a lien on the property to ensure the reimbursement of remedial costs incurred by
the state. In several states such lien has priority over the lien of an existing
mortgage against such property. The value of a Mortgaged Property as collateral
for a Mortgage Loan could therefore be adversely affected by the existence of
any such Environmental Condition.
The state of the law is currently unclear as to whether and under what
circumstances clean-up costs, or the obligation to take remedial actions, could
be imposed on a secured lender such as the Trust Fund. Under the laws of some
states and under the federal Comprehensive Environmental Response, Compensation
and Liability Act of 1980, as amended ("CERCLA"), a lender may be liable as an
"owner or operator" for costs of addressing releases or threatened releases of
hazardous substances on a mortgaged property if such lender or its agents or
employees have participated in the management of the operations of the borrower,
even though the environmental damage or threat was caused by a prior owner or
other third party. Excluded from CERCLA's definition of "owner or operator,"
however, is a person "who without participating in the management of the
facility, holds indicia of ownership primarily to protect his security interest"
(the "secured-creditor exemption"). This exemption for holders of a security
interest such as a secured lender applies only when the lender seeks to protect
its security interest in the contaminated facility or property. Thus, if a
lender's activities begin to encroach on the actual management of such facility
or property, the lender faces potential liability as an "owner or operator"
under CERCLA. Similarly, when a lender forecloses and takes title to a
contaminated facility or property (whether it holds the facility or property as
an investment or leases it to a third party), the lender may incur potential
CERCLA liability.
A decision in May 1990 of the United States Court of Appeals for the
Eleventh Circuit in United States v. Fleet Factors Corp. very narrowly construed
CERCLA's secured-creditor exemption. The court held that a lender need not have
involved itself in the day-to-day operations of the facility or participated in
decisions relating to hazardous waste to be liable under CERCLA; rather,
liability could attach to a lender if its involvement with the management of the
facility is broad enough to support the inference that the lender had the
capacity to influence the borrower's treatment of hazardous waste. The court
added that a lender's capacity to influence such decisions could be inferred
from the extent of its involvement in the facility's financial management. A
subsequent decision by the United States Court of Appeals for the Ninth Circuit
in In re Bergsoe Metal Corp., disagreeing with the Fleet Factors court, held
that a secured lender had no liability absent "some actual management of the
facility" on the part of the lender. The scope of the secured-creditor exemption
is thus unclear.
The Agreement will provide that the Special Servicer, acting on behalf of
the Trust Fund, may not acquire title to, or possession of, a Mortgaged Property
underlying a Mortgage Loan, take over its operation or take any other action
that might subject the Trust Fund to liability under CERCLA or comparable laws
unless the Special Servicer has previously determined, based upon a phase I or
other specified environmental assessment prepared by a person who regularly
conducts such environmental assessments, that the Mortgaged Property is in
compliance with applicable environmental laws and that there are no
circumstances relating to use, management or disposal of any Hazardous Materials
for which investigation, monitoring, containment, clean-up or remediation could
be required under applicable environmental laws, or that it would be in the best
economic interest of the Trust Fund to take such actions as are necessary to
bring the Mortgaged Property into compliance therewith or as may be required
under such laws. This requirement effectively precludes enforcement of the
security for the related Note until a satisfactory environmental assessment is
obtained or any required remedial action is taken, reducing the likelihood that
the Trust Fund will become liable for any Environmental Condition affecting a
Mortgaged Property, but making it more difficult to realize on the security for
the Mortgage Loan. However, there can be no assurance that any environmental
assessment obtained by the Special Servicer will detect all possible
Environmental Conditions or that the other requirements of the Agreement, even
if fully observed by the Special Servicer, will in fact insulate the Trust Fund
from liability for Environmental Conditions.
If a lender is or becomes liable for clean-up costs, it may bring an action
for contribution against the current owners or operators, the owners or
operators at the time of on-site disposal activity or any other party who
contributed to the environmental hazard, but such persons or entities may be
bankrupt or otherwise judgment proof. Furthermore, such action against the
Borrower may be adversely affected by the limitations on recourse in the loan
documents. Similarly, in some states anti-deficiency legislation and other
statutes requiring the lender to exhaust its security before bringing a personal
action against the borrower-trustor (see "--Anti-Deficiency Legislation" below)
may curtail the lender's ability to recover from its borrower the environmental
clean-up and other related costs and liabilities incurred by the lender.
Shortfalls occurring as the result of imposition of any clean-up costs will be
borne first by Holders of Class F Certificates, second by Holders of Class E
Certificates, third by Holders of Class D Certificates, fourth by Holders of
Class C Certificates, fifth by Holders of Class B Certificates and finally by
Holders of Class A Certificates, pro rata.
The Seller generally will not have determined whether environmental
assessments have been conducted with respect to the Mortgaged Properties
relating to the Mortgage Loans included in the Mortgage Pool, and it is likely
that any environmental assessments which would have been conducted with respect
to any of the Mortgaged Properties would have been conducted at the time of the
origination of the related Mortgage Loans and not thereafter. However, the
Seller will represent and warrant that, as of the Closing Date, no related
Mortgaged Property is affected by a Disqualifying Condition. In the event that,
following a default in payment on a Mortgage Loan that continues for 60 days,
(i) the environmental assessment obtained by the Special Servicer prior to any
foreclosure (as described in the second preceding paragraph) indicates the
presence of a Disqualifying Condition that arose prior to the date of initial
issuance of the Certificates and (ii) each of the Special Servicer and the
Master Servicer certify that it has acted in compliance with the servicing
standard set forth in the Agreement and has not, by any action, created, caused
or contributed to a Disqualifying Condition, the Seller, at its option, will
either cure such Disqualifying Condition or repurchase the affected Mortgage
Loan for a price equal to the outstanding principal balance thereof, plus
accrued and unpaid interest to the date of repurchase and certain related
expenses. The RTC, with respect to Mortgage Loans for which it is not acting in
its corporate capacity as the Seller, will guarantee the Seller's obligation to
cure or repurchase. The Seller will not, however, be responsible, in its
capacity as such, for any Disqualifying Condition which may arise on a Mortgaged
Property after the date of initial issuance of the Certificates, whether due to
actions of the Borrower, the Master Servicer, the Special Servicer or any other
person.
Statutory Rights of Redemption
In some states, after foreclosure sale pursuant to a deed of trust or a
mortgage, the borrower and certain foreclosed junior lienors are given a
statutory period in which to redeem the property from the foreclosure sale. In
some states, redemption may occur only upon payment of the entire principal
balance of the loan, accrued interest and expenses of foreclosure. In other
states, redemption may be authorized if the former borrower pays only a portion
of the sums due. The effect of a statutory right of redemption is to diminish
the ability of the lender to sell the foreclosed property. The right of
redemption may defeat the title of any purchaser at a foreclosure sale or any
purchaser from the lender subsequent to a foreclosure sale. Certain states
permit a lender to avoid a post-sale redemption by waiving its right to a
deficiency judgment. Consequently, the practical effect of the redemption right
is often to force the lender to retain the property and pay the expenses of
ownership until the redemption period has run. In some states, there is no right
to redeem property after a trustee's sale under a deed of trust.
Borrowers under Installment Contracts generally do not have the benefits of
redemption periods such as exist in the same jurisdiction for mortgage loans.
Where redemption statutes do exist under state laws for Installment Contracts,
the redemption period is usually far shorter than for mortgages.
Anti-Deficiency Legislation
A substantial number of the Mortgage Loans included in the Mortgage Pool
will be nonrecourse loans as to which, in the event of default by a Borrower,
recourse may be had only against the specific property pledged to secure the
related Mortgage Loan and not against the Borrower's other assets. Even if
recourse is available pursuant to the terms of the Mortgage Loan against the
Borrower's assets in addition to the Mortgaged Property, certain states have
imposed statutory prohibitions which impose prohibitions against or limitations
on such recourse. For example, some state statutes limit the right of the
beneficiary or mortgagee to obtain a deficiency judgment against the borrower
following foreclosure or sale under a deed of trust. A deficiency judgment is a
personal judgment against the former borrower equal in most cases to the
difference between the net amount realized upon the public sale of the real
property and the amount due to the lender. Other statutes require the
beneficiary or mortgagee to exhaust the security afforded under a deed of trust
or mortgage by foreclosure in an attempt to satisfy the full debt before
bringing a personal action against the borrower. In certain states, the lender
has the option of bringing a personal action against the borrower on the debt
without first exhausting such security; however, in some of these states, the
lender, following judgment on such personal action, may be deemed to have
elected a remedy and may be precluded from exercising remedies with respect to
the security. Consequently, the practical effect of the election requirement,
when applicable, is that lenders will usually proceed first against the security
rather than bringing personal action against the borrower. Other statutory
provisions limit any deficiency judgment against the former borrower following a
judicial sale to the excess of the outstanding debt over the fair market value
of the property at the time of the public sale. The purpose of these statutes is
generally to prevent a beneficiary or a mortgagee from obtaining a large
deficiency judgment against the former borrower as a result of low bids or the
absence of bids at the judicial sale.
Bankruptcy Laws
Numerous statutory provisions, including the Bankruptcy Code and state laws
affording relief to debtors, may interfere with and delay the ability of the
secured mortgage lender to obtain payment of the loan, to realize upon
collateral and/or to enforce a deficiency judgment. For example, under the
Bankruptcy Code, virtually all actions (including foreclosure actions and
deficiency judgment proceedings) are automatically stayed upon the filing of the
bankruptcy petition and, often, no interest or principal payments are made
during the course of the bankruptcy proceeding. The delay and consequences
thereof caused by such automatic stay can be significant. Also, under the
Bankruptcy Code, the filing of a petition in bankruptcy by or on behalf of a
junior lienor, including, without limitation, any junior mortgagee or
beneficiary, may stay the senior lender from taking action to foreclose out such
junior lien.
Under the Bankruptcy Code, provided certain substantive and procedural
safeguards for the lender are met, the amount and terms of a mortgage or deed of
trust secured by property of the debtor may be modified under certain
circumstances. The outstanding amount of the loan secured by the real property
may be reduced to the then current value of the property (with a corresponding
partial reduction of the amount of the lender's security interest) pursuant to a
confirmed plan or lien avoidance proceeding, thus leaving the lender a general
unsecured creditor for the difference between such value and the outstanding
balance of the loan. Other modifications may include the reduction in the amount
of each monthly payment, which reduction may result from a reduction in the rate
of interest and/or the alteration of the repayment schedule (with or without
affecting the unpaid principal balance of the loan), and/or an extension (or
acceleration) of the final maturity date. Some courts with federal bankruptcy
jurisdiction have approved plans, based on the particular facts of the
reorganization case, that effected the curing of a mortgage loan default by
paying arrearages over a number of years. Also, under the Bankruptcy Code, a
bankruptcy court may permit a debtor through its rehabilitative plan to
de-accelerate a secured loan and to reinstate the loan even though the lender
accelerated the mortgage loan and final judgment of foreclosure had been entered
in state court (provided no sale of the property had yet occurred) prior to the
filing of the debtor's petition. This may be done even if the full amount due
under the original loan is never repaid. Other types of significant
modifications to the terms of the mortgage may be acceptable to the bankruptcy
court, often depending on the particular facts and circumstances of the specific
case.
A "deficient valuation" with respect to any mortgage loan is the excess of
(a)(i) the then outstanding principal balance of the mortgage loan, plus (ii)
accrued and unpaid interest and expenses reimbursable under the terms of the
related note to the date of the bankruptcy petition (collectively, the
"Outstanding Balance"), over (b) a valuation by a court of competent
jurisdiction of the mortgaged property which reduces the principal balance
receivable on such mortgage loan to an amount less than the Outstanding Balance
of the mortgage loan, which valuation results from a proceeding initiated under
the Bankruptcy Code. As used herein, "Deficient Valuation" means, with respect
to any Mortgage Loan, the deficient valuation described in the preceding
sentence, without giving effect to clause (a)(ii) thereof. If the terms of a
court order in respect of any retroactive Deficient Valuation provide for a
reduction in the indebtedness of a Mortgage Loan and the earlier maturity
thereof, the term Deficient Valuation includes an additional amount equal to the
excess, if any, of (a) the amount of principal that would have been due on such
Mortgage Loan for each month retroactively affected (i.e., each month occurring
after the effective date of such Deficient Valuation but before the distribution
of amounts in respect of such Deficient Valuation to Certificateholders pursuant
to the Agreement), based on the original payment terms and amortization schedule
of such Mortgage Loan over (b) the amount of principal due on such Mortgage Loan
for each such retroactive month (assuming the effect of such retroactive
application according to such Mortgage Loan's revised amortization schedule). A
"Debt Service Reduction," with respect to any Mortgage Loan, is a reduction in
the scheduled monthly payment, as described in the Agreement, for such Mortgage
Loan by a court of competent jurisdiction in a proceeding under the Bankruptcy
Code, except such a reduction resulting from a Deficient Valuation.
Federal bankruptcy law may also interfere with or affect the ability of the
secured mortgage lender to enforce an assignment by a mortgagor of rents and
leases related to the mortgaged property if the related mortgagor is in a
bankruptcy proceeding. Under Section 362 of the Bankruptcy Code, the mortgagee
will be stayed from enforcing the assignment, and the legal proceedings
necessary to resolve the issue can be time-consuming and may result in
significant delays in the receipt of the rents. Rents may also escape an
assignment thereof (i) if the assignment is not fully perfected under state law
prior to commencement of the bankruptcy proceeding, (ii) to the extent such
rents are used by the borrower to maintain the mortgaged property, or for other
court authorized expenses, or (iii) to the extent other collateral may be
substituted for the rents.
To the extent a mortgagor's ability to make payment on a mortgage loan is
dependent on payments under a lease of the related property, such ability may be
impaired by the commencement of a bankruptcy proceeding relating to a lessee
under such lease. Under the Bankruptcy Code, the filing of a petition in
bankruptcy by or on behalf of a lessee results in a stay in bankruptcy against
the commencement or continuation of any state court proceeding for past due
rent, for accelerated rent, for damages or for a summary eviction order with
respect to a default under the lease that occurred prior to the filing of the
lessee's petition.
In addition, federal bankruptcy law generally provides that a trustee or
debtor in possession in a bankruptcy or reorganization case under the Bankruptcy
Code may, subject to approval of the court, (a) assume the lease and retain it
or assign it to a third party or (b) reject the lease. If the lease is assumed,
the trustee or debtor in possession (or assignee, if applicable) must cure any
defaults under the lease, compensate the lessor for its losses and provide the
lessor with "adequate assurance" of future performance. Such remedies may be
insufficient, however, as the lessor may be forced to continue under the lease
with a lessee that is a poor credit risk or an unfamiliar tenant if the lease
was assigned, and any assurances provided to the lessor may, in fact, be
inadequate. Furthermore, there is likely to be a period of time between the date
upon which a lessee files a bankruptcy petition and the date upon which the
lease is assumed or rejected. Although the lessee is obligated to make all lease
payments currently with respect to the post-petition period, there is a risk
that such payments will not be made due to the lessee's poor financial
condition. If the lease is rejected, the lessor will be treated as an unsecured
creditor with respect to its claim for damages for termination of the lease and
the lessor must relet the mortgaged property before the flow of lease payments
will recommence. In addition, pursuant to Section 502(b)(6) of the Bankruptcy
Code, a lessor's damages for lease rejection are limited by a formula.
In a bankruptcy or similar proceeding, action may be taken seeking the
recovery as a preferential transfer of any payments made by the mortgagor under
the related Mortgage Loan to the Trust Fund. Payments on long-term debt may be
protected from recovery as preferences if they are payments in the ordinary
course of business made on debts incurred in the ordinary course of business.
Whether any particular payment would be protected depends upon the facts
specific to a particular transaction.
Enforceability of Certain Provisions
Prepayment Provisions
Courts generally enforce claims requiring prepayment fees unless enforcement
would be unconscionable. However, the laws of certain states may render
prepayment fees unenforceable after a mortgage loan has been outstanding for a
certain number of years, or may limit the amount of any prepayment fee to a
specified percentage of the original principal amount of the mortgage loan, to a
specified percentage of the outstanding principal balance of a mortgage loan, or
to a fixed number of months' interest on the prepaid amount. In certain states,
prepayment fees payable on default or other involuntary acceleration of a
mortgage loan may not be enforceable against the mortgagor. Some state statutory
provisions may also treat certain prepayment fees as usurious if in excess of
statutory limits. See "-- Applicability of Usury Laws." Some of the Mortgage
Loans included in the Mortgage Pool may not require the payment of specified
fees as a condition to prepayment or such requirements may have expired, and to
the extent they do require such fees, such fees will generally not be expected
to be a material deterrent to prepayment. Some of the Mortgage Loans included in
the Mortgage Pool, however, may continue to have prepayment penalties which
could be a deterrent to prepayments.
Due-on-Sale Provisions
The enforceability of due-on-sale clauses has been the subject of
legislation or litigation in many states, and in some cases, typically involving
single family residential mortgage transactions, their enforceability has been
limited or denied. In any event, the Garn-St Germain Depository Institutions Act
of 1982 (the "Garn-St Germain Act") preempts state constitutional, statutory and
case law that prohibits the enforcement of due-on-sale clauses and permits
lenders to enforce these clauses in accordance with their terms, subject to
certain exceptions. As a result, due-on-sale clauses have become generally
enforceable except in those states whose legislatures exercised their authority
to regulate the enforceability of such clauses with respect to mortgage loans
that were (i) originated or assumed during the "window period" under the Garn-St
Germain Act, which ended in all cases not later than October 15, 1982, and (ii)
originated by lenders other than national banks, federal savings institutions
and federal credit unions. FHLMC has taken the position in its published
mortgage servicing standards that, out of a total of eleven "window period
states," five states (Arizona, Michigan, Minnesota, New Mexico and Utah) have
enacted statutes extending, on various terms and for varying periods, the
prohibition on enforcement of due-on-sale clauses with respect to certain
categories of window period loans. Also, the Garn-St Germain Act does
"encourage" lenders to permit assumption of loans at the original rate of
interest or at some other rate less than the average of the original rate and
the market rate.
The Agreement will provide that if any Mortgage Loan contains a provision in
the nature of a "due-on-sale" clause, which by its terms provides that: (i) such
Mortgage Loan shall (or may at the mortgagee's option) become due and payable
upon the sale or other transfer of an interest in the related Mortgaged
Property; or (ii) such Mortgage Loan may not be assumed without the consent of
the related mortgagee in connection with any such sale or other transfer, then,
for so long as such Mortgage Loan is included in the Trust Fund, the Master
Servicer, or, if such Mortgage Loan is a Specially Serviced Mortgage Loan, the
Special Servicer, on behalf of the Trustee, shall take such actions as it deems
to be in the best interest of the Certificateholders in accordance with the
servicing standard set forth in the Agreement, and may waive or enforce any
due-on-sale clause contained in the related Note or Mortgage.
In addition, under federal bankruptcy law, due-on-sale clauses may not be
enforceable in bankruptcy proceedings and may, under certain circumstances, be
eliminated in any modified mortgage resulting from such bankruptcy proceeding.
Acceleration on Default
A significant number of the Mortgage Loans included in the Mortgage Pool
will include a "debt-acceleration" clause, which permits the lender to
accelerate the full debt upon a monetary or nonmonetary default of the Borrower.
The courts of all states will enforce clauses providing for acceleration in the
event of a material payment default after giving effect to any appropriate
notices. The equity courts of any state, however, may refuse to foreclose a
mortgage or deed of trust when an acceleration of the indebtedness would be
inequitable or unjust or the circumstances would render the acceleration
unconscionable. Furthermore, in some states, the Borrower may avoid foreclosure
and reinstate an accelerated loan by paying only the defaulted amounts and the
costs and attorneys' fees incurred by the lender in collecting such defaulted
payments.
State courts also are known to apply various legal and equitable principles
to avoid enforcement of the forfeiture provisions of Installment Contracts. For
example, a lender's practice of accepting late payments from the borrower may be
deemed a waiver of the forfeiture clause. State courts also may impose equitable
grace periods for payment of arrearages or otherwise permit reinstatement of the
contract following a default. Not infrequently, if a borrower under an
Installment Contract has significant equity in the property, equitable
principles will be applied to reform or reinstate the contract or to permit the
borrower to share the proceeds upon a foreclosure sale of the property if the
sale price exceeds the debt.
Soldiers' and Sailors' Relief Act
Under the terms of the Soldiers' and Sailors' Civil Relief Act of 1940, as
amended (the "Relief Act"), a Borrower who enters military service after the
origination of such Borrower's Mortgage Loan (including a Borrower who is a
member of the National Guard or is in reserve status at the time of the
origination of the Mortgage Loan and is later called to active duty) may not be
charged interest (including fees and charges) above an annual rate of 6% during
the period of such Borrower's active duty status, unless a court orders
otherwise upon application of the lender. Any shortfall in interest collections
resulting from the application of the Relief Act, to the extent not covered by
any applicable credit enhancements, could result in losses to the Holders of the
Certificates. The Relief Act applies to mortgagors who are members of the Army,
Navy, Air Force, Marines, National Guard, Reserves, Coast Guard and officers of
the U.S. Public Health Service assigned to duty with the military. Because the
Relief Act applies to mortgagors who enter military service (including
reservists who are later called to active duty) after origination of the related
Mortgage Loan, no information can be provided as to the number of Mortgage Loans
that may be affected by the Relief Act. A [significant number] of the Mortgaged
Properties relating to Mortgage Loans included in the Mortgage Pool are owned by
Borrowers who are individuals. In addition, the Relief Act imposes limitations
which would impair the ability of the Special Servicer to foreclose on an
affected Mortgage Loan during the Borrower's period of active duty status and,
under certain circumstances, during an additional three months thereafter. Thus,
in the event that such a Mortgage Loan goes into default, there may be delays
and losses occasioned by the inability to realize upon the Mortgaged Property in
a timely fashion.
Applicability of Usury Laws
State and federal usury laws limit the interest that lenders are entitled to
receive on a mortgage loan. In determining whether a given transaction is
usurious, courts may include charges in the form of "points" and "fees" as
"interest," but may exclude payments in the form of "reimbursement of
foreclosure expenses" or other charges found to be distinct from "interest." If,
however, the amount charged for the use of the money loaned is found to exceed a
statutorily established maximum rate, the form employed and the degree of
overcharge are both immaterial. Statutes differ in their provision as to the
consequences of a usurious loan. One group of statutes requires the lender to
forfeit the interest above the applicable limit or imposes a specified penalty.
Under this statutory scheme, the borrower may have the recorded mortgage or deed
of trust cancelled upon paying its debt with lawful interest, or the lender may
foreclose, but only for the debt plus lawful interest. A second group of
statutes is more severe. A violation of this type of usury law results in the
invalidation of the transaction, thereby permitting the borrower to have the
recorded mortgage or deed of trust cancelled without any payment and prohibiting
the lender from foreclosing.
Under the Agreement, the Seller will represent and warrant to the Trustee
for the benefit of Certificateholders that the Mortgage Loans included in the
Trust Fund complied at origination with applicable laws, including usury laws.
If this representation and warranty is breached with respect to any Mortgage
Loan in a manner that materially and adversely affects the interests of
Certificateholders, the Seller will be obligated to indemnify for any resulting
loss, subject to the terms and conditions set forth in the Agreement. See
"DESCRIPTION OF THE MORTGAGE LOANS -- Representations and Warranties."
The Agreement provides that the Master Servicer and the Special Servicer
will not charge interest in excess of that permitted under any applicable state
and federal usury laws, notwithstanding that the applicable Note may provide for
a higher rate.
Alternative Mortgage Instruments
Alternative mortgage instruments, including adjustable rate mortgage loans,
originated by non-federally chartered lenders have historically been subjected
to a variety of restrictions. Such restrictions differed from state to state,
resulting in difficulties in determining whether a particular alternative
mortgage instrument originated by a state-chartered lender was in compliance
with applicable law. These difficulties were alleviated substantially as a
result of the enactment of Title VIII of the Garn-St Germain Act ("Title VIII").
Title VIII provides that, notwithstanding any state law to the contrary,
state-chartered banks may originate alternative mortgage instruments in
accordance with regulations promulgated by the Comptroller of the Currency with
respect to origination of alternative mortgage instruments by national banks,
state-chartered credit unions may originate alternative mortgage instruments in
accordance with regulations promulgated by the National Credit Union
Administration (the "NCUA") with respect to origination of alternative mortgage
instruments by federal credit unions, and all other non-federally chartered
housing creditors, including state-chartered savings and loan associations,
state-chartered savings banks and mortgage banking companies, may originate
alternative mortgage instruments in accordance with the regulations promulgated
by the Federal Home Loan Bank Board (now the Office of Thrift Supervision) with
respect to origination of alternative mortgage instruments by federal savings
and loan associations. Title VIII provides that any state may reject
applicability of the provision of Title VIII by adopting, prior to October 15,
1985, a law or constitutional provision expressly rejecting the applicability of
such provisions. Certain states have taken such action.
Leases and Rents
A significant number of the Mortgage Loans included in the Mortgage Pool are
secured by an assignment of leases and rents, either through a separate document
of assignment or as incorporated in the mortgage. Under such assignments, the
borrower under the mortgage loan typically assigns its right, title and interest
as landlord under each lease and the income derived therefrom to the lender,
while retaining a license to collect the rents for so long as there is no
default under the mortgage loan documentation. The manner of perfecting the
lender's interest in rents may depend on whether the borrower's assignment was
absolute or one granted as security for the loan. Failure to properly perfect
the lender's interest in rents may result in the loss of a substantial pool of
funds which could otherwise serve as a source of repayment for the loan. In the
event the Borrower defaults, the license terminates and the lender may be
entitled to collect rents. Some state laws may require that to perfect its
interest in rents, the lender must take possession of the property and/or obtain
judicial appointment of a receiver before becoming entitled to collect the
rents. Lenders that actually take possession of the property, however, may incur
potentially substantial risks attendant to being a mortgagee in possession. Such
risks include liability for environmental clean-up costs and other risks
inherent to property ownership. In addition, if bankruptcy or similar
proceedings are commenced by or in respect of the Borrower, the lender's ability
to collect the rents may be adversely affected. In the event of Borrower
default, the amount of rent the lender is able to collect from the tenants can
significantly affect the value of the lender's security interest.
Secondary Financing; Due-on-Encumbrance Provisions
Some of the Mortgage Loans included in the Mortgage Pool do not restrict
secondary financing, thereby permitting the Borrower to use the Mortgaged
Property as security for one or more additional loans. Some of the Mortgage
Loans may preclude secondary financing, either by permitting the first lender to
accelerate the maturity of its loan if the Borrower further encumbers the
Mortgaged Property or by requiring the consent of the senior lender to any
junior or substitute financing; however, such provisions may be unenforceable in
certain jurisdictions under certain circumstances. The Agreement will provide
that if any Mortgage Loan contains a provision in the nature of a
"due-on-encumbrance" clause, which by its terms: (i) provides that such Mortgage
Loan shall (or may at the mortgagee's option) become due and payable upon the
creation of any lien or other encumbrance on the related Mortgaged Property; or
(ii) requires the consent of the related mortgagee to the creation of any such
lien or other encumbrance on the related Mortgaged Property, then, for so long
as such Mortgage Loan is included in the Trust Fund, the Master Servicer or, if
such Mortgage Loan is a Specially Serviced Mortgage Loan, the Special Servicer,
on behalf of the Trust Fund, shall exercise (or decline to exercise) any right
it may have as the mortgagee of record with respect to such Mortgage Loan (x) to
accelerate the payments thereon, or (y) to withhold its consent to the creation
of any such lien or other encumbrance, in a manner consistent with the servicing
standard set forth in the Agreement.
Where the Borrower encumbers the Mortgaged Property with one or more junior
liens, the senior lender is subjected to additional risk. First, the Borrower
may have difficulty servicing and repaying multiple loans. Second, acts of the
senior lender which prejudice the junior lender or impair the junior lender's
security may create a superior equity in favor of the junior lender. For
example, if the Borrower and the senior lender agree to an increase in the
principal amount of or the interest rate payable on the senior loan, the senior
lender may lose its priority to the extent an existing junior lender is
prejudiced or the Borrower is additionally burdened. Third, if the Borrower
defaults on the senior loan and/or any junior loan or loans, the existence of
junior loans and actions taken by junior lenders can impair the security
available to the senior lender and can interfere with, delay and in certain
circumstances even prevent the taking of action by the senior lender. Fourth,
the bankruptcy of a junior lender may operate to stay foreclosure or similar
proceedings by the senior lender.
Certain Laws and Regulations
The Mortgaged Properties will be subject to compliance with various federal,
state and local statutes and regulations. Failure to comply (together with an
inability to remedy any such failure) could result in material diminution in the
value of a Mortgaged Property which could, together with the possibility of
limited alternative uses for a particular Mortgaged Property (i.e., a nursing or
convalescent home or hospital), result in a failure to realize the full
principal amount of the related Mortgage Loan.
Type of Mortgaged Property
The lender may be subject to additional risk depending upon the type and use
of the Mortgaged Property in question. For instance, Mortgaged Properties which
are hospitals, nursing homes or convalescent homes may present special risks to
lenders in large part due to significant governmental regulation of the
operation, maintenance, control and financing of health care institutions.
Mortgages on Mortgaged Properties which are owned by the Borrower under a
condominium form of ownership are subject to the declaration, by-laws and other
rules and regulations of the condominium association. Mortgaged Properties which
are hotels or motels may present additional risk to the lender in that: (i)
hotels and motels are typically operated pursuant to franchise, management and
operating agreements which may be terminable by the operator; and (ii) the
transferability of the hotel's operating, liquor and other licenses to the
entity acquiring the hotel either through purchase or foreclosure is subject to
the vagaries of local law requirements. In addition, Mortgaged Properties which
are multifamily residential properties may be subject to rent control laws,
which could impact the future cash flows of such properties.
Americans With Disabilities Act
Under Title III of the Americans with Disabilities Act of 1990 and rules
promulgated thereunder (collectively, the "ADA"), in order to protect
individuals with disabilities, public accommodations (such as hotels,
restaurants, shopping centers, hospitals, schools and social service center
establishments) must remove architectural and communication barriers which are
structural in nature from existing places of public accommodation to the extent
"readily achievable." In addition, under the ADA, alterations to a place of
public accommodation or a commercial facility are to be made so that, to the
maximum extent feasible, such altered portions are readily accessible to and
usable by disabled individuals. The "readily achievable" standard takes into
account, among other factors, the financial resources of the affected site,
owner, landlord or other applicable Person. In addition to imposing a possible
financial burden on the Borrower in its capacity as owner or landlord, the ADA
may also impose such requirements on a foreclosing lender who succeeds to the
interest of the Borrower as owner or landlord. Furthermore, since the "readily
achievable" standard may vary depending on the financial condition of the owner
or landlord, a foreclosing lender who is financially more capable than the
Borrower of complying with the requirements of the ADA may be subject to more
stringent requirements than those to which the Borrower is subject.
ERISA CONSIDERATIONS
Any fiduciary of an employee benefit plan within the meaning of Section 3(3)
of the Employee Retirement Income Security Act of 1974, as amended ("ERISA"),
which is subject to the fiduciary responsibility rules of Title I, Sections
401-414 of ERISA, or Section 4975 of the Code (each, a "Plan"), and which
proposes to cause a Plan to acquire any of the Offered Certificates, should
consult with its counsel with respect to the potential consequences under ERISA
and the Code of the Plan's acquisition and ownership of such Certificates.
The U.S. Department of Labor has granted to Bear, Stearns & Co. Inc. an
administrative exemption (Prohibited Transaction Exemption 90-30, 55 Fed. Reg.
21,461 (May 24, 1990), as amended, referred to herein as the "Exemption") from
certain of the prohibited transaction rules of ERISA and the related excise tax
provisions of Section 4975 of the Code with respect to the initial purchase, the
holding and subsequent resale by Plans of certificates evidencing an interest in
pass-through trusts that consist of certain receivables, loans, and other
obligations that meet the conditions and requirements of the Exemption.
The Exemption covers certificates evidencing an interest in a trust
consisting of obligations that bear interest or are purchased at a discount and
which are secured, such as mortgages secured by commercial or multifamily real
property. Among the other conditions that must be satisfied for the Exemption to
apply are the following:
(1) The acquisition of the certificates by the Plan is on terms
(including the price for the certificates) that are at least as favorable to
the Plan as they would be in an arm's length transaction with an unrelated
party;
(2) The rights and interests evidenced by the certificates acquired by
the Plan are not subordinated to the rights and interests evidenced by other
certificates of the trust;
(3) The certificates acquired by the Plan have received a rating at the
time of such acquisition that is one of the three highest generic rating
categories from S&P, D&P, Moody's Investors Service, Inc. ("Moody's") or
Fitch Investors Service, Inc. ("Fitch");
(4) The trustee must not be an affiliate of any other member of the
Restricted Group (as defined below);
(5) The sum of all payments made to and retained by the underwriters in
connection with the distribution of certificates represents not more than
reasonable compensation for underwriting the certificates. The sum of all
payments made to and retained by the seller pursuant to the assignment of
the loans to the trust fund represents not more than the fair market value
of such loans. The sum of all payments made to and retained by the servicer
represents not more than reasonable compensation for such person's services
under the pooling and servicing agreement and reimbursement of such person's
reasonable expenses in connection therewith; and
(6) The Plan investing in the certificates is an "accredited investor"
as defined in Rule 501(a)(1) of Regulation D of the Commission under the
Act.
The trust fund must also meet the following requirements:
(1) The corpus of the trust fund must consist solely of assets of a type
that have been included in other investment pools;
(2) Certificates in such other investment pools must have been rated in
one of the three highest generic rating categories of S&P, D&P, Moody's or
Fitch for at least one year prior to the Plan's acquisition of certificates;
and
(3) Certificates evidencing interests in such other investment pools
must have been purchased by investors other than Plans for at least one year
prior to any Plan's acquisition of certificates.
Moreover, the Exemption provides relief from certain self-dealing/conflict
of interest prohibited transactions that may occur when the Plan fiduciary
causes a Plan to acquire certificates in a trust in which the fiduciary (or its
affiliate) is an obligor on any obligations held in the trust provided that,
among other requirements, (i) in the case of an acquisition in connection with
the initial issuance of certificates, at least fifty percent of each class of
certificates in which Plans have invested is acquired by persons independent of
the Restricted Group (as defined below) and at least fifty percent of the
aggregate interest in the trust is acquired by persons independent of the
Restricted Group; (ii) such fiduciary (or its affiliate) is an obligor with
respect to five percent or less of the fair market value of the obligations
contained in the trust; (iii) the Plan's investment in certificates of any class
does not exceed twenty-five percent of all of the certificates of that class
outstanding at the time of the acquisition; and (iv) immediately after the
acquisition, no more than twenty-five percent of the assets of the Plan with
respect to which such person is a fiduciary are invested in certificates
representing an interest in one or more trusts containing assets sold or
serviced by the same entity. The Exemption does not apply to Plans sponsored by
the Seller, the Underwriters, the Trustee, the Master Servicer, the Special
Servicer, any obligor with respect to Mortgage Loans included in the Trust Fund
constituting more than five percent of the aggregate unamortized principal
balance of the assets in the Trust Fund, or any affiliate of such parties (the
"Restricted Group").
As of the date hereof there is no single obligor with respect to Mortgage
Loans included in the Trust Fund that constitute more than five percent of the
aggregate unamortized principal balance of the assets of the Trust Fund, but no
assurance can be given that there does not exist an affiliated group of obligors
on Mortgage Loans that constitute more than five percent of such balance.
THE CHARACTERISTICS OF THE CLASS B, CLASS C, CLASS D, CLASS E AND CLASS F
CERTIFICATES WILL NOT MEET THE REQUIREMENTS OF THE EXEMPTION. ACCORDINGLY, THE
CLASS B, CLASS C, CLASS D, CLASS E AND CLASS F CERTIFICATES SHOULD NOT BE
ACQUIRED BY A PLAN.
Prospective Plan investors should consult with their legal advisors
concerning the impact of ERISA and the Code, the applicability of the Exemption,
and the potential consequences in their specific circumstances, prior to making
an investment in the Class A Certificates. Moreover, each Plan fiduciary should
determine whether, under the general fiduciary standards of investment prudence
and diversification, an investment in the Class A Certificates is appropriate
for the Plan, taking into account the overall investment policy of the Plan and
the composition of the Plan's investment portfolio.
A governmental plan as defined in Section 3(32) of ERISA is not subject to
ERISA or Code Section 4975. However, such a governmental plan may be subject to
a federal, state or local law, which is, to a material extent, similar to the
provisions of ERISA or Code Section 4975 ("Similar Law"). A fiduciary of a
governmental plan should make its own determination as to the need for and the
availability of any exemptive relief under Similar Law.
LEGAL INVESTMENT CONSIDERATIONS
The Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates will
constitute "mortgage related securities" for purposes of the Secondary Mortgage
Market Enhancement Act of 1984 (the "Enhancement Act"). For so long as they are
rated in one of the two highest rating categories by at least one of the Rating
Agencies and, as such, are legal investments for persons, trusts, corporations,
partnerships, associations, business trusts and business entities (including,
but not limited to, state-chartered savings banks, commercial banks, savings and
loan associations and insurance companies, as well as trustees and state
government employee retirement systems) created pursuant to or existing under
the laws of the United States or of any state (including the District of
Columbia and Puerto Rico) whose authorized investments are subject to state
regulation to the same extent that, under applicable law, obligations issued by
or guaranteed as to principal and interest by the United States or any agency or
instrumentality thereof constitute legal investments for such entities. Pursuant
to the Enhancement Act, a number of states enacted legislation, on or before the
October 3, 1991 cutoff for such enactments, limiting to varying extents the
ability of certain entities (in particular, insurance companies) to invest in
mortgage related securities, in most cases by requiring the affected investors
to rely solely upon existing state law, and not the Enhancement Act.
Accordingly, investors should consult their own legal advisors in determining
the applicability of such legislation to an investment in the Class A-1, Class
A-2A, Class A-2B or Class A-2C Certificates by such investors.
The Enhancement Act also amended the legal investment authority of federally
chartered depository institutions as follows: federal savings and loan
associations and federal savings banks may invest in, sell or otherwise deal
with, mortgage related securities without limitation as to the percentage of
their assets represented thereby, federal credit unions may invest in mortgage
related securities, and national banks may purchase mortgage related securities
for their own account without regard to the limitations generally applicable to
investment securities set forth in 12 U.S.C. 24 (Seventh), subject in each case
to such regulations as the applicable federal regulatory authority may
prescribe. In this connection, federal credit unions should review the NCUA
Letter to Credit Unions No. 96, as modified by Letter No. 108, which includes
guidelines to assist federal credit unions in making investment decisions for
mortgage related securities. The NCUA has adopted rules, effective December 2,
1991, which prohibit federal credit unions from investing in certain mortgage
related securities, except under limited circumstances.
All depository institutions considering an investment in the Class A-1,
Class A-2A, Class A-2B or Class A-2C Certificates should review the Supervisory
Policy Statement on Securities Activities dated January 28, 1992 (the "Policy
Statement") of the Federal Financial Institutions Examination Council. The
Policy Statement, which has been adopted by the Board of Governors of the
Federal Reserve System, the FDIC, the Comptroller of the Currency and the Office
of Thrift Supervision, effective February 10, 1992, and by the NCUA (with
certain modifications), effective June 26, 1992, prohibits depository
institutions from investing in certain "high-risk" mortgage securities, except
under limited circumstances, and sets forth certain investment practices deemed
to be unsuitable for regulated institutions.
Institutions whose investment activities are subject to regulation by
federal or state authorities should review rules, policies and guidelines
adopted from time to time by such authorities before purchasing any Class A-1,
Class A-2A, Class A-2B or Class A-2C Certificates, as such Certificates may be
deemed unsuitable investments, or may otherwise be restricted, under such rules,
policies or guidelines (in certain instances irrespective of the Enhancement
Act).
The foregoing does not take into consideration the applicability of
statutes, rules, regulations, orders, guidelines or agreements generally
governing investments made by a particular investor, including, but not limited
to, "prudent investor" provisions, percentage-of-assets limits, provisions which
may restrict or prohibit investment in securities which are not
"interest-bearing" or "income-paying," and provisions which may restrict or
prohibit investments in securities which are issued in book-entry form.
The Class A-3, Class A-4, Class B, Class C, Class D, Class E and Class F
Certificates will not constitute mortgage related securities under the
Enhancement Act. The appropriate characterization of these Classes of
Certificates under various legal investment restrictions, and thus the ability
of investors subject to these restrictions to purchase these Classes of
Certificates, may be subject to significant interpretive uncertainties. All
investors whose investment authority is subject to legal restrictions should
consult their own legal advisors to determine whether, and to what extent, these
Classes of Certificates will constitute legal investments for them.
Except as to the status of the Class A-1, Class A-2A, Class A-2B and Class
A-2C Certificates as mortgage related securities under the Enhancement Act, the
Seller will make no representation as to the proper characterization of the
Certificates for legal investment or financial institution regulatory purposes,
or as to the ability of particular investors to purchase Certificates under
applicable legal investment restrictions. The uncertainties described above (and
any unfavorable future determinations concerning legal investment or financial
institution regulatory characteristics of the Certificates) may adversely affect
the liquidity of the Certificates.
UNDERWRITING
Under the terms and subject to the conditions set forth in an underwriting
agreement (the "Underwriting Agreement") among the Seller and the Underwriters
named below (the "Underwriters"), the Seller has agreed to sell to the
Underwriters, and the Underwriters have severally agreed to purchase, the
respective Certificate Principal Amounts of each Class of the Offered
Certificates set forth opposite their names below:
Class A-1 Class A-2A Class A-2B
Underwriters Certificates(1Certificates(1)Certificates(1)
Bear, Stearns & Co. Inc.. $26,645,000 $7,146,000 $4,631,000
Blaylock & Partners, L.P. 26,641,000 7,144,000 4,631,000
CS First Boston
Corporation............ 26,641,000 7,144,000 4,631,000
Goldman, Sachs & Co...... 26,641,000 7,144,000 4,631,000
Lehman Brothers.......... 26,641,000 7,144,000 4,631,000
Artemis Capital Group.... 2,000,000 -- --
Doley Securities......... 2,000,000 -- --
Guzman & Company......... 2,000,000 -- --
Muriel Siebert & Co., Inc 2,000,000 -- --
--------- -- --
Total............... $141,209,000 $35,722,000 $23,155,000
============ =========== ===========
<TABLE>
<CAPTION>
Class A-2C Class A-3 Class A-4
Underwriters Certificates(1) Certificates(1) Certificates(1)
<S> <C> <C> <C>
Bear, Stearns & Co. Inc........... $23,859,000 $64,335,000 $13,746,000
Blaylock & Partners, L.P. ........ 23,858,000 64,332,000 13,742,000
CS First Boston Corporation....... 23,858,000 64,332,000 13,742,000
Goldman, Sachs & Co............... 23,858,000 64,332,000 13,742,000
Lehman Brothers................... 23,858,000 64,332,000 13,742,000
Artemis Capital Group............. 2,500,000 5,000,000 --
Doley Securities.................. 2,500,000 5,000,000 --
Guzman & Company.................. 2,500,000 5,000,000 --
--------- --------- ----------
Total............................. $129,291,000 $341,663,000 $68,714,000
============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
Class B Class C Class D Class E Class F
Underwriters Certificates(1) Certificates(1) Certificates(1) Certificates(1) Certificates(1)
<S> <C> <C> <C> <C> <C>
Bear, Stearns & Co.
Inc............... $9,381,000 $20,488,000 $13,658,000 $25,038,000 $9,108,000
Blaylock & Partners,
L.P............... 9,381,000 20,485,000 13,657,000 25,038,000 9,104,000
CS First Boston
Corporation....... 9,381,000 20,485,000 13,657,000 25,038,000 9,104,000
Goldman, Sachs & Co. 9,381,000 20,485,000 13,657,000 25,038,000 9,104,000
Lehman Brothers..... 9,381,000 20,485,000 13,657,000 25,038,000 9,104,000
Artemis Capital Group 2,500,000 -- -- -- --
Doley Securities.... 2,500,000 -- -- -- --
Guzman & Company.... 2,500,000 -- -- -- --
Muriel Siebert & Co.,
Inc............... 2,500,000 -- -- -- --
--------- -- -- -- --
Total.......... $56,905,000 $102,428,000 $68,286,000 $125,190,000 $45,524,000
=========== ============ =========== ============ ===========
- ----------
<FN>
(1) Subject to a permitted variance of plus or minus 5%.
</FN>
</TABLE>
In the Underwriting Agreement, the several Underwriters have agreed, subject
to the terms and conditions set forth therein, to purchase all of the Offered
Certificates if any are purchased. In the event of default by any Underwriter,
the Underwriting Agreement provides that, in certain circumstances, the purchase
commitments of non-defaulting Underwriters may be increased or the Underwriting
Agreement may be terminated.
There is currently no secondary market for the Offered Certificates. Certain
of the Underwriters, either directly or through their affiliates, intend to make
a secondary market in the Offered Certificates, but none of the Underwriters has
any obligation to do so. There can be no assurance that an active secondary
market for any of the Offered Certificates will develop or that any such market,
if established, will continue.
The Underwriters propose to offer each Class of the Offered Certificates in
part directly to purchasers at the initial public offering prices set forth on
the cover page of this Prospectus, and in part to certain securities dealers at
such prices less the concessions set forth below for each such Class. The
Underwriters may allow, and such dealers may reallow, a concession not in excess
of the amount set forth below for each such Class. After the Offered
Certificates are released for sale to the public, the public offering prices and
other selling terms may be changed by the Underwriters.
<TABLE>
<CAPTION>
Class A-1 Class A-2A Class A-2B Class A-2C Class A-3 Class A-4 Certificates
Certificates Certificates Certificates Certificates Certificates
<S> <C> <C> <C> <C> <C> <C>
Concessions.. 0.30% 0.30% 0.30% 0.30% 0.30% 0.30%
Reallowances. 0.25% 0.25% 0.25% 0.25% 0.25% 0.25%
</TABLE>
Class B Class C Class D Class E Class F
Certificates Certificates Certificates Certificates Certificates
Concessions.. 0.42% 0.60% 0.75% 1.15% 1.35%
Reallowances. 0.30% 0.50% 0.70% 1.00% 1.25%
The Seller will indemnify the Underwriters against certain civil
liabilities, including liabilities under the Act, or will contribute to payments
the Underwriters may be required to make in respect thereof.
Pryor, McClendon, Counts & Co., Inc. serves as financial advisor (the
"Advisor") to the Seller in connection with the issuance and sale of the Offered
Certificates. The services provided by the Advisor include analyzing the
Mortgage Pool, assisting the Seller in determining the most beneficial structure
for the Mortgage Loan Groups and the Offered Certificates related thereto and
assisting the Seller in negotiations with the Underwriters and the Rating
Agencies. The Advisor's compensation for such services consists of a fee of
$190,000, payable upon closing of this offering.
CERTIFICATE RATINGS
It is a condition to the issuance of the Offered Certificates that the Class
A Certificates be rated no lower than "AAA" by both S&P and D&P, that the Class
B Certificates be rated no lower than "AA" by S&P and "AA+" by D&P, that the
Class C Certificates be rated no lower than "A" by S&P and "AA" by D&P, that the
Class D Certificates be rated no lower than "BBB" by S&P and "A" by D&P, that
the Class E Certificates be rated no lower than "BB" by both S&P and D&P and
that the Class F Certificates be rated no lower than "B" by S&P and "BB-" by
D&P.
A security rating is not a recommendation to buy, sell or hold securities
and may be subject to revision or withdrawal at any time by the assigning rating
organization. The security rating assigned to the Offered Certificates should be
evaluated independently of similar security ratings assigned to other kinds of
securities.
The ratings assigned by S&P to mortgage pass-through certificates address
the likelihood of the receipt of all distributions on the underlying mortgage
loans by the related certificateholders under the agreements pursuant to which
such certificates are issued. S&P's ratings take into consideration the credit
quality of the related mortgage pool, including any credit support providers,
structural and legal aspects associated with such certificates, and the extent
to which the payment stream on such mortgage pool is adequate to make payments
required by such certificates. S&P's ratings on such certificates do not,
however, constitute a statement regarding frequency of prepayments on the
related mortgage loans.
The ratings assigned by D&P to mortgage pass-through certificates address
the likelihood of the receipt by certificate holders of all distributions to
which such certificate holders are entitled. The ratings assigned to mortgage
pass-through certificates by D&P do not constitute a statement regarding the
frequency or extent of principal prepayments. The ratings do not address the
possibility that certificate holders might receive a lower than expected yield.
The Seller will request a rating of the Offered Certificates by each Rating
Agency. There can be no assurance as to whether any rating agency not requested
to rate the Offered Certificates will nonetheless issue a rating and, if so,
what such rating would be. A rating assigned to the Offered Certificates by a
rating agency that has not been requested by the Seller to do so may be lower
than the rating assigned by a Rating Agency pursuant to the Seller's request.
LEGAL MATTERS
Certain legal matters relating to the Offered Certificates will be passed
upon for the Seller by Hu A. Benton, Assistant General Counsel for Securities
and Finance of the RTC and by Cadwalader, Wickersham & Taft, 1333 New Hampshire
Avenue, N.W., Washington, D.C. 20036 and for the Underwriters by Weil, Gotshal &
Manges, 767 Fifth Avenue, New York, New York 10153.
FINANCIAL INFORMATION
The Seller has determined that neither the financial statements of the RTC
nor of the Depository Institutions are material to the offerings made hereby.
ADDITIONAL INFORMATION
The Seller has filed with the Commission Registration Statement 33-82066
under the Act with respect to the Certificates (the "Registration Statement").
This Prospectus, which forms a part of the Registration Statement, omits certain
information contained in such Registration Statement pursuant to the rules and
regulations of the Commission. Statements contained in this Prospectus as to the
contents of any contract or other document referred to are summaries and in each
instance reference is made to the copy of the contract or other document filed
as an exhibit to the Registration Statement, each such statement being qualified
in all respects by such reference. The Registration Statement can be inspected
and copied at the public reference facilities maintained by the Commission at
450 Fifth Street, N.W., Washington, D.C. 20549. Copies of such material can also
be obtained from the Public Reference Section of the Commission at prescribed
rates. Copies of the Agreement will be provided to each person to whom a
Prospectus is delivered, upon written or oral request of such person directed
to: The Resolution Trust Corporation, 1717 H Street, N.W., Washington, D.C.
20006, Attention: Assistant General Counsel for Securities and Finance.
GLOSSARY
1986 Act.................... the Tax Reform Act of 1986, p. 142.
Accredited Investor......... as defined on p. 163.
Accrued Certificate
Interest.................. the amount of interest accrued on any Class of
Offered Certificates during an Interest Accrual
Period, p. 29.
Act......................... the Securities Act of 1933, as amended, p. 19.
ADA......................... as defined on p. 162.
Adjustment Date............. the date on which the Mortgage Interest Rate of
each adjustable rate Mortgage Loan is adjusted, p.
57.
Advisor..................... as defined on p. 166.
Agreement................... the Pooling and Servicing Agreement dated as of
September 1, 1994 among the Seller, the Master
Servicer, the Special Servicer and the Trustee
relating to Commercial Mortgage Pass-Through
Certificates Series 1994-C1, p. 24.
AHDP Property............... as defined on p. 67.
Amounts Held for Future
Distribution.............. funds in the Collection Account which are held for
future distribution, p. 26.
ARMs........................ adjustable rate mortgage loans, p. 59.
Assumed Monthly Payments.... with respect to any Mortgage Loan, the Monthly
Payments payable pursuant to the terms of the
related Note as reduced by any related Debt
Service Reduction, modification, waiver or
amendment, assuming, however, that (i) each such
Monthly Payment is equal to the new initial
Monthly Payment, (ii) such Monthly Payments remain
in effect until the earlier of the date such
Discounted Mortgage Loan would be fully amortized
on the basis of such Monthly Payments or the
Optimal Wind-Down Date and (iii) no effect is
given to any Balloon Payment in respect of such
Mortgage Loan, p. 48.
Assumed Net Mortgage
Interest Rate............. as defined on p. 48.
Assumed Scheduled Payment... as defined on p. 28.
Available Distribution
Amount.................... with respect to any Distribution Date and any
Mortgage Loan Group, the related Group Available
Funds together with Amounts Held for Future
Distribution and any amounts drawn from the
Reserve Fund for such Distribution Date, p. 26.
Balloon Mortgage Loan....... a Mortgage Loan with a Balloon Payment, p. 15.
Balloon Payment............. payment of a substantial principal balance of a
Mortgage Loan due at the stated maturity thereof,
p. 15.
Bankruptcy Code............. the Federal Bankruptcy Code, as amended from time
to time (11 U.S.C.), p. 153.
Basic Fee................... the fee payable to the Special Servicer to be
calculated at an annual rate equal to 0.25% (or
0.175% for each Specially Serviced Mortgage Loan
with a Scheduled Principal Balance equal to or
greater than $10,000,000) applied to the Scheduled
Principal Balance of each Specially Serviced
Mortgage Loan, which Basic Fee shall be payable
from the Reserve Fund, to the extent of funds
available therein, p. 77.
Basis Risk.................. the risk of incurring Basis Risk Shortfall, as
more fully described under "Basis Risk," p. 30.
Basis Risk Reserve Fund Draw
Amount.................... as defined on p. 32.
Basis Risk Shortfall........ as defined on p. 32.
Beneficial Owner............ as defined on p. 25.
Borrower.................... the obligor on a Note, p. 56.
Business Day................ a day other than Saturday, Sunday or a day on
which banking or savings and loan institutions in
the Commonwealth of Massachusetts or the City of
New York, or in the case of any Master Servicer
Remittance Date, the State of Missouri or the City
of New York, are authorized or obligated by law or
executive order to be closed, p. 24.
Capital Asset............... as defined on p. 145.
Cash Flow Investment........ as defined on p. 47.
CEO......................... as defined on p. 138.
CERCLA...................... the federal Comprehensive Environmental Response,
Compensation and Liability Act of 1980, as
amended, p. 154.
Certificate................. any Commercial Mortgage Pass-Through Certificate
evidencing a beneficial ownership interest in the
Trust Fund, p. 1.
Certificateholders or
Holders................... the beneficial owner or owner of record of a
Certificate, except that when either term is used
in the sections herein entitled "Summary of
Information -- Certain Federal Income Tax
Consequences" and "Certain Federal Income Tax
Consequences" such terms shall mean only the
beneficial owner of a Certificate, p. 12.
Certificate Principal
Amount.................... of any Class of Offered Certificates with respect
to any Distribution Date, the Certificate
Principal Amount of such Class as of the Cut-Off
Date plus all Deferred Interest allocated to such
Class on previous Distribution Dates, less in each
case all amounts previously distributed in
reduction of Certificate Principal Amount, p. 29.
Class....................... a class of Certificates, p. 3.
Class A Certificate......... any Class A-1, Class A-2A, Class A-2B, Class A-2C,
Class A-3 or Class A-4 Certificate issued,
authenticated and delivered under the Agreement,
p. 3.
Class A-1 Certificate....... any Class A-1 Certificate issued, authenticated
and delivered under the Agreement, p. 24.
Class A-1 Pass-Through
Rate...................... a per annum rate equal to LIBOR (determined
monthly as described herein) plus 0.45% per annum,
subject to a maximum rate of 13.00%. The Class A-1
Pass-Through Rate for the initial Interest Accrual
Period will be equal to 5.5125% per annum, p. 29.
Class A-1-R Interest........ a REMIC interest designated as a "regular
interest" in the REMIC, as identified on p. 140.
Class A-2A Certificate...... any Class A-2A Certificate issued, authenticated
and delivered under the Agreement, p. 24.
Class A-2A Pass-Through
Rate...................... a fixed Pass-Through Rate of 6.80% per annum, p.
29.
Class A-2A-R Interest....... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class A-2B Certificate...... any Class A-2B Certificate issued, authenticated
and delivered under the Agreement, p. 24.
Class A-2B Pass-Through
Rate...................... a fixed Pass-Through Rate of 7.45% per annum, p.
29.
Class A-2B-R Interest....... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class A-2C Certificate...... any Class A-2C Certificate issued, authenticated
and delivered under the Agreement, p. 24.
Class A-2C Pass-Through
Rate...................... a fixed Pass-Through Rate of 7.45% per annum, p.
30.
Class A-2C-R Interest....... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class A-3 Certificate....... any Class A-3 Certificate issued, authenticated
and delivered under the Agreement, p. 24.
Class A-3 Pass-Through
Rate...................... a per annum rate equal to LIBOR plus 0.55% per
annum, subject to a maximum rate of 13.00%. The
Class A-3 Pass-Through Rate for the initial
Interest Accrual Period will be equal to 5.6125%
per annum, p. 30.
Class A-3-R Interest........ a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class A-4 Certificate....... any Class A-4 Certificate issued, authenticated
and delivered under the Agreement, p. 24.
Class A-4 Pass-Through Rate. a fixed Pass-Through Rate of 7.25% per annum, p.
30.
Class A-4-R Interest........ a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class B Certificate......... any Class B Certificate issued, authenticated and
delivered under the Agreement, p. 24.
Class B Pass-Through Rate... a fixed Pass-Through Rate of 8.00% per annum, p.
30.
Class B-R Interest.......... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class C Certificate......... any Class C Certificate issued, authenticated and
delivered under the Agreement, p. 24.
Class C Pass-Through Rate... a fixed Pass-Through Rate of 8.00% per annum, p.
30.
Class C-R Interest.......... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class D Certificate......... any Class D Certificate issued, authenticated and
delivered under the Agreement, p. 24.
Class D Pass-Through Rate... a fixed Pass-Through Rate of 8.00% per annum, p.
30.
Class D-R Interest.......... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class E Certificate......... any Class E Certificate issued, authenticated and
delivered under the Agreement, p. 24.
Class E Pass-Through Rate... a fixed Pass-Through Rate of 8.00% per annum, p.
30.
Class E-R Interest.......... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class F Certificate......... any Class F Certificate issued, authenticated and
delivered under the Agreement, p. 24.
Class F Pass-Through Rate... a fixed Pass-Through Rate of 8.00% per annum, p.
30.
Class F-R Interest.......... a REMIC interest designated as a "regular
interest" in the REMIC, p. 140.
Class R Certificates........ the Certificates other than the Offered
Certificates, p. 24.
Class Interest Distribution
Amount.................... the amount of interest accrued on any class of
Offered Certificates during an Interest Accrual
Period, net of any Deferred Interest allocated
thereto, p. 29.
Class Unpaid Interest
Shortfall................. with respect to any Class of Certificates, the
aggregate amount of interest that was
distributable to such Class on all preceding
Distribution Dates less the aggregate amount
thereof actually distributed to such Class on a
prior Distribution Date plus interest accrued
thereon at the applicable Pass-Through Rate,
compounded monthly as of the end of each Interest
Accrual Period, to the end of the Interest Accrual
Period preceding the Distribution Date when paid,
including any Uncovered Basis Risk Shortfall for
such Class, p. 41.
Closing Date................ on or about September 29, 1994.
Code........................ the Internal Revenue Code of 1986, as amended, p.
14.
Collateral Agent............ State Street Bank and Trust Company, p. 55.
Collateral Security
Agreement................. the Collateral Security Agreement dated as of the
Cut-Off Date among the Seller, the Trustee and the
Collateral Agent, p. 24.
Collection Account.......... the segregated custodial account or accounts
created and maintained by the Master Servicer
pursuant to the Agreement, p. 44.
Commercial Fixed Rate
Certificates.............. the Class A-4, Class B, Class C, Class D, Class E
and Class F Certificates, p. 24.
Commercial Property......... as defined on p. 67.
Commission.................. the U.S. Securities and Exchange Commission, p. 2.
Co-op Loans................. as defined on p. 151.
CPR......................... a constant prepayment per annum rate, p. 84.
Credit Reserve Fund Draw
Amount.................... for any Distribution Date, the sum of (a) the
difference between (x) the Optimal Available Funds
for such Distribution Date and (y) the Available
Distribution Amount for such Distribution Date
without taking into account any amounts withdrawn
from the Reserve Fund on such Distribution Date
and (b) the aggregate amount of Credit Reserve
Fund Draw Amounts on all previous Distribution
Dates less the amounts paid from the Reserve Fund
with respect thereto on previous Distribution
Dates together with interest thereon at the
applicable Pass-Through Rates compounded monthly,
subject to the terms of the Agreement, p. 26.
Current Credit Deposit
Amount.................. as defined on p. 42.
Cut-Off Date.............. September 1, 1994.
D&P....................... as defined on p. 9.
Daily Portions.......... as defined on p. 143.
Debt-Acceleration Clause as defined on p. 159.
Debt Service Reduction.. with respect to any Mortgage Loan, a reduction in
the Monthly Payment for such Mortgage Loan by a
court of competent jurisdiction in a proceeding
under the Bankruptcy Code, except such a reduction
resulting from a Deficient Valuation, p. 157.
Declining Balance Tables as defined on p. 84.
Defective Obligation.... as defined on p. 141.
Deferred Interest....... with respect to any Mortgage Loan, the excess of
interest accrued on each such Mortgage Loan at the
Mortgage Interest Rate over accrued interest that
becomes due on such Mortgage Loan at the Payment
Rate, p. 59.
Deficient Valuation..... as defined on p. 157.
Depository.............. The Depository Trust Company, and any successor
depository selected by the Seller, p. 25.
Depository Certificate.. as defined on p. 25.
Depository Institution.. any state or federally chartered depository
institution for which the RTC has been appointed
conservator or receiver and from which the Seller
has acquired the Mortgage Loans, p. 12.
Determination Date...... with respect to any Distribution Date, the 15th
day (or, if such date is not a Business Day, the
preceding Business Day) of the month in which such
Distribution Date occurs (or, prior to the end of
the month in which the last Servicing Transfer
Date occurs, three Business Days prior to such
date) as of which date the amount of principal and
interest due to each Regular Certificateholder is
determined, p. 28.
Discounted Mortgage Loan any Mortgage Loan (1) which has become subject to
a modification, waiver or amendment pursuant to
the terms of which the present value of the
remaining Assumed Monthly Payments due thereon net
of applicable servicing fees of the Master
Servicer and the Special Servicer (including the
Workout Fee), discounted on a monthly basis at a
rate equal to the applicable Assumed Net Mortgage
Interest Rate, is less than the Scheduled
Principal Balance thereof, (2) which has become
subject to a Debt Service Reduction or (3) with
respect to which a determination is made, at the
time of foreclosure on the related Mortgaged
Property, that the appraised value of such
Mortgaged Property is less than the unpaid
principal balance of such Mortgage Loan, plus
accrued but unpaid interest thereon, p. 47.
Disqualifying Condition.... as defined on p. 71.
Distribution Account....... the account established by the Trustee into which
the Master Servicer will deposit amounts from
which distributions will be made to
Certificateholders on each Distribution Date, p.
44.
Distribution Date.......... the date each month on which distributions of
principal and interest are made to
Certificateholders. Such date will be the 25th day
(or if such 25th day is not a Business Day, the
Business Day immediately following the 25th day)
of each calendar month, p. 24.
Due Date................... for any Mortgage Loan, the day of the month in the
related Due Period on which a Monthly Payment or
Balloon Payment is due (or, in the case of a
Non-Monthly Payment Loan, deemed to be due)
(without giving effect to any grace period),
except that with respect to Mortgage Loans which
by their terms accrue interest in advance rather
than in arrears, the Due Date for the interest
portion of each Monthly Payment will be deemed to
be the date one month after the date such payment
is actually due, p. 28.
Due-on-Encumbrance Clause.. as defined on p. 161.
Due-on-Sale Clause......... as defined on p. 158.
Due Period................. for each Distribution Date, the period commencing
on the second day of the month preceding the month
in which such Distribution Date occurs and ending
on (and including) the first day of the month in
which such Distribution Date occurs. In the case
of the first Distribution Date, the Due Period
will be September 2 through October 1, 1994, p.
27.
Eligible Multifamily
Mortgage
Loans.................... Mortgage Loans secured by first liens (or by
junior liens where all related senior liens secure
Mortgage Loans included in the related Mortgage
Loan Group) on multifamily residential properties,
such that such Mortgage Loans are eligible to
support "mortgage related securities" as such term
is defined in the Enhancement Act, p. 7.
Eligible Multifamily Reserve
Fund Amount.............. the amount of funds available for distribution on
the Class A-1, Class A-2A, Class A-2B and Class
A-2C Certificates from the Reserve Fund, p. 47.
Enhancement Act............ the Secondary Mortgage Market Enhancement Act of
1984, p. 164.
Environmental Condition.... any condition or circumstance that (i) may pose an
imminent or substantial endangerment to the public
health or welfare or the environment, (ii) may
result in a release or threatened release of any
Hazardous Material or (iii) may give rise to any
environmental claim or demand, p. 154.
ERISA...................... the Employee Retirement Income Security Act of
1974, as amended, p. 162.
Escrow Account............. an account provided for in the Agreement in which
the Master Servicer is required to deposit amounts
received from each Borrower, if required by the
terms of the related Note, for the payment of
taxes, assessments, certain mortgage and hazard
insurance premiums and other comparable items, p.
74.
Event of Default........... any of the items listed under the heading
"SERVICING OF THE MORTGAGE LOANS -- Events of
Default", p. 80.
Evidence of Indebtedness... as defined on p. 141.
Excess Cash Flow Mortgage
Loan..................... as defined on p. 58.
Excess Interest............ as defined on p. 105.
Excess Prepayment Interest. as defined on p. 32.
Exemption.................. the U.S. Department of Labor administrative
exemption granted to Bear, Stearns & Co. Inc.
(Prohibited Transaction Exemption 90-30, 55 Fed.
Reg. 21,461 (May 24, 1990), as amended), p. 162.
FDIC....................... the Federal Deposit Insurance Corporation, p. 19.
FFB........................ the Federal Financing Bank, p. 139.
FHLB....................... a Federal Home Loan Bank, p. 59.
FHLMC...................... the Federal Home Loan Mortgage Corporation, p. 46.
Final Recovery
Determination............ with respect to any defaulted Mortgage Loan, a
determination by the Special Servicer that it has
recovered all Insurance Proceeds, Liquidation
Proceeds and other payments or recoveries
(including proceeds of the final sale of any REO
Property) which the Special Servicer expects to be
finally recoverable, p. 54.
Final Scheduled
Distribution Date.......... June 25, 2026.
Financial Intermediary..... the brokerage firm, bank, thrift institution or
other financial intermediary on whose records the
beneficial owner's ownership of an Offered
Certificate will be recorded, p. 25.
FIRREA..................... the Financial Institutions Reform, Recovery, and
Enforcement Act of 1989, p. 138.
First Adjustment Date...... as defined on p. 57.
Fitch...................... as defined on p. 162.
Fixed Rate Certificates.... the Class A-2A, Class A-2B, Class A-2C, Class A-4,
Class B, Class C, Class D, Class E and Class F
Certificates, p. 24.
Floating Rate Certificates. the Class A-1 and Class A-3 Certificates, p. 24.
Floor Interest Rate........ with respect to any adjustable rate Mortgage Loan,
a minimum interest rate, p. 7.
FNMA....................... the Federal National Mortgage Association, p. 46.
FRF........................ the FSLIC Resolution Fund, to which all assets and
liabilities of the RTC will be transferred when
the RTC terminates, p. 139.
Future Advance Clause...... as defined on p. 150.
Garn-St Germain Act........ the Garn-St Germain Depository Institutions Act of
1982, p. 158.
Government Securities...... as defined on p. 140.
Group Available Funds...... as defined on p. 35.
Group 1 Fully Indexed
Interest Rate Spread..... as defined on p. 33.
Group 1 Interest Rate
Spread................... as defined on p. 33.
Group 1 Mortgage Loans..... the Mortgage Loans consisting of adjustable rate
Mortgage Loans, described on p. 59.
Group 1 Payment Adjustment
Cap...................... as defined on p. 60.
Group 1 Payment Adjustment
Floor.................... as defined on p. 60.
Group 2 Fully Indexed
Interest Rate Spread..... as defined on p. 33.
Group 2 Interest Rate
Spread................... as defined on p. 33.
Group 2 Mortgage Loans..... the Mortgage Loans, all of which are adjustable
rate and fixed rate Mortgage Loans, described on
p. 61.
Group 2 Payment Adjustment
Cap...................... as defined on p. 61.
Group 2 Payment Adjustment
Floor.................... as defined on p. 61.
Group 3 Fully Indexed
Interest Rate Spread..... as defined on p. 33.
Group 3 Interest Rate
Spread................... as defined on p. 33.
Group 3 Mortgage Loans..... The Mortgage Loans consisting of adjustable rate
Mortgage Loans, described on p. 63.
Group 3 Payment Adjustment
Cap...................... as defined on p. 63.
Group 3 Payment Adjustment
Floor.................... as defined on p. 63.
Group 4 Fully Indexed
Interest Rate Spread..... as defined on p. 33.
Group 4 Interest Rate
Spread................... as defined on p. 33.
Group 4 Mortgage Loans..... the Mortgage Loans, all of which are adjustable
rate and fixed rate Mortgage Loans, described on
p. 64.
Group 4 Payment Adjustment
Cap...................... as defined on p. 65.
Group 4 Payment Adjustment
Floor.................... as defined on p. 65.
Guidelines................. as defined on p. 67.
Hazardous Materials........ any dangerous, toxic or hazardous pollutants,
chemicals, wastes or substances, including,
without limitation, those so identified pursuant
to CERCLA or any other environmental laws now
existing, and specifically including, without
limitation, asbestos and asbestos containing
materials, polychlorinated biphenyls, radon gas,
petroleum and petroleum products, urea
formaldehyde and any substances classified as
being "in inventory," "usable work in process" or
similar classification which would, if classified
as unusable, be included in the foregoing
definition, p. 71.
Holders.................... Certificateholders, p. 12.
Index...................... each index upon which the Mortgage Interest Rates
of the adjustable rate Group 1, Group 2, Group 3
and Group 4 Mortgage Loans are based, p. 57. See
Exhibits A, B, C and D hereto.
Initial Deposit............ the initial deposit to the Reserve Fund consisting
of securities, cash or other property in an amount
equal to a specified percentage of the aggregate
Scheduled Principal Balance of the Mortgage Loans
as specified in the Agreement, p. 45.
Insurance Proceeds......... the proceeds from any insurance policy relating to
a Mortgage Loan other than proceeds applied to
restoration of the related Mortgaged Property, p.
44.
Interest................... as defined on p. 146.
Interest Accrual Period.... for the Fixed Rate Certificates, the calendar
month preceding each Distribution Date; for the
Floating Rate Certificates, the one-month period
ending on and including the day before each
Distribution Date, p. 29.
Lease...................... as defined on p. 151.
LIBOR...................... the London interbank offered rate for one-month
U.S. dollar deposits, p. 34.
LIBOR Business Day......... a day on which banks are open for dealing in
foreign currency and exchange in London and New
York City, p. 34.
LIBOR Determination Date... the second LIBOR Business Day preceding each
Distribution Date, as more fully described on p.
34.
Liquidation Proceeds....... the proceeds from the liquidation of a Mortgage
Loan, p. 44.
Liquidity Amount........... 2% of the aggregate Scheduled Principal Balance of
the Mortgage Loans as of the Cut-Off Date, p. 49.
Loan Originators........... the Depository Institutions, including
predecessors-in-interest, that originated or
acquired the Mortgage Loans, p. 69.
Loans-to-Facilitate........ as defined on p. 15.
Loan-to-Value.............. with respect to any Mortgage Loan, the ratio,
expressed as a percentage, of the principal amount
of the Mortgage Loan at origination to the
appraised value of the related Mortgaged Property.
Look-Back Period........... the specified number of days prior to the
Adjustment Date used to determine the adjustments
to the Mortgage Interest Rate for any adjustable
rate Mortgage Loan, p. 59.
LURAs...................... as defined on p. 69.
Margin..................... with respect to the adjustable rate Mortgage
Loans, the fixed percentage set forth in each
Note, which, together with the Index, is equal to
the Mortgage Interest Rate for such Note, p. 57.
Market Discount............ as defined on p. 144.
Master Servicer............ Midland Data Systems, Inc., a Missouri
corporation, or any successor appointed pursuant
to the Agreement, as Master Servicer of the
Mortgage Loans underlying the Certificates
pursuant to the Agreement, p. 72.
Master Servicer Remittance
Date..................... with respect to any Distribution Date, the
Business Day preceding such date, p. 44.
Matured Performing Mortgage
Loan..................... as defined on p. 13.
Maximum Negative
Amortization Amount...... the maximum principal balance which is permitted
under a Note as a result of negative amortization,
p. 59.
Maximum Rate............... with respect to a Mortgage Loan, the rate, if any,
set forth in the related Note as the maximum
Mortgage Interest Rate thereunder, p. 59.
Modified Mortgage Loan..... as defined on p. 16.
Monthly Payment............ with respect to any Mortgage Loan and any Due
Period, the scheduled monthly payment of principal
and interest, excluding any Balloon Payment, on
such Mortgage Loan which is payable by a Borrower
in such Due Period under the related Note or, in
the case of an REO Mortgage Loan, which would
otherwise have been payable under the related
Note, determined in accordance with the Agreement;
except that (i) with respect to any Mortgage Loan
which by its terms pays interest in advance of its
accrual rather than in arrears, the Monthly
Payment is the scheduled monthly payment of
principal, excluding any Balloon Payment, due in
such Due Period and the scheduled monthly payment
of interest due in the preceding Due Period and
(ii) with respect to any Non-Monthly Payment Loan,
the Monthly Payment in any month is thirty days'
interest accrued thereon and principal (other than
a Balloon Payment) due in such Due Period, p. 28.
Moody's.................... as defined on p. 162.
Mortgage................... a mortgage, deed of trust or similar security
instrument creating a first or junior lien on
Mortgaged Property.
Mortgage Interest Rate..... the per annum rate of interest charged on the
principal balance of a Mortgage Loan, p. 6.
Mortgage Loan Assumptions.. the assumptions used with respect to the Mortgage
Loans in creating the Declining Balance Tables, p.
106.
Mortgage Loan File......... as defined on p. 70.
Mortgage Loan Group........ any of Mortgage Loan Group 1, Mortgage Loan Group
2, Mortgage Loan Group 3 and Mortgage Loan Group
4; collectively, the Mortgage Loan Groups, as
described on p. 7.
Mortgage Loan Group 1...... the group of Mortgage Loans constituting the Group
1 Mortgage Loans, p. 59.
Mortgage Loan Group 2...... the group of Mortgage Loans constituting the Group
2 Mortgage Loans, p. 61.
Mortgage Loan Group 3...... the group of Mortgage Loans constituting the Group
3 Mortgage Loans, p. 63.
Mortgage Loan Group 4...... the group of Mortgage Loans constituting the Group
4 Mortgage Loans, p. 64.
Mortgage Loan Schedule..... the list of Mortgage Loans attached as an exhibit
to the Agreement, p. 70.
Mortgage Loans............. the adjustable and fixed rate, amortizing and
Balloon Payment, conventional, monthly, quarterly
or semi-annual pay commercial, multifamily
residential and mixed residential/commercial
mortgage loans and Installment Contracts included
in the Mortgage Pool and which constitute the
Trust Fund, p. 1.
Mortgage Pool.............. the specified pool of Mortgage Loans constituting
the principal assets of the Trust Fund, p. 57.
Mortgaged Property......... either (i) each fee simple or leasehold interest
in commercial, multifamily residential or mixed
residential/commercial property securing a
Mortgage Loan or (ii) such property, as the
context requires.
Mortgage Related Securities as defined on p. 164.
Multifamily Certificates... the Class A-1, Class A-2A, Class A-2B and Class
A-2C Certificates, p. 24.
Multifamily Fixed Rate
Certificates............. the Class A-2A, Class A-2B and Class A-2C
Certificates, p. 24.
NCUA....................... the National Credit Union Administration, p. 160.
Net Class Interest
Distribution Amount...... with respect to each Class of Offered
Certificates, the Class Interest Distribution
Amount reduced by any portion of the Primary Basis
Risk Amount allocable thereto, p. 42.
Net Mortgage Interest
Rate..................... with respect to each Mortgage Loan, for any
period, a per annum rate of interest equal to the
Mortgage Interest Rate applicable with respect to
such period (without regard to any modification of
such Mortgage Interest Rate in accordance with the
terms of the Agreement) minus the related
Servicing Fee Rate, p. 26.
NOI........................ net operating income, p. 14.
Non-Monthly Payment Loan... as defined on p. 28.
Non-U.S. Person............ as defined on p. 147.
Note....................... a promissory note and/or agreement evidencing an
obligation under a Mortgage Loan, p. 56.
Offered Certificates....... the Class A-1, Class A-2A, Class A-2B, Class A-2C,
Class A-3, Class A-4, Class B, Class C, Class D,
Class E and Class F Certificates, p. 24.
OID........................ original issue discount, as defined on p. 142.
OID Regulations............ temporary and final regulations under Sections
1271 through 1273 and 1275 of the Code, issued by
the U.S. Department of the Treasury on February 2,
1994, p. 142
Optimal Available Funds.... for any Distribution Date, the sum of (i) the
Optimal Mortgage Loan Interest and (ii) the
Optimal Mortgage Loan Principal, p. 26.
Optimal Mortgage Loan
Interest................. on any Distribution Date, as defined on p. 26.
Optimal Mortgage Loan
Principal................ on any Distribution Date, as defined on p. 27.
Optimal Wind-Down Date..... as to any Discounted Mortgage Loan the earlier of
(a) two years prior to the Final Scheduled
Distribution Date or (b) if such Discounted
Mortgage Loan is secured by a Mortgage on a
leasehold estate, the date occurring ten years
prior to the termination of such leasehold estate,
p. 79.
Optional Termination....... optional termination of the Trust Fund by the
Master Servicer, the Special Servicer (if all the
Mortgage Loans are then Specially Serviced
Mortgage Loans), the Holders of the Class R
Certificates or the owners of the Reserve Fund on
any Distribution Date after the date on which the
aggregate Certificate Principal Amount of the
Offered Certificates is reduced to less than 10%
of the aggregate initial Certificate Principal
Amount of the Offered Certificates in accordance
with the Agreement, p. 55.
Outstanding Balance........ as defined on p. 157.
Oversight Board............ the Thrift Depositor Protection Oversight Board,
p. 138.
Pass-Through Rate.......... the applicable interest rate borne by Offered
Certificates of a specific Class, p. 29.
Payment Adjustment Date.... with respect to certain adjustable rate Mortgage
Loans, the date on which the Payment Rate of each
such Mortgage Loan is adjusted, p. 59.
Payment Rate............... with respect to certain Mortgage Loans, the per
annum rate of interest that becomes due for each
such Mortgage Loan on each payment date, p. 59.
Permitted Investments...... investments in which the Master Servicer and the
Collateral Agent are permitted to invest assets of
the Collection Account and the Reserve Fund,
respectively, p. 46.
Person..................... any individual, corporation, limited liability
company, partnership, joint venture, association,
joint-stock company, trust, unincorporated
organization or government or any agency or
political subdivision thereof.
Plan....................... an employee benefit plan within the meaning of (i)
Section 3(3) of ERISA, which is subject to the
fiduciary duty rules of Title I, Sections 401-414
of ERISA or (ii) Section 4975 of the Code, p. 162.
Policy Statement........... the Supervisory Policy Statement on Securities
Activities dated January 28, 1992, p. 164.
Prepayment................. as defined on p. 83.
Prepayment Assumption...... a reasonable assumed rate of prepayment on the
Mortgage Loans used for calculations with respect
to amortization of original issue discount, p.
143.
Prepayment Interest
Shortfall................ as defined on p. 32.
Prepayment Model........... the standard prepayment model used in this
Prospectus representing an assumed rate of
prepayment each month relative to the then
outstanding principal balance of a pool of new
Mortgage Loans, p. 84.
Prepayment Period.......... for each Distribution Date, the period commencing
immediately following the second preceding
Determination Date (or the Cut-Off Date, in the
case of the first Distribution Date) and ending on
the Determination Date in the month in which such
Distribution Date occurs. In the case of the first
Distribution Date, the Prepayment Period will be
September 1, 1994 through October 11, 1994, p. 27.
Prepayment Premium......... any premium paid or payable by the related
Borrower in connection with any Principal
Prepayment on any Mortgage Loan, p. 44.
Primary Basis Risk Amount.. as defined on p. 41.
Primary Principal
Distribution Amount...... as described on p. 36.
Principal Prepayments...... as defined on p. 27.
Property Protection
Expenses................. any costs and expenses incurred in connection with
defaulted Mortgage Loans, acquiring title or
management of REO Property or the sale of
defaulted Mortgage Loans or REO Properties, as
more fully described in the Agreement, p. 44.
Qualified Insurer.......... as defined on p. 70.
Qualifying Real Property
Loan..................... as defined on p. 140.
Qualified Floating Rate.... as defined on p. 144.
Qualified Stated Interest.. as defined on p. 143.
Rating Agency.............. each of the nationally recognized statistical
rating organizations specified on p. 9.
Real Estate Assets......... as defined on p. 140.
Realized Loss.............. with respect to each Mortgage Loan as to which a
Final Recovery Determination has been made during
a Prepayment Period, an amount (not less than
zero) equal to: (i) the unpaid principal balance
of such Mortgage Loan as of the Determination Date
in the month in which such Prepayment Period
commenced; plus (ii) unpaid accrued interest at
the Mortgage Interest Rate from time to time
applicable, from the Due Date as to which interest
was last paid by the Borrower up to the Due Date
in the Due Period during which such Prepayment
Period commenced, on the unpaid principal balance
of such Mortgage Loan; plus (iii) certain amounts
payable to the Master Servicer or Special Servicer
with respect to such Mortgage Loan pursuant to the
Agreement (excluding interest or investment income
on funds on deposit in the Collection Account)
minus (iv) net REO Proceeds from the operation of
any related REO Property and any net Liquidation
Proceeds or net Insurance Proceeds, p. 54.
Record Date................ for each Distribution Date, the close of business
on the last Business Day of the month preceding
the month in which such Distribution Date occurs,
in the case of the Fixed Rate Certificates, and
the 15th day of the calendar month in which such
Distribution Date occurs (or, if such 15th day is
not a Business Day, the preceding Business Day),
in the case of the Floating Rate Certificates, p.
26.
Reference Banks............ leading banks engaged in transactions in
Eurodollar deposits in the international
Eurocurrency market as further specified in the
Agreement, p. 34.
Registration Statement..... Registration Statement 33-82066 filed with the
Commission relating to the Certificates, p. 167.
Regular
Certificateholder........ the owner of record of an Offered Certificate,
except that when such term is used in the sections
entitled "SUMMARY OF INFORMATION -- Certain
Federal Income Tax Consequences" and "CERTAIN
FEDERAL INCOME TAX CONSEQUENCES" herein, such term
shall mean the beneficial owner of a Certificate,
p. 142.
Regular Interests......... beneficial interests in a segregated pool of
assets within the Trust Fund for which a REMIC
election has been made, evidenced by the
corresponding Offered Certificates, p. 140.
Relief Act................ the Soldiers' and Sailors' Civil Relief Act of
1940, as amended, p. 159.
REMIC..................... a real estate mortgage investment conduit. See
discussion under the heading entitled "CERTAIN
FEDERAL INCOME TAX CONSEQUENCES" herein, p. 2.
REMIC Administrator....... State Street Bank and Trust Company, a banking
corporation organized and existing under the laws
of the Commonwealth of Massachusetts, p. 6.
REMIC Pass-Through Rate... as defined on p. 32.
REMIC Pool................ as defined on p. 2.
REMIC Rate Shortfall...... with respect to each Class of Offered
Certificates, the difference between interest at
the Pass-Through Rate thereon and interest at the
REMIC Pass-Through Rate on the related Class of
Regular Interests, p. 32.
REMIC Regulations......... regulations under Sections 860A through 860G of
the Code issued by the U.S. Department of the
Treasury on December 23, 1992, and generally
effective for REMICs with Startup Days on or after
November 12, 1991, p. 139.
REO Account............... the non-interest-bearing trust account established
and maintained by the Special Servicer in
connection with REO Properties and other Mortgaged
Properties being operated by it or on its behalf,
p. 45.
REO Mortgage Loan......... any Mortgage Loan as to which the related
Mortgaged Property is an REO Property, p. 28.
REO Property.............. any Mortgaged Property which has been acquired on
behalf of the Trust Fund through foreclosure or
deed in lieu of foreclosure, which the Special
Servicer has acquired possession of or is
operating or which has been abandoned by the
related Borrower, p. 44.
Reportable Payments....... as defined on p. 148.
Reserve Fund.............. the reserve fund pledged to the Collateral Agent
pursuant to the Collateral Security Agreement, p.
45.
Reserve Interest Rate..... as defined on p. 34.
Reserved Amount........... the excess of the total Servicing Fee over the
portion thereof payable to the Master Servicer
which is reserved for payment of the fees of the
Trustee and the Collateral Agent and certain other
expenses of the Trust Fund, as indicated on p. 77.
Restricted Group.......... as defined on p. 163.
Reuters Screen LIBO
Page.................... the display designated as page "LIBO" on the
Reuters Monitor Money Rates Service (or such other
page as may replace the LIBO page on that service
for the purpose of displaying London interbank
offered rates of major banks), p. 34.
RTC....................... the Resolution Trust Corporation acting in its
corporate capacity, except that when used in the
discussion under the heading "THE RESOLUTION TRUST
CORPORATION" herein, RTC means the Resolution
Trust Corporation without regard as to its
capacity, p. 138.
S&P....................... as defined on p. 9.
Scheduled Principal
Balance................. as defined on p. 28.
Secured-Creditor
Exemption............... as defined on p. 154.
Seller.................... Resolution Trust Corporation acting as seller in
its corporate capacity, in its capacity as
conservator or receiver of one or more Depository
Institutions or in both such capacities, p. 5.
Seller-Originated Loans... as defined on p. 12.
Senior Lien Advance....... as defined on p. 35.
Servicing Fee............. as defined on p. 77.
Servicing Fee Rate........ with respect to each Mortgage Loan other than a
Specially Serviced Mortgage Loan, the per annum
rate equal to 0.175% and, with respect to each
Specially Serviced Mortgage Loan, the per annum
rate equal to 0.171%, p. 77.
Servicing Transfer Date... as defined on p. 73.
Similar Law............... as defined on p. 163.
Simple Interest Loan...... each Mortgage Loan as to which the Monthly
Payments thereon are applied first to interest
accrued from the last date to which interest has
been paid to the date such Monthly Payment is
received and the balance thereof is applied to
principal, p. 56.
Smaller Commercial
Property................ as defined as p. 67.
Special Servicer.......... Banc One Management and Consulting Corporation, an
Ohio corporation, or any successor appointed
pursuant to the Agreement, as Special Servicer of
the Mortgage Loans underlying the Certificates
pursuant to the Agreement, p. 73.
Special Servicer Fee...... the principal compensation of the Special Servicer
comprised of the Basic Fee and the Workout Fee, as
indicated on p. 77.
Specially Serviced Mortgage
Loans................... the Mortgage Loans for which certain servicing
obligations have been transferred from the Master
Servicer to the Special Servicer together with the
REO Mortgage Loans, p. 73.
Startup Day.............. the issue date of a REMIC within the meaning of
Code Section 860G(a)(9), p. 141.
Title VIII............... Title VIII of the Garn-St Germain Act, p. 160.
Total Basis Risk Amount.. the sum of interest due on the Floating Rate
Certificates in excess of the interest due on the
underlying Regular Interests plus Uncovered Basis
Risk Shortfalls together with interest thereon, p.
32.
Trust Fund............... the trust fund created by the Agreement and whose
principal assets are the Mortgage Loans, p. 1.
Trustee.................. State Street Bank and Trust Company, a banking
corporation organized and existing under the laws
of the Commonwealth of Massachusetts, as Trustee
under the Agreement, p. 55.
Uncovered Basis Risk
Shortfall.............. as defined on p. 33.
Underwriters............. Bear, Stearns & Co. Inc., Blaylock & Partners,
L.P., CS First Boston Corporation, Goldman, Sachs
& Co., Lehman Brothers, Artemis Capital Group,
Doley Securities, Guzman & Company and Muriel
Siebert & Co., Inc., p. 165.
Underwriting Agreement... the underwriting agreement among the Seller and
the Underwriters, pursuant to which the Seller
will sell the Offered Certificates to the
Underwriters, p. 165.
Weighted Average Net
Mortgage Interest
Rate................... the weighted average of the Net Mortgage Interest
Rates, weighted on the basis of the actual
principal balances of the Mortgage Loans on which
interest accrues, p. 33.
Workout Fee.............. a fee calculated at the Workout Fee Rate, p. 77.
Workout Fee Rate......... as defined on p. 77.
Yield Supplement
Agreements............. as defined on p. 140.
EXHIBITS
The information set forth in Exhibits A through J is based on Scheduled
Principal Balances, Mortgage Interest Rates and other information as of the
Cut-Off Date with respect to Mortgage Loans expected to be included in the Trust
Fund; provided that the Mortgage Interest Rates for certain of the adjustable
rate Mortgage Loans are as of the Due Period preceding the Cut-Off Date. Not all
the Mortgage Loans upon which Exhibits A through J are based may be included in
the Trust Fund and consequently the information set forth below may vary from
comparable information on the Mortgage Loans ultimately included in the Trust
Fund. In addition, the information set forth below may change as a result of
principal payments, Mortgage Interest Rate adjustments and other factors
relating to the Mortgage Loans prior to the Closing Date. The Seller will file a
report on Form 8-K with the Commission in accordance with the rules thereof
which will set forth information with respect to the Mortgage Loans included in
the Trust Fund on the Closing Date. The information expressed as a percentage of
the aggregate Scheduled Principal Balance may not total 100% due to rounding,
and the sum of the amounts listed as the aggregate Scheduled Principal Balance
of the Mortgage Loans as of the Cut-Off Date may not total the indicated amount
due to rounding. For purposes of the following exhibits, weighted average
original term calculations do not include contractual extensions.
One Mortgage Loan in Mortgage Loan Group 3, with an approximate Scheduled
Principal Balance as of the Cut-Off Date of $913,286, contains an option
pursuant to which the related Borrower may prepay such Mortgage Loan on or prior
to June 1, 1995 for approximately $682,000 plus interest accrued to the date of
prepayment. Such Mortgage Loan is reflected in the following tables at its
Scheduled Principal Balance. However, for purposes of determining the aggregate
Certificate Principal Amount of Certificates to be issued and for all other
purposes, it was assumed that the Scheduled Principal Balance of such Mortgage
Loan as of the Cut-Off Date was approximately $682,000.
Exhibit A
Mortgage Loan Group 1
<TABLE>
<CAPTION>
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less ................ 1 $ 43,894 0.02%
$ 50,001 to $ 100,000 ......... 17 1,139,546 0.52
$ 100,001 to $ 200,000 ......... 41 5,661,285 2.61
$ 200,001 to $ 400,000 ......... 116 31,543,032 14.52
$ 400,001 to $ 600,000 ......... 77 34,883,822 16.06
$ 600,001 to $ 800,000 ......... 35 22,922,164 10.55
$ 800,001 to $ 1,000,000 ......... 18 15,438,819 7.11
$ 1,000,001 to $ 2,000,000 ......... 30 40,223,473 18.51
$ 2,000,001 to $ 3,000,000 ......... 6 15,142,961 6.97
$ 3,000,001 to $ 4,000,000 ......... 4 11,554,423 5.32
$ 4,000,001 to $ 5,000,000 ......... 2 8,624,434 3.97
$ 5,000,001 to $10,000,000 ......... 4 19,932,650 9.18
$10,000,001 or more ................ 1 10,134,360 4.66
--- ------------ ------
Total ....................... 352 $217,244,863 100.00%
=== ============ ======
</TABLE>
Average Original Principal Balance is $712,779
Distribution of Scheduled Principal Balances as of the Cut-Off Date of
Mortgage Loans in Mortgage Loan Group 1
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Scheduled Principal As of As of As of
Balances as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less ................ 5 209,759 0.10%
$ 50,001 to $ 100,000 ......... 20 1,579,941 0.73
$ 100,001 to $ 200,000 ......... 49 7,501,367 3.45
$ 200,001 to $ 400,000 ......... 112 32,465,136 14.94
$ 400,001 to $ 600,000 ......... 70 33,567,822 15.45
$ 600,001 to $ 800,000 ......... 35 23,896,338 11.00
$ 800,001 to $ 1,000,000 ......... 17 15,299,545 7.04
$ 1,000,001 to $ 2,000,000 ......... 28 39,297,519 18.09
$ 2,000,001 to $ 3,000,000 ......... 6 15,268,689 7.03
$ 3,000,001 to $ 4,000,000 ......... 4 12,858,893 5.92
$ 4,000,001 to $ 5,000,000 ......... 3 13,570,742 6.25
$ 5,000,001 to $10,000,000 ......... 2 11,594,752 5.34
$10,000,001 or more ................ 1 10,134,360 4.66
--- ------------ ------
Total .............................. 352 $217,244,863 100.00%
=== ============ ======
</TABLE>
Average Scheduled Principal Balance as of the Cut-Off Date is $617,173
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 1*
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
<S> <C> <C> <C>
5 years or less ................... 10 $ 4,661,090 2.15%
5+ to 7 years .................... 4 7,335,368 3.38
7+ to 10 years .................... 47 39,013,346 17.96
10+ to 15 years .................... 79 51,469,722 23.69
15+ to 20 years .................... 6 2,418,658 1.11
20+ to 30 years .................... 205 112,267,150 51.67
30 years or more ................... 1 79,529 0.04
--- ------------ ------
Total .............................. 352 $217,244,863 100.00%
=== ============ ======
Weighted Average Original Term to Stated Maturity is 21.1 years
<FN>
- ----------
* Without giving effect to any modification or extension of maturity date.
</FN>
</TABLE>
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 1
<TABLE>
<CAPTION>
Percentage of
Balloon Mortgage
Loans in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Years Remaining As of As of As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1+ to 2 years .................... 8 $ 14,730,144 22.54%
2+ to 3 years .................... 4 5,326,390 8.15
3+ to 4 years .................... 2 6,839,251 10.46
4+ to 5 years* ................... 4 1,674,060 2.56
5+ to 10 years .................... 24 20,519,665 31.41
10+ to 15 years .................... 17 13,086,242 20.02
15+ to 20 years .................... 2 1,262,273 1.93
20+ to 30 years .................... 3 1,916,125 2.93
-- ------------ ------
Total ......................... 64 $ 65,354,150 100.00%
== ============ ======
Weighted Average Remaining Term to Stated Maturity is 6.8 years
<FN>
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
</FN>
</TABLE>
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 1
<TABLE>
<CAPTION>
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Years Remaining As of As of As of
as of Cut-Off Date* Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------- ------------ ------------ ------------
<S> <C> <C> <C>
5 years or less ................... 1 $ 48,846 0.03%
5+ to 10 years .................... 5 299,736 0.20
10+ to 15 years .................... 13 1,626,955 1.07
15+ to 20 years .................... 15 3,234,924 2.13
20+ to 30 years .................... 254 146,680,252 96.57
--- ------------ ------
Total ......................... 288 $151,890,713 100.00%
=== ============ ======
Weighted Average Remaining Term to Stated Maturity is 25.3 years
<FN>
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
</FN>
</TABLE>
Seasoning of Mortgage Loans
in Mortgage Loan Group 1
<TABLE>
<CAPTION>
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Number of Years As of As of As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1 + to 2 years .................... 20 $ 10,753,112 4.95%
2 + to 3 years .................... 83 56,210,783 25.88
3 + to 4 years .................... 9 7,720,871 3.55
4 + to 5 years .................... 41 21,171,777 9.75
5 + to 6 years .................... 79 52,837,909 24.32
6 + to 7 years .................... 25 31,567,783 14.53
7 + to 8 years .................... 35 24,637,768 11.34
8 + to 9 years .................... 21 5,044,226 2.32
9 + to 10 years .................... 15 3,349,332 1.54
Over 10 years ...................... 24 3,951,302 1.82
--- ------------ ------
Total .......................... 352 $217,244,863 100.00%
=== ============ ======
Weighted Average Seasoning is 5.05 years
</TABLE>
<TABLE>
<CAPTION>
Mortgage Interest Rates as of Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Mortgage As of As of As of
Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
------------------- -------------- -------------- --------------
<S> <C> <C> <C>
Less than 4.00% ................... 1 $ 40,014 0.02%
5.00% to 5.99% ................... 2 188,812 0.09
6.00% to 6.99% ................... 80 79,933,713 36.79
7.00% to 7.99% ................... 134 71,608,261 32.96
8.00% to 8.99% ................... 105 54,531,916 25.10
9.00% to 9.99% ................... 15 2,099,800 0.97
10.00% to 10.99% ................... 11 4,061,201 1.87
11.00% to 11.99% ................... 4 4,781,146 2.20
------ ------------ ------
Total ....................... 352 $217,244,863 100.00%
====== ============ ======
Weighted Average Mortgage Interest Rate is 7.37%
</TABLE>
<TABLE>
<CAPTION>
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Loan-to-Value Mortgage Loans Principal Balance Principal Balance
Ratios at As of As of As of
Origination* Cut-Off Date Cut-Off Date Cut-Off Date
------------- ------------- ------------- -----------------
<S> <C> <C> <C>
50.00% or less .................... 28 $ 10,040,098 4.62%
50.01% to 60.00% ................. 57 31,189,827 14.36
60.01% to 70.00% ................. 125 71,280,126 32.81
70.01% to 80.00% ................. 130 101,510,385 46.73
80.01% to 90.00% ................. 3 1,053,121 0.48
90.01% to 100.00% ................. 3 632,895 0.29
100.01% or more .................... 1 91,777 0.04
Unknown ............................ 5 1,446,634 0.67
------ ------------ ------
Total ......................... 352 $217,244,863 100.00%
====== ============ ======
Weighted Average Loan-to-Value Ratio at Origination is 67.76%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Range of Ratios of Current Loan Balance-to-Original Value
as of Cut-Off Date in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
-------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
50.00% or less ..................... 48 $ 19,614,919 9.03%
50.01% to 60.00% .................. 78 38,482,267 17.71
60.01% to 70.00% .................. 155 103,936,183 47.85
70.01% to 80.00% .................. 59 41,965,673 19.32
80.01% to 90.00% .................. 3 1,270,235 0.58
90.01% to 100.00% .................. 3 394,591 0.18
Unknown ............................ 6 11,580,995 5.33
------ ------------ ------
Total ...................... 352 $217,244,863 100.00%
====== ============ ======
Weighted Average Current Loan Balance-to-Original Value Ratio is 63.31%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
</FN>
</TABLE>
Lien Positions of Mortgage Loans
in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
First lien** .. 352 $217,244,863 100.00%
--- ------------ -------
Total ...... 352 $217,244,863 100.00%
=== ============ =======
[FN]
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
[/FN]
<TABLE>
<CAPTION>
Property Type
of Mortgaged Properties in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Type of Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- --------------- ----------------- ------------------
<S> <C> <C> <C>
Multifamily (5-36 Units) ... 322 $144,297,375 66.42%
Multifamily (37-200 Units) . 21 58,384,791 26.88
Multifamily (Over 200 Units) 1 10,134,360 4.66
Multifamily -- Other ....... 8 4,428,337 2.04
--- ------------ ------
Total ............ 352 $217,244,863 100.00%
=== ============ ======
</TABLE>
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Scheduled Scheduled
Number of Principal Balance Principal Balance
Mortgage Loans As of As of
Location Cut-Off Date Cut-Off Date Cut-Off Date
---------- -------------- -------------- --------------
Arizona ......... 3 $ 504,347 0.23%
California ...... 298 199,005,513 91.63
Colorado ........ 2 812,136 0.37
Connecticut ..... 3 263,320 0.12
Florida ......... 11 7,284,567 3.35
Louisiana ....... 3 555,710 0.26
New Jersey ...... 1 2,452,775 1.13
New Mexico ...... 1 158,859 0.07
New York ........ 2 550,155 0.25
North Carolina .. 1 596,541 0.27
Ohio ............ 11 1,411,845 0.65
Oregon .......... 1 212,504 0.10
Pennsylvania .... 1 227,412 0.10
Texas ........... 6 1,940,176 0.89
Virginia ........ 8 1,269,003 0.58
--- ------------ ------
Total ....... 352 $217,244,863 100.00%
=== ============ ======
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
County As of As of As of
Concentration* Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- --------------- ----------------- -----------------
Los Angeles County
90019 Los Angeles.. 6 $ 4,715,458 2.17%
90028 Los Angeles.. 3 6,145,232 2.83
90034 Los Angeles.. 7 5,532,185 2.55
91401 Van Nuys..... 8 3,902,095 1.80
Other Zip Codes.... 187 94,912,338 43.68
--- ---------- -----
Total Los Angeles County 211 115,207,308 53.03
--- ----------- ------
San Diego County
92117 San Diego.... 2 11,005,485 5.07
Other Zip Codes.... 24 11,067,805 5.09
-- ---------- ------
Total San Diego County 26 22,073,290 10.16
-- ---------- ------
All Other Countries... 115 79,964,265 36.81
--- ------------ ------
Total............ 352 $217,244,863 100.00%
=== ============== =======
[FN]
- ----------
* Zip Code concentrations are indicated above only if the percentage
exceeds 1.5% in the counties noted.
[/FN]
Monthly Payments Delinquent as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Monthly Payments As of As of As of
Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
---------- ------------ ------------ ------------
None (0-29 days past
due) .................. 347 $213,243,568 98.16%
One Payment (30-59 days
past due) ............ 5 4,001,295 1.84
--- ------------ ------
Total 352 $217,244,863 100.00%
=== ============ ======
Delinquency History for the Past Twelve Months as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
by
Number Aggregate Aggregate
of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ -----------------
No 30 Day or Greater
Delinquency in last 12
months ................... 272 $154,940,846 71.32%
One Payment Delinquent
(30-59 days) in last 12
months
1 time 30-day delinquent
in last 12 months ........ 35 25,891,590 11.92
2 times 30-day delinquent
in last 12 months ........ 6 1,822,984 0.84
More than 2 times 30-day
delinquent in last
12 months ................ 14 14,593,812 6.72
Two Payments Delinquent
(60-89 days) in last
12 months**
1 time 60-day delinquent
in last 12 months ........ 14 6,264,510 2.88
2 times 60-day delinquent
in last 12 months ........ 1 1,603,324 0.74
Three or more Payments
Delinquent (90 Days+) in
last 12 months**
1 time 90-day delinquent
in last 12 months ........ 6 6,081,895 2.80
2 times 90-day delinquent
in last 12 months ........ 2 1,089,233 0.50
More than 2 times 90-day
delinquent in last 12
months 2 4,956,669 2.28
--- ------------ ------
Total ................... 352 $217,244,863 100.00%
=== ============ ======
[FN]
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately 10.57% of the Mortgage Loans in
Mortgage Loan Group 1, based on the Aggregate Scheduled Principal Balance as
of the Cut-Off Date, did not have twelve months of delinquency history and
were not modified.
** Approximately 32.75% and 31.04% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
[/FN]
Margins of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
No Stated Margin . 4 $1,088,016 0.50%
Less than Zero ... 3 224,348 0.10
0.01% to 0.99% ... 2 637,694 0.29
1.00% to 1.99% ... 10 5,004,888 2.30
2.00% to 2.99% ... 259 192,776,627 88.75
3.00% to 3.99% ... 69 16,887,351 7.77
4.00% or more .... 5 625,939 0.29
--- ------------ ------
Total 352 $217,244,863 100.00%
=== ============ =======
Weighted Average Margin is 2.57%
Maximum Rates of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
---------------- -------------- -------------- ----------------
No Maximum Rate .... 32 $18,714,242 8.61%
Less than 11.99% ... 5 2,907,583 1.34
12.00% to 12.99% ... 22 11,026,091 5.08
13.00% to 13.99% ... 32 35,113,427 16.16
14.00% to 14.99% ... 187 114,285,395 52.61
15.00% to 15.99% ... 46 29,052,984 13.37
16.00% to 16.99% ... 9 1,717,764 0.79
17.00% to 17.99% ... 12 2,598,322 1.20
18.00% to 18.99% ... 5 1,485,553 0.68
19.00% to 19.99% ... 2 343,502 0.16
- ---------- ----
Total 352 $217,244,863 100.00%
=== ============ =======
Weighted Average Maximum Rate is 14.36%*
[FN]
- ----------
* Excludes ARMs with no Maximum Rate.
[/FN]
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage Loan
Group by
Aggregate Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- -------------- ------------ ------------
No Minimum Rate ... 99 $45,852,055 21.11%
Less than 6.00% ... 53 45,906,000 21.13
6.00% to 6.99%..... 40 33,079,957 15.23
7.00% to 7.99%..... 77 48,193,225 22.18
8.00% to 8.99%..... 83 44,213,626 20.35
-- ---------- -----
Total ......... 352 $217,244,863 100.00%
=== ============ =======
Weighted Average Floor Interest Rate is 6.85%*
[FN]
- ----------
* Excludes ARMs with no Floor Interest Rate.
[/FN]
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- -------------- ------------ -----------
No Periodic Adjustment
Cap ................... 233 $161,736,247 74.45%
Less than 1.00% ......... 10 1,317,851 0.61
1.00% to 1.99% .......... 88 51,321,376 23.62
2.00% to 2.99% .......... 19 2,290,557 1.05
3.00% to 3.99% .......... 2 578,832 0.27
--- ------------ ------
Total 352 $217,244,863 100.00%
=== ============ =======
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- -------------- ----------------- -----------------
Monthly ............ 195 $140,819,445 64.83%
Quarterly .......... 1 50,765 0.02
Semi-Annually ...... 74 36,602,653 16.85
Annually ........... 60 27,792,588 12.79
Two Years .......... 1 72,950 0.03
Three Years ........ 13 4,140,935 1.91
Five Years ......... 3 4,239,237 1.95
Adjusts with Index . 5 3,526,290 1.62
- --------- ----
Total ........... 352 $217,244,863 100.00%
=== ============ =======
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- -------------- ----------------- -----------------
Semi-Annually 74 $36,602,653 16.85%
Annually.............. 256 170,930,632 78.68
Two Years............. 1 72,950 0.03
Three Years........... 13 4,140,935 1.91
Five Years............ 4 4,424,178 2.04
Adjusts with Index ... 4 1,073,515 0.49
- --------- ----
Total ........... 352 $217,244,863 100.00%
=== ============ =======
<TABLE>
<CAPTION>
Indexes
of Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
by
Number Aggregate Aggregate
of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
- ------- -------------- ----------------- -----------------
<S> <C> <C> <C>
COFI 11th District Weighted Average ............ 175 $123,139,148 56.67%
FHLB 5th District COFI ......................... 1 69,605 0.03
FHLB Advance Rate .............................. 2 287,238 0.13
FHLMC 30 year Mortgage Commitment .............. 1 184,941 0.09
LIBOR 1 Month .................................. 57 42,005,088 19.34
LIBOR 1 Year ................................... 15 12,522,180 5.76
LIBOR 6 Month .................................. 42 24,074,984 11.08
National Average of Lenders -- FHLB
(Previously Occupied Homes) .................. 9 1,494,215 0.69
PRIME As Stated In Wall Street Journal ......... 4 1,429,847 0.66
PRIME Chase Manhattan Bank ..................... 1 158,859 0.07
PRIME Citibank ................................. 2 2,817,275 1.30
Treasury -- 1 Year Weekly Average .............. 21 4,082,977 1.88
Treasury -- 3 Year Weekly Average .............. 8 3,294,828 1.52
Treasury -- 5 Year Weekly Average .............. 3 315,062 0.15
Treasury -- 91 Day T-Bill ...................... 1 50,765 0.02
Weighted Average COFI for CA Members of
SF FHLB ...................................... 10 1,317,851 0.61
Total ...................................... 352 $217,244,863 100.00%
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ -------------
Negative Amortization ...... 204 $154,804,200 71.26%
No Negative Amortization ... 148 62,440,663 28.74
--- ---------- -----
Total 352 $217,244,863 100.00%
=== ============ =======
<TABLE>
<CAPTION>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 1
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Cut-Off Cut-Off Cut-Off
Loans-to-Facilitate and Modified Mortgage Loans Date Date Date
- ----------------------------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated
Loans)(1) .................................... 1 $ 632,963 0.29%
Loans-to-Facilitate (Non-RTC)(2) ............... 14 5,098,395 2.35
Modified Mortgage Loans(3) ..................... 33 38,269,228 17.62
Not Applicable ................................. 304 173,244,277 79.74
--- ----------- -----
Total .................................... 352 $217,244,863 100.00%
=== ============ =======
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
Exhibit B
Mortgage Loan Group 2
<TABLE>
<CAPTION>
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less .................. 6 175,811 0.06%
$ 50,001 to $ 100,000 ........... 54 2,547,712 0.88
$ 100,001 to $ 200,000 ........... 76 7,604,790 2.63
$ 200,001 to $ 400,000 ........... 159 43,584,757 15.06
$ 400,001 to $ 600,000 ........... 84 37,240,923 12.86
$ 600,001 to $ 800,000 ........... 36 23,272,042 8.04
$ 800,001 to $ 1,000,000 ........... 24 20,329,015 7.02
$1,000,001 to $ 2,000,000 ........... 52 68,556,148 23.68
$2,000,001 to $ 3,000,000 ........... 14 34,347,320 11.86
$3,000,001 to $ 4,000,000 ........... 8 27,900,764 9.64
$5,000,001 to $10,000,000 ........... 3 23,931,181 8.27
--- ------------ ------
Total ..................... 516 $289,490,463 100.00%
=== ============ ======
Average Original Principal Balance is $600,786
</TABLE>
<TABLE>
<CAPTION>
Distribution of Scheduled Principal Balances as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Loans Principal Balance Principal Balance
Principal Balances As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less .................. 58 $ 1,987,933 0.69%
$ 50,001 to $ 100,000 ........... 50 3,549,864 1.23
$ 100,001 to $ 200,000 ........... 63 9,494,423 3.28
$ 200,001 to $ 400,000 ........... 138 41,957,101 14.49
$ 400,001 to $ 600,000 ........... 76 36,573,350 12.63
$ 600,001 to $ 800,000 ........... 36 24,947,345 8.62
$ 800,001 to $ 1,000,000 ........... 21 18,499,312 6.39
$1,000,001 to $ 2,000,000 ........... 50 68,301,301 23.59
$2,000,001 to $ 3,000,000 ........... 13 32,347,889 11.17
$3,000,001 to $ 4,000,000 ........... 8 27,900,764 9.64
$5,000,001 to $10,000,000 ........... 3 23,931,181 8.27
--- ------------ ------
Total ........................ 516 $289,490,463 100.00%
=== ============ ======
Average Scheduled Principal Balance as of the Cut-Off Date is $561,028
</TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 2*
Percentage of
Mortgage
Loan Group
Scheduled
Aggregate by Aggregate
Number of Scheduled Principal
Original Number Mortgage Loans Principal Balance Balance
of Years to As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
5 years or less ...... 28 $ 24,939,356 8.61%
5+ to 7 years ....... 90 87,746,149 30.31
7+ to 10 years ....... 20 6,468,943 2.23
10+ to 15 years ...... 93 67,846,236 23.44
15+ to 20 years ...... 14 4,168,647 1.44
20+ to 30 years ...... 266 97,166,438 33.57
30 years or more ..... 5 1,154,694 0.40
--- ------------ ------
Total ............ 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Original Term to Stated Maturity is 16.5 years
[FN]
- ----------
* Without giving effect to any modification or extension of maturity date.
[/FN]
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 2
Percentage of
Ballon
Mortgage Loans
in Mortgage
Loan Group
by Aggregate
Aggregate Scheduled
Number of Scheduled Principal
Mortgage Loans Principal Balance Balance
Years Remaining As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
1 year or less .... 3 $ 1,087,592 0.68%
1+ to 2 years .... 7 1,607,732 1.00
2+ to 3 years .... 8 5,166,003 3.22
3+ to 4 years .... 16 12,128,446 7.55
4+ to 5 years* ... 23 32,694,061 20.36
5+ to 10 years .... 82 66,970,010 41.70
10+ to 15 years .... 36 40,941,547 25.49
--- ------------ ------
Total .......... 175 $160,595,391 100.00%
=== ============ ======
Weighted Average Remaining Term to Stated Maturity is 7.0 years
[FN]
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
[/FN]
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 2
Percentage of
Full Amortizing
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Years Remaining As of As of As of
As of Cut-Off Date* Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ -------------- ----------------- -----------------
5 years or less ... 37 $ 1,970,737 1.53%
5+ to 10 years .... 61 5,020,787 3.90
10+ to 15 years .... 25 6,511,351 5.05
15+ to 20 years .... 3 1,013,727 0.79
20+ to 30 years .... 215 114,378,470 88.73
--- ------------ ------
Total .......... 341 $128,895,072 100.00%
Weighted Average Remaining Term to Stated Maturity is 24.5 years
[FN]
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
[/FN]
Seasoning of Mortgage Loans
in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Number of Years As of As of As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
1 year or less ..... 20 $ 34,437,872 11.90%
1+ to 2 years ..... 86 72,059,490 24.89
2+ to 3 years ..... 110 79,831,464 27.59
3+ to 4 years ..... 41 21,501,628 7.43
4+ to 5 years ..... 92 47,292,741 16.34
5+ to 6 years ..... 17 5,775,115 1.99
6+ to 7 years ..... 7 2,588,931 0.89
7+ to 8 years ..... 8 10,313,228 3.56
8+ to 9 years ..... 4 1,286,894 0.44
9+ to 10 years ..... 10 2,093,050 0.72
Over 10 years ...... 121 12,310,050 4.25
--- ------------ ------
Total .......... 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Seasoning is 3.51 years
Mortgage Interest Rates As of Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Mortgage As of As of As of
Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
5.00% to 5.99% .... 2 $ 1,919,742 0.66%
6.00% to 6.99% .... 4 4,972,890 1.72
7.00% to 7.99% .... 23 19,815,774 6.85
8.00% to 8.99% .... 122 77,554,357 26.79
9.00% to 9.99% .... 310 173,941,092 60.08
10.00% to 10.99% ... 33 8,865,004 3.06
11.00% to 11.99% ... 13 1,483,820 0.51
12.00% to 12.99% ... 6 688,305 0.24
13.00% to 13.99% ... 3 249,479 0.09
--- ------------ ------
Total .......... 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Mortgage Interest Rate is 8.84%
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
50.00% or less ..... 46 $ 17,776,643 6.14%
50.01% to 60.00% ... 74 47,725,480 16.49
60.01% to 70.00% ... 133 73,323,581 25.33
70.01% to 80.00% ... 173 70,231,223 24.26
80.01% to 90.00% ... 39 31,766,718 10.97
90.01% to 100.00% .. 16 19,371,440 6.69
100.01% or more .... 19 24,495,862 8.46
Unknown ............ 16 4,799,516 1.66
--- ------------ ------
Total ........ 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Loan-to-Value Ratio at Origination is 73.37%**
[FN]
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
[/FN]
<TABLE>
<CAPTION>
Range of Ratios of Current Loan Balance-to-Original Value
As of Cut-Off Date in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
50.00% or less ..................... 153 $ 31,321,208 10.81%
50.01% to 60.00% .................. 95 50,609,973 17.48
60.01% to 70.00% .................. 120 72,391,628 25.01
70.01% to 80.00% .................. 74 59,756,208 20.64
80.01% to 90.00% .................. 27 28,448,820 9.83
90.01% to 100.00% .................. 15 19,624,912 6.78
100.01% or more ..................... 16 22,538,198 7.79
Unknown ............................. 16 4,799,516 1.66
--- ------------ ------
Total ......................... 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Current Loan Balance-to-Original Value Ratio is 70.59%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged
Property was not available in the files for the applicable Mortgage Loan.
In such cases, efforts were made to collect such information from other
sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Lien Positions of Mortgage Loans
in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
<S> <C> <C> <C>
First lien** ........................ 516 $289,490,463 100.00%
--- ------------ ------
Total ..................... 516 $289,490,463 100.00%
=== ============ ======
<FN>
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Property Type
of Mortgaged Properties in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Type of Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ -----------
<S> <C> <C> <C>
Multifamily (5-36 Units) ............ 402 $141,400,440 48.84%
Multifamily (37-200 Units) .......... 87 88,404,698 30.54
Multifamily (Over 200 Units) ........ 15 50,696,213 17.51
Multifamily -- Other ................ 12 8,989,112 3.11
--- ------------ ------
Total ........................ 516 $289,490,463 100.00%
=== ============ ======
</TABLE>
<TABLE>
<CAPTION>
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Cut-Off Date Cut-Off Date Cut-Off Date
- -------- ------------ ------------ ------------
<S> <C> <C> <C>
Arizona ............................. 8 $ 5,352,347 1.85%
Arkansas ............................ 1 35,045 0.01
California .......................... 296 158,736,144 54.83
Colorado ............................ 1 426,577 0.15
Connecticut ......................... 1 22,244 0.01
District of Columbia ................ 1 1,238,147 0.43
Florida ............................. 36 15,604,350 5.39
Georgia ............................. 5 3,930,655 1.36
Illinois ............................ 3 124,562 0.04
Kentucky ............................ 1 269,658 0.09
Louisiana ........................... 12 7,673,417 2.65
Maryland ............................ 2 226,492 0.08
Massachusetts ....................... 1 233,313 0.08
Mississippi ......................... 5 2,930,007 1.01
Missouri ............................ 7 3,381,585 1.17
Nebraska ............................ 1 46,402 0.02
New Jersey .......................... 4 2,499,526 0.86
New York ............................ 2 799,027 0.28
North Carolina ...................... 2 62,333 0.02
Ohio ................................ 14 3,955,823 1.37
Oregon .............................. 2 503,417 0.17
Pennsylvania ........................ 1 111,235 0.04
Rhode Island ........................ 1 109,816 0.04
South Carolina ...................... 1 555,646 0.19
Tennessee ........................... 1 496,428 0.17
Texas ............................... 97 79,124,307 27.33
Utah ................................ 3 556,792 0.19
Virginia ............................ 7 485,168 0.17
--- ------------ ------
Total ............................ 516 $289,490,463 100.00%
=== ============ ======
</TABLE>
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
As of As of As of
Cut-Off Cut-Off Cut-Off
County Concentration* Date Date Date
- --------------------- ---- ---- ----
Los Angeles County
90027 Los Angeles .. 10 $ 7,785,766 2.69%
90028 Los Angeles .. 5 4,620,531 1.60
Other Zip Codes .... 178 88,926,395 30.71
--- ---------- -----
Total Los Angeles County 193 101,332,692 35.00
All Other Counties ... 323 188,157,771 65.00
--- ----------- -----
Total ............ 516 $289,490,463 100.00%
=== ============ ======
[FN]
----------
* Zip Code concentrations are indicated above only if the percentage exceeds
1.5% in the counties noted.
[/FN]
Monthly Payments Delinquent as of the Cut-Off
Date of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
None (0-29 days past due) ............ 504 $287,837,916 99.43%
One Payment (30-59 days past due) .... 12 1,652,547 0.57
--- ------------ ------
Total ............................ 516 $289,490,463 100.00%
=== ============ ======
<TABLE>
<CAPTION>
Delinquency History for the Past Twelve Months as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
by
Aggregate Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 12 months ................. 427 $238,345,004 82.33%
One Payment Delinquent (30-59 days) in last 12 months
1 time 30-day delinquent in last 12 months ................... 43 30,806,678 10.64
2 times 30-day delinquent in last 12 months .................. 11 4,464,023 1.54
More than 2 times 30-day delinquent in last 12 months ........ 11 6,797,307 2.35
Two Payments Delinquent (60-89 days) in last 12 months**
1 time 60-day delinquent in last 12 months .................... 16 6,499,344 2.25
Three or more Payments Delinquent (90 Days+)in last 12 months**
1 time 90-day delinquent in last 12 months .................... 5 1,336,477 0.46
2 times 90-day delinquent in last 12 months ................... 1 138,902 0.05
More than 2 times 90-day delinquent in last 12 months ......... 2 1,102,728 0.38
--- ------------ ------
Total ................................................. 516 $289,490,463 100.00%
=== ============ ======
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately 0.68% of the Mortgage Loans in
Mortgage Loan Group 2, based on the Aggregate Scheduled Principal Balance as
of the Cut-Off Date, did not have twelve months of delinquency history and
were not modified.
** Approximately 0.00% and 9.60% of the Mortgage Loans included in Two and Three
Payments Delinquent, respectively, have been modified since the delinquency.
</FN>
</TABLE>
Margins of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans 270 $146,811,631 50.71%
No Stated Margin ........... 1 152,288 0.05
0.01% to 0.99% ............. 1 46,402 0.02
1.00% to 1.99% ............. 2 1,031,109 0.36
2.00% to 2.99% ............. 218 133,893,531 46.25
3.00% to 3.99% ............. 24 7,555,502 2.61
--- ------------ ------
Total ................... 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Margin is 2.73%*
[FN]
- ----------
* Excludes Fixed Rate Mortgage Loans.
[/FN]
Maximum Rates of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
- ------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans ... 270 $146,811,631 50.71%
No Maximum Rate ............. 2 4,677,500 1.62
12.00% to 12.99% ............ 1 172,760 0.06
14.00% to 14.99% ............ 228 133,718,434 46.19
15.00% to 15.99% ............ 7 1,955,697 0.68
16.00% to 16.99% ............ 2 475,542 0.16
18.00% to 18.99% ............ 5 1,573,281 0.54
19.00% to 19.99% ............ 1 105,618 0.04
--- ------------ ------
Total ................... 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Maximum Rate is 14.45%*
[FN]
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
[/FN]
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans 270 $146,811,632 50.71%
8.00% to 8.99% ........ 108 68,473,904 23.65
9.00% to 9.99% ........ 135 73,531,602 25.40
10.00% to 10.99% ........ 2 626,923 0.22
11.00% to 11.99% ........ 1 46,402 0.02
--- ------------ ------
Total ................ 516 $289,490,463 100.00%
=== ============ ======
Weighted Average Floor Interest Rate is 8.88%*
[FN]
- ----------
* Excludes Fixed Rate Mortgage Loans.
[/FN]
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans 270 $146,811,631 50.71%
No Periodic Adjustment Cap 240 141,087,599 48.74
Less than 1.00% .......... 1 152,288 0.05
1.00% to 1.99% ........... 4 1,321,891 0.46
2.00% to 2.99% ........... 1 117,054 0.04
--- ------------ ------
Total ................ 516 $289,490,463 100.00%
=== ============ ======
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans 270 $146,811,631 50.71%
Monthly ................. 234 139,361,786 48.15
Semi-Annually ........... 6 1,948,814 0.67
Annually ................ 4 443,512 0.15
Three Years ............. 1 172,760 0.06
Adjusts with Index ...... 1 751,960 0.26
--- ------------ ------
Total ................ 516 $289,490,463 100.00%
=== ============ ======
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans 270 $146,811,632 50.71%
Semi-Annually ........... 5 1,601,039 0.55
Annually ................ 239 140,153,072 48.42
Three Years ............. 1 172,760 0.06
Adjusts with Index ...... 1 751,960 0.26
--- ------------ ------
Total ............... 516 $289,490,463 100.00%
=== ============ ======
<TABLE>
<CAPTION>
Indexes
of Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
by
Number Aggregate Aggregate
of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
- ------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans ...................... 270 $146,811,632 50.71%
COFI 11th District Weighted Average ............ 32 12,496,948 4.32
LIBOR 1 Month .................................. 207 128,534,503 44.39
National Average of Lenders -- FHLB
(Previously Occupied Homes) .................... 1 46,402 0.02
PRIME Frost National Bank ...................... 1 117,054 0.04
PRIME As Stated In Wall Street Journal ......... 1 751,960 0.26
PRIME Citibank ................................. 1 279,148 0.10
Treasury -- 1 Year Weekly Average .............. 2 280,056 0.10
Treasury -- 3 Year Weekly Average .............. 1 172,760 0.06
--- ------------ ------
Total ...................................... 516 $289,490,463 100.00%
=== ============ ======
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
Negative Amortization ...... 235 $139,709,560 48.26%
No Negative Amortization ... 281 149,780,903 51.74
--- ------------ ------
Total ................. 516 $289,490,463 100.00%
=== ============ ======
<TABLE>
<CAPTION>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 2
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated
Loans)(1) ............................... 37 $ 38,473,162 13.29
Loans-to-Facilitate (Non-RTC)(2) .......... 15 16,636,384 5.75
Affordable Housing Disposition Program
(Seller - Originated Loans)(3) .......... 77 73,627,692 25.43
Affordable Housing Disposition Program
(Non-RTC)(4) ............................ 1 1,398,635 0.48
Modified Mortgage Loans(5) ................ 12 5,541,457 1.91
Not Applicable ............................ 374 153,813,133 53.14
--- ------------ ------
Total ............................... 516 $289,490,463 100.00%
=== ============ ======
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans originated by an RTC institution to facilitate the sale of multifamily
REO under the Affordable Housing Disposition Program Guidelines.
(4) Loans originated by a non-RTC institution to facilitate the sale of
multifamily REO under the Affordable Housing Disposition Program Guidelines.
(5) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
Exhibit C
Mortgage Loan Group 3
<TABLE>
<CAPTION>
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less ................. 28 $ 785,902 0.30%
$ 50,001 to $ 100,000 ........... 91 5,627,091 2.12
$ 100,001 to $ 200,000 ........... 157 19,010,693 7.15
$ 200,001 to $ 400,000 ........... 134 32,126,715 12.08
$ 400,001 to $ 600,000 ........... 73 32,836,555 12.35
$ 600,001 to $ 800,000 ........... 21 13,154,512 4.95
$ 800,001 to $ 1,000,000 .......... 31 24,748,228 9.31
$ 1,000,001 to $ 2,000,000 .......... 44 52,712,300 19.83
$ 2,000,001 to $ 3,000,000 .......... 7 14,948,999 5.62
$ 3,000,001 to $ 4,000,000 .......... 2 4,034,091 1.52
$ 4,000,001 to $ 5,000,000 .......... 5 21,062,790 7.92
$ 5,000,001 to $10,000,000 .......... 6 34,167,498 12.85
$10,000,001 or more ................. 1 10,643,101 4.00
--- ------------ ------
Total .................... 600 $265,858,475 100.00%
=== ============ ======
Average Original Principal Balance is $516,095
</TABLE>
<TABLE>
<CAPTION>
Distribution of Scheduled Principal Balances as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Scheduled Principal Balances As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less .................. 65 $ 2,238,850 0.84%
$ 50,001 to $ 100,000 .......... 110 8,624,485 3.24
$ 100,001 to $ 200,000 .......... 130 18,563,490 6.98
$ 200,001 to $ 400,000 .......... 121 32,692,983 12.30
$ 400,001 to $ 600,000 .......... 69 33,870,254 12.74
$ 600,001 to $ 800,000 .......... 24 16,709,466 6.29
$ 800,001 to $ 1,000,000 .......... 29 25,516,757 9.60
$ 1,000,001 to $ 2,000,000 .......... 35 46,675,165 17.56
$ 2,000,001 to $ 3,000,000 .......... 5 12,705,242 4.78
$ 3,000,001 to $ 4,000,000 .......... 2 7,019,225 2.64
$ 4,000,001 to $ 5,000,000 .......... 5 22,178,307 8.34
$ 5,000,001 to $10,000,000 .......... 4 28,421,150 10.69
$10,000,001 or more ................. 1 10,643,101 4.00
--- ------------ ------
Total ........................ 600 $265,858,475 100.00%
=== ============ ======
Average Scheduled Principal Balance as of the Cut-Off Date is $443,097
</TABLE>
<TABLE>
<CAPTION>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 3*
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Original Number of Years As of As of As of
to Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
5 years or less .................... 49 $ 31,339,702 11.79%
5+ to 7 years ..................... 33 6,927,252 2.61
7+ to 10 years ..................... 108 72,353,394 27.22
10+ to 15 years ..................... 98 39,419,454 14.83
15+ to 20 years ..................... 43 11,579,356 4.36
20+ to 30 years ..................... 268 103,720,191 38.99
30 years or more .................... 1 519,126 0.20
--- ------------ ------
Total ........................... 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Original Term to Stated Maturity is 17.1 years
<FN>
- ----------
* Without giving effect to any modification or extension of maturity date.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 3
Percentage of
Balloon Mortgage
Loans in Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Years Remaining As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1 year or less ..................... 42 $ 17,043,896 11.46%
1+ to 2 years ..................... 25 14,103,190 9.48
2+ to 3 years ..................... 19 18,283,030 12.30
3+ to 4 years ..................... 20 21,281,815 14.31
4+ to 5 years* .................... 38 21,704,348 14.60
5+ to 10 years ..................... 69 44,242,341 29.75
10+ to 15 years ..................... 6 4,415,534 2.97
15+ to 20 years ..................... 4 1,926,668 1.30
20+ to 30 years ..................... 1 5,690,135 3.83
--- ------------ ------
Total ............................ 224 $148,690,957 100.00%
=== ============ ======
Weighted Average Remaining Term to Stated Maturity is 5.2 years
<FN>
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 3
Percentage of
Fully Amortizing
Mortgage Loans in
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Years Remaining As of As of As of
As of Cut-Off Date* Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------- ------------ ------------ ------------
<S> <C> <C> <C>
5 years or less .................... 18 $ 910,794 0.78%
5+ to 10 years ..................... 47 8,636,053 7.37
10+ to 15 years ..................... 46 4,911,093 4.19
15+ to 20 years ..................... 152 40,500,142 34.57
20+ to 30 years ..................... 113 62,209,436 53.09
--- ------------ ------
Total .......................... 376 $117,167,518 100.00%
=== ============ ======
Weighted Average Remaining Term to Stated Maturity is 19.8 years
<FN>
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Seasoning of Mortgage Loans
in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Number of Years As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1 year or less ...................... 1 $ 4,082,905 1.54%
1+ to 2 years ...................... 5 2,224,582 0.84
2+ to 3 years ...................... 6 2,453,005 0.92
3+ to 4 years ...................... 25 5,836,999 2.20
4+ to 5 years ...................... 66 27,673,449 10.41
5+ to 6 years ...................... 89 51,133,644 19.23
6+ to 7 years ...................... 93 72,216,075 27.15
7+ to 8 years ...................... 73 37,880,075 14.25
8+ to 9 years ...................... 74 26,154,585 9.84
9+ to 10 years ...................... 55 8,737,432 3.29
Over 10 years ....................... 113 27,465,724 10.33
--- ------------ ------
Total ............................ 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Seasoning is 6.79 years
</TABLE>
<TABLE>
<CAPTION>
Mortgage Interest Rates as of Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------- ------------ ------------ ------------
<S> <C> <C> <C>
4.00% to 4.99% .................... 5 $ 5,388,858 2.03%
5.00% to 5.99% .................... 28 12,770,435 4.80
6.00% to 6.99% .................... 156 91,960,118 34.60
7.00% to 7.99% .................... 171 64,452,193 24.24
8.00% to 8.99% .................... 148 54,923,239 20.66
9.00% to 9.99% .................... 66 21,828,065 8.21
10.00% to 10.99% .................... 14 11,867,925 4.46
11.00% to 11.99% .................... 11 2,635,600 0.99
12.00% to 12.99% .................... 1 32,042 0.01
--- ------------ ------
Total ........................... 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Mortgage Interest Rate is 7.46%
</TABLE>
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 3
<TABLE>
<CAPTION>
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Loan-to-Value Ratios at Origination* Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
50.00% or less ..................... 71 $ 24,410,086 9.18%
50.01% to 60.00% .................. 65 15,858,290 5.96
60.01% to 70.00% .................. 133 68,903,979 25.92
70.01% to 80.00% .................. 207 104,480,535 39.31
80.01% to 90.00% .................. 37 24,679,082 9.28
90.01% to 100.00% .................. 27 7,443,642 2.80
100.01% or more ..................... 12 5,005,329 1.88
Unknown ............................. 48 15,077,532 5.67
--- ------------ ------
Total ............................ 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Loan-to-Value Ratio at Origination is 71.06%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-To-Value Ratios.
</FN>
</TABLE>
<TABLE>
<CAPTION>
LIBOR -- 1 Month Range of Ratios of Current Loan Balance-to-Original Value
as of Cut-Off Date in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
50.00% or less ..................... 164 $ 46,260,082 17.40%
50.01% to 60.00% .................. 115 39,913,856 15.01
60.01% to 70.00% .................. 139 68,504,150 25.77
70.01% to 80.00% .................. 95 67,765,917 25.49
80.01% to 90.00% .................. 26 18,353,625 6.90
90.01% to 100.00% .................. 5 2,889,358 1.09
100.01% or more ..................... 8 7,093,955 2.67
Unknown ............................. 48 15,077,532 5.67
--- ------------ ------
Total ........................... 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Current Loan Balance-to-Original Value
Ratio is 64.53%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Lien Positions of Mortgage Loans
in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
<S> <C> <C> <C>
First lien** ........................ 530 $244,601,141 92.01%
Second lien ......................... 66 19,916,944 7.49
Third lien .......................... 3 1,227,892 0.46
Not Available ....................... 1 112,497 0.04
--- ------------ ------
Total ......................... 600 $265,858,475 100.00%
=== ============ ======
<FN>
- ------------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Property Type
of Mortgaged Properties in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Type of Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Industrial/Warehouse ................ 77 $ 31,246,241 11.75%
Lodging ............................. 7 15,517,295 5.84
Mini Warehouse ...................... 5 4,935,843 1.86
Mixed Use Building .................. 57 28,890,442 10.87
Mobile Home Park .................... 5 939,082 0.35
Multifamily (5-36 Units) ............ 31 6,299,441 2.37
Multifamily (37-200 Units) .......... 10 19,526,845 7.34
Multifamily (Over 200 Units) ........ 2 9,730,546 3.66
Multifamily -- Other ................ 8 419,121 0.16
Hospital/Nursing Home ............... 6 2,393,525 0.90
School/Religious Building ........... 30 9,957,120 3.75
Office .............................. 188 51,925,157 19.53
Retail .............................. 106 66,596,591 25.04
Land ................................ 1 42,694 0.02
Other Commercial .................... 62 15,799,562 5.94
Not Available ....................... 5 1,638,970 0.62
--- ------------ ------
Total ........................... 600 $265,858,475 100.00%
=== ============ ======
</TABLE>
<TABLE>
<CAPTION>
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Location Cut-Off Date Cut-Off Date Cut-Off Date
- -------- ------------ ------------ ------------
<S> <C> <C> <C>
Alabama ............................. 1 $ 84,397 0.03%
California .......................... 249 135,110,708 50.83
Colorado ............................ 15 4,492,490 1.69
Connecticut ......................... 4 639,949 0.24
Delaware ............................ 2 5,622,905 2.11
District of Columbia ................ 1 139,342 0.05
Florida ............................. 26 19,315,575 7.27
Georgia ............................. 6 429,669 0.16
Illinois ............................ 1 69,773 0.03
Indiana ............................. 2 1,700,364 0.64
Kansas .............................. 2 215,046 0.08
Louisiana ........................... 10 1,223,664 0.46
Maryland ............................ 2 1,394,764 0.52
Massachusetts ....................... 1 38,860 0.01
Mississippi ......................... 1 248,958 0.09
New Jersey .......................... 6 12,979,994 4.88
New Mexico .......................... 2 940,265 0.35
New York ............................ 36 5,803,245 2.18
North Carolina ...................... 3 5,822,634 2.19
Ohio ................................ 14 1,617,178 0.61
Oklahoma ............................ 5 2,152,293 0.81
Pennsylvania ........................ 7 847,441 0.32
Rhode Island ........................ 2 199,998 0.08
Tennessee ........................... 4 1,521,995 0.57
Texas ............................... 37 5,360,497 2.02
Utah ................................ 1 4,899,660 1.84
Virginia ............................ 158 52,122,330 19.61
Washington .......................... 2 864,481 0.33
--- ------------ ------
Total .......................... 600 $265,858,475 100.00%
=== ============ ======
</TABLE>
<TABLE>
<CAPTION>
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
County Concentration* Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Los Angeles County
90006 Los Angeles .............. 2 $ 3,990,173 1.50%
90706 Bellflower ............... 1 6,418,974 2.41
91355 Valencia ................. 1 4,275,526 1.61
Other Zip Codes ................ 131 53,346,683 20.07
--- ---------- -----
Total Los Angeles County ............ 135 $ 68,031,356 25.59%
All Other Counties .................. 465 197,827,119 74.41
--- ------------ ------
Total ..................... 600 $265,858,475 100.00%
=== ============ ======
<FN>
- ----------
* Zip Code concentrations are indicated above only if the percentage exceeds
1.5% in the counties noted.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Monthly Payments Delinquent as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
None (0-29 days past due) ........... 575 $239,150,525 89.95%
One Payment (30-59 days past due) ... 25 26,707,950 10.05
--- ------------ -----
Total ..................... 600 $265,858,475 100.00%
=== ============ =====
</TABLE>
<TABLE>
<CAPTION>
Delinquency History for the Past Twelve Months As of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
As of As of As of
Delinquency History Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 12 months ................ 429 $176,929,022 66.55%
One Payment Delinquent (30-59 days) in last 12 months..............
1 time 30-day delinquent in last 12 months ...................... 83 48,533,868 18.26
2 times 30-day delinquent in last 12 months ..................... 22 6,968,626 2.62
More than 2 times 30-day delinquent in last 12 months ........... 24 16,722,377 6.29
Two Payments Delinquent (60-89 days) in last 12 months**...........
1 time 60-day delinquent in last 12 months ...................... 19 7,297,237 2.74
2 times 60-day delinquent in last 12 months ..................... 3 400,869 0.15
More than 2 times 60-day delinquent in last 12 months ........... 3 985,939 0.37
Three or more Payments Delinquent (90 Days+) in last 12 months**...
1 time 90-day delinquent in last 12 months ...................... 9 3,878,735 1.46
2 times 90-day delinquent in last 12 months ..................... 5 3,035,567 1.14
More than 2 times 90-day delinquent in last 12 months ........... 3 1,106,235 0.42
--- ------------ ------
Total ................................................... 600 $265,858,475 100.00%
=== ============ ======
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately 8.73% of the Mortgage Loans in
Mortgage Loan Group 3, based on the Aggregate Scheduled Principal Balance as
of the Cut-Off Date, did not have twelve months of delinquency history and
were not modified.
** Approximately 12.19% and 11.39% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Margins of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
<S> <C> <C> <C>
No Stated Margin .................... 7 $ 1,010,153 0.38%
Less than Zero ...................... 1 84,499 0.03
0.01% to 0.99% ...................... 11 3,013,208 1.13
1.00% to 1.99% ...................... 60 36,218,089 13.62
2.00% to 2.99% ...................... 230 124,556,804 46.85
3.00% to 3.99% ...................... 255 93,303,244 35.10
4.00 or more ........................ 36 7,672,478 2.89
--- ------------ ------
Total ..................... 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Margin is 2.57%
</TABLE>
<TABLE>
<CAPTION>
Maximum Rates of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
- ------------- ------------ ------------ ------------
<S> <C> <C> <C>
No Maximum Rate ..................... 213 $ 90,628,504 34.10%
12.00% to 12.99% .................... 20 5,450,356 2.05
13.00% to 13.99% .................... 14 13,216,193 4.97
14.00% to 14.99% .................... 78 67,736,456 25.48
15.00% to 15.99% .................... 70 26,667,574 10.03
16.00% to 16.99% .................... 99 31,957,025 12.02
17.00% to 17.99% .................... 76 23,005,730 8.65
18.00% to 18.99% .................... 28 6,679,828 2.51
19.00% to 19.99% .................... 2 516,809 0.19
--- ------------ ------
Total .......................... 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Maximum Rate is 15.45%*
<FN>
- ----------
* Excludes ARMs with no Maximum Rate.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No Minimum Rate ..................... 380 $134,884,950 50.73%
Less than 6.00% ..................... 70 51,037,064 19.20
6.00% to 6.99% ...................... 55 33,485,227 12.60
7.00% to 7.99% ...................... 73 33,796,051 12.71
8.00% to 8.99% ...................... 22 12,655,183 4.76
--- ------------ ------
Total ......................... 600 $265,858,475 100.00%
=== ============ ======
Weighted Average Floor Interest Rate is 6.39%*
<FN>
- ----------
* Excludes ARMs with no Floor Interest Rates.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Periodic Rate Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No Periodic Adjustment Cap .......... 332 $183,405,402 68.99%
Less than 1.00% ..................... 3 1,194,981 0.45
1.00% to 1.99% ...................... 74 23,035,221 8.66
2.00% to 2.99% ...................... 160 48,583,392 18.27
3.00% to 3.99% ...................... 8 1,087,675 0.41
4.00% or more ....................... 23 8,551,804 3.22
--- ------------ ------
Total ..................... 600 $265,858,475 100.00%
=== ============ ======
</TABLE>
<TABLE>
<CAPTION>
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Interest Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Monthly ............................. 125 $ 96,318,755 36.23%
Quarterly ........................... 8 1,928,283 0.73
Semi-Annually ....................... 130 42,331,206 15.92
Annually ............................ 186 64,820,583 24.38
Two Years ........................... 6 2,199,856 0.83
Thirty Months ....................... 1 97,475 0.04
Thirty-Five Months .................. 1 908,651 0.34
Three Years ......................... 78 28,022,261 10.54
Five Years .......................... 8 9,439,161 3.55
Adjusts with Index .................. 57 19,792,244 7.44
--- ------------ ------
Total ..................... 600 $265,858,475 100.00%
=== ============ ======
</TABLE>
<TABLE>
<CAPTION>
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Payment Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Monthly ............................. 9 $ 3,891,200 1.46%
Quarterly ........................... 1 1,498,015 0.56
Semi-Annually ....................... 124 39,072,920 14.70
Annually ............................ 308 164,475,435 61.86
Two Years ........................... 6 2,199,856 0.83
Thirty Months ....................... 1 97,475 0.04
Thirty-Five Months .................. 1 908,651 0.34
Three Years ......................... 78 28,022,261 10.54
Five Years .......................... 15 9,759,598 3.67
Fixed Payment ....................... 20 3,024,113 1.14
Adjusts with Index .................. 37 12,908,951 4.86
--- ------------ ------
Total ..................... 600 $265,858,475 100.00%
=== ============ ======
</TABLE>
<TABLE>
<CAPTION>
Indexes
of Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
by
Number Aggregate Aggregate
of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
- ------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Treasury -- 5 Year Bond Rate ................... 1 $ 432,043 0.16%
COFI 9th District Dallas ....................... 1 26,979 0.01
COFI 11th District Weighted Average ............ 227 145,217,540 54.61
COFI 4th District Atlanta ...................... 1 29,012 0.01
COFI 5th District Cincinnati 3 Year Borrowing .. 1 300,000 0.11
FHLB 3 Year Advance Rate Pittsburgh ............ 1 1,452,398 0.55
FHLB 3 Year Fixed Advance Rate Dallas .......... 1 800,320 0.30
FHLB 5 Year Advance Rate Atlanta ............... 1 5,690,135 2.14
FHLB 5th District COFI ......................... 1 80,959 0.03
FHLB Advance Rate .............................. 19 1,771,043 0.67
FHLB Contract .................................. 1 51,829 0.02
LIBOR 1 Year ................................... 4 2,141,813 0.81
National Average of Lenders -- FHLB (Previously
Occupied Homes) .............................. 23 1,705,207 0.64
PRIME Bank of Boston ........................... 1 38,860 0.01
PRIME Mercantile Safe Deposit & Trust,
Maryland ..................................... 2 5,622,905 2.12
PRIME As Stated In Wall Street Journal ......... 56 16,216,735 6.10
PRIME Bank One of Dallas ....................... 1 20,753 0.01
PRIME Chase Manhattan Bank ..................... 6 2,138,921 0.80
PRIME Chemical Bank of New York ................ 1 69,609 0.03
PRIME Citibank ................................. 7 2,749,723 1.03
Treasury -- 1 Year Monthly Average ............. 5 2,781,004 1.05
Treasury -- 1 Year Weekly Average .............. 123 37,982,215 14.29
Treasury -- 1 Year Auction Yield ............... 1 86,796 0.03
Treasury -- 1 Year T-Bill 6 Month Average ...... 8 2,245,542 0.84
Treasury -- 13 Week T-Bill ..................... 1 144,855 0.05
Treasury -- 2 Year Constant Maturity ........... 3 1,669,593 0.63
Treasury -- 26 Week T-Bill Weekly Average ...... 5 553,592 0.21
Treasury -- 3 Year Monthly Average ............. 2 1,055,589 0.40
Treasury -- 3 Year Weekly Average .............. 67 21,504,854 8.09
Treasury -- 5 Year Weekly Average .............. 7 4,981,616 1.87
Treasury -- 6 Month Constant Maturity .......... 1 97,475 0.04
Treasury -- 6 Month Monthly Average ............ 3 522,053 0.20
Treasury -- 91 Day T-Bill ...................... 7 497,707 0.19
Weighted Average COFI for CA Members
of SF FHLB ................................... 11 5,178,800 1.95
--- ------------ ------
Total ................................ 600 $265,858,475 100.00%
=== ============ ======
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
Negative Amortization ...... 147 $100,684,878 37.87%
No Negative Amortization ... 453 165,173,597 62.13
--- ------------ ------
Total ............ 600 $265,858,475 100.00%
=== ============ ======
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 3
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Principal
Loans Balance Balance
Loans-to-Facilitate and As of As of As of
Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------- ------------ ------------ ------------
Loans-to-Facilitate
(Non-RTC)(1)........... 9 $ 5,128,558 1.93%
Modified Mortgage Loans(2)....... 40 36,984,436 13.91
Not Applicable................... 551 223,745,481 84.16
--- ------------ ------
Total................. 600 $265,858,475 100.00%
=== ============ ======
[FN]
- ----------
(1) Loans originated by a non-RTC institution to facilitate the sale of REO.
(2) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
[/FN]
Exhibit D
Mortgage Loan Group 4
<TABLE>
<CAPTION>
Distribution of Original Principal Balances
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less ..................... 42 $ 1,127,244 0.31%
$ 50,001 to $ 100,000 .............. 101 5,152,021 1.41
$ 100,001 to $ 200,000 .............. 125 14,523,850 3.97
$ 200,001 to $ 400,000 .............. 159 36,273,242 9.92
$ 400,001 to $ 600,000 .............. 54 22,503,706 6.15
$ 600,001 to $ 800,000 .............. 37 21,865,633 5.98
$ 800,001 to $ 1,000,000 .............. 27 23,618,680 6.46
$ 1,000,001 to $ 2,000,000 .............. 55 69,086,624 18.88
$ 2,000,001 to $ 3,000,000 .............. 22 50,404,827 13.78
$ 3,000,001 to $ 4,000,000 .............. 10 29,000,146 7.93
$ 4,000,001 to $ 5,000,000 .............. 4 16,848,965 4.61
$ 5,000,001 to $10,000,000 .............. 9 53,648,802 14.67
$10,000,001 or more ..................... 2 21,671,605 5.93
---- ----------- ------
Total ......................... 647 $365,725,345 100.00%
==== ============ ======
Average Original Principal Balance is $651,882
</TABLE>
<TABLE>
<CAPTION>
Distribution of Scheduled Principal Balances as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Number of Aggregate by Aggregate
Mortgage Scheduled Scheduled
Loans Principal Balance Principal Balance
Scheduled Principal Balances As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less........... 113 $ 3,613,740 0.99%
$ 50,001 to $ 100,000.... 95 6,969,487 1.91
$ 100,001 to $ 200,000.... 120 17,953,439 4.91
$ 200,001 to $ 400,000.... 118 32,371,703 8.85
$ 400,001 to $ 600,000.... 52 25,321,458 6.92
$ 600,001 to $ 800,000.... 28 19,410,843 5.31
$ 800,001 to $ 1,000,000.... 32 29,505,943 8.07
$ 1,000,001 to $ 2,000,000.... 46 63,755,707 17.42
$ 2,000,001 to $ 3,000,000.... 22 52,586,741 14.38
$ 3,000,001 to $ 4,000,000.... 9 31,384,718 8.58
$ 4,000,001 to $ 5,000,000.... 4 17,639,803 4.82
$ 5,000,001 to $10,000,000.... 6 43,540,158 11.91
$10,000,001 or more........... 2 21,671,605 5.93
--- ------------ ------
Total............... 647 $365,725,345 100.00%
=== ============ ======
Average Scheduled Principal Balance as of the Cut-Off Date is $565,263
</TABLE>
<TABLE>
<CAPTION>
Original Terms to Stated Maturity
of Mortgage Loans in Mortgage Loan Group 4*
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
--------------- ------------ ------------ ------------
<S> <C> <C> <C>
5 years or less............... 138 $111,314,910 30.44%
5+ to 7 years................ 214 169,848,608 46.44
7+ to 10 years................ 62 31,196,380 8.53
10+ to 15 years................ 37 21,667,987 5.92
15+ to 20 years................ 45 6,581,606 1.80
20+ to 30 years................ 150 25,091,078 6.86
30 years or more............... 1 24,776 0.01
--- ------------ -------
Total................ 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Original Term to Stated Maturity is 8.1 years
<FN>
- ----------
* Without giving effect to any modification or extension of maturity date.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Mortgage Loan Group 4
Percentage of
Balloon
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Years Remaining As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1 year or less........... 33 $28,436,913 9.03%
1+ to 2 years........... 25 16,915,384 5.37
2+ to 3 years........... 30 12,273,200 3.90
3+ to 4 years........... 49 30,507,400 9.69
4+ to 5 years*.......... 36 49,485,903 15.72
5+ to 10 years........... 194 169,708,665 53.93
10+ to 15 years........... 5 4,476,847 1.42
15+ to 20 years........... 2 2,964,129 0.94
--- ------------- ----
Total........... 374 $314,768,441 100.00%
=== ============ =======
Weighted Average Remaining Term to Stated Maturity is 4.8 years
<FN>
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Mortgage Loan Group 4
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Years Remaining As of As of As of
As of Cut-Off Date* Cut-Off Date Cut-Off Date Cut-Off Date
------------------- ------------ ------------ ------------
<S> <C> <C> <C>
5 years or less...................... 64 $4,293,690 8.43%
5+ to 10 years....................... 103 9,794,434 19.22
10+ to 15 years....................... 36 7,338,516 14.40
15+ to 20 years....................... 38 18,423,924 36.15
20+ to 30 years....................... 32 11,106,340 21.80
--- ----------- -------
Total....................... 273 $50,956,904 100.00%
=== =========== =======
Weighted Average Remaining Term to Stated Maturity is 15.1 years
<FN>
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Seasoning of Mortgage Loans
in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Number of Years As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1 year or less............ 69 $69,176,547 18.91%
1+ to 2 years............ 149 110,319,469 30.17
2+ to 3 years............ 36 27,193,323 7.44
3+ to 4 years............ 21 9,604,301 2.63
4+ to 5 years............ 24 18,404,396 5.03
5+ to 6 years............ 27 27,854,763 7.62
6+ to 7 years............ 32 39,651,660 10.84
7+ to 8 years............ 35 16,066,730 4.39
8+ to 9 years............ 45 22,359,320 6.11
9+ to 10 years............ 22 5,922,806 1.62
Over 10 years............. 187 19,172,030 5.24
--- ---------- ----
Total........... 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Seasoning is 4.01 years
</TABLE>
<TABLE>
<CAPTION>
Mortgage Interest Rates As of Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
----------------------- ------------ ------------ ------------
<S> <C> <C> <C>
5.00% to 5.99%.............. 6 $141,112 0.04%
6.00% to 6.99%.............. 11 21,043,930 5.75
7.00% to 7.99%.............. 34 39,291,765 10.74
8.00% to 8.99%.............. 151 118,194,653 32.32
9.00% to 9.99%.............. 204 118,322,503 32.36
10.00% to 10.99%.............. 111 29,099,019 7.96
11.00% to 11.99%.............. 54 25,187,917 6.89
12.00% to 12.99%.............. 45 10,908,202 2.98
13.00% to 13.99%.............. 25 3,045,726 0.83
14.00% to 14.99%.............. 5 439,428 0.12
15.00% to 15.99%.............. 1 51,090 0.01
--- ------------- -------
Total............... 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Mortgage Interest Rate is 8.95%
</TABLE>
<TABLE>
<CAPTION>
Loan-to-Value Ratios at Origination
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
50.00% or less................... 81 $ 32,733,634 8.95%
50.01% to 60.00%................ 89 57,286,526 15.66
60.01% to 70.00%................ 112 80,103,852 21.91
70.01% to 80.00%................ 191 77,078,902 21.08
80.01% to 90.00%................ 58 45,798,617 12.52
90.01% to 100.00%................ 35 31,493,915 8.61
100.01% or more................... 11 10,823,998 2.96
Unknown........................... 70 30,405,901 8.31
--- ------------ -------
Total................... 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Loan-to-Value Ratio at Origination is 70.94%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Range of Ratios of Current Loan Balance-to-Original Value
As of Cut-Off Date in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
50.00% or less............... 229 $62,732,899 17.15%
50.01% to 60.00%............ 104 79,322,007 21.71
60.01% to 70.00%............ 97 60,797,428 16.62
70.01% to 80.00%............ 74 52,963,018 14.48
80.01% to 90.00%............ 46 41,417,405 11.32
90.01% to 100.00%............ 14 27,074,390 7.40
100.01% or more............... 13 11,012,297 3.01
Unknown....................... 70 30,405,901 8.31
--- ------------ --------
Total............... 647 $365,725,345 100.00%
=== ============ ========
Weighted Average Current Loan Balance-to-Original Value Ratio is 65.96%**
<FN>
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Lien Positions of Mortgage Loans
in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
<S> <C> <C> <C>
First lien**............ 618 $356,771,557 97.55%
Second lien............. 24 7,035,464 1.92
Third lien.............. 1 1,719,548 0.48
Not Available........... 4 198,776 0.05
--- ------------ --------
Total......... 647 $365,725,345 100.00%
=== ============ ========
<FN>
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Property Type
of Mortgaged Properties in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Type of As of As of As of
Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Industrial/Warehouse............. 80 $27,284,554 7.46%
Lodging.......................... 47 83,093,445 22.72
Mini Warehouse................... 6 6,254,524 1.71
Mixed Use Building............... 70 42,121,295 11.52
Mobile Home Park................. 10 4,764,077 1.30
Multifamily (5-36 Units)......... 11 2,024,145 0.55
Multifamily (37-200 Units)....... 4 1,608,982 0.44
Multifamily -- Other............. 7 890,033 0.24
Hospital/Nursing Home............ 7 3,538,698 0.97
School/Religious Building........ 23 10,502,258 2.87
Office........................... 163 66,057,619 18.06
Retail........................... 161 84,196,561 23.03
Land/Water Utility............... 1 7,572,047 2.07
Other Commercial................. 47 24,954,199 6.82
Not Available.................... 10 862,908 0.24
--- ------------ -------
Total.................. 647 $365,725,345 100.00%
=== ============ =======
</TABLE>
Geographic Distribution
of Mortgaged Properties in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Cut-Off Date Cut-Off Date Cut-Off Date
-------- ------------ ------------ ------------
Alabama.............. 9 $1,321,120 0.36%
Arizona.............. 4 2,190,690 0.60
Arkansas............. 1 21,032 0.01
California........... 60 26,690,663 7.30
Colorado............. 9 4,905,676 1.34
Connecticut.......... 2 57,523 0.02
Delaware............. 14 18,036,712 4.93
District of Columbia. 1 2,108,196 0.58
Florida.............. 52 54,526,072 14.91
Georgia.............. 12 9,022,396 2.47
Illinois............. 8 3,496,949 0.96
Indiana.............. 1 2,371,296 0.65
Kansas............... 6 2,146,940 0.59
Louisiana............ 30 6,070,513 1.66
Maine................ 1 105,627 0.03
Maryland............. 110 57,055,333 15.60
Massachusetts........ 3 1,235,152 0.34
Michigan............. 1 223,056 0.06
Minnesota............ 1 168,599 0.05
Mississippi.......... 3 560,014 0.15
Missouri............. 1 3,721,955 1.02
Nevada............... 1 967,800 0.26
New Jersey........... 19 7,248,773 1.98
New Mexico........... 6 3,267,240 0.89
New York............. 6 12,542,595 3.43
North Carolina....... 12 7,110,819 1.94
Ohio................. 8 574,353 0.16
Oklahoma............. 5 1,491,890 0.41
Oregon............... 5 4,935,391 1.35
Pennsylvania......... 10 2,269,102 0.62
South Carolina....... 3 1,172,629 0.32
South Dakota......... 1 2,343,076 0.64
Tennessee............ 2 2,251,395 0.62
Texas................ 173 94,948,665 25.94
Virginia............. 62 20,934,896 5.72
Washington........... 1 6,292,585 1.72
West Virginia........ 2 53,159 0.01
Wisconsin............ 1 1,193,534 0.33
Wyoming.............. 1 91,929 0.03
--- ------------ ------
Total...... 647 $365,725,345 100.00%
=== ============ =======
County Concentrations (Over 10%)
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
No County has a
concentration over 10%.. none none
<TABLE>
<CAPTION>
Monthly Payments Delinquent as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
--------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
None (0-29 days past due)......... 616 $353,517,227 96.66%
One Payment (30-59 days past due). 31 12,208,118 3.34
--- ------------ ------
Total.................... 647 $365,725,345 100.00%
=== ============ =======
</TABLE>
<TABLE>
<CAPTION>
Delinquency History for the Past Twelve Months as of the Cut-Off Date
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 12 months.......... 464 $276,748,365 75.67%
One Payment Delinquent (30-59 days) in last 12
months....................................................
1 time 30-day delinquent in last 12 months................ 89 43,325,023 11.85
2 times 30-day delinquent in last 12 months............... 23 8,343,134 2.28
More than 2 times 30-day delinquent in last 12
months.................................................. 21 9,334,371 2.55
Two Payments Delinquent (60-89 days) in last 12
months**..................................................
1 time 60-day delinquent in last 12 months................ 19 5,115,267 1.40
2 times 60-day delinquent in last 12 months............... 7 3,954,628 1.08
More than 2 times 60-day delinquent in last 12
months.................................................. 5 664,825 0.18
Three or more Payments Delinquent (90 days+) in last
12 months**...............................................
1 time 90-day delinquent in last 12 months................ 16 16,376,368 4.48
2 times 90-day delinquent in last 12 months............... 2 1,841,149 0.50
More than 2 times 90-day delinquent in last 12
months.................................................. 1 22,215 0.01
--- ------------- -------
Total.............................................. 647 $365,725,345 100.00%
=== ============ =======
<FN>
----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately 4.35% of the Mortgage Loans in
Mortgage Loan Group 4, based on the Aggregate Scheduled Principal Balance as
of the Cut-Off Date, did not have twelve months of delinquency history and
were not modified.
** Approximately 13.45% and 23.80% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
Margins of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
------- ------------ ------------ ------------
Fixed Rate Mortgage Loans.. 604 $345,613,648 94.50%
No Stated Margin........... 2 256,088 0.07
1.00% to 1.99%............. 1 37,051 0.01
2.00% to 2.99%............. 17 13,153,435 3.59
3.00% to 3.99%............. 20 6,273,847 1.72
4.00% or more.............. 3 391,276 0.11
--- ------------ ------
Total............ 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Margin is 2.59%*
[FN]
- ----------
* Excludes Fixed Rate Mortgage Loans.
[/FN]
Maximum Rates of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans.. 604 $345,613,648 94.50%
No Maximum Rate............ 6 681,442 0.19
12.00% to 12.99%........... 3 5,377,096 1.47
14.00% to 14.99%........... 8 3,775,090 1.03
15.00% to 15.99%........... 11 5,189,246 1.42
16.00% to 16.99%........... 9 3,489,244 0.95
17.00% to 17.99%........... 3 836,210 0.23
18.00% to 18.99%........... 1 401,213 0.11
19.00% to 19.99%........... 2 362,156 0.10
--- ------------ -------
Total............ 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Maximum Rate is 14.71%*
[FN]
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
[/FN]
Floor Interest Rates of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans.. 604 $345,613,648 94.50%
8.00% to 8.99%........... 15 10,170,265 2.77
9.00% to 9.99%........... 6 3,136,142 0.86
10.00% to 10.99%........... 16 5,433,922 1.49
11.00% to 11.99%........... 3 508,837 0.14
12.00% to 12.99%........... 2 716,746 0.20
13.00% to 13.99%........... 1 145,785 0.04
- ------- ----
Total............ 647 $365,725,345 100.00%
=== ============ =======
Weighted Average Floor Interest Rate is 9.34%*
[FN]
- ----------
* Excludes Fixed Rate Mortgage Loans.
[/FN]
Periodic Rate Adjustment Caps
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
--------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 604 $345,613,648 94.50%
No Periodic Adjustment Cap.. 32 17,506,041 4.79
1.00% to 1.99%.............. 3 530,264 0.14
2.00% to 2.99%.............. 8 2,075,392 0.57
--- ------------ -------
Total............. 647 $365,725,345 100.00%
=== ============ ========
Interest Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 604 $345,613,649 94.50%
Monthly..................... 15 9,021,949 2.47
Quarterly................... 1 35,746 0.01
Semi-Annually............... 4 955,627 0.26
Annually.................... 15 7,152,341 1.96
Three Years................. 6 1,185,478 0.32
Five Years.................. 2 1,760,555 0.48
- --------- ----
Total............. 647 $365,725,345 100.00%
=== ============ =======
Payment Adjustment Frequency
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Payment As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 604 $345,613,648 94.50%
Monthly..................... 1 469,321 0.13
Semi-Annually............... 4 955,627 0.26
Annually.................... 28 15,516,857 4.25
Three Years................. 6 1,185,478 0.32
Five Years.................. 2 1,760,555 0.48
Fixed Payment............... 2 223,859 0.06
- ------- ----
Total............. 647 $365,725,345 100.00%
=== ============ =======
<TABLE>
<CAPTION>
Indexes
of Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans................... 604 $345,613,649 94.50%
COFI 11th District Weighted Average......... 14 6,499,706 1.77
COFI 4th District Atlanta................... 1 188,113 0.05
FHLB Advance Rate........................... 1 401,213 0.11
LIBOR 1 Month............................... 4 2,874,570 0.79
PRIME Frost National Bank................... 2 435,544 0.12
PRIME Mercantile Safe Deposit & Trust,
Maryland.................................. 2 4,244,243 1.16
PRIME As Stated In Wall Street Journal...... 2 203,353 0.06
PRIME Chase Manhattan Bank.................. 1 105,810 0.03
PRIME Nationsbank........................... 1 51,950 0.01
Treasury -- 1 Year Weekly Average........... 4 1,546,183 0.42
Treasury -- 1 Year T-Bill 6 Month Average... 1 425,363 0.12
Treasury -- 3 Year Weekly Average........... 7 1,339,347 0.37
Treasury -- 5 Year Weekly Average........... 2 1,760,555 0.48
Treasury -- 91 Day T-Bill................... 1 35,746 0.01
--- ------------ -------
Total............................. 647 $365,725,345 100.00%
=== ============ =======
</TABLE>
Loans with Potential for Negative
Amortization in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
--------------------- ------------ ------------ ------------
Negative Amortization...... 17 $9,917,453 2.71%
No Negative Amortization... 630 355,807,892 97.29
--- ------------ -------
Total............ 647 $365,725,345 100.00%
=== ============ =======
<TABLE>
<CAPTION>
Loans-to-Facilitate and Modified Mortgage Loans in Mortgage Loan Group 4
Percentage of
Mortgage
Loan Group
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated
Loans)(1)....................................... 229 $181,898,111 49.74%
Loans-to-Facilitate (Non-RTC)(2).................. 19 9,585,303 2.62
Affordable Housing Disposition Program
(Seller - Originated Loans)(3).................. 2 601,585 0.16
Modified Mortgage Loans(4)........................ 61 61,927,504 16.93
Not Applicable.................................... 336 111,712,842 30.55
--- ----------- -----
Total................................... 647 $365,725,345 100.00%
=== ============ =======
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans originated by an RTC institution to facilitate the sale of multifamily
REO under the Affordable Housing Disposition Program Guidelines.
(4) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
Exhibit E
All Mortgage Loan Groups
Distribution of Original Principal Balances
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
$ 50,000 or less......... 77 $2,132,851 0.19%
$ 50,001 to $ 100,000.. 263 14,466,371 1.27
$ 100,001 to $ 200,000.. 399 46,800,618 4.11
$ 200,001 to $ 400,000.. 568 143,527,744 12.61
$ 400,001 to $ 600,000.. 288 127,465,006 11.20
$ 600,001 to $ 800,000.. 129 81,214,352 7.13
$ 800,001 to $ 1,000,000.. 100 84,134,742 7.39
$ 1,000,001 to $ 2,000,000.. 181 230,578,543 20.25
$ 2,000,001 to $ 3,000,000.. 49 114,844,108 10.09
$ 3,000,001 to $ 4,000,000.. 24 72,489,425 6.37
$ 4,000,001 to $ 5,000,000.. 11 46,536,190 4.09
$ 5,000,001 to $10,000,000.. 22 131,680,131 11.57
$10,000,001 or more......... 4 42,449,065 3.73
----- -------------- -------
Total............. 2,115 $1,138,319,146 100.00%
===== ============== =======
Average Original Principal Balance is $611,030
<TABLE>
<CAPTION>
Distribution of Scheduled Principal Balances as of the Cut-Off Date
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Loans Principal Balance Principal Balance
Principal Balances As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 50,000 or less................. 241 $8,050,282 0.71%
$ 50,001 to $ 100,000.......... 275 20,723,777 1.82
$ 100,001 to $ 200,000.......... 362 53,512,719 4.70
$ 200,001 to $ 400,000.......... 489 139,486,923 12.25
$ 400,001 to $ 600,000.......... 267 129,332,884 11.36
$ 600,001 to $ 800,000.......... 123 84,963,993 7.46
$ 800,001 to $ 1,000,000.......... 99 88,821,557 7.80
$ 1,000,001 to $ 2,000,000.......... 159 218,029,690 19.17
$ 2,000,001 to $ 3,000,000.......... 46 112,908,562 9.92
$ 3,000,001 to $ 4,000,000.......... 23 79,163,601 6.95
$ 4,000,001 to $ 5,000,000.......... 12 53,388,852 4.69
$ 5,000,001 to $10,000,000.......... 15 107,487,241 9.44
$10,000,001 or more................. 4 42,449,065 3.73
----- -------------- -------
Total..................... 2,115 $1,138,319,146 100.00%
===== ============== =======
Average Scheduled Principal Balance as of the Cut-Off Date is $538,212
</TABLE>
Original Terms to Stated Maturity
of Mortgage Loans in the Mortgage Pool*
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Loans Principal Balance Principal Balance
of Years to As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
--------------- ------------ ------------ ------------
5 years or less.... 225 $172,255,057 15.13%
5+ to 7 years..... 341 271,857,377 23.88
7+ to 10 years..... 237 149,032,064 13.09
10+ to 15 years..... 307 180,403,399 15.85
15+ to 20 years..... 108 24,748,266 2.17
20+ to 30 years..... 889 338,244,858 29.72
30 years or more.... 8 1,778,125 0.16
----- -------------- -------
Total..... 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Original Term to Stated Maturity is 14.8 years
[FN]
- ----------
* Without giving effect to any modification or extension of maturity date.
[/FN]
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in the Mortgage Pool
Percentage of
Balloon
Mortgage Loans
in Mortgage Pool
by Aggregate
Aggregate Scheduled
Number of Scheduled Principal
Mortgage Loans Principal Balance Balance
Years Remaining As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
1 year or less...... 78 $46,568,400 6.75%
1+ to 2 years...... 65 47,356,450 6.87
2+ to 3 years...... 61 41,048,624 5.95
3+ to 4 years...... 87 70,756,912 10.26
4+ to 5 years*..... 101 105,558,373 15.31
5+ to 10 years...... 369 301,440,681 43.74
10+ to 15 years...... 64 62,920,170 9.13
15+ to 20 years...... 8 6,153,070 0.89
20+ to 30 years...... 4 7,606,260 1.10
--- ------------ ------
Total................ 837 $689,408,940 100.00%
=== ============ ======
Weighted Average Remaining Term to Stated Maturity is 5.6 years
[FN]
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
[/FN]
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in the Mortgage Pool
Percentage of
Fully Amortizing
Mortgage Loans
in Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Years Remaining As of As of As of
As of Cut-Off Date* Cut-Off Date Cut-Off Date Cut-Off Date
------------------- ------------ ------------ ------------
5 years or less.... 120 $7,224,067 1.61%
5+ to 10 years..... 216 23,751,011 5.29
10+ to 15 years..... 120 20,387,914 4.54
15+ to 20 years..... 208 63,172,716 14.07
20+ to 30 years..... 614 334,374,498 74.49
----- ------------ -------
Total..... 1,278 $448,910,206 100.00%
===== ============ =======
Weighted Average Remaining Term to Stated Maturity is 22.5 years
[FN]
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County,
California that will be extended to be fully amortizing.
[/FN]
Seasoning of Mortgage Loans
in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Number of Years As of As of As of
As of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
1 year or less........ 90 $107,697,324 9.46%
1+ to 2 years........ 260 195,356,652 17.15
2+ to 3 years........ 235 165,688,576 14.56
3+ to 4 years........ 96 44,663,799 3.92
4+ to 5 years........ 223 114,542,363 10.06
5+ to 6 years........ 212 137,601,431 12.09
6+ to 7 years........ 157 146,024,449 12.83
7+ to 8 years........ 151 88,897,801 7.81
8+ to 9 years........ 144 54,845,025 4.82
9+ to 10 years........ 102 20,102,619 1.77
Over 10 years......... 445 62,899,107 5.53
----- -------------- -------
Total........ 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Seasoning is 4.73 years
<TABLE>
<CAPTION>
Mortgage Interest Rates As of Cut-Off Date
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Mortgage Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
----------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Less than 4.00%............. 1 $40,014 0.00%
4.00% to 4.99%............ 5 5,388,858 0.47
5.00% to 5.99%............ 38 15,020,101 1.32
6.00% to 6.99%............ 251 197,910,651 17.39
7.00% to 7.99%............ 362 195,167,993 17.15
8.00% to 8.99%............ 526 305,204,164 26.81
9.00% to 9.99%............ 595 316,191,460 27.79
10.00% to 10.99%............ 169 53,893,150 4.73
11.00% to 11.99%............ 82 34,088,482 2.99
12.00% to 12.99%............ 52 11,628,549 1.02
13.00% to 13.99%............ 28 3,295,206 0.29
14.00% to 14.99%............ 5 439,428 0.04
15.00% to 15.99%............ 1 51,090 0.00
----- -------------- -------
Total............. 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Mortgage Interest Rate is 8.27%
</TABLE>
Loan-to-Value Ratios at Origination
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Loan-to-Value As of As of As of
Ratios at Origination* Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------- ------------ ------------ ------------
50.00% or less........ 226 $84,960,461 7.46%
50.01% to 60.00%..... 285 152,060,123 13.36
60.01% to 70.00%..... 503 293,611,537 25.79
70.01% to 80.00%..... 701 353,301,045 31.05
80.01% to 90.00%..... 137 103,297,538 9.07
90.01% to 100.00%..... 81 58,941,893 5.18
100.01% or more........ 43 40,416,966 3.55
Unknown................ 139 51,729,583 4.54
----- -------------- -------
Total........ 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Loan-to-Value Ratio at Origination is 70.98%**
[FN]
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
[/FN]
Range of Ratios of Current Loan Balance-to-Original Value
As of Cut-Off Date in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Ratios of Current Loan As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ------------ ------------ ------------
50.00% or less........... 594 $159,929,108 14.05%
50.01% to 60.00%........ 392 208,328,103 18.30
60.01% to 70.00%........ 511 305,629,391 26.86
70.01% to 80.00%........ 302 222,450,816 19.54
80.01% to 90.00%........ 102 89,490,084 7.86
90.01% to 100.00%........ 37 49,983,250 4.39
100.01% or more........... 37 40,644,451 3.57
Unknown................... 140 61,863,943 5.43
----- -------------- -------
Total........... 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Current Loan Balance-to-Original Value Ratio is 66.34%**
[FN]
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
[/FN]
Lien Positions of Mortgage Loans
in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
First lien**....... 2,016 $1,108,108,024 97.34%
Second lien........ 90 26,952,408 2.37
Third lien......... 4 2,947,441 0.26
Not Available...... 5 311,273 0.03
----- -------------- -------
Total.... 2,115 $1,138,319,146 100.00%
===== ============== =======
[FN]
- ----------
* In certain cases, a title insurance policy or attorney's title opinion was
not contained in the applicable Mortgage Loan file. In such cases, efforts
were made to determine the lien position of such Mortgage Loan from other
sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens are
included in the Mortgage Pool.
[/FN]
Property Type
of Mortgaged Properties in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Type of As of As of As of
Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
Industrial/Warehouse......... 157 $58,530,795 5.14%
Lodging...................... 54 98,610,740 8.66
Mini Warehouse............... 11 11,190,367 0.98
Mixed Use Building........... 127 71,011,737 6.24
Mobile Home Park............. 15 5,703,160 0.50
Multifamily (5-36 Units)..... 766 294,021,402 25.84
Multifamily (37-200 Units)... 122 167,925,316 14.75
Multifamily (Over 200 Units). 18 70,561,119 6.20
Multifamily -- Other......... 35 14,726,603 1.29
Hospital/Nursing Home........ 13 5,932,223 0.52
School/Religious Building.... 53 20,459,377 1.80
Office....................... 351 117,982,776 10.36
Retail....................... 267 150,793,151 13.25
Land/Water Utility........... 2 7,614,741 0.67
Other Commercial............. 109 40,753,761 3.58
Not Available................ 15 2,501,878 0.22
----- -------------- -------
Total.............. 2,115 $1,138,319,146 100.00%
===== ============== =======
Geographic Distribution
of Mortgaged Properties in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Location Cut-Off Date Cut-Off Date Cut-Off Date
-------- ------------ ------------ ------------
Alabama................ 10 $1,405,517 0.12%
Arizona................ 15 8,047,384 0.71
Arkansas............... 2 56,077 0.00
California............. 903 519,543,027 45.67
Colorado............... 27 10,636,879 0.93
Connecticut............ 10 983,035 0.09
Delaware............... 16 23,659,617 2.08
District of Columbia... 3 3,485,685 0.31
Florida................ 125 96,730,564 8.50
Georgia................ 23 13,382,720 1.18
Illinois............... 12 3,691,284 0.32
Indiana................ 3 4,071,660 0.36
Kansas................. 8 2,361,986 0.21
Kentucky............... 1 269,658 0.02
Louisiana.............. 55 15,523,303 1.36
Maine.................. 1 105,627 0.01
Maryland............... 114 58,676,590 5.15
Massachusetts.......... 5 1,507,325 0.13
Michigan............... 1 223,056 0.02
Minnesota.............. 1 168,599 0.01
Mississippi............ 9 3,738,980 0.33
Missouri............... 8 7,103,540 0.62
Nebraska............... 1 46,402 0.00
Nevada................. 1 967,800 0.09
New Jersey............. 30 25,181,068 2.21
New Mexico............. 9 4,366,364 0.38
New York............... 46 19,695,024 1.73
North Carolina......... 18 13,592,326 1.19
Ohio................... 47 7,559,198 0.66
Oklahoma............... 10 3,644,182 0.32
Oregon................. 8 5,651,312 0.50
Pennsylvania........... 19 3,455,190 0.30
Rhode Island........... 3 309,814 0.03
South Carolina......... 4 1,728,275 0.15
South Dakota........... 1 2,343,076 0.21
Tennessee.............. 7 4,269,818 0.38
Texas.................. 313 181,373,646 15.93
Utah................... 4 5,456,453 0.48
Virginia............... 235 74,811,397 6.57
Washington............. 3 7,157,066 0.63
West Virginia.......... 2 53,159 0.00
Wisconsin.............. 1 1,193,534 0.10
Wyoming................ 1 91,929 0.01
----- -------------- -------
Total........ 2,115 $1,138,319,146 100.00%
===== ============== =======
<TABLE>
<CAPTION>
County Concentrations (Over 10%)
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
County Concentration Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Los Angeles County............................ 558 $288,945,258 25.38%
No Zip Code has a concentration over 1.5%
All Other Counties............................ 1,557 849,373,888 74.62
----- -------------- -------
Total................................ 2,115 $1,138,319,146 100.00%
===== ============== =======
</TABLE>
<TABLE>
<CAPTION>
Monthly Payments Delinquent as of the Cut-Off Date
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
--------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
None (0-29 days past due)............... 2,042 $1,093,749,236 96.08%
One Payment (30-59 days past due)....... 73 44,569,910 3.92
----- -------------- -------
Total.......................... 2,115 $1,138,319,146 100.00%
===== ============== =======
</TABLE>
<TABLE>
<CAPTION>
Delinquency History for the Past Twelve Months as of the Cut-Off Date
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in last 12 months........... 1,592 $846,963,236 74.40%
One Payment Delinquent (30-59 days) in last 12 months
1 time 30-day delinquent in last 12 months................. 250 148,557,159 13.05
2 times 30-day delinquent in last 12 months................ 62 21,598,766 1.90
More than 2 times 30-day delinquent in last 12
months................................................... 70 47,447,867 4.17
Two Payments Delinquent (60-89 days) in last 12
months**
1 time 60-day delinquent in last 12 months................. 68 25,176,358 2.21
2 times 60-day delinquent in last 12 months................ 11 5,958,821 0.52
More than 2 times 60-day delinquent in last 12
months................................................... 8 1,650,764 0.15
Three or more Payments Delinquent (90 days+) in last
12 months**
1 time 90-day delinquent in last 12 months................. 36 27,673,476 2.43
2 times 90-day delinquent in last 12 months................ 10 6,104,852 0.54
More than 2 times 90-day delinquent in last 12
months................................................... 8 7,187,847 0.63
----- -------------- -------
Total............................................... 2,115 $1,138,319,146 100.00%
===== ============== =======
<FN>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less than
twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally are
not reflected in the table. Approximately 5.63% of the Mortgage Loans, based
on the Aggregate Scheduled Principal Balance as of the Cut-Off Date, did not
have twelve months of delinquency history and were not modified.
** Approximately 15.08% and 22.62% of the Mortgage Loans included in Two and
Three Payments Delinquent, respectively, have been modified since the
delinquency.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Margins of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans... 874 $492,425,279 43.25%
No Stated Margin............ 14 2,506,545 0.03
Less than Zero.............. 4 308,846 0.22
0.01% to 0.99%.............. 14 3,697,304 0.32
1.00% to 1.99%.............. 73 42,291,137 3.72
2.00% to 2.99%.............. 724 464,380,398 40.80
3.00% to 3.99%.............. 368 124,019,944 10.90
4.00% or more............... 44 8,689,693 0.76
----- -------------- -------
Total............. 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Margin is 2.61%*
<FN>
- ----------
* Excludes Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Maximum Rates of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
------------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans..... 874 $492,425,279 43.25%
No Maximum Rate............... 253 114,701,688 10.08
Less than 11.99%.............. 5 2,907,583 0.26
12.00% to 12.99%.............. 46 22,026,303 1.93
13.00% to 13.99%.............. 46 48,329,620 4.25
14.00% to 14.99%.............. 501 319,515,375 28.07
15.00% to 15.99%.............. 134 62,865,501 5.52
16.00% to 16.99%.............. 119 37,639,574 3.31
17.00% to 17.99%.............. 91 26,440,263 2.32
18.00% to 18.99%.............. 39 10,139,875 0.89
19.00% to 19.99%.............. 7 1,328,085 0.12
----- -------------- ------
Total............... 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Maximum Rate is 14.75%*
<FN>
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Floor Interest Rates of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans.... 874 $492,425,278 43.26%
No Minimum Rate.............. 479 180,737,005 15.88
Less than 6.00%.............. 123 96,943,063 8.52
6.00% to 6.99%............. 95 66,565,184 5.85
7.00% to 7.99%............. 150 81,989,278 7.20
8.00% to 8.99%............. 228 135,512,978 11.90
9.00% to 9.99%............. 141 76,667,744 6.74
10.00% to 10.99%............. 18 6,060,845 0.53
11.00% to 11.99%............. 4 555,240 0.05
12.00% to 12.99%............. 2 716,746 0.06
13.00% to 13.99%............. 1 145,785 0.01
----- -------------- -------
Total........... 2,115 $1,138,319,146 100.00%
===== ============== =======
Weighted Average Floor Interest Rate is 7.45%*
<FN>
- ----------
* Excludes ARMs with no Floor Interest Rate and Fixed Rate Mortgage Loans.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Periodic Rate Adjustment Caps
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Periodic Rate As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
--------------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans......... 874 $492,425,279 43.26%
No Periodic Adjustment Cap........ 837 503,735,289 44.26
Less than 1.00%................... 14 2,665,121 0.23
1.00% to 1.99%.................... 169 76,208,752 6.69
2.00% to 2.99%.................... 188 53,066,394 4.66
3.00% to 3.99%.................... 10 1,666,507 0.15
4.00% or more..................... 23 8,551,804 0.75
----- -------------- -------
Total................... 2,115 $1,138,319,146 100.00%
===== ============== =======
</TABLE>
<TABLE>
<CAPTION>
Interest Adjustment Frequency
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans... 874 $492,425,279 43.26%
Monthly..................... 569 385,521,936 33.87
Quarterly................... 10 2,014,794 0.18%
Semi-Annually............... 214 81,838,301 7.19
Annually.................... 265 100,209,024 8.80
Two Years................... 7 2,272,805 0.20
Thirty Months............... 1 97,475 0.01
Thirty-five Months.......... 1 908,651 0.08
Three Years................. 98 33,521,434 2.94
Five Years.................. 13 15,438,953 1.36
Adjusts with Index.......... 63 24,070,494 2.11
----- -------------- -------
Total............. 2,115 $1,138,319,146 100.00%
===== ============== =======
</TABLE>
<TABLE>
<CAPTION>
Payment Adjustment Frequency
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
Interest As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
-------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans... 874 $492,425,290 43.27%
Monthly..................... 10 4,360,521 0.38
Quarterly................... 1 1,498,015 0.13
Semi-Annually............... 207 78,232,240 6.87
Annually.................... 831 491,075,996 43.14
Two Years................... 7 2,272,805 0.20
Thirty Months............... 1 97,475 0.01
Thirty-five Months.......... 1 908,651 0.08
Three Years................. 98 33,521,434 2.94
Five Years.................. 21 15,944,331 1.40
Fixed Payment 22 3,247,972 0.29
Adjusts with Index.......... 42 14,734,426 1.29
----- -------------- -------
Total............. 2,115 $1,138,319,146 100.00%
===== ============== =======
</TABLE>
<TABLE>
<CAPTION>
Indexes
of Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
------- ------------ ------------ ------------
<S> <C> <C> <C>
Fixed Rate Mortgage Loans........................... 874 $492,425,281 43.27%
Treasury - 5 Year Bond Rate......................... 1 432,043 0.04
COFI 9th District Dallas............................ 1 26,979 0.00
COFI 11th District Weighted Average................. 448 287,353,341 25.24
COFI 4th District Atlanta........................... 2 217,125 0.02
COFI 5th District Cincinnati 3 Year
Borrowing......................................... 1 300,000 0.03
FHLB 3 Year Advance Rate Pittsburgh................. 1 1,452,398 0.13
FHLB 3 Year Fixed Advance Rate Dallas............... 1 800,320 0.07
FHLB 5 Year Advance Rate Atlanta.................... 1 5,690,135 0.50
FHLB 5th District COFI.............................. 2 150,564 0.01
FHLB Advance Rate................................... 22 2,459,494 0.22
FHLB Contract....................................... 1 51,829 0.00
FHLMC 30 Year Mortgage Commitment................... 1 184,941 0.02
LIBOR 1 Month....................................... 268 173,414,161 15.23
LIBOR 1 Year........................................ 19 14,663,993 1.29
LIBOR 6 Month....................................... 42 24,074,984 2.11
National Average of Lenders -- FHLB (Previously
Occupied Homes)................................... 33 3,245,824 0.29
PRIME Bank of Boston................................ 1 38,860 0.00
PRIME Frost National Bank........................... 3 552,597 0.05
PRIME Mercantile Safe Deposit & Trust,
Maryland.......................................... 4 9,867,148 0.87
PRIME As Stated In Wall Street Journal.............. 63 18,601,896 1.63
PRIME Bank One of Dallas............................ 1 20,753 0.00
PRIME Chase Manhattan Bank.......................... 8 2,403,590 0.21
PRIME Chemical Bank of New York..................... 1 69,609 0.01
PRIME Citibank...................................... 10 5,846,146 0.51
PRIME Nationsbank................................... 1 51,950 0.00
Treasury - 1 Year Monthly Average................... 5 2,781,004 0.24
Treasury - 1 Year Weekly Average.................... 150 43,891,431 3.86
Treasury - 1 Year Auction Yield..................... 1 86,796 0.01
Treasury - 1 Year T-Bill 6 Month Average............ 9 2,670,905 0.23
Treasury - 13 Week T-Bill........................... 1 144,855 0.01
Treasury - 2 Year Constant Maturity................. 3 1,669,593 0.15
Treasury - 26 Week T-Bill Weekly Average............ 5 553,592 0.05
Treasury - 3 Year Monthly Average................... 2 1,055,589 0.09
Treasury - 3 Year Weekly Average.................... 83 26,311,789 2.31
Treasury - 5 Year Weekly Average.................... 12 7,057,234 0.62
Treasury - 6 Month Constant Maturity................ 1 97,475 0.01
Treasury - 6 Month Monthly Average.................. 3 522,053 0.05
Treasury - 91 Day T-Bill............................ 9 584,218 0.05
Weighted Average COFI for CA Members of
SF FHLB........................................... 21 6,496,651 0.57
----- -------------- -------
Total..................................... 2,115 $1,138,319,146 100.00%
===== ============== =======
</TABLE>
Loans with Potential for Negative
Amortization in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
--------------------- ------------ ------------ ------------
Negative Amortization..... 603 $405,116,091 35.59%
No Negative Amortization.. 1,512 733,203,055 64.41
----- -------------- -------
Total........... 2,115 $1,138,319,416 100.00%
===== ============== =======
<TABLE>
<CAPTION>
Loans-to-Facilitate and Modified Mortgage Loans in the Mortgage Pool
Percentage of
Mortgage Pool
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Loans Principal Balance Principal Balance
As of As of As of
Loans-to-Facilitate and Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Loans-to-Facilitate (Seller - Originated
Loans)(1)....................................... 267 $221,004,237 19.41%
Loans-to-Facilitate (Non-RTC)(2).................. 57 36,448,641 3.20
Affordable Housing Disposition Program
(Seller - Originated Loans)(3).................. 79 74,229,276 6.52
Affordable Housing Disposition Program
(Non-RTC)(4).................................... 1 1,398,635 0.12
Modified Mortgage Loans(5)........................ 146 142,722,624 12.54
Not Applicable.................................... 1,565 662,515,733 58.21
----- ----------- -----
Total................................... 2,115 $1,138,319,146 100.00%
===== ============== =======
<FN>
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans originated by an RTC institution to facilitate the sale of multifamily
REO under the Affordable Housing Disposition Program Guidelines.
(4) Loans originated by a non-RTC institution to facilitate the sale of
multifamily REO under the Affordable Housing Disposition Program Guidelines.
(5) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
</FN>
</TABLE>
<PAGE>
EXHIBIT F
Mortgage Loans in Southern California
Distribution of Mortgage
Loan Groups in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Cut-Off Date Cut-Off Date Cut-Off Date
------------ ------------ ------------
Mortgage Loan Group
1..................... 267 $163,711,906 51.11%
Mortgage Loan Group
2..................... 233 131,601,998 41.08
Mortgage Loan Group
3..................... 37 23,452,304 7.32
Mortgage Loan Group
4..................... 7 1,558,568 0.49
--- ------------ ------
Total...... 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Cut-Off Date Cut-Off Date Cut-Off Date
------------ ------------ ------------
Mortgage Loan Group
1.................. 0 $0 0.00%
Mortgage Loan Group
2.................. 0 0 0.00
Mortgage Loan Group
3.................. 164 93,229,481 90.03
Mortgage Loan Group
4.................. 26 10,325,558 9.97
--- ------------ -------
Total....... 190 $103,555,039 100.00%
=== ============ ========
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Cut-Off Date Cut-Off Date Cut-Off Date
------------ ------------ ------------
Mortgage Loan Group
1.................... 267 $163,711,906 38.62%
Mortgage Loan Group
2.................... 233 131,601,998 31.05
Mortgage Loan Group
3.................... 201 116,681,785 27.53
Mortgage Loan Group
4.................... 33 11,884,126 2.80
--- ------------ ------
Total......... 734 $423,879,815 100.00%
=== ============ =======
County Concentrations
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
County Concentration Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Los Angeles .. 435 $230,754,130 72.04%
Orange ....... 40 35,047,301 10.94
Riverside .... 7 2,820,949 0.88
San Bernardino 12 11,529,326 3.60
San Diego .... 49 39,372,984 12.29
Ventura ...... 1 800,086 0.25
--- ------------ ------
Total 544 $320,324,776 100.00%
=== ============ ======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
County Concentration Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Los Angeles.......... 120 $57,342,517 55.37%
Orange............... 31 14,183,576 13.70
Riverside............ 3 1,219,002 1.18
San Bernardino....... 12 11,095,451 10.71
San Diego............ 23 18,337,111 17.71
Ventura.............. 1 1,377,382 1.33
--- ----------- ------
Total....... 190 $103,555,039 100.00%
=== ============ ======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
County Concentration Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Los Angeles.......... 555 $288,096,647 67.98%
Orange............... 71 49,230,877 11.61
Riverside............ 10 4,039,951 0.95
San Bernardino....... 24 22,624,777 5.34
San Diego............ 72 57,710,095 13.61
Ventura.............. 2 2,177,468 0.51
--- ---------- ----
Total....... 734 $423,879,815 100.00%
=== ============ ======
Zip Code (Over 2%) Concentrations
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Zip Code Cut-Off Date Cut-Off Date Cut-Off Date
-------- ------------ ------------ ------------
90006 - Los Angeles..... 0 $0 0.00%
90019 - Los Angeles..... 15 7,592,764 2.37
90027 - Los Angeles..... 14 9,558,183 2.98
90028 - Los Angeles..... 8 10,765,763 3.36
90068 - Los Angeles..... 0 0 0.00
90706 - Bellflower...... 9 13,845,799 4.32
91355 - Valencia........ 0 0 0.00
91401 - Van Nuys........ 12 6,594,218 2.06
91763 - Montclair....... 0 0 0.00
92040 - Lakeside........ 2 6,561,378 2.05
92117 - San Diego....... 3 11,211,057 3.50
All Other Zip Codes..... 481 254,195,614 79.36
--- ----------- -----
Total.......... 544 $320,324,776 100.00%
=== ============ ======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Zip Code Cut-Off Date Cut-Off Date Cut-Off Date
-------- ----------- ------------ ------------
90006 - Los Angeles..... 2 $3,990,173 3.85%
90019 - Los Angeles..... 0 0 0.00
90027 - Los Angeles..... 0 0 0.00
90028 - Los Angeles..... 0 0 0.00
90068 - Los Angeles..... 1 10,643,101 10.28
90706 - Bellflower...... 0 0 0.00
91355 - Valencia........ 1 4,275,526 4.13
91401 - Van Nuys........ 0 0 0.00
91763 - Montclair....... 1 4,203,699 4.06
92040 - Lakeside........ 0 0 0.00
92117 - San Diego....... 0 0 0.00
All Other Zip Codes..... 185 80,442,540 77.68
--- ---------- -----
Total.......... 190 $103,555,039 100.00%
=== ============ ======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Zip Code Cut-Off Date Cut-Off Date Cut-Off Date
-------- ------------ ------------ ------------
90006 - Los Angeles.... 0 $0 0.00%
90019 - Los Angeles.... 0 0 0.00
90027 - Los Angeles.... 15 9,776,053 2.31
90028 - Los Angeles.... 9 11,400,800 2.69
90068 - Los Angeles.... 3 11,182,021 2.64
90706 - Bellflower..... 9 13,845,799 3.27
91355 - Valencia....... 0 0 0.00
91401 - Van Nuys....... 0 0 0.00
91763 - Montclair...... 0 0 0.00
92040 - Lakeside....... 0 0 0.00
92117 - San Diego...... 4 11,946,238 2.82
All Other Zip Codes.... 694 365,728,904 86.27
--- ----------- -----
Total......... 734 $423,879,815 100.00%
=== ============ =======
Distribution of Original Principal Balances
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
--------------------------- ----------- ----------- ------------
$ 50,000 or less............. 2 $50,583 0.02%
$ 50,001 to $ 100,000...... 16 909,430 0.28
$ 100,001 to $ 200,000...... 46 6,335,015 1.98
$ 200,001 to $ 400,000...... 210 59,934,978 18.71
$ 400,001 to $ 600,000...... 119 55,793,609 17.42
$ 600,001 to $ 800,000...... 55 36,229,338 11.31
$ 800,001 to $ 1,000,000...... 29 25,120,593 7.84
$ 1,000,001 to $ 2,000,000...... 47 63,311,123 19.76
$ 2,000,001 to $ 3,000,000...... 10 25,196,371 7.87
$ 3,000,001 to $ 4,000,000...... 4 11,554,423 3.61
$ 4,000,001 to $ 5,000,000...... 1 4,716,516 1.47
$ 5,000,001 to $10,000,000...... 4 21,038,437 6.57
$10,000,001 or more............. 1 10,134,360 3.16
--- ---------- ----
Total.................. 544 $320,324,776 100.00%
=== ============ =======
Average Original Principal
Balance is..................... $652,928
Commercial
----------
Percentage of
Southern
California
Aggregate Commercial
Scheduled by Aggregate
Number of Principal Scheduled
Mortgage Balance Principal Balance
Loans As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
--------------------------- ------------ ------------ ------------
$ 50,000 or less............. 0 $0 0.00%
$ 50,001 to $ 100,000...... 8 514,916 0.50
$ 100,001 to $ 200,000...... 38 5,139,959 4.96
$ 200,001 to $ 400,000...... 51 12,253,343 11.83
$ 400,001 to $ 600,000...... 40 18,562,312 17.93
$ 600,001 to $ 800,000...... 14 8,780,905 8.48
$ 800,001 to $ 1,000,000...... 16 13,946,606 13.47
$ 1,000,001 to $ 2,000,000...... 16 17,156,734 16.57
$ 2,000,001 to $ 3,000,000...... 1 1,981,828 1.91
$ 3,000,001 to $ 4,000,000...... 1 1,465,279 1.41
$ 4,000,001 to $ 5,000,000...... 3 12,263,369 11.84
$ 5,000,001 to $10,000,000...... 1 846,687 0.82
$10,000,001 or more............. 1 10,643,101 10.28
--- ---------- -----
Total.................. 190 $103,555,039 100.00%
=== ============ ======
Average Original Principal
Balance is.... $647,073
Total
-----
Percentage of
Total Southern
Aggregate California
Scheduled by Aggregate
Number of Principal Scheduled
Mortgage Balance Principal Balance
Loans As of As of As of
Original Principal Balances Cut-Off Date Cut-Off Date Cut-Off Date
--------------------------- ------------ ------------ ------------
$ 50,000 or less............ 2 $50,583 0.01%
$ 50,001 to $ 100,000..... 24 1,424,346 0.34
$ 100,001 to $ 200,000..... 84 11,474,974 2.71
$ 200,001 to $ 400,000..... 261 72,188,321 17.03
$ 400,001 to $ 600,000..... 159 74,355,920 17.54
$ 600,001 to $ 800,000..... 69 45,010,243 10.62
$ 800,001 to $ 1,000,000..... 45 39,067,199 9.22
$ 1,000,001 to $ 2,000,000..... 63 80,467,857 18.98
$ 2,000,001 to $ 3,000,000..... 11 27,178,199 6.41
$ 3,000,001 to $ 4,000,000..... 5 13,019,702 3.07
$ 4,000,001 to $ 5,000,000..... 4 16,979,885 4.01
$ 5,000,001 to $10,000,000..... 5 21,885,124 5.16
$10,000,001 or more............ 2 20,777,461 4.90
- ---------- ----
Total................. 734 $423,879,815 100.00%
=== ============ =======
Average Original Principal
Balance is... ................. $651,412
Distribution of Scheduled Principal Balances as of the Cut-Off Date
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Principal Balance Principal Balance
Principal Balances Loans As of As of As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
$ 50,000 or less........... 11 $445,444 0.14%
$ 50,001 to $ 100,000..... 17 1,339,597 0.42
$ 100,001 to $ 200,000..... 54 8,557,771 2.67
$ 200,001 to $ 400,000..... 201 59,995,847 18.73
$ 400,001 to $ 600,000..... 113 54,140,861 16.90
$ 600,001 to $ 800,000..... 58 39,449,107 12.32
$ 800,001 to $ 1,000,000.... 26 23,342,356 7.29
$ 1,000,001 to $ 2,000,000.... 45 62,375,078 19.47
$ 2,000,001 to $ 3,000,000.... 10 25,322,099 7.91
$ 3,000,001 to $ 4,000,000.... 4 12,858,893 4.01
$ 4,000,001 to $ 5,000,000.... 2 9,662,823 3.02
$ 5,000,001 to $10,000,000.... 2 12,700,540 3.96
$10,000,001 or more........... 1 10,134,360 3.16
--- ---------- ----
Total................ 544 $320,324,776 100.00%
=== ============ ======
Average Scheduled Principal
Balance as of the Cut-Off
Date is....................... $588,832
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Principal Balance Principal Balance
Principal Balances Loans As of As of As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
$ 50,000 or less........... 3 $90,857 0.09%
$ 50,001 to $ 100,000..... 14 1,099,641 1.06
$ 100,001 to $ 200,000..... 40 6,024,558 5.82
$ 200,001 to $ 400,000..... 45 12,248,511 11.83
$ 400,001 to $ 600,000..... 41 20,213,802 19.51
$ 600,001 to $ 800,000..... 13 9,087,484 8.78
$ 800,001 to $ 1,000,000.... 17 15,194,327 14.67
$ 1,000,001 to $ 2,000,000.... 13 16,689,390 16.12
$ 2,000,001 to $ 3,000,000.... 0 0 0
$ 3,000,001 to $ 4,000,000.... 1 3,784,143 3.65
$ 4,000,001 to $ 5,000,000.... 2 8,479,225 8.19
$ 5,000,001 to $10,000,000.... 0 0 0
$10,000,001 or more........... 1 10,643,101 10.28
--- ----------- ------
Total................ 190 $103,555,039 100.00%
=== ============ ======
Average Scheduled Principal
Balance as of the Cut-Off
Date is....................... $545,027
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Scheduled Mortgage Principal Balance Principal Balance
Principal Balances Loans As of As of As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
$ 50,000 or less............ 14 $536,301 0.13%
$ 50,001 to $ 100,000...... 31 2,439,238 0.58
$ 100,001 to $ 200,000...... 94 14,582,329 3.44
$ 200,001 to $ 400,000...... 246 72,244,358 17.04
$ 400,001 to $ 600,000...... 154 74,354,663 17.54
$ 600,001 to $ 800,000...... 71 48,536,591 11.45
$ 800,001 to $ 1,000,000..... 43 38,536,683 9.09
$ 1,000,001 to $ 2,000,000..... 58 79,064,468 18.65
$ 2,000,001 to $ 3,000,000..... 10 25,322,099 5.97
$ 3,000,001 to $ 4,000,000..... 5 16,643,036 3.93
$ 4,000,001 to $ 5,000,000..... 4 18,142,048 4.28
$ 5,000,001 to $10,000,000..... 2 12,700,540 3.00
$10,000,001 or more............ 2 20,777,461 4.90
--- ----------- ------
Total................. 734 $423,879,815 100.00%
=== ============ ======
Average Scheduled Principal
Balance as of the Cut-Off
Date is........................ $577,493
Original Terms to Stated Maturity
of Mortgage Loans in Southern California*
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Principal Balance Principal Balance
of Years to Loans As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
5 years or less........... 9 $3,493,814 1.09%
5+ to 7 years............ 6 12,666,748 3.95
7+ to 10 years............ 39 26,250,667 8.20
10+ to 15 years............ 145 101,861,199 31.80
15+ to 20 years............ 6 3,059,328 0.96
20+ to 30 years............ 335 172,524,882 53.85
30 years or more........... 4 468,138 0.15
--- ---------- ------
Total............. 544 $320,324,776 100.00%
=== ============ ======
Weighted Average Original
Term to Stated Maturity is.. 22.1 years
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Principal Balance Principal Balance
of Years to Loans As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
5 years or less.... 6 $1,522,480 1.47%
5+ to 7 years..... 9 4,384,144 4.23
7+ to 10 years..... 63 42,410,487 40.95
10+ to 15 years..... 28 16,153,495 15.60
15+ to 20 years..... 6 2,811,664 2.72
20+ to 30 years..... 77 35,753,643 34.53
30 years or more.... 1 519,126 0.50
--- ----------- -------
Total...... 190 $103,555,039 100.00%
=== ============ ======
Weighted Average Original
Term to Stated Maturity is.. 17.5 years
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Original Number Mortgage Principal Balance Principal Balance
of Years to Loans As of As of As of
Stated Maturity Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
5 years or less........... 15 $5,016,294 1.18%
5+ to 7 years............ 15 17,050,892 4.02
7+ to 10 years............ 102 68,661,154 16.20
10+ to 15 years............ 173 118,014,694 27.84
15+ to 20 years............ 12 5,870,992 1.39
20+ to 30 years............ 412 208,278,525 49.14
30 years or more........... 5 987,264 0.23
--- ----------- -------
Total............. 734 $423,879,815 100.00%
=== ============ ======
Weighted Average Original
Term to Stated Maturity is. 21.0 years
- ----------
* Without giving effect to any modification or extension of maturity date.
Remaining Terms to Stated Maturity of
Balloon Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Balloon Mortgage
Aggregate Loans in Southern
Number of Scheduled California Multifamily
Mortgage Principal Balance by Aggregate Scheduled
Years Remaining Loans As of As of Principal Balance As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ -----------------------
1 year or less...... 1 $291,615 0.37%
1+ to 2 years...... 3 11,169,873 14.18
2+ to 3 years...... 1 4,946,307 6.28
3+ to 4 years...... 0 0 0.00
4+ to 5 years*..... 2 4,749,076 6.03
5+ to 10 years...... 25 25,013,681 31.74
10+ to 15 years...... 33 30,458,193 38.65
15+ to 20 years...... 3 1,893,094 2.40
20+ to 30 years...... 1 273,972 0.35
-- ---------- ------
Total........... 69 $78,795,811 100.00%
== =========== ======
Weighted Average
Remaining Term to
Stated Maturity is.. 8.4 years
Commercial
----------
Percentage of
Balloon Mortgage
Aggregate Loans in Southern
Number of Scheduled California Commercial
Mortgage Principal Balance by Aggregate Scheduled
Years Remaining Loans As of As of Principal Balance As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
------------------ ------------ ------------ ------------
1 year or less....... 6 $1,951,020 3.04%
1+ to 2 years....... 2 820,535 1.28
2+ to 3 years....... 11 10,201,415 15.87
3+ to 4 years....... 2 11,234,018 17.48
4+ to 5 years*...... 25 8,767,079 13.64
5+ to 10 years....... 46 26,440,058 41.12
10+ to 15 years....... 3 3,827,313 5.95
15+ to 20 years....... 1 1,040,780 1.62
20+ to 30 years....... 0 0 0.00
- - ----
Total........ 96 $64,282,218 100.00%
== =========== ======
Weighted Average
Remaining Term to
Stated Maturity is... 5.6 years
Total
-----
Percentage of
Balloon Mortgage
Aggregate Loans in Total
Number of Scheduled Southern California
Mortgage Principal Balance by Aggregate Scheduled
Years Remaining Loans As of As of Principal Balance As of
as of Cut-Off Date Cut-Off Date Cut-Off Date Cut-Off Date
- ------------------ ------------ ------------ ------------
1 year or less....... 7 $2,242,635 1.57%
1+ to 2 years....... 5 11,990,408 8.38
2+ to 3 years....... 12 15,147,722 10.59
3+ to 4 years....... 2 11,234,018 7.85
4+ to 5 years*...... 27 13,516,155 9.45
5+ to 10 years....... 71 51,453,739 35.96
10+ to 15 years....... 36 34,285,506 23.96
15+ to 20 years....... 4 2,933,874 2.05
20+ to 30 years....... 1 273,972 0.19
- ------- ----
Total........ 165 $143,078,029 100.00%
=== ============ ======
Weighted Average
Remaining Term to
Stated Maturity is.... 7.2 years
- ----------
* Includes Matured Performing interest only Balloon Mortgage Loans.
Remaining Terms to Stated Maturity of
Fully Amortizing Mortgage Loans in Southern California
Multifamily
-----------
Aggregate Percentage of Fully
Scheduled Amortizing Mortgage Loans
Number of Principal in Southern California
Years Remaining Mortgage Loans Balance Multifamily by Aggregate
as of Cut-Off As of Cut-Off As of Scheduled Principal Balance
Date* Date Cut-Off Date As of Cut-Off Date
- -------------- ------------ ------------ ------------------
5 years or
less............. 1 $52,563 0.02%
5+ to 10
years............ 7 508,080 0.21
10+ to 15
years............ 15 2,126,548 0.88
15+ to 20
years............ 12 1,460,337 0.60
20+ to 30
years............ 440 237,381,437 98.29
--- ----------- -----
Total..... 475 $241,528,965 100.00%
=== ============ ======
Weighted Average
Remaining Term
to Stated
Maturity is........ 25.8 years
Commercial
----------
Percentage of Fully
Aggregate Amortizing Mortgage Loans
Number of Scheduled in Southern California
Years Remaining Mortgage Principal Balance Commercial by Aggregate
as of Cut-Off Loans As of As of Scheduled Principal Balance
Date* Cut-Off Date Cut-Off Date As of Cut-Off Date
- ----- ------------ ------------ ------------------
5 years or
less........... 5 $581,381 1.48%
5+ to 10
years.......... 7 1,356,930 3.46
10+ to 15
years.......... 2 1,018,078 2.59
15+ to 20
years.......... 32 12,128,617 30.88
20+ to 30
years.......... 48 24,187,815 61.59
-- ---------- -----
Total... 94 $39,272,821 100.00%
== =========== ======
Weighted Average
Remaining Term
to Stated
Maturity is...... 21.0 years
Total
-----
Percentage of Fully
Aggregate Amortizing Mortgage Loans
Number of Scheduled in Southern California
Years Remaining Mortgage Principal Balance by Aggregate Scheduled
as of Cut-Off Loans As of As of Principal Balance
Date* Cut-Off Date Cut-Off Date As of Cut-Off Date
- ----- ------------ ------------ ------------------
5 years or
less........... 6 $633,944 0.23%
5+ to 10
years.......... 14 1,865,010 0.66
10+ to 15
years.......... 17 3,144,626 1.12
15+ to 20
years.......... 44 13,588,954 4.84
20+ to 30
years.......... 488 261,569,252 93.15
--- ----------- -----
Total... 569 $280,801,786 100.00%
=== ============ ======
Weighted Average
Remaining Term
to Stated
Maturity is....... 25.1 years
- ----------
* Includes Fully Amortizing Matured Performing Mortgage Loans and Balloon
Mortgage Loans secured by Mortgaged Properties in Los Angeles County, California
that will be extended to be fully amortizing.
Seasoning of Mortgage Loans
in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Number of Years Mortgage Principal Balance Principal Balance
as of Cut-Off Loans As of As of As of
Date ---------- Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
1 year or less....... 4 $4,694,038 1.47%
1+ to 2 years....... 18 8,176,199 2.55
2+ to 3 years....... 164 112,452,810 35.11
3+ to 4 years....... 41 25,617,919 8.00
4+ to 5 years....... 119 62,714,404 19.58
5+ to 6 years....... 81 51,969,196 16.22
6+ to 7 years....... 21 14,199,224 4.43
7+ to 8 years....... 31 28,010,811 8.74
8+ to 9 years....... 20 5,363,115 1.67
9+ to 10 years....... 11 3,070,254 0.96
Over 10 years........ 34 4,056,806 1.27
-- --------- ----
Total....... 544 $320,324,776 100.00%
=== ============ ======
Weighted Average
Seasoning is......... 4.40 years
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Number of Years Mortgage Principal Balance Principal Balance
as of Cut-Off Loans As of As of As of
Date --------- Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
1 year or less....... 4 $1,902,534 1.84%
1+ to 2 years......... 3 1,865,790 1.80
2+ to 3 years......... 0 0 0.00
3+ to 4 years......... 2 2,284,753 2.21
4+ to 5 years......... 29 12,997,080 12.55
5+ to 6 years......... 36 22,477,328 21.71
6+ to 7 years......... 23 25,620,672 24.73
7+ to 8 years......... 15 10,538,159 10.18
8+ to 9 years......... 19 7,137,363 6.89
9+ to 10 years......... 10 1,783,855 1.72
Over 10 years.......... 49 16,947,505 16.37
-- ---------- -----
Total......... 190 $103,555,039 100.00%
=== ============ ======
Weighted Average
Seasoning is........... 6.95 years
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Number of Years Mortgage Principal Balance Principal Balance
as of Cut-Off Loans As of As of As of
Date ---------- Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
1 year or less......... 8 $6,596,572 1.56%
1+ to 2 years......... 21 10,041,989 2.37
2+ to 3 years......... 164 112,452,810 26.53
3+ to 4 years......... 43 27,902,672 6.58
4+ to 5 years......... 148 75,711,484 17.86
5+ to 6 years......... 117 74,446,524 17.56
6+ to 7 years......... 44 39,819,896 9.39
7+ to 8 years......... 46 38,548,970 9.09
8+ to 9 years......... 39 12,500,478 2.95
9+ to 10 years......... 21 4,854,109 1.15
Over 10 years.......... 83 21,004,311 4.96
-- ---------- ----
Total......... 734 $423,879,815 100.00%
=== ============ ======
Weighted Average
Seasoning is.......... 5.02 years
Mortgage Interest Rates as of Cut-Off Date
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Mortgage Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
----------------------- ------------ ------------ ------------
4.00% to 4.99%..... 0 $0 0.00%
5.00% to 5.99%..... 0 0 0.00
6.00% to 6.99%..... 69 65,144,871 20.34
7.00% to 7.99%..... 126 70,007,005 21.86
8.00% to 8.99%..... 149 77,720,859 24.26
9.00% to 9.99%..... 182 97,814,953 30.53
10.00% to 10.99%..... 9 8,098,313 2.53
11.00% to 11.99%..... 4 857,746 0.27
12.00% to 12.99%..... 3 569,509 0.18
13.00% to 13.99%..... 2 111,520 0.03
- ------- ----
Total...... 544 $320,324,776 100.00%
=== ============ ======
Weighted Average
Mortgage Interest
Rate is ........... 8.03%
----
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Mortgage Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
----------------------- ------------ ------------ ------------
4.00% to 4.99%.......... 1 $171,398 0.17%
5.00% to 5.99%.......... 1 187,390 0.18
6.00% to 6.99%.......... 50 44,763,180 43.23
7.00% to 7.99%.......... 78 33,045,653 31.91
8.00% to 8.99%.......... 33 13,653,158 13.18
9.00% to 9.99%.......... 12 5,865,284 5.66
10.00% to 10.99%.......... 6 2,836,056 2.74
11.00% to 11.99%.......... 6 2,569,318 2.48
12.00% to 12.99%.......... 2 323,084 0.31
13.00% to 13.99%.......... 1 140,518 0.14
- ------- ----
Total..... 190 $103,555,039 100.00%
=== ============ ======
Weighted Average
Mortgage Interest
Rate is................... 7.37%
----
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Mortgage Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
----------------------- ------------ ------------ ------------
4.00% to 4.99%........ 1 $171,398 0.04%
5.00% to 5.99%........ 1 187,390 0.04
6.00% to 6.99%........ 119 109,908,051 25.93
7.00% to 7.99%........ 204 103,052,658 24.31
8.00% to 8.99%........ 182 91,374,017 21.56
9.00% to 9.99%........ 194 103,680,237 24.46
10.00% to 10.99%........ 15 10,934,369 2.58
11.00% to 11.99%........ 10 3,427,064 0.81
12.00% to 12.99%........ 5 892,593 0.21
13.00% to 13.99%........ 3 252,038 0.06
- ------- ----
Total............ 734 $423,879,815 100.00%
=== ============ ======
Weighted Average Mortgage
Interest Rate is.........
7.87%
Loan-to-Value Ratios at Origination
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loan-to-Value Loans As of As of As of
Ratios at Origination* Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------- ------------ ------------ ------------
50.00% or less .... 68 $ 28,163,157 8.79%
50.01% to 60.00% . 107 61,688,438 19.26
60.01% to 70.00% . 205 111,634,609 34.85
70.01% to 80.00% . 155 114,450,764 35.73
80.01% to 90.00% . 7 4,236,821 1.32
90.01% to 100.00% . 1 128,515 0.04
100.01% or more .... 0 0 0.00
Unknown ............ 1 22,472 0.01
---- ------------ ------
Total ..... 544 $320,324,776 100.00%
==== ============ ======
Weighted Average
Loan-to-Value at
Origination is..... 65.40%**
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loan-to-Value Loans As of As of As of
Ratios at Origination* Cut-Off Date Cut-Off Date Cut-Off Date
---------------------- ------------ ------------ ------------
50.00% or less........... 24 $8,986,562 8.68%
50.01% to 60.00%........ 33 11,132,894 10.75
60.01% to 70.00%........ 71 35,006,653 33.80
70.01% to 80.00%........ 54 43,792,866 42.29
80.01% to 90.00%........ 2 2,123,779 2.05
90.01% to 100.00%........ 3 1,276,109 1.23
100.01% or more........... 1 947,944 0.92
Unknown................... 2 288,232 0.28
- ------- ----
Total............ 190 $103,555,039 100.00%
=== ============ =======
Weighted Average
Loan-to-Value at
Origination is............ 67.50%**
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loan-to-Value Loans As of As of As of
Ratios at Origination* Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
50.00% or less .... 92 $ 37,149,719 8.76%
50.01% to 60.00% . 140 72,821,332 17.18
60.01% to 70.00% . 276 146,641,262 34.60
70.01% to 80.00% . 209 158,243,630 37.34
80.01% to 90.00% . 9 6,360,600 1.50
90.01% to 100.00% . 4 1,404,624 0.33
100.01% or more .... 1 947,944 0.22
Unknown ............ 3 310,704 0.07
- ------- ----
Total ..... 734 $423,879,815 100.00%
=== ============ ======
Weighted Average
Loan-to-Value at
Origination is..... 65.91%**
- ----------
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Loan-to-Value Ratios.
Range of Ratios of Current Loan Balance-to-Original Value
as of Cut-Off Date in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Ratios of Current Loan Loans As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ------------ ------------ ------------
50.00% or less............ 96 $39,709,554 12.40%
50.01% to 60.00%......... 140 74,265,289 23.18
60.01% to 70.00%......... 213 128,283,039 40.05
70.01% to 80.00%......... 87 64,131,609 20.02
80.01% to 90.00%......... 4 3,475,639 1.09
90.01% to 100.00%......... 2 302,813 0.09
100.01% or more............ 0 0 0.00
Unknown.................... 2 10,156,833 3.17
- ---------- ----
Total............. 544 $320,324,776 100.00%
=== ============ ======
Weighted Average Current
Loan Balance-to-Original
Value is.................. 62.11%**
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Ratios of Current Loan Loans As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ----------- ------------ ------------
50.00% or less............. 57 $19,574,542 18.90%
50.01% to 60.00%.......... 53 23,250,618 22.45
60.01% to 70.00%.......... 59 39,400,105 38.05
70.01% to 80.00%.......... 15 17,321,727 16.73
80.01% to 90.00%.......... 1 1,981,828 1.91
90.01% to 100.00%.......... 1 227,955 0.22
100.01% or more............. 2 1,510,032 1.46
Unknown..................... 2 288,232 0.28
- ------- ----
Total.............. 190 $103,555,039 100.00%
=== ============ =======
Weighted Average Current
Loan Balance-to-Original
Value is.................... 60.42%**
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Ratios of Current Loan Loans As of As of As of
Balance-to-Original Value* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------------- ------------ ------------ ------------
50.00% or less.......... 153 $59,284,096 13.99%
50.01% to 60.00%....... 193 97,515,907 23.01
60.01% to 70.00%....... 272 167,683,144 39.54
70.01% to 80.00%....... 102 81,453,336 19.22
80.01% to 90.00%....... 5 5,457,467 1.29
90.01% to 100.00%....... 3 530,768 0.13
100.01% or more.......... 2 1,510,032 0.36
Unknown.................. 4 10,445,065 2.46
- ---------- ----
Total........... 734 $423,879,815 100.00%
=== ============ =======
Weighted Average
Current Loan
Balance-to-Original
Value is................. 61.69%**
* In certain cases, information as to the value of the Mortgaged Property was
not available in the files for the applicable Mortgage Loan. In such cases,
efforts were made to collect such information from other sources.
** Excludes Mortgage Loans with unknown Current Loan Balance-to-Original Value
Ratios.
Lien Positions of Mortgage Loans
in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
First Lien**......... 510 $310,181,873 96.83%
Second Lien.......... 33 10,114,792 3.16
Third Lien........... 0 0 0.00
Not Available........ 1 28,111 0.01
--- ------------ ------
Total....... 544 $320,324,776 100.00%
=== ============ ======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
First Lien**......... 176 $97,176,855 93.84%
Second Lien.......... 13 6,234,133 6.02
Third Lien........... 1 144,051 0.14
Not Available........ 0 0 0.00
- - ----
Total....... 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Lien Position* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------- ------------ ------------ ------------
First Lien** ....... 686 $407,358,728 96.10%
Second Lien ........ 46 16,348,925 3.86
Third Lien ......... 1 144,051 0.03
Not Available ...... 1 28,111 0.01
------ ------------ ------
Total ..... 734 $423,879,815 100.00%
====== ============ ======
- ----------
* In certain cases, a title insurance policy or attorney's title opinion
was not contained in the applicable Mortgage Loan file. In such cases,
efforts were made to determine the lien position of such Mortgage Loan
from other sources in the Mortgage Loan file or elsewhere.
** Includes second and third liens with respect to which all senior liens
are included in the Mortgage Pool.
Property Type
of Mortgaged Properties in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Type of Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ ------------
Industrial/Warehouse........... 0 $0 0.00%
Lodging....................... 0 0 0.00
Mini Warehouse................ 0 0 0.00
Mixed Use Building............ 0 0 0.00
Mobile Home Park.............. 0 0 0.00
Multifamily (5-36 Units)...... 505 239,513,148 74.77
Multifamily (37-200 Units).... 29 69,731,769 21.77
Multifamily (Over 200 Units).. 1 10,134,360 3.16
Multifamily - Other........... 9 945,499 0.30
Hospital/Nursing Home......... 0 0 0.00
School/Religious Building..... 0 0 0.00
Office........................ 0 0 0.00
Retail........................ 0 0 0.00
Other Commercial.............. 0 0 0.00
Not Available................. 0 0 0.00
--- ------------ ------
Total................ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Type of Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ ------------
Industrial/Warehouse......... 30 $13,766,459 13.29%
Lodging...................... 1 120,387 0.12
Mini Warehouse............... 1 580,710 0.56
Mixed Use Building........... 29 15,314,534 14.79
Mobile Home Park............. 3 1,329,077 1.28
Multifamily (5-36 Units)..... 0 0 0.00
Multifamily (37-200 Units)... 0 0 0.00
Multifamily (Over 200 Units). 0 0 0.00
Multifamily - Other.......... 0 0 0.00
Hospital/Nursing Home........ 2 581,703 0.56
School/Religious Building.... 2 613,422 0.59
Office....................... 56 32,274,924 31.17
Retail....................... 50 33,888,027 32.72
Other Commercial............. 13 4,448,896 4.30
Not Available................ 3 636,900 0.62
- ------- ----
Total............... 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Type of Mortgaged Properties Cut-Off Date Cut-Off Date Cut-Off Date
- ---------------------------- ------------ ------------ ------------
Industrial/Warehouse.......... 30 $13,766,459 3.25%
Lodging....................... 1 120,387 0.03
Mini Warehouse................ 1 580,710 0.14
Mixed Use Building............ 29 15,314,534 3.61
Mobile Home Park.............. 3 1,329,077 0.31
Multifamily (5-36 Units)...... 505 239,513,148 56.52
Multifamily (37-200 Units).... 29 69,731,769 16.45
Multifamily (Over 200 Units).. 1 10,134,360 2.39
Multifamily - Other........... 9 945,499 0.22
Hospital/Nursing Home......... 2 581,703 0.14
School/Religious Building..... 2 613,422 0.14
Office........................ 56 32,274,924 7.61
Retail........................ 50 33,888,027 7.99
Other Commercial.............. 13 4,448,896 1.05
Not Available................. 3 636,900 0.15
- ------- ----
Total................ 734 $423,879,815 100.00%
=== ============ =======
Monthly Payments Delinquent as of the Cut-Off Date
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ----------- ------------ ------------
None (0-29 days past due)... 543 $317,258,674 99.04%
One Payment (30-59 days
past due)................... 1 3,066,102 0.96
Total.............. 544 320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
None (0-29 days past due)... 189 $92,911,938 89.72%
One Payment (30-59 days
past due)................... 1 10,643,101 10.28
- ---------- -----
Total.............. 190 $103,555,039 100.00%
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Monthly Payments Delinquent Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------------- ------------ ------------ ------------
None (0-29 days past due)... 732 $410,170,612 96.77%
One Payment (30-59 days
past due) 2 13,709,203 3.23
- --------- - ---------- ----
Total.............. 734 $423,879,815 100.00%
<TABLE>
<CAPTION>
Delinquency History for the Past Twelve Months as of the Cut-Off Date
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in
last 12 months ............................ 449 $260,011,555 81.17%
One Payment Delinquent (30-59 days) in
last 12 months
1 time 30-day delinquent
in last 12 months ......................... 44 26,059,147 8.14
2 times 30-day delinquent in last
12 months ................................. 9 3,634,795 1.13
More than 2 times 30-day delinquent
in last 12 months ......................... 12 11,020,392 3.44
Two Payments Delinquent (60-89 days) in
last 12 months**
1 time 60-day delinquent in last 12
months .................................. 21 12,168,410 3.80
2 times 60-day delinquent in last
12 months ............................... 1 1,603,324 0.50
More than 2 times 60-day delinquent
in last 12 months ......................... 0 0 0.00
Three or more Payments Delinquent (90 days+)
in last 12 months**
1 time 90-day
delinquent in last 12 months .............. 5 3,797,361 1.19
2 times 90-day delinquent in last
12 months ................................. 2 1,089,233 0.34
More than 2 times 90-day delinquent
in last 12 months ......................... 1 940,559 0.29
---- ------------ ------
Total .............................. 544 $320,324,776 100.00%
==== ============ ======
</TABLE>
<TABLE>
<CAPTION>
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in
last 12 months ............................. 158 $75,736,993 73.14%
One Payment Delinquent (30-59 days) in
last 12 months
1 time 30-day delinquent
in last 12 months .......................... 19 20,673,942 19.96
2 times 30-day delinquent in last
12 months .................................. 2 423,901 0.41
More than 2 times 30-day delinquent
in last 12 months .......................... 1 1,377,382 1.33
Two Payments Delinquent (60-89 days) in
last 12 months**
1 time 60-day delinquent in last 12
months ................................... 4 1,127,451 1.09
2 times 60-day delinquent in last
12 months .................................. 0 0 0.00
More than 2 times 60-day delinquent
in last 12 months .......................... 1 476,375 0.46
Three or more Payments Delinquent (90 days+)
in last 12 months** 1 time 90-day
delinquent in last 12 months ............... 3 2,784,189 2.69
2 times 90-day delinquent in last
12 months .................................. 2 954,806 0.92
More than 2 times 90-day delinquent
in last 12 months .......................... 0 0 0.00
--- ------------- ----
190 $103,555,039 100.00%
Total ............................... === ============ =======
</TABLE>
<TABLE>
<CAPTION>
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Delinquency History* Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
No 30 Day or Greater Delinquency in
last 12 months ............................... 607 $335,748,548 79.21%
One Payment Delinquent (30-59 days) in
last 12 months
1 time 30-day delinquent
in last 12 months ............................ 63 46,733,089 11.03
2 times 30-day delinquent in last
12 months .................................... 11 4,058,696 0.96
More than 2 times 30-day delinquent
in last 12 months ............................ 13 12,397,774 2.92
Two Payments Delinquent (60-89 days) in
last 12 months**
1 time 60-day delinquent in last 12
months ..................................... 25 13,295,861 3.14
2 times 60-day delinquent in last
12 months .................................... 1 1,603,324 0.38
More than 2 times 60-day delinquent
in last 12 months ............................ 1 476,375 0.11
Three or more Payments Delinquent (90 days+)
in last 12 months** 1 time 90-day
delinquent in last 12 months ................. 8 6,581,550 1.55
2 times 90-day delinquent in last
12 months .................................... 4 2,044,039 0.48
More than 2 times 90-day delinquent
in last 12 months ............................ 1 940,559 0.22
---- ------------ -------
734 $423,879,815 100.00%
Total ................................. === ============ =======
</TABLE>
- ----------
* Substantially all of the Mortgage Loans contain a delinquency history of at
least twelve months. For Mortgage Loans with a delinquency history less
than twelve months, it was assumed that the only delinquencies were those
occurring in the period for which information was available. Delinquencies
for Mortgage Loans for any period prior to their modifications generally
are not reflected in the table. Approximately 5.53% of the Southern
California Mortgage Loans, based on the Aggregate Scheduled Principal
Balance as of the Cut-Off Date, did not have twelve months of delinquency
history and were not modified.
** Approximately 18.71% and 64.60% of the multifamily Mortgage Loans included
in Two and Three Payments Delinquent, respectively, have been modified
since the delinquency; approximately 66.02% and 0.00% of the commercial
Mortgage Loans included in Two and Three Payments Delinquent, respectively
have been modified since the delinquency; and approximately 23.64% and
39.35% of the total Southern California Mortgage Loans included in Two and
Three Payments Delinquent have been modified since the delinquency.
Margins of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 22 $9,515,551 2.97%
No Stated Margin............ 1 184,941 0.06
0.01% to 0.99%.............. 0 0 0.00
1.00% to 1.99%.............. 0 0 0.00
2.00% to 2.99%.............. 443 289,810,382 90.48
3.00% to 3.99%.............. 68 19,971,933 6.23
4.00% or more............... 10 841,969 0.26
-- ------- ----
Total.............. 544 $320,324,776 100.00%
=== ============ =======
Weighted Average Margin is.. 2.68%*
Commercial
-----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 21 $6,460,759 6.24%
No Stated Margin............ 0 0 0.00
0.01% to 0.99%.............. 2 653,872 0.63
1.00% to 1.99%.............. 3 751,072 0.73
2.00% to 2.99%.............. 89 67,855,074 65.52
3.00% to 3.99%.............. 53 21,350,504 20.62
4.00% or more............... 22 6,483,758 6.26
-- --------- ----
Total.............. 190 $103,555,039 100.00%
=== ============ =======
Weighted Average Margin is.. 2.79%*
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Margins Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 43 $15,976,310 3.77%
No Stated Margin............ 1 184,941 0.04
0.01% to 0.99%.............. 2 653,872 0.15
1.00% to 1.99%.............. 3 751,072 0.18
2.00% to 2.99%.............. 532 357,665,456 84.38
3.00% to 3.99%.............. 121 41,322,437 9.75
4.00% or more............... 32 7,325,727 1.73
-- --------- ----
Total.............. 734 $423,879,815 100.00%
=== ============ =======
Weighted Average Margin is.. 2.70%*
- ----------
* Excludes Fixed Rate Mortgage Loans.
Maximum Rates of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
- ------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans... 22 $9,515,551 2.97%
No Maximum Rate............. 10 5,632,011 1.76
Less than 11.99%............ 5 2,907,583 0.91
12.00% to 12.99%............ 20 10,753,145 3.36
13.00% to 13.99%............ 28 27,745,258 8.66
14.00% to 14.99%............ 378 224,303,356 70.03
15.00% to 15.99%............ 58 33,418,066 10.43
16.00% to 16.99%............ 12 2,726,978 0.85
17.00% to 17.99%............ 4 1,485,746 0.46
18.00% to 18.99%............ 5 1,578,324 0.49
19.00% to 19.99%............ 2 258,758 0.08
- ------- ----
Total.............. 544 320,324,776 100.00%
=== ============ =======
Weighted Average Maximum
Rate is..................... 14.39%*
Commercial
---------- Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
- ------------- ------------ ------------ -----------------
Fixed Rate Mortgage Loans . 21 $6,460,759 6.24%
No Maximum Rate ........... 12 3,843,491 3.71
Less than 11.99% .......... 0 0 0.00
12.00% to 12.99% .......... 6 2,975,059 2.87
13.00% to 13.99% .......... 1 1,465,279 1.41
14.00% to 14.99% .......... 52 48,405,086 46.75
15.00% to 15.99% .......... 28 13,568,277 13.10
16.00% to 16.99% .......... 32 14,551,707 14.05
17.00% to 17.99% .......... 33 11,293,578 10.91
18.00% to 18.99% .......... 4 775,432 0.75
19.00% to 19.99% .......... 1 216,371 0.21
- ------- ----
Total ............ 190 $103,555,039 100.00%
=== ============ =======
Weighted Average Maximum
Rate is ................... 15.34%*
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Maximum Rates Cut-Off Date Cut-Off Date Cut-Off Date
- ------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans.. 43 $15,976,310 3.77%
No Maximum Rate............ 22 9,475,502 2.24
Less than 11.99%........... 5 2,907,583 0.69
12.00% to 12.99%........... 26 13,728,204 3.24
13.00% to 13.99%........... 29 29,210,537 6.89
14.00% to 14.99%........... 430 272,708,442 64.33
15.00% to 15.99%........... 86 46,986,343 11.08
16.00% to 16.99%........... 44 17,278,685 4.08
17.00% to 17.99%........... 37 12,779,324 3.01
18.00% to 18.99%........... 9 2,353,756 0.56
19.00% to 19.99%........... 3 475,129 0.11
- ------- ----
Total............. 734 $423,879,815 100.00%
=== ============ =======
Weighted Average Maximum
Rate is.................... 14.61%*
- ----------
* Excludes ARMs with no Maximum Rate and Fixed Rate Mortgage Loans.
Floor Interest Rates of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 22 $9,515,551 2.97%
No Minimum Rate ........... 57 27,460,360 8.57
Less than 6.00% ........... 48 39,257,235 12.26
6.00% to 6.99% .......... 45 31,946,123 9.97
7.00% to 7.99% .......... 77 47,487,316 14.82
8.00% to 8.99% .......... 175 102,261,532 31.93
9.00% to 9.99% .......... 120 62,396,659 19.48
10.00% to 10.99% .......... 0 0 0.00
--- - ----
Total ............ 544 $320,324,776 100.00%
=== ============ =======
Weighted Average Floor
Interest Rate is .......... 7.77%*
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 21 $6,460,759 6.24%
No Minimum Rate ........... 24 7,444,901 7.19
Less than 6.00% ........... 45 35,864,676 34.63
6.00% to 6.99% .......... 34 20,034,659 19.35
7.00% to 7.99% .......... 51 22,038,706 21.28
8.00% to 8.99% .......... 12 8,135,757 7.86
9.00% to 9.99% .......... 2 2,198,199 2.12
10.00% to 10.99% .......... 1 1,377,382 1.33
- --------- ----
Total ............ 190 $103,555,039 100.00%
=== ============ =======
Weighted Average Floor
Interest Rate is .......... 6.43%*
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Floor Interest Rates Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 43 $15,976,310 3.77%
No Minimum Rate ........... 81 34,905,261 8.23
Less than 6.00% ........... 93 75,121,911 17.72
6.00% to 6.99% .......... 79 51,980,782 12.26
7.00% to 7.99% .......... 128 69,526,022 16.40
8.00% to 8.99% .......... 187 110,397,289 26.06
9.00% to 9.99% .......... 122 64,594,858 15.24
10.00% to 10.99% .......... 1 1,377,382 0.32
- --------- ----
Total ............ 734 $423,879,815 100.00%
=== ============ =======
Weighted Average Floor
Interest Rate is .......... 7.45%*
- ----------
* Excludes ARMs with no Floor Interest Rate and Fixed Rate Mortgage Loans.
Periodic Rate Adjustment Caps
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Periodic Rate Loans As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 22 $9,515,551 2.97%
No Periodic Adjustment Cap. 426 261,012,365 81.48
Less than 1.00% ........... 10 1,317,851 0.41
1.00% to 1.99% ............ 84 48,137,394 15.03
2.00% to 2.99% ............ 2 341,615 0.11
4.00% or more ............. 0 0 0.00
- - ----
Total ............ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Periodic Rate Loans As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 21 $6,460,759 6.24%
No Periodic Adjustment Cap. 89 67,857,427 65.53
Less than 1.00% ........... 3 1,194,981 1.15
1.00% to 1.99% ............ 54 19,496,036 18.83
2.00% to 2.99% ............ 1 86,200 0.08
4.00% or more ............. 22 8,459,636 8.17
-- --------- ----
Total ............ 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Periodic Rate Loans As of As of As of
Adjustment Caps Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans.. 43 $15,976,310 3.77%
No Periodic Adjustment Cap. 515 328,869,792 77.58
Less than 1.00%............ 13 2,512,832 0.59
1.00% to 1.99%............. 138 67,633,430 15.96
2.00% to 2.99%............. 3 427,815 0.10
4.00% or more.............. 22 8,459,636 2.00
-- --------- ----
Total............. 734 $423,879,815 100.00%
=== ============ =======
Interest Adjustment Frequency
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Interest Loans As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 22 $9,515,551 2.97%
Monthly ................... 415 255,385,333 79.73
Quarterly ................. 7 336,178 0.10
Semi-Annually ............. 74 33,953,276 10.60
Annually .................. 26 21,134,438 6.60
Adjusts with Index ........ 0 0 0.00
- - ----
Total ............ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Interest Loans As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 21 $6,460,759 6.24%
Monthly ................... 67 59,104,694 57.07
Quarterly ................. 1 1,498,015 1.45
Semi-Annually ............. 91 32,936,472 31.81
Annually .................. 6 2,662,431 2.57
Adjusts with Index ........ 4 892,668 0.86
- ------- ----
Total ............ 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Interest Loans As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 43 $15,976,310 3.77%
Monthly ................... 482 314,490,027 74.20
Quarterly ................. 8 1,834,193 0.43
Semi-Annually ............. 165 66,889,748 15.78
Annually .................. 32 23,796,869 5.61
Adjusts with Index ........ 4 892,668 0.21
- ------------ ----
Total ............ 734 $423,879,815 100.00%
=== ============ =======
Payment Adjustment Frequency
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Payment Loans As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 22 $9,515,551 2.97%
Monthly ................... 0 0 0.00
Quarterly ................. 0 0 0.00
Semi-Annually ............. 74 33,953,276 10.60
Annually .................. 441 276,385,595 86.28
Five Years ................ 7 470,354 0.15
Fixed Payment ............. 0 0 0.00
Adjusts with Index ........ 0 0 0.00
- - ----
Total ............ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Payment Loans As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 21 $6,460,759 6.24%
Monthly ................... 1 493,911 0.48
Quarterly ................. 1 1,498,015 1.45
Semi-Annually ............. 89 32,540,718 31.42
Annually .................. 74 61,668,968 59.55
Five Years ................ 0 0 0.00
Fixed Payment ............. 1 165,129 0.16
Adjusts with Index ........ 3 727,539 0.70
- ------- ----
Total ............ 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Payment Loans As of As of As of
Adjustment Frequency Cut-Off Date Cut-Off Date Cut-Off Date
- -------------------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 43 $15,976,310 3.77%
Monthly ................... 1 493,911 0.12
Quarterly ................. 1 1,498,015 0.35
Semi-Annually ............. 163 66,493,994 15.69
Annually .................. 515 338,054,563 79.75
Five Years ................ 7 470,354 0.11
Fixed Payment ............. 1 165,129 0.04
Adjusts with Index ........ 3 727,539 0.17
- ------- ----
Total ............ 734 $423,879,815 100.00%
=== ============ =======
Indexes
of Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 22 $9,515,551 2.97%
COFI 11th District
Weighted Average ........ 207 121,568,168 37.95
FHLMC 30 Year Mortgage
Commitment .............. 1 184,941 0.06
LIBOR 1 Month ............. 242 153,062,452 47.79
LIBOR 1 Year .............. 15 12,522,180 3.91
LIBOR 6 Month ............. 38 21,499,731 6.71
PRIME Citibank ............ 0 0 0.00
Treasury - 1 Year Weekly
Average ................. 1 153,140 0.05
Treasury - 26 Week T-Bill
Weekly Average .......... 1 164,584 0.05
Treasury - 6 Month Monthly
Average ................. 0 0 0.00
Treasury - 91-Day T-Bill .. 7 336,178 0.10
Weighted Average COFI for
CA Members of SF FHLB ... 10 1,317,851 0.41
-- --------- ----
Total ............ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 21 $6,460,759 6.24%
COFI 11th District
Weighted Average ........ 148 89,424,822 86.35
FHLMC 30 Year Mortgage
Commitment .............. 0 0 0.00
LIBOR 1 Month ............. 0 0 0.00
LIBOR 1 Year .............. 3 1,865,790 1.80
LIBOR 6 Month ............. 0 0 0.00
PRIME Citibank ............ 4 892,668 0.86
Treasury - 1 Year Weekly
Average ................. 0 0 0.00
Treasury - 26 Week T-Bill
Weekly Average .......... 3 259,716 0.25
Treasury - 6 Month Monthly
Average ................. 1 296,333 0.29
Treasury - 91-Day T-Bill .. 0 0 0.00
Weighted Average COFI for
CA Members of SF FHLB ... 10 4,354,951 4.21
-- --------- ----
Total ............ 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Indexes Cut-Off Date Cut-Off Date Cut-Off Date
- ------- ------------ ------------ ------------
Fixed Rate Mortgage Loans . 43 $15,976,310 3.77%
COFI 11th District
Weighted Average ........ 355 210,992,990 49.78
FHLMC 30 Year Mortgage
Commitment .............. 1 184,941 0.04
LIBOR 1 Month ............. 242 153,062,452 36.11
LIBOR 1 Year .............. 18 14,387,970 3.39
LIBOR 6 Month ............. 38 21,499,731 5.07
PRIME Citibank ............ 4 892,668 0.21
Treasury - 1 Year Weekly
Average ................. 1 153,140 0.04
Treasury - 26 Week T-Bill
Weekly Average .......... 4 424,300 0.10
Treasury - 6 Month Monthly
Average ................. 1 296,333 0.07
Treasury - 91-Day T-Bill .. 7 336,178 0.08
Weighted Average COFI for
CA Members of SF FHLB ... 20 5,672,802 1.34
-- --------- ----
Total ............ 734 $423,879,815 100.00%
=== ============ =======
Loans with Potential for Negative
Amortization in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
Negative Amortization .... 426 $262,114,246 81.83%
No Negative Amortization . 118 58,210,530 18.17
--- ---------- -----
Total............ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
Negative Amortization.... 71 $61,131,733 59.03%
No Negative Amortization. 119 42,423,306 40.97
--- ---------- -----
Total........... 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans As of As of As of
Negative Amortization Cut-Off Date Cut-Off Date Cut-Off Date
- --------------------- ------------ ------------ ------------
Negative Amortization.... 497 $323,245,979 76.26%
No Negative Amortization. 237 100,633,836 23.74
--- ----------- -----
Total........... 734 $423,879,815 100.00%
=== ============ =======
Loans-to-Facilitate and Modified Mortgage Loans
in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans-to-Facilitate and Loans As of As of
Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------- ------------- ------------ ------------
Loans-to-Facilitate
(Seller - Originated
Loans)(1)............... 5 $5,327,000 1.66%
Loans-to-Facilitate
(Non-RTC)(2)............ 16 14,350,629 4.48
Modified Mortgage
Loans(3)................ 30 30,975,340 9.67
Not Applicable............ 493 269,671,807 84.19
--- ----------- -----
Total............ 544 $320,324,776 100.00%
=== ============ =======
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans-to-Facilitate and Loans As of As of
Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------- ------------- ------------ ------------
Loans-to-Facilitate
(Seller - Originated
Loans)(1)............... 4 $1,902,534 1.84%
Loans-to-Facilitate
(Non-RTC)(2)............ 1 1,441,890 1.39
Modified Mortgage
Loans(3)................ 3 1,246,166 1.20
Not Applicable............ 182 98,964,449 95.57
--- ---------- -----
Total............ 190 $103,555,039 100.00%
=== ============ =======
Total
----------
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Mortgage Principal Balance Principal Balance
Loans-to-Facilitate and Loans As of As of
Modified Mortgage Loans Cut-Off Date Cut-Off Date Cut-Off Date
- ----------------------- ------------- ------------ ------------
Loans-to-Facilitate
(Seller - Originated
Loans)(1)............... 9 $7,229,534 1.71%
Loans-to-Facilitate
(Non-RTC)(2)............ 17 15,792,519 3.73
Modified Mortgage
Loans(3)................ 33 32,221,506 7.60
Not Applicable............ 675 368,636,256 86.96
--- ----------- -----
Total............ 734 $423,879,815 100.00%
=== ============ =======
- ----------
(1) Loans originated by an RTC institution to facilitate the sale of REO.
(2) Loans originated by a non-RTC institution to facilitate the sale of REO.
(3) Loans which the Seller believes have substantially modified terms due to
default, reasonable likelihood of default, workout or other credit related
reasons.
<PAGE>
Exhibit G
Available Debt Service Coverage Ratios(1)
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Principal Balance
--------------- ------------ ------------ -----------------
Group 1 Mortgage Loans
0.00x to 0.50x.......... 6 $3,046,253 1.40%
0.51x to 0.75x.......... 9 8,864,365 4.08
0.76x to 1.00x.......... 31 22,426,317 10.32
1.01x to 1.25x.......... 32 27,448,174 12.63
1.26x to 1.50x.......... 29 15,772,095 7.26
1.51x to 2.00x.......... 30 15,325,829 7.05
2.01x to 3.00x.......... 10 11,894,886 5.48
3.01x or more........... 1 290,772 0.13
Not Available........... 204 112,176,172 51.65
--- ----------- -----
Total......... 352 $217,244,863 100.00%
=== ============ ======
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Principal Balance
- -------------- ------------- ----------- -----------------
Group 2 Mortgage Loans
Less than Zero ......... 3 $ 1,242,744 0.43%
0.00x to 0.50x ......... 5 3,283,939 1.13
0.51x to 0.75x ......... 10 16,165,831 5.58
0.76x to 1.00x ......... 33 38,050,884 13.14
1.01x to 1.25x ......... 43 33,294,184 11.50
1.26x to 1.50x ......... 26 20,696,228 7.15
1.51x to 2.00x ......... 24 19,730,456 6.82
2.01x to 3.00x ......... 8 7,452,989 2.57
3.01x or more .......... 6 2,437,566 0.84
Not Available .......... 358 147,135,642 50.84
--- ------------ ------
Total ........ 516 $289,490,463 100.00%
=== ============ ======
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes,
depreciation and amortization) ("NOI") before payment of any debt service
on the Mortgage Loan, to the annual debt service on such Mortgage Loan.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12-month
period ending December, 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April, 1993 or later) to,
generally, the annualized Monthly Payment in effect as of the Cut-Off Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described below.
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Principal Balance
- --------------- ------------ ------------- -----------------
Group 3 Mortgage Loans
Less than Zero.......... 3 $2,045,375 0.77%
0.00x to 0.50x.......... 2 420,479 0.16
0.51x to 0.75x.......... 11 6,462,192 2.43
0.76x to 1.00x.......... 12 6,443,374 2.42
1.01x to 1.25x.......... 20 9,767,572 3.67
1.26x to 1.50x.......... 25 33,034,915 12.43
1.51x to 2.00x.......... 34 41,025,745 15.43
2.01x to 3.00x.......... 13 4,692,407 1.77
3.01x or more........... 15 6,386,603 2.40
Not Available........... 465 155,579,813 58.52
--- ----------- -----
Total......... 600 $265,858,475 100.00%
=== ============ =======
Aggregate Percentage of
Scheduled Mortgage Loan
Number of Principal Balance Group by
Debt Service Mortgage Loans Outstanding Aggregate
Coverage As of As of Scheduled
Ratio(1)(2)(3) Cut-Off Date Cut-Off Date Principal Balance
- -------------- ------------ ------------ -----------------
Group 4 Mortgage Loans
Less than Zero......... 7 $7,180,358 1.96%
0.00x to 0.50x......... 13 19,333,426 5.29
0.51x to 0.75x......... 8 8,940,274 2.44
0.76x to 1.00x......... 14 19,143,251 5.23
1.01x to 1.25x......... 19 22,758,165 6.22
1.26x to 1.50x......... 19 42,121,265 11.52
1.51x to 2.00x......... 24 27,824,479 7.61
2.01x to 3.00x......... 13 19,221,203 5.26
3.01x or more.......... 8 4,496,502 1.23
Not Available.......... 522 194,706,422 53.24
--- ----------- -----
Total........ 647 $365,725,345 100.00%
=== ============ =======
- ----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes,
depreciation and amortization) ("NOI") before payment of any debt service
on the Mortgage Loan, to the annual debt service on such Mortgage Loan.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12-month
period ending December, 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April, 1993 or later) to,
generally, the annualized Monthly Payment in effect as of the Cut-Off Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described below.
Available Debt Service Coverage Ratio(1)
for the Mortgage Pool
Aggregate
Scheduled Percentage of
Number of Principal Balance Mortgage Pool
Debt Service Mortgage Loans Outstanding by Aggregate
Coverage As of As of Scheduled
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Principal Balance
- --------------- ------------ ------------ -----------------
Less than Zero........ 13 $10,468,476 0.92%
0.00x to 0.50x........ 26 26,084,097 2.29
0.51x to 0.75x........ 38 40,432,662 3.55
0.76x to 1.00x........ 90 86,063,826 7.56
1.01x to 1.25x........ 114 93,268,095 8.19
1.26x to 1.50x........ 99 111,624,503 9.81
1.51x to 2.00x........ 112 103,906,509 9.13
2.01x to 3.00x........ 44 43,261,485 3.80
3.01x or more......... 30 13,611,443 1.20
Not Available......... 1,549 609,598,050 53.55
----- ------------ -----
Total....... 2,115 $1,138,319,146 100.00%
===== ============== ======
----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes,
depreciation, and amortization) ("NOI") before payment of any debt service
on the Mortgage Loan, to the annual debt service on such Mortgage Loan.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12-month
period ending December, 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April, 1993 or later) to,
generally, the annualized Monthly Payment in effect as of the Cut-Off Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described below.
Available Debt Service Coverage Ratio(1)
for Mortgage Loans in Southern California
Multifamily
-----------
Percentage of
Southern
California
Multifamily
Aggregate by Aggregate
Number of Scheduled Scheduled
Debt Service Mortgage Principal Balance Principal Balance
Coverage Loans As of As of As of
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
Less than Zero......... 1 $189,443 0.06%
0.00x to 0.50x......... 8 3,716,696 1.16
0.51x to 0.75x......... 17 16,043,682 5.01
0.76x to 1.00x......... 51 32,930,019 10.28
1.01x to 1.25x......... 60 37,798,037 11.80
1.26x to 1.50x......... 52 44,296,135 13.83
1.51x to 2.00x......... 35 13,247,119 4.14
2.01x to 3.00x......... 12 12,028,615 3.76
3.01x or more.......... 2 406,936 0.13
Not Available.......... 306 159,668,094 49.83
--- ----------- -----
Total......... 544 $320,324,776 100.00%
--- ------------ -------
Commercial
----------
Percentage of
Southern
California
Commercial
Aggregate by Aggregate
Number of Scheduled Scheduled
Debt Service Mortgage Principal Balance Principal Balance
Coverage Loans As of As of As of
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Cut-Off Date
--------------- ------------ ------------ ------------
Less than Zero.......... 2 $994,395 0.96%
0.00x to 0.50x.......... 2 395,776 0.38
0.51x to 0.75x.......... 4 1,997,664 1.93
0.76x to 1.00x.......... 4 2,959,422 2.86
1.01x to 1.25x.......... 10 5,492,139 5.30
1.26x to 1.50x.......... 15 6,959,646 6.72
1.51x to 2.00x.......... 17 19,642,670 18.97
2.01x to 3.00x.......... 11 4,075,346 3.94
3.01x or more........... 7 2,545,243 2.46
Not Available........... 118 58,492,738 56.48
--- ---------- -----
Total.......... 190 $103,555,039 100.00%
=== ============ =======
Total
-----
Percentage of
Total Southern
California
Aggregate by Aggregate
Number of Scheduled Scheduled
Debt Service Mortgage Principal Balance Principal Balance
Coverage Loans As of As of As of
Ratios(1)(2)(3) Cut-Off Date Cut-Off Date Cut-Off Date
- --------------- ------------ ------------ ------------
Less than Zero........ 3 $1,183,838 0.28%
0.00x to 0.50x........ 10 4,112,472 0.97
0.51x to 0.75x........ 21 18,041,346 4.26
0.76x to 1.00x........ 55 35,889,441 8.47
1.01x to 1.25x........ 70 43,290,176 10.21
1.26x to 1.50x........ 67 51,255,781 12.09
1.51x to 2.00x........ 52 32,889,789 7.76
2.01x to 3.00x........ 23 16,103,961 3.80
3.01x or more......... 9 2,952,178 0.70
Not Available......... 424 218,160,832 51.46
--- ----------- -----
Total..... 734 $423,879,815 100.00%
=== ============ ======
----------
(1) The debt service coverage ratio of a Mortgage Loan is the ratio of annual
net operating income generated by the Mortgaged Property, (or, for certain
owner occupied properties, the earnings before interest, taxes,
depreciation and amortization) ("NOI"), before payment of any debt service
on the Mortgage Loan, to the annual debt service on such Mortgage Loan.
(2) The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12-month
period ending December, 1992 or later (or, if less than a 12-month period
was available, at least a 9-month period ending April, 1993 or later) to,
generally, the annualized Monthly Payment in effect as of the Cut-Off Date.
(3) The data are derived from operating statements provided by the Borrowers
adjusted in some instances as described below.
<PAGE>
The weighted average debt service coverage is 1.32 times for the Group 1
Mortgage Loans for which operating information is available, the weighted
average debt service coverage is 1.21 times for the Group 2 Mortgage Loans for
which operating information is available, the weighted average debt service
coverage is 1.58 times for the Group 3 Mortgage Loans for which operating
information is available and the weighted average debt service coverage is 1.29
times for the Group 4 Mortgage Loans for which operating information is
available. The weighted average debt service coverage is 1.34 times for the
Mortgage Pool for which operating information is available, the weighted average
debt service coverage is 1.24 times for the Southern California Multifamily
Mortgage Loans for which operating information is available, the weighted
average debt service coverage is 1.65 times for the Southern California
Commercial Mortgage Loans for which operating information is available, the
weighted average debt service coverage is 1.33 times for the Total Southern
California Mortgage Loans for which operating information is available.
For Group 1 Mortgage Loans, the Seller obtained property operating
statements or operating information for minimum 12-month periods ending
December, 1992 or later (or, if less than a 12-month period was available, at
least a 9-month period ending April, 1993 or later) from 148 Mortgage Loans
which represented approximately 48.35% of the aggregate Scheduled Principal
Balance of the Group 1 Mortgage Loans as of the Cut-Off Date. For Group 2
Mortgage Loans, the Seller obtained property operating statements or operating
information for minimum 12-month periods ending December, 1992 or later (or, if
less than a 12-month period was available, at least a 9-month period ending
April, 1993 or later) from 158 Mortgage Loans which represented approximately
49.16% of the aggregate Scheduled Principal Balance of the Group 2 Mortgage
Loans as of the Cut-Off Date. For Group 3 Mortgage Loans the Seller obtained
property operating statements or operating information for minimum 12-month
periods ending December, 1992 or later (or, if less than a 12-month period was
available, at least a 9-month period ending April, 1993 or later) from 135
Mortgage Loans which represented approximately 41.48% of the aggregate Scheduled
Principal Balance of the Group 3 Mortgage Loans as of the Cut-Off Date. For
Group 4 Mortgage Loans the Seller obtained property operating statements or
operating information for minimum 12-month periods ending December, 1992 or
later (or, if less than a 12-month period was available, at least a 9-month
period ending April, 1993 or later) from 125 Mortgage Loans which represented
approximately 46.76% of the aggregate Scheduled Principal Balance of the Group 4
Mortgage Loans as of the Cut-Off Date. For the Mortgage Pool, the Seller
obtained property operating statements or operating information for minimum
12-month periods ending December, 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April 1993 or later) from
566 Mortgage Loans which represented approximately 46.45% of the aggregate
Scheduled Principal Balance of the Mortgage Pool as of the Cut-Off Date. For the
Southern California Multifamily Mortgage Loans, the Seller obtained property
operating statements or operating information for minimum 12-month periods
ending December, 1992 or later (or, if less than a 12-month period was
available, at least a 9-month period ending April, 1993 or later) from 238
Mortgage Loans which represented approximately 50.17% of the aggregate Scheduled
Principal Balance of the Southern California Multifamily Mortgage Loans as of
the Cut-Off Date. For the Southern California Commercial Mortgage Loans, the
Seller obtained property operating statements or operating information for
minimum 12-month periods ending December, 1992 or later (or, if less than a 12-
month period was available, at least a 9-month period ending April, 1993 or
later) from 72 Mortgage Loans which represented approximately 43.52% of the
aggregate Scheduled Principal Balance of the Southern California Commercial
Mortgage Loans as of the Cut-Off Date. For the Total Southern California
Mortgage Loans, the Seller obtained property operating statements or operating
information for minimum 12-month periods ending December, 1992 or later (or, if
less than a 12-month period was available, at least a 9-month period ending
April, 1993 or later) from 310 Mortgage Loans which represented approximately
48.53% of the aggregate Scheduled Principal Balance of the Total Southern
California Mortgage Loans as of the Cut-Off Date. In some instances, adjustments
were made to such operating statements and operating information, resulting in
an increase or decrease in the net operating income stated therein, based upon
the Seller's evaluation of such operating statements and operating information
and the assumptions applied by the Borrower in preparing such statements and
information. No assurance can be given with respect to the accuracy of the
information provided by any Borrower, or the results of any adjustments thereto
by or on behalf of the Seller, concerning the operating income derived from any
Mortgaged Property. In addition, since Borrowers under the remaining Mortgage
Loans did not submit operating information, the current debt service coverage
ratios with respect to those Mortgage Loans have not been determined or
inferred, and no assurance can be given that the information set forth in the
table is representative of those Mortgage Loans.
The operating information supplied by Borrowers and used by the Seller to
calculate debt service coverage ratios may be for periods that ended as long ago
as December 1992. The Seller does not have information as to the current levels
of rental income generated by the Mortgaged Properties for which it had obtained
operating information, and current rental income on a significant portion of
such Mortgaged Properties may have changed as a result of changes in occupancy
rates and levels of rent on space that is occupied. Accordingly, debt service
coverage ratios for the Mortgage Loans for which such ratios are set forth in
the table above may have changed substantially since the end of the period for
which such ratios were calculated.
Because debt service coverage ratios were not calculated with respect to the
remaining Mortgage Loans, representing approximately 53.55% of the aggregate
Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off Date, no
assurance can be given that the information set forth in the above tables is
representative of such Mortgage Loans or that such remaining Mortgage Loans do
not include Mortgage Loans with debt service coverage ratios equal to or lower
than those of the Mortgage Loans for which such ratios were calculated. Because
of, among other things, the lack of uniformity in the data underlying the debt
service coverage ratio information contained herein and the absence of
independent verification of such data, there can be no assurance that the
information derived from the sample is representative of similar information
which would have been developed had operating information been available for all
the Mortgage Loans. Moreover, if the sample is representative of the Mortgage
Loans, the Trust Fund includes Mortgage Loans with debt service coverage ratios
of less than break-even that were not included in the sample. In any event,
prospective investors should consider the Mortgage Loans to be nonrecourse loans
as to which, in the event of a Borrower default, recourse may be had only
against the specific commercial property pledged to secure that Mortgage Loan
(and not against the Borrower's other assets).
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT H -- CHARACTERISTICS OF THE 50 LARGEST
MULTIFAMILY MORTGAGE LOANS IN MORTGAGE LOAN GROUPS 1 AND 2
Current Original
Mortgage Original Amort
Property Interest Term Term
City State Type Index Rate (Months)(11) (Months)
- ---------------------- -------- ---------- --------------------- --------- ------------ --------
<S> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 1
San Diego CA MULTIFAMILY COFI 11th Dist Weighted 6.175% 120 360
Average
Walnut Creek CA MULTIFAMILY COFI 11th Dist Weighted 6.050 120 360
Average
Campbell CA MULTIFAMILY COFI 11th Dist Weighted 6.294 360 360
Average
Fontana CA MULTIFAMILY COFI 11th Dist Weighted 6.230 61 0(10)
Average
San Francisco CA MULTIFAMILY COFI 11th Dist Weighted 6.148 360 360
Average
Miami FL MULTIFAMILY COFI 11th Dist Weighted 11.00 115 360
Average
Los Angeles CA MULTIFAMILY LIBOR -- 1 Year 7.000 180 360
Tustin CA MULTIFAMILY LIBOR -- 1 Month 8.500 180 360
Covina CA MULTIFAMILY LIBOR -- 1 Month 7.000 163 343
Fontana CA MULTIFAMILY COFI 11th Dist Weighted 6.250 180 360
Average
Los Angeles CA MULTIFAMILY COFI 11th Dist Weighted 6.875 360 360
Average
Los Angeles CA MULTIFAMILY COFI 11th Dist Weighted 7.000 120 360
Average
Stockton CA MULTIFAMILY COFI 11th Dist Weighted 6.175 360 360
Average
Wayne NJ MULTIFAMILY PRIME Citibank 8.750 31 178
Torrance CA MULTIFAMILY COFI 11th Dist Weighted 6.150 360 360
Average
Santa Ana CA MULTIFAMILY LIBOR -- 1 Year 7.000 84 360
Van Nuys CA MULTIFAMILY LIBOR -- 6 Month 7.915 360 360
Garden Grove CA MULTIFAMILY LIBOR -- 1 Month 8.550 180 360
Los Angeles CA MULTIFAMILY LIBOR -- 1 Month 8.050 180 360
Arcadia CA MULTIFAMILY LIBOR -- 1 Month 8.350 180 360
Mortgage Loan Group 1
Total: 20 Loans
Mortgage Loan Group 2
St. Petersburg FL MULTIFAMILY Fixed Rate 7.375% 84 360
Vacaville CA MULTIFAMILY Fixed Rate 8.000 63 0(10)
Lakeside CA MULTIFAMILY LIBOR -- 1 Month 8.700 180 360
Baytown TX MULTIFAMILY Fixed Rate 9.000 180 360
Mesa AZ MULTIFAMILY LIBOR -- 1 Month 9.000 60 360
Pasadena TX MULTIFAMILY Fixed Rate 7.000 84 360
Grand Prairie TX MULTIFAMILY Fixed Rate 9.750 180 360
Dallas TX MULTIFAMILY Fixed Rate 6.825 83 360
Grapevine TX MULTIFAMILY Fixed Rate 8.500 60 360
Duncanville TX MULTIFAMILY Fixed Rate 8.375 181 360
Irving TX MULTIFAMILY Fixed Rate 9.000 60 360
Houston TX MULTIFAMILY Fixed Rate 8.750 84 360
Irving TX MULTIFAMILY Fixed Rate 9.000 60 360
Hollywood CA MULTIFAMILY Fixed Rate 8.500 84 0(10)
Downey CA MULTIFAMILY LIBOR -- 1 Month 9.000 180 360
Downey CA MULTIFAMILY LIBOR -- 1 Month 9.250 360 360
Abilene TX MULTIFAMILY Fixed Rate 9.750 84 360
De Soto TX MULTIFAMILY Fixed Rate 9.125 180 360
Anaheim CA MULTIFAMILY Fixed Rate 7.250 84 360
East Windsor NJ MULTIFAMILY Fixed Rate 8.500 60 360
Baton Rouge LA MULTIFAMILY Fixed Rate 8.375 84 361
Austin TX MULTIFAMILY Fixed Rate 9.675 84 360
San Diego CA MULTIFAMILY LIBOR -- 1 Month 9.000 180 360
Houston TX MULTIFAMILY Fixed Rate 9.500 84 360
North Royalton OH MULTIFAMILY Fixed Rate 9.250 348 312(8)
Oceanside CA MULTIFAMILY Fixed Rate 7.375 60 360
Alhambra CA MULTIFAMILY LIBOR -- 1 Month 9.000 360 360
Los Angeles CA MULTIFAMILY LIBOR -- 1 Month 9.000 180 360
Nacogdoches TX MULTIFAMILY Fixed Rate 8.250 84 360
Arlington TX MULTIFAMILY Fixed Rate 9.625 84 360
Mortgage Loan Group 2
Total: 30 Loans
</TABLE>
<TABLE>
<CAPTION>
"EXHIBIT H -- CHARACTERISTICS OF THE 50 LARGEST MULTIFAMILY MORTGAGE LOANS" TABLE CONTINUED.....
Cut-Off
Date
Scheduled
Property Maturity Original Principal Original
City State Type Index Date(12) Balance(1) Balance LTV(2)
- ---------------------- ----- ---------- ----------------------- --------- ----------- ---------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 1
San Diego CA MULTIFAMILY COFI 11th Dist Weighted 09/01/1996 $26,858,900 $10,134,360 70.68%
Average
Walnut Creek CA MULTIFAMILY COFI 11th Dist Weighted 03/01/1998 7,000,000 6,554,450 71.25
Average
Campbell CA MULTIFAMILY COFI 11th Dist Weighted 12/01/2018 5,375,000 5,040,301 76.80
Average
Fontana CA MULTIFAMILY COFI 11th Dist Weighted 07/31/1997 5,715,000 4,946,307 75.80
Average
San Francisco CA MULTIFAMILY COFI 11th Dist Weighted 11/01/2017 5,000,000 4,608,324 67.60
Average
Miami FL MULTIFAMILY COFI 11th Dist Weighted 11/01/1999 4,004,000 4,016,110 56.39
Average
Los Angeles CA MULTIFAMILY LIBOR -- 1 Year 06/01/2024 6,450,000 3,391,590 75.00
Tustin CA MULTIFAMILY LIBOR -- 1 Month 04/01/2007 3,338,000 3,273,153 53.00
Covina CA MULTIFAMILY LIBOR -- 1 Month 04/01/2022 3,200,000 3,128,047 80.00
Fontana CA MULTIFAMILY COFI 11th Dist Weighted 04/01/2002 3,300,000 3,066,101 78.95
Average
Los Angeles CA MULTIFAMILY COFI 11th Dist Weighted 01/01/2019 3,000,000 2,977,119 66.30
Average
Los Angeles CA MULTIFAMILY COFI 11th Dist Weighted 11/30/2002 3,000,000 2,927,567 70.50
Average
Stockton CA MULTIFAMILY COFI 11th Dist Weighted 07/01/2018 2,675,000 2,567,650 72.30
Average
Wayne NJ MULTIFAMILY PRIME Citibank 11/01/1995 2,577,547 2,452,774 68.14
Torrance CA MULTIFAMILY COFI 11th Dist Weighted 10/01/2017 2,400,000 2,256,456 75.00
Average
Santa Ana CA MULTIFAMILY LIBOR -- 1 Year 03/01/2000 3,200,000 2,087,120 75.29
Van Nuys CA MULTIFAMILY LIBOR -- 6 Month 09/10/2021 2,025,000 1,961,391 75.00
Garden Grove CA MULTIFAMILY LIBOR -- 1 Month 04/01/2007 1,905,000 1,868,348 73.30
Los Angeles CA MULTIFAMILY LIBOR -- 1 Month 03/01/2022 1,850,000 1,809,316 62.00
Arcadia CA MULTIFAMILY LIBOR -- 1 Month 04/01/2022 1,800,000 1,762,380 66.67
---------
Mortgage Loan Group 1
Total: 20 Loans $70,828,872
===========
Mortgage Loan Group 2
St. Petersburg FL MULTIFAMILY Fixed Rate 01/01/2001 $8,925,000 $8,862,354 74.38%
Vacaville CA MULTIFAMILY Fixed Rate 08/15/1999 8,940,000 8,787,260 80.00
Lakeside CA MULTIFAMILY LIBOR -- 1 Month 04/01/2007 6,400,000 6,281,565 58.50
Baytown TX MULTIFAMILY Fixed Rate 06/01/2008 3,990,000 3,955,535 105.00
Mesa AZ MULTIFAMILY LIBOR -- 1 Month 12/31/1996 3,975,000 3,925,539 82.81
Pasadena TX MULTIFAMILY Fixed Rate 06/01/2000 3,697,500 3,650,133 130.00(9)
Grand Prairie TX MULTIFAMILY Fixed Rate 06/30/2008 3,610,000 3,585,134 64.46
Dallas TX MULTIFAMILY Fixed Rate 12/01/2000 3,300,000 3,277,135 75.00
Grapevine TX MULTIFAMILY Fixed Rate 04/01/1998 3,257,000 3,221,487 101.79
Duncanville TX MULTIFAMILY Fixed Rate 11/30/2008 3,230,000 3,209,281 96.41
Irving TX MULTIFAMILY Fixed Rate 10/31/1998 3,094,000 3,076,517 75.80
Houston TX MULTIFAMILY Fixed Rate 01/01/2000 2,990,000 2,953,104 97.71
Irving TX MULTIFAMILY Fixed Rate 10/31/1998 2,911,250 2,894,800 85.50
Hollywood CA MULTIFAMILY Fixed Rate 04/01/1999 2,850,000 2,850,000 80.00
Downey CA MULTIFAMILY LIBOR -- 1 Month 01/01/2022 2,850,000 2,793,934 66.28
Downey CA MULTIFAMILY LIBOR -- 1 Month 12/01/2021 2,640,000 2,588,794 57.10
Abilene TX MULTIFAMILY Fixed Rate 09/01/1999 2,589,100 2,557,232 106.99
De Soto TX MULTIFAMILY Fixed Rate 06/30/2008 2,458,125 2,438,877 74.49
Anaheim CA MULTIFAMILY Fixed Rate 11/15/2000 2,410,000 2,392,664 81.69
East Windsor NJ MULTIFAMILY Fixed Rate 10/01/1997 2,295,000 2,260,403 85.00
Baton Rouge LA MULTIFAMILY Fixed Rate 11/16/1999 2,446,500 2,235,520 89.00
Austin TX MULTIFAMILY Fixed Rate 12/31/1999 2,210,000 2,187,363 80.40
San Diego CA MULTIFAMILY LIBOR -- 1 Month 02/01/2007 2,170,000 2,128,805 70.00
Houston TX MULTIFAMILY Fixed Rate 11/01/1999 2,091,000 2,066,388 58.08
North Royalton OH MULTIFAMILY Fixed Rate 04/28/2007 2,400,000 1,999,431 60.00
Oceanside CA MULTIFAMILY Fixed Rate 12/01/1998 1,912,500 1,899,076 56.25
Alhambra CA MULTIFAMILY LIBOR -- 1 Month 06/01/2020 1,950,000 1,898,576 58.00
Los Angeles CA MULTIFAMILY LIBOR -- 1 Month 02/01/2022 1,909,000 1,872,760 67.50
Nacogdoches TX MULTIFAMILY Fixed Rate 12/31/1999 1,890,000 1,864,255 81.50
Arlington TX MULTIFAMILY Fixed Rate 01/01/2000 1,785,000 1,766,529 81.50
---------
Mortgage Loan Group 2
Total: 30 Loans $95,480,451
===========
</TABLE>
<TABLE>
<CAPTION>
Maximum Periodic
Mortgage Floor Rate
Property Current Interest Interest Adjustment
City State Type Index LTV(3) Margin Rate Rate Cap
- ---------------------- ----- ----------- ----------------------- -------- ------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 1
San Diego CA MULTIFAMILY COFI 11th Dist Weighted (13)% 2.375% 15.750% 5.750%
Average
Walnut Creek CA MULTIFAMILY COFI 11th Dist Weighted 66.71 2.250 13.900 5.724
Average
Campbell CA MULTIFAMILY COFI 11th Dist Weighted 72.02 2.250 13.900 6.294
Average
Fontana CA MULTIFAMILY COFI 11th Dist Weighted 65.60 2.500
Average
San Francisco CA MULTIFAMILY COFI 11th Dist Weighted 62.30 2.348 14.500 4.750
Average
Miami FL MULTIFAMILY COFI 11th Dist Weighted 56.56 2.500
Average
Los Angeles CA MULTIFAMILY LIBOR -- 1 Year 39.44 2.500 14.000 7.000 1.000%
Tustin CA MULTIFAMILY LIBOR -- 1 Month 51.97 2.750 14.250 8.250
Covina CA MULTIFAMILY LIBOR -- 1 Month 78.20 2.750 14.250 7.000
CA MULTIFAMILY COFI 11th Dist Weighted 73.35 2.375 15.000 5.000 1.000
Average
Los Angeles CA MULTIFAMILY COFI 11th Dist Weighted 65.79 2.250 13.650 6.875
Average
Los Angeles CA MULTIFAMILY COFI 11th Dist Weighted 68.80 2.250 12.000 7.000
Average
Stockton CA MULTIFAMILY COFI 11th Dist Weighted 69.40 2.375 13.650 6.118
Average
Wayne NJ MULTIFAMILY PRIME Citibank 64.84 1.000
Torrance CA MULTIFAMILY COFI 11th Dist Weighted 70.51 2.350 14.000 5.250
Average
Santa Ana CA MULTIFAMILY LIBOR -- 1 Year 49.11 2.750 12.000 7.000 1.000
Van Nuys CA MULTIFAMILY LIBOR -- 6 Month 72.64 2.725 14.375 1.000
Garden Grove CA MULTIFAMILY LIBOR -- 1 Month 71.89 2.750 14.250 8.050
Los Angeles CA MULTIFAMILY LIBOR -- 1 Month 60.64 2.750 14.250 7.800
Arcadia CA MULTIFAMILY LIBOR -- 1 Month 65.28 2.750 14.250 8.100
Mortgage Loan Group 1
Total: 20 Loans
Mortgage Loan Group 2
St. Petersburg FL MULTIFAMILY Fixed Rate 73.86%
Vacaville CA MULTIFAMILY Fixed Rate 78.63
Lakeside CA MULTIFAMILY LIBOR -- 1 Month 57.42 2.750% 14.250% 8.700%
Baytown TX MULTIFAMILY Fixed Rate 104.09
Mesa AZ MULTIFAMILY LIBOR -- 1 Month 81.78 2.750 9.000
Pasadena TX MULTIFAMILY Fixed Rate 128.33
Grand Prairie TX MULTIFAMILY Fixed Rate 64.02
Dallas TX MULTIFAMILY Fixed Rate 74.48
Grapevine TX MULTIFAMILY Fixed Rate 100.68
Duncanville TX MULTIFAMILY Fixed Rate 95.79
Irving TX MULTIFAMILY Fixed Rate 75.37
Houston TX MULTIFAMILY Fixed Rate 96.50
Irving TX MULTIFAMILY Fixed Rate 85.02
Hollywood CA MULTIFAMILY Fixed Rate 80.00
Downey CA MULTIFAMILY LIBOR -- 1 Month 64.98 2.750 14.250 8.750
Downey CA MULTIFAMILY LIBOR -- 1 Month 55.99 2.600 14.250 8.750
Abilene TX MULTIFAMILY Fixed Rate 105.67
De Soto TX MULTIFAMILY Fixed Rate 73.91
Anaheim CA MULTIFAMILY Fixed Rate 81.10
East Windsor NJ MULTIFAMILY Fixed Rate 83.72
Baton Rouge LA MULTIFAMILY Fixed Rate 81.32
Austin TX MULTIFAMILY Fixed Rate 79.58
San Diego CA MULTIFAMILY LIBOR -- 1 Month 68.67 2.750 14.250 8.750
Houston TX MULTIFAMILY Fixed Rate 57.40
North Royalton OH MULTIFAMILY Fixed Rate 49.99
Oceanside CA MULTIFAMILY Fixed Rate 55.86
Alhambra CA MULTIFAMILY LIBOR -- 1 Month 56.47 2.625 14.375 9.000
Los Angeles CA MULTIFAMILY LIBOR -- 1 Month 66.22 2.750 14.250 8.750
Nacogdoches TX MULTIFAMILY Fixed Rate 80.39
Arlington TX MULTIFAMILY Fixed Rate 80.66
Mortgage Loan Group 2
Total: 30 Loans
</TABLE>
<TABLE>
<CAPTION>
Rate Payment
Reset Adj. Negam Debt Monthly
Frequency Frequency Percent Service Payments
City Months Months) Cap Coverage(4) Past Due
---- ------ --------- ------- ----------- --------
<S> <C> <C> <C> <C> <C>
Mortgage Loan Group 1
San Diego 1 12 2.94 0
Walnut Creek 1 12 1.03 0
Campbell 1 12 1.37(7) 0
Fontana 12 12 0.64 0
San Francisco 1 12 1.67(7) 0
Miami 60 60 5.0% 1.74 0
Los Angeles 12 12 (6) 2.30(7) 0
Tustin 1 12 10.0 1.41(7) 0
Covina 1 12 10.0 1.03 0
Fontana 6 6 (6) 1.22(7) 1
Los Angeles 1 12 1.44(7) 0
Los Angeles 1 12 0.78 0
Stockton 1 12 1.21 0
Wayne 1 12 (5) 0
Torrance 1 12 (5) 0
Santa Ana 12 12 (6) 1.47(7) 0
Van Nuys 6 6 (6) (5) 0
Garden Grove 1 12 10.0 1.31 0
Los Angeles 1 12 10.0 0.86(7) 0
Arcadia 1 12 10.0 1.26(7) 0
Mortgage Loan Group 1
Total:
Mortgage Loan Group 2
St. Petersburg 0.99 0
Vacaville 0.93 0
Lakeside 1 12 10.0% 1.42 0
Baytown 1.21(7) 0
Mesa 1 12 0.72 0
Pasadena 1.23 0
Grand Prairie 0.66 0
Dallas 2.70(7) 0
Grapevine 1.99(7) 0
Duncanville 1.50(7) 0
Irving 0.57 0
Houston 1.91(7) 0
Irving (5) 0
Hollywood 0.51 0
Downey 1 12 10.0 1.07 0
Downey 1 12 10.0 1.38 0
Abilene 2.31 0
De Soto (5) 0
Anaheim (5) 0
East Windsor (5) 0
Baton Rouge 1.97 0
Austin 2.82(7) 0
San Diego 1 12 10.0 1.08 0
Houston 1.63 0
North Royalton 4.08 0
Oceanside (5) 0
Alhambra 1 12 10.0 1.32 0
Los Angeles 1 12 10.0 1.08 0
Nacogdoches 1.67 0
Arlington 2.32(7) 0
Mortgage Loan Group 2
Total:
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as
of the Cut-Off Date divided by the original appraised value.
(4) The calculation of the debt service coverage ratios set forth in the
table was based upon the ratio of NOI, derived from information for a 12
month period ending December 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April 1993 or
later), unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7) Debt Service Coverage ratios calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents,
occupancy rates and operating expenses.
(8) The mortgage loan had a period of interest only payments prior to the
start of the amortization period.
(9) Original LTV based on the purchase price is 85.00%.
(10) Interest only Mortgage Loan.
(11) Without giving effect to any modification or extension of maturity date.
(12) After giving effect to modifications as described herein.
(13) Current LTV not available due to partial releases of collateral with
concurrent principal curtailments.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT I -- CHARACTERISTICS OF THE 50 LARGEST MORTGAGE LOANS IN MORTGAGE LOAN GROUPS 3 AND 4
Current Original
Mortgage Original Amort
Property Interest Term Term
City State Type Index Rate (Months)(9) (Months)
- ---------------------- ------ ------------------ ----------------------------------- --------- ------------ --------
<S> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 3
Spring Valley CA RETAIL COFI 11th Dist Weighted Average 6.004% 120 360
Daytona Beach(11) FL MULTIFAMILY COFI 11th Dist Weighted Average 5.070 28 300
Manalapan NJ RETAIL PRIME As Stated In Wall Street 8.250 45 360
Journal
Bellflower CA MULTIFAMILY COFI 11th Dist Weighted Average 6.057 360 360
Greensboro NC HOTEL/MOTEL 5 Yr. Advance Rate-FHLB Atlanta 9.500 308 317
Salt Lake City UT OFFICE COFI 11th Dist Weighted Average 4.700 120 360
Newport Beach CA MULTIFAMILY COFI 11th Dist Weighted Average 10.500 180 360
Valencia CA OFFICE COFI 11th Dist Weighted Average 6.332 359 359
Montclair CA RETAIL COFI 11th Dist Weighted Average 8.000 120 360
Delmar DE RETAIL PRIME--Mercantile Safe Deposit & 8.750 45 0(8)
Trust Co.
Los Angeles CA OFFICE COFI 11th Dist Weighted Average 6.425 360 360
Fauquier County VA HOTEL/MOTEL Treasury -- 5 Year Weekly Average 10.000 96 360
Woodbridge VA CHURCH Treasury -- 1 Year Weekly Average 6.375 309(12) 300
Fairfax VA INDUSTRIAL Treasury -- 3 Year Weekly Average 9.750 360 360
Mendocino CA HOTEL/MOTEL COFI 11th Dist Weighted Average 6.730 120 298
Mortgage Loan Group 3
Total: 15 Loans
Mortgage Loan Group 4
Orlando FL HOTEL/MOTEL Fixed Rate 8.000% 60 180
New York NY OFFICE Fixed Rate 9.000 29 300
Dallas/Plano TX RESORT/GOLF Fixed Rate 9.750 84 360
COURSE
Wilmington DE HOTEL/MOTEL Fixed Rate 11.180 139 360
San Antonio TX LAND/WATER Fixed Rate 7.375 84 0(8)
UTILITY
Seattle WA INDUSTRIAL Fixed Rate 6.290 83 360
Rehoboth Beach DE HOTEL/MOTEL Fixed Rate 9.500 35 240
Ocean City MD HOTEL/MOTEL Fixed Rate 8.250 60 300
Gainesville FL HOTEL/MOTEL Fixed Rate 8.000 85 336
San Antonio TX RETAIL Fixed Rate 8.625 84 360
Jacksonville FL RETAIL Fixed Rate 7.500 36 0(8)
Richmond VA HOTEL/MOTEL Fixed Rate 6.750 60 360
Ocean City MD HOTEL/MOTEL PRIME--Mercantile Safe Deposit & 8.500 98 252
Trust Co.
Kansas City MO OFFICE Fixed Rate 8.000 83 360
Los Gatos CA OFFICE Fixed Rate 9.500 84 360
Beaverton OR RETAIL Fixed Rate 8.250 84 360
Carrboro NC RETAIL Fixed Rate 8.500 84 360
Miami FL PRIVATE SCHOOL Fixed Rate 8.750 241(12) 216
Kissimmee FL HOTEL/MOTEL Fixed Rate 9.000 84 360
Annapolis MD OFFICE Fixed Rate 11.000 137 360
Alpharetta GA RESORT/GOLF Fixed Rate 9.000 60 240
COURSE
San Antonio TX RETAIL Fixed Rate 8.750 84 360
Kissimmee FL RETAIL Fixed Rate 7.375 85 360
Houston TX RETAIL Fixed Rate 9.290 84 360
Lubbock TX HOTEL/MOTEL Fixed Rate 8.400 84 360
Laurel MD AUTO CENTER Fixed Rate 9.950 120 244
Kerrville TX HOTEL/MOTEL Fixed Rate 7.000 84 360
Dallas TX HOTEL/MOTEL Fixed Rate 7.000 83 360
Ocean City MD MULTIFAMILY Fixed Rate 9.500 31 272
Fairview Heights IL HOTEL/MOTEL Fixed Rate 9.715 84 360
Houston TX INDUSTRIAL Fixed Rate 9.000 84 360
Indianapolis IN RETAIL Fixed Rate 9.500 80 300
Landover MD MINI-WAREHOUSE Fixed Rate 9.000 120 300
Rapid City SD PRIVATE SCHOOL Fixed Rate 8.000 84 360
Baltimore MD RETAIL Fixed Rate 10.750 60 300
Mortgage Loan Group 4
Total: 35 Loans
</TABLE>
<TABLE>
<CAPTION>
Cut-Off
Date
Scheduled
Property Maturity Original Principal Original
City State Type Index Date(10) Balance(1) Balance LTV(2)
- --------------------- ----- --------- -------------------------------- ---------- ----------- ---------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 3
Spring Valley CA RETAIL COFI 11th Dist Weighted Average 01/01/1998 $11,800,000 $10,643,101 80.00%
Daytona Beach(11) FL MULTIFAMILY COFI 11th Dist Weighted Average 12/31/1994 9,800,000 9,506,839 79.83(11)
Manalapan NJ RETAIL PRIME As Stated In Wall Street 07/01/1996 7,116,000 6,805,202 89.00
Journal
Bellflower CA MULTIFAMILY COFI 11th Dist Weighted Average 09/01/2018 6,790,000 6,418,973 75.30
Greensboro NC HOTEL/MOTEL 5 Yr. Advance Rate-FHLB Atlanta 03/01/2016 6,100,000 5,690,134 (5)
Salt Lake City UT OFFICE COFI 11th Dist Weighted Average 02/01/1999 5,260,000 4,899,660 83.70
Newport Beach CA MULTIFAMILY COFI 11th Dist Weighted Average 12/01/2001 5,000,000 4,716,516 48.00
Valencia CA OFFICE COFI 11th Dist Weighted Average 10/01/2018 4,550,000 4,275,526 73.00
Montclair CA RETAIL COFI 11th Dist Weighted Average 07/01/1997 4,500,000 4,203,699 68.08
Delmar DE RETAIL PRIME--Mercantile Safe Deposit & 08/01/1997 4,133,120 4,082,905 86.26
Trust
Co.
Los Angeles CA OFFICE COFI 11th Dist Weighted Average 01/01/2019 4,125,000 3,784,143 70.21
Fauquier County VA HOTEL/MOTEL Treasury -- 5 Year Weekly Average 08/01/1999 2,000,000 3,235,081 76.92
Woodbridge VA CHURCH Treasury -- 1 Year Weekly Average 11/01/2016 2,800,000 2,961,803 28.57
Fairfax VA INDUSTRIAL Treasury -- 3 Year Weekly Average 06/01/2020 2,750,000 2,687,214 62.50
Mendocino CA HOTEL/MOTEL COFI 11th Dist Weighted Average 08/01/2014 4,000,000 2,568,812 67.00
---------
Mortgage Loan Group 3
Total: 15 Loans $76,479,614
===========
Mortgage Loan Group 4
Orlando FL HOTEL/MOTEL Fixed Rate 01/01/1999 $11,170,000 $10,905,339 87.95%
New York NY OFFICE Fixed Rate 04/01/1995 12,000,000 10,766,265 64.17
Dallas/Plano TX RESORT/GOLF Fixed Rate 05/01/1999 9,675,000 9,305,773 96.75
COURSE
Wilmington DE HOTEL/MOTEL Fixed Rate 03/01/2000 8,500,000 8,296,697 100.00
San Antonio TX LAND/WATER Fixed Rate 05/18/2000 8,766,250 7,572,047 54.33
UTILITY
Seattle WA INDUSTRIAL Fixed Rate 01/04/2001 6,335,000 6,292,584 54.73
Rehoboth Beach DE HOTEL/MOTEL Fixed Rate 05/01/1996 6,456,000 6,226,151 64.30
Ocean City MD HOTEL/MOTEL Fixed Rate 03/01/1998 6,300,000 5,846,902 (5)
Gainesville FL HOTEL/MOTEL Fixed Rate 06/15/2000 6,500,000 4,565,760 73.03
San Antonio TX RETAIL Fixed Rate 08/31/2000 4,590,000 4,556,164 113.00
Jacksonville FL RETAIL Fixed Rate 03/01/1995 4,450,000 4,492,697 83.57
Richmond VA HOTEL/MOTEL Fixed Rate 06/01/1998 4,080,000 4,025,181 60.00
Ocean City MD HOTEL/MOTEL PRIME--Mercantile 07/01/2002 4,200,000 3,774,922 70.00
Safe Deposit & Trust
Co.
Kansas City MO OFFICE Fixed Rate 12/14/2000 3,740,000 3,721,955 75.00
Los Gatos CA OFFICE Fixed Rate 10/01/1999 3,650,000 3,604,903 76.80
Beaverton OR RETAIL Fixed Rate 04/23/2000 3,562,500 3,524,217 71.25
Carrboro NC RETAIL Fixed Rate 07/01/2000 3,520,000 3,488,731 69.70
Miami FL PRIVATE SCHOOL Fixed Rate 04/15/2012 3,675,000 3,468,214 61.25
Kissimmee FL HOTEL/MOTEL Fixed Rate 07/01/1999 3,400,850 3,347,739 71.98
Annapolis MD OFFICE Fixed Rate 11/01/1999 3,345,000 3,254,225 75.17
Alpharetta GA RESORT/GOLF Fixed Rate 12/29/1998 9,200,000 3,199,808 (5)
COURSE
San Antonio TX RETAIL Fixed Rate 10/01/1999 3,004,750 2,961,630 60.10
Kissimmee FL RETAIL Fixed Rate 02/01/2001 2,850,000 2,832,273 64.00
Houston TX RETAIL Fixed Rate 10/01/1999 2,762,500 2,726,901 61.39
Lubbock TX HOTEL/MOTEL Fixed Rate 10/01/1999 2,677,500 2,636,337 81.14
Laurel MD AUTO CENTER Fixed Rate 11/30/2003 2,800,000 2,608,621 80.00
Kerrville TX HOTEL/MOTEL Fixed Rate 03/23/2000 2,543,750 2,503,181 55.30
Dallas TX HOTEL/MOTEL Fixed Rate 06/04/2000 2,517,500 2,490,551 54.70
Ocean City MD MULTIFAMILY Fixed Rate 04/01/1995 3,000,000 2,477,730 68.00
Fairview Heights IL HOTEL/MOTEL Fixed Rate 08/01/1999 2,507,500 2,476,417 79.35
Houston TX INDUSTRIAL Fixed Rate 08/30/2000 2,460,000 2,443,193 84.83
Indianapolis IN RETAIL Fixed Rate 12/31/1999 2,650,000 2,371,296 (5)
Landover MD MINI-WAREHOUSE Fixed Rate 02/01/2003 2,395,500 2,352,042 (5)
Rapid City SD PRIVATE SCHOOL Fixed Rate 11/30/2000 5,211,694 2,343,076 66.03
Baltimore MD RETAIL Fixed Rate 08/01/2013 2,500,000 2,329,036 59.52
---------
Mortgage Loan Group 4
Total: 35 Loans $149,788,558
============
</TABLE>
"EXHIBIT I - CHARACTERISTICS OF THE 50 LARGEST MORTGAGE LOANS IN MORTGAGE LOAN
GROUPS 3 AND 4 CONTINUED....
<TABLE>
<CAPTION>
Maximum
Mortgage Floor
Property Current Interest Interest
City State Type Index LTV(3) Margin Rate Rate
- -------------------- ------ -------------- ----------------------------- -------- ------- ---------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 3
Spring Valley CA RETAIL COFI 11th Dist Weighted Average 72.16% 2.200% 14.644% 4.644%
Daytona Beach(11) FL MULTIFAMILY COFI 11th Dist Weighted Average 77.44(11) 1.250
Manalapan NJ RETAIL PRIME As Stated In Wall Street 85.11 1.000
Journal
Bellflower CA MULTIFAMILY COFI 11th Dist Weighted Average 71.19 2.257 13.900 5.850
Greensboro NC HOTEL/MOTEL 5 Yr. Advance Rate-FHLB Atlanta (5) 2.000
Salt Lake City UT OFFICE COFI 11th Dist Weighted Average 77.97 1.000
Newport Beach CA MULTIFAMILY COFI 11th Dist Weighted Average 45.28 2.250 14.620 6.380
Valencia CA OFFICE COFI 11th Dist Weighted Average 68.60 2.532 14.750 5.500
Montclair CA RETAIL COFI 11th Dist Weighted Average 63.60 2.250 14.500 8.000
Delmar DE RETAIL PRIME--Mercantile Safe Deposit & 85.21 1.500 7.500
Trust
Co.
Los Angeles CA OFFICE COFI 11th Dist Weighted Average 64.41 2.625 14.750 6.156
Fauquier County VA HOTEL/MOTEL Treasury -- 5 Year Weekly Average 124.42 3.500
Woodbridge VA CHURCH Treasury -- 1 Year Weekly Average 30.22 3.000 14.875
Fairfax VA INDUSTRIAL Treasury -- 3 Year Weekly Average 61.07 3.250 17.750
Mendocino CA HOTEL/MOTEL COFI 11th Dist Weighted Average 43.03 3.000
Mortgage Loan Group 3
Total: 15 Loans
Mortgage Loan Group 4
Orlando FL HOTEL/MOTEL Fixed Rate 85.87%
New York NY OFFICE Fixed Rate 57.57
Dallas/Plano TX RESORT/GOLF Fixed Rate 93.06
COURSE
Wilmington DE HOTEL/MOTEL Fixed Rate 97.61
San Antonio TX LAND/WATER Fixed Rate 46.93
UTILITY
Seattle WA INDUSTRIAL Fixed Rate 54,36
Rehoboth Beach DE HOTEL/MOTEL Fixed Rate 62.01
Ocean City MD HOTEL/MOTEL Fixed Rate (5)
Gainesville FL HOTEL/MOTEL Fixed Rate 51.30
San Antonio TX RETAIL Fixed Rate 112.17
Jacksonville FL RETAIL Fixed Rate 84.37
Richmond VA HOTEL/MOTEL Fixed Rate 59.19
Ocean City MD HOTEL/MOTEL PRIME--Mercantile Safe 62.92 2.000% 12.500% 8.500%
Deposit & Trust Co.
Kansas City MO OFFICE Fixed Rate 74.64
Los Gatos CA OFFICE Fixed Rate 75.85
Beaverton OR RETAIL Fixed Rate 70.48
Carrboro NC RETAIL Fixed Rate 69.08
Miami FL PRIVATE SCHOOL Fixed Rate 57.80
Kissimmee FL HOTEL/MOTEL Fixed Rate 70.86
Annapolis MD OFFICE Fixed Rate 73.13
Alpharetta GA RESORT/GOLF Fixed Rate (5)
COURSE
San Antonio TX RETAIL Fixed Rate 59.24
Kissimmee FL RETAIL Fixed Rate 63.60
Houston TX RETAIL Fixed Rate 60.60
Lubbock TX HOTEL/MOTEL Fixed Rate 79.89
Laurel MD AUTO CENTER Fixed Rate 74.53
Kerrville TX HOTEL/MOTEL Fixed Rate 54.42
Dallas TX HOTEL/MOTEL Fixed Rate 54.11
Ocean City MD MULTIFAMILY Fixed Rate 56.16
Fairview Heights IL HOTEL/MOTEL Fixed Rate 78.37
Houston TX INDUSTRIAL Fixed Rate 84.25
Indianapolis IN RETAIL Fixed Rate (5)
Landover MD MINI-WAREHOUSE Fixed Rate (5)
Rapid City SD PRIVATE SCHOOL Fixed Rate 29.69
Baltimore MD RETAIL Fixed Rate 55.45
Mortgage Loan Group 4
Total: 35 Loans
</TABLE>
<TABLE>
<CAPTION>
Periodic Rate Payment
Rate Reset Adj. Negam Debt Monthly
Adjustment Frequency Frequency Percent Service Payments
City Cap (Months) Months) Cap Coverage(4) Past Due
- ---------------------- ------------ ----------- ----------- -------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 3
Spring Valley 1 12 1.69 1
Daytona Beach(11) 12 12 (6) 2.22(7) 0
Manalapan 1 1 (6) 1.32 0
Bellflower 1 12 1.26 0
Greensboro 60 60 (6) 1.79 0
Salt Lake City 12 12 (6) 1.70 1
Newport Beach 1 12 1.31 0
Valencia 1 12 1.70(7) 0
Montclair 1 12 1.27(7) 0
Delmar 1 12 1.16(7) 0
Los Angeles 1 12 1.50(7) 0
Fauquier County 36 36 (6) 1.37 1
Woodbridge 2.000% 12 12 (6) 1.32 1
Fairfax 2.000 36 36 (6) 0.93(7) 0
Mendocino 6 12 2.99(7) 0
Mortgage Loan Group 3
Total:
Mortgage Loan Group 4
Orlando 1.49 0
New York 1.32 0
Dallas/Plano 0.48 0
Wilmington 1.25 0
San Antonio (5) 0
Seattle 2.50 0
Rehoboth Beach 1.75 0
Ocean City 0.84 0
Gainesville 3.17(7) 0
San Antonio 1.45 0
Jacksonville 1.40 0
Richmond 7.69(7) 0
Ocean City 12 12 (6) (0.10) 0
Kansas City 0.45 0
Los Gatos 2.18 0
Beaverton 1.52 0
Carrboro 4.41(7) 0
Miami 0.80 0
Kissimmee 3.87(7) 0
Annapolis 0.47(7) 0
Alpharetta 1.55 0
San Antonio 2.57(7) 0
Kissimmee 0.96 0
Houston 3.55(7) 0
Lubbock 1.29(7) 0
Laurel (5) 1
Kerrville 1.19 0
Dallas (5) 0
Ocean City 1.23(7) 0
Fairview Heights (5) 0
Houston 1.22 0
Indianapolis 1.59(7) 0
Landover 0.74 0
Rapid City (5) 0
Baltimore 0.68 0
Mortgage Loan Group 4
Total:
- ----------
(1) Original balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Original loan to value is the original balance (not Modified) divided by
the original appraised value.
(3) Current loan to value is the Scheduled Principal Balance of the loan as
of the Cut-Off date divided by the original appraised value.
(4)The calculation of the debt service coverage ratios set forth in the
table was based upon the ratio of NOI, derived from information for a 12
month period ending December 1992 or later (or, if less than a 12-month
period was available, at least a 9-month period ending April 1993 or
later), unless otherwise indicated.
(5) Information not available.
(6) No negative amortization amount is permitted.
(7)Debt Service Coverage ratios are calculated assuming that the Mortgaged
properties were released at market's prevailing effective rents,
occupancy rates and operating expenses.
(8) Interest only Mortgage Loan.
(9) Without giving effect to any modification or extension of maturity date.
(10) After giving effect to modifications as described herein.
(11) This Mortgage Loan and another Mortgage Loan in Mortgage Loan Group 3 with
a Scheduled Principal Balance as of the Cut-Off Date of approximately
$223,707 are equally and ratably secured by the same Mortgaged Property. The
LTVs in the chart are based on the aggregate principal balance of these two
loans.
(12) The Mortgage Loan had a period of interest only payments prior to the start
of the amortization period.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS WITH BALANCES GREATER THAN $1,000,000
Cut-Off
Date
Scheduled Monthly Note
Property Original Principal Payments Origination
City State Type Balance(1) Balance Past Due Date
- ---------------------- ------ -------------- ---------- ----------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 2
St. Petersburg FL MULTIFAMILY $8,925,000 $8,862,354 0 12/01/93
Baytown TX MULTIFAMILY 3,990,000 3,955,535 0 05/19/93
Pasadena TX MULTIFAMILY 3,697,500 3,650,133 0 05/27/93
Grand Prairie TX MULTIFAMILY 3,610,000 3,585,134 0 06/30/93
Dallas TX MULTIFAMILY 3,300,000 3,277,135 0 12/21/93
Grapevine TX MULTIFAMILY 3,257,000 3,221,487 0 03/04/93
Duncanville TX MULTIFAMILY 3,230,000 3,209,281 0 10/29/93
Irving TX MULTIFAMILY 3,094,000 3,076,517 0 10/14/93
Houston TX MULTIFAMILY 2,990,000 2,953,104 0 12/18/92
Irving TX MULTIFAMILY 2,911,250 2,894,800 0 10/14/93
Abilene TX MULTIFAMILY 2,589,100 2,557,232 0 08/28/92
De Soto TX MULTIFAMILY 2,458,125 2,438,877 0 06/30/93
Anaheim CA MULTIFAMILY 2,410,000 2,392,644 0 11/15/93
East Windsor NJ MULTIFAMILY 2,295,000 2,260,403 0 09/25/92
Baton Rouge LA MULTIFAMILY 2,446,500 2,235,520 0 11/16/92
Austin TX MULTIFAMILY 2,210,000 2,187,363 0 12/29/92
Houston TX MULTIFAMILY 2,091,000 2,066,388 0 10/21/92
Oceanside CA MULTIFAMILY 1,912,500 1,899,076 0 11/24/93
Nacogdoches TX MULTIFAMILY 1,890,000 1,864,255 0 12/31/92
Arlington TX MULTIFAMILY 1,785,000 1,766,529 0 12/21/92
Fort Worth TX MULTIFAMILY 1,800,000 1,745,110 0 10/01/91
Midland TX MULTIFAMILY 1,700,000 1,688,952 0 09/30/93
Houston TX MULTIFAMILY 1,712,101 1,617,852 0 10/09/92
Gretna LA MULTIFAMILY 1,676,750 1,653,950 0 12/09/92
Bossier City LA MULTIFAMILY 1,657,500 1,647,916 0 06/30/93
Spring TX MULTIFAMILY 1,633,750 1,618,639 0 04/12/93
Houston TX MULTIFAMILY 1,617,400 1,607,368 0 11/24/93
San Antonio TX MULTIFAMILY 1,572,000 1,555,313 0 10/30/92
Del Rio TX MULTIFAMILY 1,425,000 1,412,027 0 12/31/92
Dunwoody GA MULTIFAMILY 1,275,000 1,264,202 0 03/25/93
Washington DC MULTIFAMILY 1,248,528 1,238,146 0 11/23/93
Dallas TX MULTIFAMILY 1,170,000 1,154,022 0 09/28/92
Atlanta GA MULTIFAMILY 1,147,500 1,137,588 0 06/01/93
Garland TX MULTIFAMILY 1,147,500 1,124,314 0 08/12/93
Brownsville TX MULTIFAMILY 1,200,000 1,112,889 0 06/05/92
Waveland MS MULTIFAMILY 1,105,850 1,093,786 0 11/16/92
Kansas City MO MULTIFAMILY 1,062,500 1,054,591 0 07/29/93
Thibodaux LA MULTIFAMILY 1,049,750 1,040,152 0 03/31/93
Baytown TX MULTIFAMILY 1,020,000 1,011,811 0 05/28/93
Mortgage Loan Group 2
Total: 39 $86,132,395
===========
</TABLE>
"EXHIBIT J - CHARACTERISTICS OF SELLER-ORIGINATED LOANS WITH BALANCES GREATER
THAN $1,000,000" CONTINUED.....
<TABLE>
<CAPTION>
Current Original
Mortgage Original Amort
Property Interest Maturity Term Term Fixed/
City State Type Rate Date(8) (Months)(7) (Months) ARM
- ---------------------- ----- -------------- --------- --------- ------------ -------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 2
St. Petersburg FL MULTIFAMILY 7.375% 01/01/2001 84 360 FIXED
Baytown TX MULTIFAMILY 9.000 06/01/2008 180 360 FIXED
Pasadena TX MULTIFAMILY 7.000 06/01/2000 84 360 FIXED
Grand Prairie TX MULTIFAMILY 9.750 06/30/2008 180 360 FIXED
Dallas TX MULTIFAMILY 6.825 12/01/2000 83 360 FIXED
Grapevine TX MULTIFAMILY 8.500 04/01/1998 60 360 FIXED
Duncanville TX MULTIFAMILY 8.375 11/30/2008 181 360 FIXED
Irving TX MULTIFAMILY 9.000 10/31/1998 60 360 FIXED
Houston TX MULTIFAMILY 8.750 01/01/2000 84 360 FIXED
Irving TX MULTIFAMILY 9.000 10/31/1998 60 360 FIXED
Abilene TX MULTIFAMILY 9.750 09/01/1999 84 360 FIXED
De Soto TX MULTIFAMILY 9.125 06/30/2008 180 360 FIXED
Anaheim CA MULTIFAMILY 7.250 11/15/2000 84 360 FIXED
East Windsor NJ MULTIFAMILY 8.500 10/01/1997 60 360 FIXED
Baton Rouge LA MULTIFAMILY 8.375 11/16/1999 84 361 FIXED
Austin TX MULTIFAMILY 9.675 12/31/1999 84 360 FIXED
Houston TX MULTIFAMILY 9.500 11/01/1999 84 360 FIXED
Oceanside CA MULTIFAMILY 7.375 12/01/1998 60 360 FIXED
Nacogdoches TX MULTIFAMILY 8.250 12/31/1999 84 360 FIXED
Arlington TX MULTIFAMILY 9.625 01/01/2000 84 360 FIXED
Fort Worth TX MULTIFAMILY 9.750 10/01/1998 83 300 FIXED
Midland TX MULTIFAMILY 8.800 10/01/2000 84 360 FIXED
Houston TX MULTIFAMILY 10.625 11/01/2007 180 180 FIXED
Gretna LA MULTIFAMILY 8.250 12/07/2007 180 360 FIXED
Bossier City LA MULTIFAMILY 9.375 06/30/2000 84 360 FIXED
Spring TX MULTIFAMILY 9.000 05/01/2008 180 360 FIXED
Houston TX MULTIFAMILY 8.000 12/01/2000 84 360 FIXED
San Antonio TX MULTIFAMILY 9.500 01/01/2000 84 360 FIXED
Del Rio TX MULTIFAMILY 10.250 12/31/1999 84 360 FIXED
Dunwoody GA MULTIFAMILY 9.750 04/01/1998 60 360 FIXED
Washington DC MULTIFAMILY 6.500 11/23/1998 60 360 FIXED
Dallas TX MULTIFAMILY 9.000 10/01/1999 84 360 FIXED
Atlanta GA MULTIFAMILY 9.000 06/01/2000 84 360 FIXED
Garland TX MULTIFAMILY 8.375 09/01/1998 60 240 FIXED
Brownsville TX MULTIFAMILY 9.500 07/01/1999 84 180 FIXED
Waveland MS MULTIFAMILY 9.625 12/01/1999 84 360 FIXED
Kansas City MO MULTIFAMILY 8.250 08/01/2000 84 360 FIXED
Thibodaux LA MULTIFAMILY 9.375 04/01/2000 84 360 FIXED
Baytown TX MULTIFAMILY 9.360 06/01/2000 84 360 FIXED
Mortgage Loan Group 2
Total: 39
</TABLE>
<TABLE>
<CAPTION>
Current
Guaranty Current number of
Property Purchase by the Payment payments Original
City State Type Price Principal Amount per year NOI(2)
- ---------------------- ------ -------------- ----------- -------- ----------- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 2
St. Petersburg FL MULTIFAMILY $11,900,000 N $61,642.76 12 $795,040
Baytown TX MULTIFAMILY 4,200,000 N 32,104.44 12 570,579
Pasadena TX MULTIFAMILY 4,350,000 N 24,599.56 12 381,474
Grand Prairie TX MULTIFAMILY 3,800,000 N 31,015.48 12 668,564
Dallas TX MULTIFAMILY 4,400,000 N 21,568.51 12 (4)
Grapevine TX MULTIFAMILY 3,832,500 N 25,043.52 12 360,020
Duncanville TX MULTIFAMILY 3,426,700 N 24,550.33 12 (4)
Irving TX MULTIFAMILY 3,640,000 Y 24,895.02 12 (4)
Houston TX MULTIFAMILY 3,400,000 N 23,522.34 12 161,380
Irving TX MULTIFAMILY 3,425,000 Y 23,424.58 12 394,162
Abilene TX MULTIFAMILY 3,046,000 Y 22,244.37 12 301,849
De Soto TX MULTIFAMILY 2,587,500 N 20,000.12 12 376,061
Anaheim CA MULTIFAMILY 3,100,000 N 16,440.45 12 (4)
East Windsor NJ MULTIFAMILY 2,700,000 Y 17,646.56 12 (4)
Baton Rouge LA MULTIFAMILY 3,262,000 N 18,592.33 12 313,918
Austin TX MULTIFAMILY 2,600,000 N 18,865.71 12 298,964
Houston TX MULTIFAMILY 2,460,000 Y 17,582.26 12 310,515
Oceanside CA MULTIFAMILY 2,250,000 N 13,209.16 12 182,600
Nacogdoches TX MULTIFAMILY 2,520,000 N 14,198.94 12 252,621
Arlington TX MULTIFAMILY 2,100,000 N 15,172.31 12 268,983
Fort Worth TX MULTIFAMILY 2,335,000 N 16,040.47 12 245,663
Midland TX MULTIFAMILY 2,000,000 N 13,434.66 12 (4)
Houston TX MULTIFAMILY 1,802,212 N 19,058.44 12 484,956
Gretna LA MULTIFAMILY 1,765,000 N 12,594.97 12 177,000
Bossier City LA MULTIFAMILY 1,950,000 Y 13,786.25 12 194,401
Spring TX MULTIFAMILY 1,725,000 N 13,145.52 12 252,404
Houston TX MULTIFAMILY 1,902,810 Y 11,867.91 12 197,497
San Antonio TX MULTIFAMILY 1,850,000 Y 13,218.33 12 215,281
Del Rio TX MULTIFAMILY 1,500,000 N 12,769.44 12 197,750
Dunwoody GA MULTIFAMILY 1,700,000 N 10,954.22 12 174,931
Washington DC MULTIFAMILY 4,560,000(6) N 7,891.55 12 135,050
Dallas TX MULTIFAMILY 1,560,000 N 9.414.08 12 126,886
Atlanta GA MULTIFAMILY 1,350,000 Y 9,233.04 12 (4)
Garland TX MULTIFAMILY 1,350,000 Y 9,867.67 12 151,690
Brownsville TX MULTIFAMILY 1,600,000 Y 12,530.69 12 (4)
Waveland MS MULTIFAMILY 1,301,000 Y 9,399.58 12 140,424
Kansas City MO MULTIFAMILY 1,250,000 N 7,982.21 12 118,702
Thibodaux LA MULTIFAMILY 1,235,000 Y 8,731.29 12 185,234
Baytown TX MULTIFAMILY 1,200,000 Y 8,472.72 12 (4)
Mortgage Loan Group 2
Total: 39
</TABLE>
<TABLE>
<CAPTION>
Cash
Under- Down
writing Payment
Original Current Current Appraised Appraisal Loan to to
City DSCR NOI(3) DSCR(9) Value Date Appraisal Price
--------------------- -------- ------- --------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 2
St. Petersburg 1.07 $730,285 0.99 $12,000,000 04/06/93 74.38% 25.00%
Baytown 1.29 466,700(5) 1.21(5) 3,800,000 06/27/91 105.00 5.00
Pasadena 1.17 362,956 1.23 2,850,000 01/21/91 130.00(10) 15.00
Grand Prairie 1.80 244,940 0.66 5,600,000 09/14/90 64.46 5.00
Dallas (4) 697,827(5) 2.70(5) 4,400,000 01/26/93 75.00 25.00
Grapevine 1.20 597,208(5) 1.99(5) 3,200,000 11/06/90 101.79 15.02
Duncanville (4) 442,986(5) 1.50(5) 3,350,000 06/23/93 96.41 5.74
Irving (4) 169,370 0.57 4,080,000 12/17/92 75.80 15.00
Houston 0.57 539,457(5) 1.91(5) 3,060,000 10/22/90 97.71 12.06
Irving 1.40 (4) (4) 3,405,000 04/06/93 85.50 15.00
Abilene 1.13 616,787 2.31 2,420,000 05/06/91 106.99 15.00
De Soto 1.57 (4) (4) 3,300,000 11/12/92 74.49 5.00
Anaheim (4) (4) (4) 2,950,000 03/30/93 81.69 22.26
East Windsor (4) (4) (4) (4) (4) 85.00 15.00
Baton Rouge 1.41 440,000 1.97 2,750,000 11/20/89 89.00 25.00
Austin 1.32 638,333(5) 2.82(5) 2,750,000 06/27/91 80.40 15.00
Houston 1.48 344,386 1.63 3,600,000 10/23/90 58.08 15.00
Oceanside 1.15 (4) (4) 3,400,000 10/21/92 56.25 15.00
Nacogdoches 1.48 284,630 1.67 2,320,000 06/25/91 81.50 25.00
Arlington 1.48 423,209(5) 2.32(5) 2,190,000 10/10/90 81.50 15.00
Fort Worth 1.28 297,971 1.55 2,020,000 04/11/91 89.10 22.91
Midland (4) (4) (4) 1,875,000 05/17/91 90.67 15.00
Houston 2.12 457,998(5) 2.00(5) 1,350,000 01/28/92 126.82(10) 5.00
Gretna 1.17 229,240 1.52 1,625,000 05/02/89 103.00 5.00
Bossier City 1.18 75,346 0.46 1,400,000 02/10/92 118.00 15.00
Spring 1.60 221,495(5) 1.40(5) 1,650,000 08/13/91 99.02 5.29
Houston 1.39 256,811 1.80 1,615,000 03/18/93 100.15 15.00
San Antonio 1.36 332,644(5) 2.10(5) 1,920,000 10/18/90 81.90 15.03
Del Rio 1.29 325,809 2.13 1,430,000 01/03/91 99.65 5.00
Dunwoody 1.33 274,244(5) 2.09(5) 1,910,000 12/06/90 66.75 25.00
Washington 1.42 (4) (4) 7,900,000 06/01/93 42.71 26.00
Dallas 1.12 93,646 0.83 1,850,000 02/18/91 63.20 25.00
Atlanta (4) 256,538 2.32 2,280,000 09/14/90 50.33 15.00
Garland 1.28 127,071 1.07 1,380,000 08/16/90 83.15 15.00
Brownsville (4) 139,922 0.93 1,625,000 01/07/92 74.00 25.00
Waveland 1.24 184,115 1.63 1,070,000 04/03/91 103.35 15.00
Kansas City 1.24 (4) (4) 1,110,000 11/13/92 95.72 15.00
Thibodaux 1.77 111,452 1.06 800,000 06/08/91 131.00(10) 15.00
Baytown (4) 367,163(5) 3.61(5) 2,115,000 07/03/90 48.20 15.00
Mortgage Loan Group 2
Total:
- ----------
(1) Original Balance is the Mortgage Loan amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3)Net operating income was derived from information for a 12-month period
ending December 1992 or later (or, if less than a 12-month period was
available, at least a 9-month period ending April 1993 or later), unless
otherwise indicated.
(4) Information not available.
(5)Net operating income and debt service coverage ratio are calculated
assuming that the Mortgaged properties were released at the market's
prevailing effective rents, occupancy rates and operating expenses.
(6) This note was secured by the same multi-family/office property in
Washington, D.C. as a $2,125,872 note in Mortgage Loan Group 4.
(7) Without giving effect to any modification or extension of maturity date.
(8) After giving effect to modifications as described herein.
(9)The calculation of the debt service coverage ratios set forth in the table
was based upon the ratio of NOI, derived from information for a 12 month
period ending December 1992 or later, (or, if less than a 12-month period
was available, at least a 9-month period ending April 1993 or later) unless
otherwise indicated.
(10) Original LTV based on the purchase price is 85.00%, 95.00% and 85.00%,
respectively.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS WITH BALANCES GREATER THAN $1,000,000
Cut-Off
Date
Scheduled Monthly Note
Property Original Principal Payments Origination
City State Type Balance(1) Balance Past Due Date
- ---------------------- ------ ------------- ----------- ------------ -------- --------
<S> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Orlando FL HOTEL/MOTEL $11,170,000 $10,905,339 0 12/07/93
San Antonio TX LAND/WATER 8,766,250 7,572,047 0 05/18/93
UTILITY
Seattle WA INDUSTRIAL 6,335,000 6,292,584 0 01/05/94
San Antonio TX RETAIL 4,590,000 4,556,164 0 08/31/93
Richmond VA HOTEL/MOTEL 4,080,000 4,025,181 0 06/02/93
Kansas City MO OFFICE 3,740,000 3,721,955 0 12/14/93
Beaverton OR RETAIL 3,562,500 3,524,217 0 04/23/93
Carrboro NC RETAIL 3,520,000 3,488,731 0 06/30/93
Kissimmee FL HOTEL/MOTEL 3,400,850 3,347,739 0 06/17/92
San Antonio TX RETAIL 3,004,750 2,961,630 0 09/15/92
Kissimmee FL RETAIL 2,850,000 2,832,273 0 12/03/93
Houston TX RETAIL 2,762,500 2,726,901 0 09/25/92
Lubbock TX HOTEL/MOTEL 2,677,500 2,636,337 0 09/30/92
Kerrville TX HOTEL/MOTEL 2,543,750 2,503,181 0 03/24/93
Dallas TX HOTEL/MOTEL 2,517,500 2,490,551 0 06/04/93
Fairview Heights IL HOTEL/MOTEL 2,507,500 2,476,417 0 08/11/92
Houston TX INDUSTRIAL 2,460,000 2,443,193 0 08/31/93
Tampa FL RELIGIOUS 2,250,000 2,224,823 0 11/23/92
Boca Raton FL NURSING HOME 2,187,250 2,160,186 0 10/30/92
Tampa FL OFFICE 2,125,000 2,114,171 0 12/01/93
Washington DC OFFICE 2,125,872 2,108,196 0 11/23/93
Dallas TX HOTEL/MOTEL 1,955,000 1,938,668 0 08/16/93
Marietta GA OFFICE 1,950,000 1,935,636 0 12/23/93
Greensboro NC HOTEL/MOTEL 1,825,000 1,788,491 0 09/04/92
Nashville TN OFFICE 1,800,000 1,782,151 0 08/09/93
Pembroke Pines FL RETAIL 1,742,500 1,728,212 0 09/03/93
Basking Ridge NJ MOTEL/HOTEL 1,725,000 1,704,511 0 02/26/93
Dallas TX RETAIL 1,710,000 1,684,421 0 07/28/92
Houston TX OFFICE 1,700,000 1,682,409 0 12/22/92
Aurora CO RETAIL 1,678,750 1,659,610 0 03/19/93
Albuquerque NM OFFICE 1,500,000 1,485,993 0 06/29/93
Oakland CA OFFICE 1,479,000 1,471,271 0 12/03/93
Fort Lee NJ OFFICE 1,416,000 1,407,165 0 09/24/93
Charlotte NC HOTEL/MOTEL 1,360,000 1,342,163 0 06/07/93
Denver CO INDUSTRIAL 1,285,432 1,260,862 0 01/15/93
Keller TX RETAIL 1,249,500 1,241,704 0 09/27/93
Coral Springs FL RETAIL 1,241,250 1,228,094 0 07/23/93
Arlington TX OFFICE 1,240,000 1,220,632 0 06/26/92
Houston TX RETAIL 1,224,800 1,210,470 0 08/31/92
Manassas VA HOTEL/MOTEL 1,225,000 1,198,208 0 09/02/93
Hialeah Gardens FL RETAIL 1,237,500 1,197,416 0 10/28/93
Waco TX HOTEL/MOTEL 1,211,250 1,197,031 0 12/04/92
Milwaukee WI HOTEL/MOTEL 1,207,000 1,193,534 0 08/05/93
Albuquerque NM OFFICE 1,125,000 1,114,495 0 06/29/93
Metairie LA RETAIL 1,080,000 1,058,868 1 06/15/92
Freemont CA OFFICE 1,100,000 1,048,492 0 06/30/93
Altamonte Springs FL RETAIL 1,050,000 1,043,264 0 10/25/93
Cayce SC HOTEL/MOTEL 1,050,000 1,033,843 0 07/09/93
Dallas TX OFFICE 1,047,000 1,031,268 0 08/18/92
Mortgage Loan Group 4
Total: 49 $116,000,720
============
Total 88 Loans $202,133,115
============
</TABLE>
"EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS WITH BALANCES GREATER
THAN $1,000,000" - CONTINUED...
<TABLE>
<CAPTION>
Current Original
Mortgage Original Amort
Property Interest Maturity Term Term Fixed/
City State Type Rate Date(8) (Months)(9) (Months) ARM
- ---------------------- ------- ------------ --------- --------- ----------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Orlando FL HOTEL/MOTEL 8.000% 01/01/1999 60 180 FIXED
San Antonio TX LAND/WATER 7.375 05/18/2000 84 0(7) FIXED
UTILITY
Seattle WA INDUSTRIAL 6.290 01/04/2001 83 360 FIXED
San Antonio TX RETAIL 8.625 08/31/2000 84 360 FIXED
Richmond VA HOTEL/MOTEL 6.750 06/01/1998 60 360 FIXED
Kansas City MO OFFICE 8.000 12/14/2000 83 360 FIXED
Beaverton OR RETAIL 8.250 04/23/2000 84 360 FIXED
Carrboro NC RETAIL 8.500 07/01/2000 84 360 FIXED
Kissimmee FL HOTEL/MOTEL 9.000 07/01/1999 84 360 FIXED
San Antonio TX RETAIL 8.750 10/01/1999 84 360 FIXED
Kissimmee FL RETAIL 7.375 02/01/2001 85 360 FIXED
Houston TX RETAIL 9.290 10/01/1999 84 360 FIXED
Lubbock TX HOTEL/MOTEL 8.400 10/01/1999 84 360 FIXED
Kerrville TX HOTEL/MOTEL 7.000 03/23/2000 84 360 FIXED
Dallas TX HOTEL/MOTEL 7.000 06/04/2000 83 360 FIXED
Fairview Heights IL HOTEL/MOTEL 9.715 08/01/1999 84 360 FIXED
Houston TX INDUSTRIAL 9.000 08/30/2000 84 360 FIXED
Tampa FL RELIGIOUS 9.500 11/22/1999 84 360 FIXED
Boca Raton FL NURSING HOME 9.000 10/30/1999 83 360 FIXED
Tampa FL OFFICE 8.375 01/31/2001 84 360 FIXED
Washington DC OFFICE 6.500 11/23/1998 60 360 FIXED
Dallas TX HOTEL/MOTEL 8.000 09/01/2000 84 360 FIXED
Marietta GA OFFICE 6.500 01/01/1999 60 360 FIXED
Greensboro NC HOTEL/MOTEL 9.375 10/01/2017 300 300 FIXED
Nashville TN OFFICE 7.125 09/01/1998 60 360 FIXED
Pembroke Pines FL RETAIL 7.375 09/02/2000 83 360 FIXED
Basking Ridge NJ MOTEL/HOTEL 8.375 03/01/2000 84 360 FIXED
Dallas TX RETAIL 9.000 08/01/1999 84 360 FIXED
Houston TX OFFICE 9.625 01/01/2000 84 360 FIXED
Aurora CO RETAIL 8.275 04/01/2000 84 360 FIXED
Albuquerque NM OFFICE 8.250 06/29/2000 84 360 FIXED
Oakland CA OFFICE 8.250 01/01/2001 84 360 FIXED
Fort Lee NJ OFFICE 9.000 09/24/1998 60 360 FIXED
Charlotte NC HOTEL/MOTEL 9.000 07/01/2000 84 300 FIXED
Denver CO INDUSTRIAL 8.670 01/15/2000 84 300 FIXED
Keller TX RETAIL 9.000 09/03/2000 83 360 FIXED
Coral Springs FL RETAIL 7.210 08/01/2000 84 360 FIXED
Arlington TX OFFICE 9.000 07/01/1999 84 360 FIXED
Houston TX RETAIL 10.000 09/01/1999 84 360 FIXED
Manassas VA HOTEL/MOTEL 6.950 10/01/2000 84 240 FIXED
Hialeah Gardens FL RETAIL 7.000 10/28/2000 84 180 FIXED
Waco TX HOTEL/MOTEL 9.000 12/31/1999 84 360 FIXED
Milwaukee WI HOTEL/MOTEL 9.000 08/05/2000 83 300 FIXED
Albuquerque NM OFFICE 8.250 06/29/2000 84 360 FIXED
Metairie LA RETAIL 10.000 06/30/1997 60 300 FIXED
Freemont CA OFFICE 6.750 06/30/1998 60 180 FIXED
Altamonte Springs FL RETAIL 8.375 10/25/2000 84 360 FIXED
Cayce SC HOTEL/MOTEL 7.500 08/01/2000 84 300 FIXED
Dallas TX OFFICE 9.500 09/01/1999 84 360 FIXED
Mortgage Loan Group 4
Total: 49
Total 88 Loans
</TABLE>
"EXHIBIT J -- CHARACTERISTICS OF SELLER-ORIGINATED LOANS WITH BALANCES GREATER
THAN $1,000,000" - CONTINUED....
<TABLE>
<CAPTION>
Current
Guaranty Current number of
Property Purchase by the Payment payments Original
City State Type Price Principal Amount per year NOI(2)
- ------------------- ------ ------------ ----------- --------- ----------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Orlando FL HOTEL/MOTEL $16,170,000 Y $106,785.00 12 $1,513,826
San Antonio TX LAND/WATER 10,613,268 N 161,627.74 4 (4)
UTILITY
Seattle WA INDUSTRIAL 9,050,000 N 39,170.64 12 1,111,314
San Antonio TX RETAIL 5,400,000 Y 35,700.55 12 (4)
Richmond VA HOTEL/MOTEL 5,440,000 N 26,462.81 12 (4)
Kansas City MO OFFICE 4,400,000 Y 27,442.80 12 562,358
Beaverton OR RETAIL 4,750,000 N 26,763.87 12 (4)
Carrboro NC RETAIL 4,400,000 N 27,065.75 12 418,131
Kissimmee FL HOTEL/MOTEL 4,001,000 Y 27,364.01 12 456,000
San Antonio TX RETAIL 3,535,000 Y 23,638.38 12 (4)
Kissimmee FL RETAIL 3,800,000 Y 19,684.24 12 (4)
Houston TX RETAIL 3,250,000 Y 22,806.53 12 (4)
Lubbock TX HOTEL/MOTEL 3,150,000 Y 20,398.20 12 346,362
Kerrville TX HOTEL/MOTEL 2,750,000 Y 16,856.46 12 88,053
Dallas TX HOTEL/MOTEL 2,650,000 N 16,748.99 12 408,861
Fairview Heights IL HOTEL/MOTEL 2,950,000 Y 21,478.87 12 322,355
Houston TX INDUSTRIAL 3,075,000 Y 19,793.70 12 308,984
Tampa FL RELIGIOUS 3,250,000 N 18,919.22 12 210,140
Boca Raton FL NURSING HOME 3,365,000 Y 17,599.11 12 (660,000)
Tampa FL OFFICE 2,500,000 Y 16,151.54 12 194,532
Washington DC OFFICE 4,560,000(6) N 13,436.96 12 278,706
Dallas TX HOTEL/MOTEL 2,300,000 Y 14,345.10 12 (4)
Marietta GA OFFICE 2,600,000 N 12,325.33 12 (4)
Greensboro NC HOTEL/MOTEL 2,150,000 N 15,786.68 12 (4)
Nashville TN OFFICE 2,400,000 N 12,126.93 12 (226,729)
Pembroke Pines FL RETAIL 2,050,000 N 12,035.00 12 259,031
Basking Ridge NJ MOTEL/HOTEL 2,300,000 N 13,111.25 12 (152,740)
Dallas TX RETAIL 1,800,000 Y 13,759.05 12 203,094
Houston TX OFFICE 2,000,000 N 14,449.82 12 (148,822)
Aurora CO RETAIL 1,975,000 N 12,641.41 12 254,000
Albuquerque NM OFFICE 2,000,000 N 11,269.00 12 407,000
Oakland CA OFFICE 1,740,000 N 11,111.23 12 (4)
Fort Lee NJ OFFICE 1,770,000 Y 11,393.46 12 54,922
Charlotte NC HOTEL/MOTEL 1,521,500 Y 11,413.12 12 155,272
Denver CO INDUSTRIAL 1,676,650 N 10,498.32 12 197,820
Keller TX RETAIL 1,785,000 N 10,053.75 12 (4)
Coral Springs FL RETAIL 1,655,000 N 8,433.86 12 223,992
Arlington TX OFFICE 1,550,000 N 9,977.41 12 209,000
Houston TX RETAIL 1,531,000 Y 10,748.50 12 (4)
Manassas VA HOTEL/MOTEL 1,750,000 Y 9,460.68 12 37,906
Hialeah Gardens FL RETAIL 1,650,000 Y 11,123.00 12 (30,829)
Waco TX HOTEL/MOTEL 1,425,000 N 9,745.99 12 (4)
Milwaukee WI HOTEL/MOTEL 1,420,000 Y 10,129.10 12 154,255
Albuquerque NM OFFICE 1,500,000 N 8,451.75 12 191,000
Metairie LA RETAIL 1,351,000 Y 9,813.97 12 273,186
Freemont CA OFFICE 2,100,000 N 9,734.00 12 48,575
Altamonte Springs FL RETAIL 1,200,000 N 7,980.76 12 (35,715)
Cayce SC HOTEL/MOTEL 1,400,000 N 7,759.41 12 159,166
Dallas TX OFFICE 1,409,000 N 8,803.14 12 (4)
Mortgage Loan Group 4
Total: 49
Total 88 Loans
</TABLE>
<TABLE>
<CAPTION>
Cash
Under- Down
writing Payment
Original Current Current Appraised Appraisal Loan to to
City DSCR NOI(3) DSCR Value Date Appraisal Price
---------------------- -------- ----------- -------- ----------- --------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Mortgage Loan Group 4
Orlando 0.96 $1,914,442 1.49 $12,700,000 03/06/93 87.95% 30.92%
San Antonio (4) (4) (4) 16,135,000 04/01/91 54.33 17.40
Seattle 2.36 1,175,547 2.50 11,575,000 05/01/93 54.73 30.00
San Antonio (4) 620,761 1.45 4,050,000 02/23/93 113.00 15.00
Richmond (4) 2,441,975(5) 7.69(5) 6,800,000 05/08/92 60.00 25.00
Kansas City 1.71 147,976 0.45 5,000,000 02/09/93 75.00 15.00
Beaverton (4) 487,213 1.52 5,000,000 10/30/91 71.25 25.00
Carrboro 1.29 1,432,117(5) 4.41(5) 5,050,000 10/21/91 69.70 20.00
Kissimmee 1.39 1,271,279(5) 3.87(5) 4,725,000 10/09/91 71.98 15.00
San Antonio (4) 728,265(5) 2.57(5) 5,000,000 04/28/90 60.10 15.00
Kissimmee (4) 226,731 0.96 4,430,000 04/04/93 64.00 25.00
Houston (4) 971,476(5) 3.55(5) 4,500,000 03/15/91 61.39 15.00
Lubbock 1.42 315,250(5) 1.29(5) 3,300,000 12/09/90 81.14 15.00
Kerrville 0.46 228,763 1.19 4,600,000 04/21/91 55.30 7.50
Dallas 2.03 (4) (4) 4,600,000 10/01/91 54.70 5.00
Fairview Heights 1.25 (4) (4) 3,160,000 02/01/91 79.35 15.00
Houston 1.30 289,360 1.22 2,900,000 01/04/93 84.83 20.00
Tampa 0.93 (4) (4) 3,545,000 04/12/92 63.47 30.77
Boca Raton (3.13) (4) (4) 3,825,000 04/08/92 57.18 35.00
Tampa 1.00 (4) (4) 2,225,000 04/08/93 95.51 15.00
Washington 1.73 (4) (4) 7,900,000 06/01/93 42.71 26.00
Dallas (4) 60,610 0.35 1,660,000 07/01/92 117.77 15.00
Marietta (4) 241,258 1.56 2,250,000 01/07/92 86.67 25.00
Greensboro (4) 534,606(5) 2.82(5) 2,400,000 05/17/90 76.04 15.12
Nashville (1.56) (4) (4) 3,000,000 11/04/92 60.00 25.00
Pembroke Pines 1.79 (4) (4) 2,400,000 05/01/92 73.00 15.00
Basking Ridge (0.97) 795,031(5) 5.05(5) 2,100,000 04/27/92 82.10 25.00
Dallas 1.23 465,183(5) 2.82(5) 2,800,000 03/13/91 61.10 5.00
Houston (0.86) 249,015(5) 1.44(5) 1,800,000 10/11/90 94.44 15.00
Aurora 1.67 218,778 1.44 2,850,000 02/27/91 59.00 15.00
Albuquerque 3.01 591,684 4.37 3,624,000 08/04/92 41.40 25.00
Oakland (4) (4) (4) 2,500,000 03/12/93 59.00 15.00
Fort Lee 0.40 305,625(5) 2.24(5) 4,550,000 03/13/91 31.12 20.00
Charlotte 1.13 84,836 0.62 1,800,000 07/26/91 75.50 10.61
Denver 1.56 186,369 1.48 2,050,000 12/10/91 62.70 23.33
Keller (4) 65,832 0.55 (4) (4) 70.00 30.00
Coral Springs 2.21 252,300(5) 2.49(5) 2,535,000 12/20/90 49.00 25.00
Arlington 1.65 204,094 1.70 2,200,000 03/11/91 56.30 20.00
Houston (4) 272,099 2.11 1,850,000 07/05/90 66.20 20.00
Manassas 0.33 (4) (4) 1,750,000 01/21/93 70.00 30.00
Hialeah Gardens (0.23) 508,197(5) 3.81(5) 2,400,000 06/19/90 51.56 25.00
Waco (4) 1,526,369(5) 13.05(5) 1,375,000 05/21/92 88.10 15.00
Milwaukee 1.27 287,083 2.36 1,775,000 05/22/92 68.00 15.00
Albuquerque 1.88 (4) (4) 3,200,000 08/04/92 35.00 25.00
Metairie 2.32 (4) (4) 2,350,000 02/14/92 45.96 20.06
Freemont 0.42 (4) (4) 2,800,000 11/15/91 39.29 47.62
Altamonte Springs (0.37) (4) (4) 1,700,000 01/14/92 61.76 12.50
Cayce 1.71 205,534 2.21 1,750,000 05/07/92 60.00 25.00
Dallas (4) 165,272 1.56 1,350,000 12/09/91 77.56 25.69
Mortgage Loan Group 4
Total:
Total
- ----------
(1) Original Balance is the Mortgage Loan Amount at the time the Mortgage Loan
was originated.
(2) Net operating income based on pro-forma information available at time of
loan origination.
(3) Net operating income was derived from information for a 12-month period
ending December 1992 or later, unless otherwise indicated.
(4) Information not available.
(5)Net operating income and debt service coverage ratio are calculated assuming
that the Mortgaged properties were released at the market's prevailing
effective rents, occupancy rates and operating expenses.
(6) This note is secured by the same multi-family/office property in
Washington, D.C. as a $1,248,528 note in Mortgage Loan Group 2.
(7) Interest-only Mortgage Loan.
(8) Without giving effect to any modification or extension of maturity date.
(9) After giving effect to modifications as described herein.
</TABLE>
==========================================================
==========================================================
$[ ]
(Approximate)
LEHMAN STRUCTURED SECURITIES CORP.
Commercial Mortgage Pass-Through
Certificates, Series 1996-1
--------------------------------------------
PROSPECTUS
SEPTEMBER [ ], 1996
--------------------------------------------
LEHMAN BROTHERS
==========================================================
<PAGE>
================================================================================
No dealer, salesman or other person has been authorized to
give any information or to make any representation not
contained in this Prospectus Supplement or the Prospectus
and, if given or made, such information or representation
must not be relied upon as having been authorized by the
Depositor or Lehman Brothers. This Prospectus Supplement and
the Prospectus do not constitute an offer of any securities
other than those to which they relate or an offer to sell,
or a solicitation of an offer to by, to any person in any
jurisdiction where such an offer or solicitation would be
unlawful. Neither the delivery of this Prospectus Supplement
and the Prospectus nor any sale made hereunder shall, under
any circumstances, create any implication that the
information contained herein is correct as of any time
subsequent to their respective dates.
---------------------------------------------
TABLE OF CONTENTS
Prospectus
Page
Summary of Transaction........................... iii
Summary of Terms................................. 1
Risk Factors..................................... 12
Description of the Certificates.................. 14
Use of Proceeds.................................. 20
Description of the Mortgage Loans................ 20
Servicing of the Mortgage Loans.................. 26
Yield, Prepayment and Maturity Considerations.... 28
The Depositor.................................... 82
The Resolution Trust Corporation................. 82
Certain Federal Income Tax Consequences.......... 82
ERISA Considerations............................. 98
Legal Investment Considerations.................. 98
Underwriting .................................... 98
Certificate Ratings.............................. 99
Legal Matters.................................... 99
Additional Information........................... 100
Index of Principal Terms......................... 101
Exhibit A........................................ A-1
Exhibit B........................................ B-1
Exhibit C........................................ C-1
Exhibit D........................................ D-1
Exhibit E........................................ E-1
Exhibit F........................................ F-1
Exhibit G........................................ G-1
Exhibit H........................................ H-1
Exhibit I........................................ I-1
Exhibit J........................................ J-1
Underlying Prospectus
Page
Summary of Information........................... 3
Special Considerations........................... 12
Description of the Certificates.................. 24
Use of Proceeds.................................. 55
Depository Institutions.......................... 55
Description of the Mortgage Loans................ 56
Servicing of the Mortgage Loans.................. 72
Yield, Prepayment and Maturity Considerations.... 81
The Resolution Trust Corporation................. 138
Certain Federal income Tax Consequences.......... 139
Certain Legal Aspects of the Mortgage Loans...... 149
ERISA Considerations............................. 162
Legal Investment Considerations.................. 164
Underwriting..................................... 165
Certificate Ratings.............................. 166
Legal Matters.................................... 167
Financial Information............................ 167
Additional Information........................... 167
Glossary......................................... 168
Exhibits......................................... A-1
================================================================================
================================================================================
PART II
INFORMATION NOT REQUIRED IN PROSPECTUS
Item 30. Other Expenses of Issuance and Distribution.
The expenses expected to be incurred in connection with the issuance
and distribution of the securities being registered, other than underwriting
compensation, are set forth below. All such expenses, except for the filing fee,
are estimated.
Item Amount*
SEC Registration Fee $[ ]
Blue Sky Fees and Expenses $[ ]
Legal Fees and Expenses $[ ]
Accounting Fees and Expenses $[ ]
Trustee's Fees and Expenses $[ ]
Printing and Engraving Fees $[ ]
Rating Agency Fees $[ ]
Miscellaneous $[ ]
--------
$[ ]
- -----------
*To be provided by amendment
Item 31. Sales to Special Parties.
Not applicable.
Item 32. Recent Sales of Unregistered Securities.
Not applicable.
Item 33. Indemnification of Directors and Officers.
Section 145 of the General Corporation Law of the State of Delaware
empowers a corporation to indemnify any person who was or is a party or witness
or is threatened to be made a party to any threatened, pending or completed
action, suit or proceeding, whether civil, criminal, administrative or
investigative (other than an action by or in the right of the corporation) by
reason of the fact that he or she is or was a director, officer, employee or
agent of the corporation or is or was serving at the request of the corporation
as a director, officer, employee or agent of another corporation or enterprise.
Depending on the character of the proceeding, a corporation may indemnify itself
against expenses, costs and fees (including attorney's fees), judgments, fines
and amounts paid in settlement actually and reasonably incurred in connection
with such action, suit or proceeding if the person indemnified acted in good
faith and in a manner he or she reasonably believed to be in or not opposed to
the best interests of the corporation, and, with respect to any criminal action
or proceeding, had no reasonable cause to believe his or her conduct was
unlawful. If the person indemnified is not wholly successful in such action,
suit or proceeding, but is successful, on the merits or otherwise, in one or
more but less than all claims, issues or matters in such proceeding, he or she
may be indemnified against expenses actually and reasonably incurred in
connection with each successfully resolved claim, issue or matter. In the case
of an action or suit by or in the right of the corporation, no indemnification
may be made in respect of any claim, issue or matter as to which such person
shall have been adjudged to be liable to the corporation unless and only to the
extent that the Court of Chancery or the court in which such action or suit was
brought shall determine that despite the adjudication of liability such person
is fairly and reasonably entitled to indemnity for such expenses which the court
shall deem proper. Section 145 provides that to the extent a director, officer,
employee or agent or a corporation has been successful in the defense of any
action, suit or proceeding referred to above or in the defense of any claim,
issue or matter therein, he or she shall be indemnified against expenses
(including attorney's fees) actually and reasonably incurred by him or her in
connection therewith.
The Certificate of Incorporation of the Registrant provides that no
Director of the Registrant shall be personally liable to the Registrant or its
stockholders for monetary damages for breach of fiduciary duty as a Director;
provided, however, that this limitation of liability of a Director shall not
apply with respect to (i) any breach of the Director's duty of loyalty to the
Registrant or its stockholders, (ii) acts or omissions not in good faith or
which involve intentional misconduct or a knowing violation of law, (iii) any
liability arising under Section 174 of the General Corporation Law of the State
of Delaware and (iv) for any transaction from which the Director derives an
improper personal benefit. The Bylaws of the Registrant are silent as to the
indemnification of officers and directors.
Reference is made to the form of Underwriting Agreement filed as
Exhibit 1.1 hereto for provisions relating to the indemnification of directors,
officers and controlling persons against certain liabilities including
liabilities under the Securities Act of 1933, as amended.
Item 34. Treatment of Proceeds from Stock Being Registered.
Not applicable.
Item 35. Financial Statements and Exhibits.
1.1(1) Form of Underwriting Agreement
3.1* Certificate of Incorporation of Lehman Structured
Securities Corp. as currently
in effect
3.2* Bylaws of Lehman Structured Securities
Corp. as currently in effect
4.1(2) Form of Pooling and Servicing Agreement
(relating to the Underlying Class E Certificates)
4.2 Form of Trust Agreement (relating to the
Certificates)
4.3(3) Form of Collateral Security Agreement
5.1* Opinion of Cadwalader, Wickersham & Taft
as to legality (including the consent of such firm)
8.1* Opinion of Cadwalader, Wickersham & Taft as
to certain tax matters (including the consent of
such firm)
24.1* Consent of Cadwalader, Wickersham & Taft
(included in Exhibits 5.1 and 8.1)
25.1(4) Power of Attorney
- ----------
(1) Incorporated herein by reference to Amendment No. 1 to Registration
Statement on Form S-11 (Reg. No. 33-13986), filed with the Commission on
November 12, 1987, Exhibit 1.1.
(2) Incorporated by reference to Amendment No. 2 to Registration Statement on
Form S-11 (Reg. No. 33-82066), filed with the Commission on September 26,
1994, Exhibit 4.1.
(3) Incorporated by reference to Amendment No. 2 to Registration Statement on
Form S-11 (Reg. No. 33-82066), filed with the Commission on September 26,
1994, Exhibit 4.2
(4) Located on the signature page of this Registration Statement.
* To be provided by amendment.
<PAGE>
Item 36. Undertakings.
A. Undertaking pursuant to Rule 415.
--------------------------------
Not applicable.
B. Undertaking in Respect of Indemnification
-----------------------------------------
Insofar as indemnification for liabilities arising under the
Securities Act of 1933 may be permitted to directors, officers and controlling
persons of the Registrant, pursuant to the foregoing provisions, or otherwise,
the Registrant has been advised that in the opinion of the Securities and
Exchange Commission, such indemnification is against public policy as expressed
in the Act and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the
Registrant of expenses incurred or paid by a director, officer or controlling
person of the Registrant in the successful defense of any action, suit or
proceeding) is asserted by such director, officer or controlling person in
connection with the securities being registered, the Registrant, as the case may
be, will, unless in the opinion of its counsel that the matter has been settled
by controlling precedent, submit to a court of appropriate jurisdiction the
question of whether such indemnification by it is against public policy as
expressed in the act and will be governed by the final adjudication of such
issue.
C. Undertaking pursuant to Rule 430A.
---------------------------------
The Registrant hereby undertakes:
(1) For purposes of determining any liability under the Securities Act
of 1933, the information omitted from the form of prospectus filed as part of a
registration statement in reliance upon Rule 430A and contained in the form of
prospectus filed by the Registrant pursuant to Rule 424(b)(1) or (4) or 497(h)
under the Securities Act shall be deemed to be part of this registration
statement as of the time it was declared effective.
(2) For the purposes of determining any liability under the Securities
Act of 1933, each post-effective amendment that contains a form of prospectus
shall be deemed to be a new registration statement relating to the securities
offered therein, and the offering of such securities at that time shall be
deemed to be the initial bona fide offering thereof.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the
registrant certifies that it has reasonable grounds to believe that it meets all
of the requirements for filing on Form S-11 and has duly caused this
registration statement to be signed on its behalf by the undersigned, thereunto
duly authorized in the City of New York, State of New York, on August 12, 1996.
LEHMAN STRUCTURED SECURITIES CORP.
/s/ Michael J. O'Hanlon
By: Michael J. O'Hanlon
Chairman of the Board
KNOW ALL MEN BY THESE PRESENTS, that each person whose signature
appears below constitutes and appoints Theodore P. Janulis and Michael J.
O'Hanlon, and each of them, his true and lawful attorneys-in-fact and agents,
with full power of substitution and resubstitution, for and in his name, place
and stead, in any and all capacities to sign any or all amendments (including
post-effective amendments) to this Registration Statement and any or all other
documents in connection therewith, and to file the same, with all exhibits
thereto, with the Securities and Exchange Commission, granting unto said
attorneys-in-fact and agents full power and authority to do and perform each and
every act and thing requisite and necessary to be done in and about the
premises, as fully to all intents and purposes as might or could be done in
person, hereby ratifying and confirming all that said attorneys-in-fact and
agents, or their substitute or substitutes, may lawfully do or cause to be done
by virtue hereof.
Pursuant to the requirements of the Securities Act of 1933, this
registration statement has been signed by the following persons in the
capacities indicated.
Signature Position
--------- --------
/s/ Michael J. O'Hanlon
Michael J. O'Hanlon Chairman of the Board, Principal Executive Officer
/s/ Theodore P. Janulis
Theodore P. Janulis President, Director
/s/ David Goldfarb
David Goldfarb Principal Accounting Officer
/s/ Charles Hintz
Charles Hintz Principal Financial Officer
<PAGE>
EXHIBITS INDEX
Exhibit Sequential
Number Description of Exhibit Page Number
- ------ ---------------------- -----------
1.1(1) Form of Underwriting Agreement
3.1* Certificate of Incorporation of Lehman Structured
Securities Corp. as currently
in effect
3.2* Bylaws of Lehman Structured Securities
Corp. as currently in effect
4.1(2) Form of Pooling and Servicing Agreement
(relating to the Underlying Class E Certificates)
4.2 Form of Trust Agreement (relating to the
Certificates)
4.3(3) Form of Collateral Security Agreement
5.1* Opinion of Cadwalader, Wickersham & Taft
as to legality (including the consent of such firm)
8.1* Opinion of Cadwalader, Wickersham & Taft as
to certain tax matters (including the consent of
such firm)
24.1* Consent of Cadwalader, Wickersham & Taft
(included in Exhibits 5.1 and 8.1)
25.1(4) Power of Attorney
- ----------
(1) Incorporated herein by reference to Amendment No. 1 to Registration
Statement on Form S-11 (Reg. No. 33-13986), filed with the Commission on
November 12, 1987, Exhibit 1.1.
(2) Incorporated by reference to Amendment No. 2 to Registration Statement on
Form S-11 (Reg. No. 33-82066), filed with the Commission on September 26,
1994, Exhibit 4.1.
(3) Incorporated by reference to Amendment No. 2 to Registration Statement on
Form S-11 (Reg. No. 33-82066), filed with the Commission on September 26,
1994, Exhibit 4.2.
(4) Located on the signature page of this Registration Statement.
* To be provided by amendment.
<PAGE>
EXHIBIT 4.2
================================================================================
LEHMAN STRUCTURED SECURITIES CORP.,
DEPOSITOR
AND
STATE STREET BANK AND TRUST COMPANY,
TRUSTEE
------------------------------------------
TRUST AGREEMENT
Dated as of September 1, 1996
------------------------------------------
$[--------------]
Commercial Mortgage Pass-Through Certificates,
Series 1996-1
================================================================================
<PAGE>
TABLE OF CONTENTS
ARTICLE I
DEFINITIONS
Section 1.01. Definitions
Section 1.02. Interest Calculation; Certificate Principal Balances
ARTICLE II
CONVEYANCE OF THE UNDERLYING CERTIFICATES
AND THE ORIGINAL ISSUANCE OF CERTIFICATES
Section 2.01. Conveyance of the Underlying Certificates
Section 2.02. Issuance of Certificates
Section 2.03. REMIC Designations and Related Matters
Section 2.04. Representations and Warranties of the Depositor
ARTICLE III
ADMINISTRATION OF THE UNDERLYING CERTIFICATES
Section 3.01. Collection of Payments on Underlying Certificates;
Certificate Account; Trustee Obligation To Forward Funds
Section 3.02. Distributions
Section 3.03. Statements to Certificateholders
Section 3.04. Reduction of Certificate Principal Balances Due to
Underlying Certificate Realized Losses
Section 3.05. Notices to Trustee
ARTICLE IV
THE CERTIFICATES
Section 4.01. The Certificates
Section 4.02. Registration of and Limitations on Transfer and
Exchange of Certificates
Section 4.03. Mutilated, Destroyed, Lost or Stolen Certificates
Section 4.04. Persons Deemed Owners
Section 4.05. Definitive Certificates
Section 4.06. Notices to Clearing Agency
ARTICLE V
THE TRUSTEE
Section 5.01. Representations and Warranties of the Trustee
Section 5.02. Directions to Trustee
Section 5.03. Liability of the Trustee
Section 5.04. Returns
Section 5.05. Election of REMIC Status
Section 5.06. Compliance with REMIC Provisions
Section 5.07. Trustee May Own Certificates
Section 5.08. Limitation on Liability of the Trustee and Others
Section 5.09. Delegation of Duty by Trustee
Section 5.10. Trustee's Expenses
Section 5.11. Eligibility Requirements for Trustee
Section 5.12. Resignation and Removal of the Trustee
Section 5.13. Successor Trustee
Section 5.14. Merger or Consolidation of the Trustee
Section 5.15. Appointment of Co-Trustee or Separate Trustee
ARTICLE VI
TERMINATION
Section 6.01. Termination Upon Distribution to Certificateholders
Section 6.02. Failure of Certificateholders to Surrender
Certificates
ARTICLE VII
MISCELLANEOUS PROVISIONS
Section 7.01. Amendment
Section 7.02. Limitation on Rights of Certificateholders
Section 7.03. Limitation on Liability of the Depositor and Others
Section 7.04. Governing Law
Section 7.05. Notices
Section 7.06. Severability of Provisions
Section 7.07. Certificates Nonassessable and Fully Paid
Section 7.08. Execution in Counterparts
EXHIBITS
Exhibit A-1 Form of Class E-1 Certificate
Exhibit A-2 Form of Class E-2 Certificate
Exhibit A-R Form of Class R Certificate
Exhibit B Class R Transferee Affidavit
Exhibit C Class R Transferor Letter
Exhibit D Class E-2 Transferee Affidavit
<PAGE>
This Trust Agreement ("Trust Agreement"), dated as of September 1, 1996, by
and among LEHMAN STRUCTURED SECURITIES CORP., as Depositor and STATE STREET BANK
AND TRUST COMPANY, as Trustee (the "Trustee").
WITNESSETH THAT:
In consideration of the mutual agreements herein contained, the Depositor
and the Trustee agree as follows:
ARTICLE I
DEFINITIONS;
Section 1.01. Definitions: Whenever used in this Trust Agreement, the
following words and phrases, unless the context otherwise requires, shall have
the following meanings:
Agreement: This Trust Agreement.
Available Distribution Amount: As to any Distribution Date, the difference
between (a) the sum of (i) the aggregate distributions in respect of the
Underlying Certificates for such Distribution Date and (ii) the proceeds of any
repurchase of the Underlying Certificates pursuant to Section 2.04 of this Trust
Agreement, and (b) the sum of (i) the Trustee Fee with respect to such
Distribution Date, (ii) the amount of any taxes payable by the Trust REMIC that
are reimbursable to the Trustee pursuant to Section 5.06 and (iii) any amounts
withheld by the Trustee from such distributions pursuant to Sections 3.01 and
5.08 not otherwise withheld pursuant to this clause (b).
Beneficial Owner: With respect to a Book-Entry Certificate, the Person who
is the beneficial owner of such Book-Entry Certificate, as reflected on the
books of the Clearing Agency, or on the books of a Person maintaining an account
with such Clearing Agency (directly or as an indirect participant, in accordance
with the rules of such Clearing Agency), as the case may be.
Book-Entry Certificate: Any of the Class E-1 Certificates, beneficial
ownership and transfers of which shall be evidenced by, and made through, book
entries by the Clearing Agency as described in Section 4.01(b).
Business Day: Any day that is not a Saturday, Sunday, holiday, or other day
on which commercial banking institutions in New York, New York or Boston,
Massachusetts or the city and state in which the Underlying Trustee's corporate
trust office is located are authorized or obligated by law or executive order to
be closed.
Certificate: Any one of the Class E-1, Class E-2, or Class R Certificates
executed by the Trustee in substantially the form set forth in Exhibit A-1,
Exhibit A-2 or Exhibit A-R, respectively, hereto.
Certificate Account: The account established and maintained pursuant to
Section 3.01. The Certificate Account shall be an Eligible Account. Funds
deposited in the Certificate Account shall be held in trust for the benefit of
the Certificateholders for the uses and purposes set forth in Article III
hereof.
Certificate Principal Balance: As to the first Distribution Date, the
Original Certificate Principal Balance of any Certificate, and as to any
succeeding Distribution Date, the Original Certificate Principal Balance
thereof, reduced by (i) all amounts previously distributed to such Certificate
on account of principal pursuant to Section 3.02(a) and (ii) the aggregate
amount of the Underlying Certificate Realized Loss Amount allocated to such
Certificate pursuant to Section 3.04.
Certificate Register: The register maintained pursuant to Section 4.02.
Certificateholder or Holder: The person in whose name a Certificate is
registered in the Certificate Register, except that, solely for the purpose of
giving any consent pursuant to this Agreement, any Certificate registered in the
name of the Depositor or the Trustee or any affiliate of either shall be deemed
not to be outstanding, unless 100% of the Percentage Interests of such Class is
held by one or both of such Persons.
Class: Any of the Class E-1, Class E-2 or Class R Certificates.
Class E Certificate: Any of the Class E-1 or Class E-2 Certificates.
Class E-1 Certificate: A Certificate designated as a Class E-1 Certificate,
substantially in the form attached as Exhibit A-1 hereto.
Class E-2 Certificate: A Certificate designated as a Class E-2 Certificate,
substantially in the form attached as Exhibit A-2 hereto.
Class R Certificate: The Certificate designated as the Class R Certificate.
Clearing Agency: An organization registered as a "clearing agency" pursuant
to Section 17A of the Securities Exchange Act of 1934, as amended, and as
defined in Section 8-102(3) of the Uniform Commercial Code. The initial Clearing
Agency shall be The Depository Trust Company.
Clearing Agency Participant: A broker, dealer, bank, financial institution
or other Person for whom a Clearing Agency effects book-entry transfers of
securities deposited with the Clearing Agency.
Closing Date: September [ ], 1996.
Code: The Internal Revenue Code of 1986, as it may be amended from time to
time, any successor statutes thereto, and applicable U.S. Department of the
Treasury temporary or final regulations promulgated thereunder.
Corporate Trust Office: The principal office of the Trustee and Registrar
at which at any particular time its corporate trust business shall be
administered, which office at the Closing Date is located at 225 Franklin
Street, Boston, Massachusetts 02110.
Cut-off Date: September 1, 1996.
Definitive Certificates: As defined in Section 4.01(b).
Depositor: Lehman Structured Securities Corp., a Delaware corporation, or
its successor in interest.
Distribution Date: The 25th day of each month, or if such 25th day is not a
Business Day, the Business Day succeeding such 25th day, beginning on October
25, 1996.
Eligible Account: Either (a) an account or accounts maintained with a
federal or state chartered depository institution or trust company the long-term
unsecured debt obligations of which (or, in the case of a depository institution
or trust company that is the principal subsidiary of a holding company, the
long-term unsecured debt obligations of such holding company) are rated by each
Rating Agency in one of its two highest long-term rating categories at the time
any amounts are held in deposit therein, or (b) a trust account or accounts
(each of which shall be a "special deposit account") maintained with a federal
or state chartered depository institution or trust company, acting in its
fiduciary capacity, in a manner acceptable to each Rating Agency in respect of
mortgage pass-through certificates rated in one of its two highest rating
categories. Eligible Accounts may be, if otherwise qualified, accounts
maintained with the Trustee.
ERISA: Employee Retirement Income Security Act of 1974, as amended, and the
rules and regulations promulgated thereunder.
Excess Interest Amount: With respect to any Distribution Date and any
Class, an amount equal to the excess interest distributed with respect to the
Underlying Certificates, as specified on the distribution date statement with
respect to the Underlying Certificates for such Distribution Date.
Final Distribution Date: The Distribution Date set forth in the notice
delivered by the Trustee of the final distribution on the Certificates pursuant
to Section 6.01.
Financial Intermediary: A bank, broker, clearing corporation or other
Person (or the nominee of any of them) which in the ordinary course of its
business maintains security accounts for its customers.
Holder: See "Certificateholder."
Interest Accrual Amount: As to any Distribution Date and any Class, an
amount equal to (a) the product of (i) one-twelfth of the Pass-Through Rate for
such Class and (ii) the Certificate Principal Balance of such Class less (b)
such Class's allocable share of the Underlying Certificate Shortfall Amount. The
Underlying Certificate Shortfall Amount will be allocated to each Class pro rata
based on the Interest Accrual Amounts for such Class before reduction pursuant
to clause (b) of the preceding sentence.
Interest Shortfall Amount: With respect to any Distribution Date and Class,
the amount by which the aggregate of the Interest Accrual Amounts for such Class
in respect of all prior Distribution Dates is greater than amounts actually
distributed in respect of interest on such prior Distribution Dates pursuant to
Section 3.02 of this Trust Agreement.
Master Servicer: Midland Data Systems, Inc., or its successor in interest
in its capacity as master servicer under the Underlying Trust Agreement, or any
successor master servicer appointed as therein provided.
Mortgage Loans: Certain adjustable and fixed rate, amortizing and balloon
payment, conventional mortgage loans secured by first liens on commercial,
multifamily residential, and mixed residential commercial properties and certain
mortgage loans secured by junior liens on such types of properties, which have
been transferred to the trust fund formed by the Underlying Trust Agreement.
Non-permitted Foreign Holder: As defined in Section 4.02(d).
Non-U.S. Person: As defined in Section 3.02(b).
Officer's Certificate: With respect to any Person, a certificate signed by
the Chairman of the Board, the President, or a Vice President (however
denominated), and by the Treasurer, the Secretary or one of the Assistant
Treasurers or Assistant Secretaries of such Person (or, in the case of a Person
which is not a corporation, signed by the person or persons having like
responsibilities).
Opinion of Counsel: A written opinion of counsel, who may be counsel for
the Depositor, or the Trustee.
Original Certificate Principal Balance: With respect to:
(i) the Class E-1 Certificates, $_________.
(ii) the Class E-2 Certificates, $_________.
(iii) the Class R Certificate, $0.
Pass-Through Rate: With respect to the Class E-1 Certificates and the Class
E-2 Certificates, a rate per annum equal to 7.995%.
Percentage Interest: As to any Class E Certificate, the percentage obtained
by dividing the Certificate Principal Balance of such Certificate on the Closing
Date by the Original Certificate Principal Balance of such Class of
Certificates. As to the Class R Certificate, 100%.
Person: Any individual, corporation, partnership, joint venture,
association, joint-stock company, trust, unincorporated organization or
government or any agency or political subdivision thereof.
Plan: an employee benefit plan (including a retirement account or a Keogh
plan) that is subject to the fiduciary responsibility provisions of ERISA, or
Section 4975 of the Code or a governmental plan as defined in Section 3(32) of
ERISA or a federal, state or local law which is to a material extent, similar to
the foregoing provisions of ERISA or the Code.
Principal Distribution Amount: With respect to any Distribution Date, an
amount equal to the aggregate amount distributed in respect of principal on the
Underlying Certificates with respect to such Distribution Date.
Prohibited Transaction: Has the meaning assigned to it in Section 860F of
the Code.
Qualified Institutional Buyer: A "qualified institutional buyer," as
defined in Rule 144A under the Securities Act.
Rating Agency: Either Standard & Poor's Ratings Group, a division of The
McGraw-Hill Companies, Inc. or Duff & Phelps Credit Rating Co., or their
respective successors in interest.
Record Date: With respect to each Distribution Date, the close of business
on the last Business Day of the month immediately preceding the month in which
such Distribution Date occurs.
Registrar: Initially the Trustee, in its capacity as Registrar, or any
successor to the Trustee in such capacity.
REMIC: A "real estate mortgage investment conduit" as defined in Section
860D of the Code.
REMIC Provisions: Provisions of the federal income tax law relating to
REMICs, which appear at Sections 860A through 860G of Part IV of Subchapter M of
Chapter 1 of Subtitle A of the Code, and related provisions, and U.S. Department
of the Treasury temporary, proposed or final regulations promulgated thereunder,
as the foregoing may be in effect (or with respect to proposed regulations, are
proposed to be in effect) from time to time.
REMIC Returns: As defined in Section 5.04.
Responsible Officer: With respect to the Trustee, the Chairman or Vice
Chairman of the Board of Directors or Trustees, the Chairman or Vice Chairman of
the Executive or Standing Committee of the Board of Directors or Trustees, the
President, the Chairman of the Committee on Trust Matters, any Vice President,
the Secretary, any Assistant Secretary, the Treasurer, any Assistant Treasurer,
the Cashier, any Assistant Cashier, any Trust Officer, or Assistant Trust
Officer, the Controller and any Assistant Controller or any other officer of the
Trustee customarily performing functions similar to those performed by any of
the above designated officers and also, with respect to a particular matter, any
other officer to whom such matter is referred because of such officer's
knowledge of and familiarity with the particular subject.
Securities Act: The Securities Act of 1933, as amended, and the rules and
regulations promulgated thereunder.
Single Certificate: In the case of the Class E-1 Certificates, a
Certificate with an initial Certificate Principal Balance of $100,000. In the
case of the Class E-2 Certificates, a Certificate with an initial Certificate
Principal Balance of $250,000. In the case of the Class R Certificate, a single
Certificate representing the entire principal balance of the Class.
Startup Day: As defined in Section 2.03(b).
Trust: The trust created by this Agreement.
Trustee: State Street Bank and Trust Company, a Massachusetts banking
corporation, in its capacity as trustee or its successor in interest, or any
successor trustee appointed as herein provided.
Trustee Fee: With respect to any Distribution Date, the fee payable monthly
to the Trustee that accrues at an annual rate equal to 0.005% on the unpaid
principal balance of the Underlying Certificates as in effect immediately prior
to the next preceding Distribution Date.
Trust Fund: The corpus of the Trust consisting of (i) the Underlying
Certificates, (ii) all distributions on the Underlying Certificates payable
after September 1, 1996 and (iii) amounts held from time to time by the Trustee
in the Certificate Account.
Trust REMIC: The REMIC consisting of the Trust.
Underlying Certificate Realized Loss Amount: With respect to any
Distribution Date, the aggregate amount of principal losses on the Mortgage
Loans allocated to the Underlying Certificates with respect to such Distribution
Date.
Underlying Certificates: The Resolution Trust Corporation, Commercial
Mortgage Pass-Through Certificates, Series 1994-C1, Class E certificates with an
aggregate unpaid principal balance as of the Cut-off Date of $-----------, being
transferred to the Trustee pursuant to Section 2.01.
Underlying Certificate Shortfall Amount: With respect to any Distribution
Date, the aggregate amount of interest shortfalls on the Mortgage Loans
allocated to the Underlying Certificates with respect to such Distribution Date.
Underlying Certificate Statement: With respect to the Underlying
Certificates, the reports provided to holders of such Underlying Certificates in
connection with each Distribution Date pursuant to the Underlying Trust
Agreement.
Underlying Trust Agreement: The Pooling and Servicing Agreement, dated as
of September 1, 1994, among Resolution Trust Corporation, as seller, Midland
Data Systems, Inc., as master servicer, and State Street Bank and Trust Company,
as trustee, pursuant to which the Underlying Certificates were issued.
Underlying Trustee: State Street Bank and Trust Company, a Massachusetts
banking corporation, or its successor in interest, in its capacity as trustee
under the Underlying Trust Agreement, or any successor trustee appointed as
therein provided.
Underwriter: Lehman Brothers Inc. and its successors and assigns.
Section 1.02. Interest Calculation; Certificate Principal Balances.
(a) Interest in respect of the Certificates shall be calculated on the
basis of a 360-day year consisting of twelve 30-day months.
(b) For purposes of this Trust Agreement any adjustment made to the
principal balance of an Underlying Certificate will be deemed to have been made
immediately following distributions made on the immediately preceding
Distribution Date.
[End of Article I]
<PAGE>
ARTICLE II
CONVEYANCE OF THE UNDERLYING CERTIFICATES
AND THE ORIGINAL ISSUANCE OF CERTIFICATES;
Section 2.01. Conveyance of the Underlying Certificates. The Depositor,
concurrently with the execution and delivery hereof, does hereby transfer,
convey, sell and assign to the Trustee, on behalf of the Holders of the
Certificates, without recourse, all the right, title and interest of the
Depositor in and to the Underlying Certificates, including all distributions
thereon payable on or after the Cut-off Date. The Trustee, by execution and
delivery hereof, acknowledges receipt of the Underlying Certificates, and
certifies and confirms that (a) The Depository Trust Company has confirmed in
writing to the Trustee that the Underlying Certificates are identified on its
books and records as belonging to the Trustee, (b) the Underlying Certificates
are maintained on the books and records of the Trustee as being held in trust
for the benefit of the Certificateholders, (c) the books and records of the
Trustee do not indicate any other person having any interest in any of the
Underlying Certificates and the Trustee has not confirmed any interest in the
Underlying Certificates to any other person, (d) the Trustee has not at any time
created nor received any notice of the creation of any liens, claims, security
interests or encumbrances with respect to the Underlying Certificates, except
such as are created by this Trust Agreement and (e) the Trustee is a Financial
Intermediary.
The Trustee may hold the Underlying Certificates on behalf of the Holders
of the Certificates in either book-entry or definitive form as the Trustee deems
appropriate and consistent with the terms of the Underlying Trust Agreement.
The assignment of the Underlying Certificates accomplished hereby is
absolute and is intended as a sale. The Depositor hereby pledges and grants to
the Trustee a security interest in the Depositor's interest in the Trust Fund to
secure payment (in the event of recharacterization notwithstanding the parties'
intent) and performance by the Depositor of its obligations hereunder. The
Depositor shall, to the extent consistent with this Agreement, take such actions
as may be necessary to ensure that, if this Agreement were deemed to create a
security interest in the Underlying Certificates, such security interest would
be deemed to be a perfected security interest of first priority under applicable
law and will be maintained as such throughout the term of this Agreement and the
Trustee shall cooperate in such actions by execution and delivery of such
instruments and documents as may be necessary or appropriate in order to
accomplish such actions.
Section 2.02. Issuance of Certificates. The Trustee acknowledges the
transfer and delivery to it of the Underlying Certificates in the manner
described in Section 2.01 hereof, and concurrently with such delivery, has
caused to be duly executed, authenticated and delivered to or upon the order of
the Depositor, in exchange for the Underlying Certificates together with all
other assets included in the definition of "Trust Fund," receipt of which is
hereby acknowledged, Certificates in authorized denominations which evidence
ownership of the entire Trust.
Section 2.03. REMIC Designations and Related Matters.
(a) The Depositor hereby designates the Class E-1 and Class E-2
Certificates as the "regular interests" and the Class R Certificate as the
"residual interest" in the Trust REMIC within the meaning of Sections 860G(a)(1)
and 860G(a)(2) of the Code, respectively.
(b) The Closing Date is hereby designated as the "startup day" of the Trust
REMIC (the "Startup Day") within the meaning of Section 860G(a)(9) of the Code.
(c) If a "tax matters person" is required to be designated with respect to
the Trust REMIC, the holder of the Class R Certificate, by acceptance of such
Certificate, shall be deemed to agree to act as "tax matters person" and to
perform the functions of "tax matters partner" for purposes of Subchapter C of
Chapter 63 of Subtitle F of the Code, and shall be deemed to irrevocably
designate the Trustee as its agent in performing the functions of "tax matters
person" and "tax matters partner." Such agency shall terminate upon the
termination of the Trust established by this Trust Agreement. The usual and
customary expenses of the Trustee acting as such agent shall be borne by the
Trustee. The Trustee shall be entitled to be reimbursed from the Certificate
Account for extraordinary expenses.
(d) The "latest possible maturity date" of the regular interests in the
Trust REMIC is the Distribution Date occurring on June 25, 2026 for purposes of
Code Section 860G(a)(1).
(e) All provisions of this Agreement shall be construed so as to effectuate
the intent of the parties hereto that the Trust be treated as a REMIC at all
times and neither the Trust nor any party hereto shall enter into or directly or
indirectly cause a Prohibited Transaction to occur so long as any of the
Certificates are outstanding or cause the Trust to fail to qualify as a REMIC
during any taxable year.
(f) The Depositor agrees that on or prior to the tenth day after the
Closing Date, the Depositor shall provide the Trustee with a written
notification relating to each Class of Certificates setting forth such
information as to matters of fact as the Trustee may reasonably request to
enable it to comply with its reporting requirements with respect to each Class
of such Certificates to the extent such information can be in the good faith
judgment of the Depositor be determined by it.
Section 2.04. Representations and Warranties of the Depositor. The
Depositor represents and warrants to and covenants with the Trustee for the
benefit of the Certificateholders as follows:
(a) The Depositor (1) is a corporation validly existing and in good
standing under the laws of Delaware with full power and authority (corporate and
other) to own its properties and conduct its business as now being conducted and
to enter into and perform its obligations under this Trust Agreement; (2) is
duly qualified as a foreign corporation in good standing in all jurisdictions in
which the ownership or leasing of property or the conduct of its business
requires such qualification other than jurisdictions in which failure to qualify
would not have a material adverse effect on the Depositor; and (3) owns or
possesses or has obtained all material governmental licenses, permits, consents,
orders, approvals and other authorizations necessary to lease, own or license,
as the case may be, and to operate its properties and to carry on its business
as now being conducted, and is conducting its business so as to comply in all
material respects with all applicable statutes, ordinances, rules and
regulations, noncompliance with which could have a material adverse effect on
the Depositor, of the jurisdictions in which it is conducting business;
(b) This Agreement has been duly authorized, executed and delivered by the
Depositor, and will constitute a valid and binding agreement of the Depositor,
enforceable against the Depositor in accordance with its terms, except as
enforcement thereof may be limited by bankruptcy, insolvency, reorganization,
liquidation, receivership, moratorium or other similar laws relating to or
affecting creditors' rights generally, or by general principles of equity
regardless of whether such enforceability is considered in a proceeding in
equity or at law;
(c) Neither the execution nor the delivery of this Agreement nor the
issuance, delivery and sale of the Certificates, nor the consummation of any
other of the transactions contemplated herein nor the fulfillment of the terms
of this Agreement or the Certificates will result in the breach of any term or
provision of the charter or by-laws of the Depositor or conflict with, result in
a breach, violation or acceleration of or constitutes a default under, the terms
of any indenture or other agreement or instrument to which the Depositor is a
party or by which it is bound, or any statute, order or regulation applicable to
the Depositor of any court, regulatory body, administrative agency or
governmental body having jurisdiction over the Depositor. The Depositor is not a
party to, bound by or in breach or violation of any indenture or other agreement
or instrument, or subject to or in violation of any statute, order or regulation
of any court, regulatory body, administrative agency or governmental body having
jurisdiction over it, which materially and adversely affects, or to the best
knowledge of the Depositor may in the future materially and adversely affect,
(i) the ability of the Depositor to perform its obligations under this Agreement
or (ii) the business, operations, financial condition, properties or assets of
the Depositor; and
(d) There are no actions or proceedings against, or investigations of, the
Depositor pending, or, to the knowledge of the Depositor, threatened, before any
court, administrative agency or other tribunal (i) asserting the invalidity of
this Agreement or the Certificates, (ii) seeking to prevent the issuance of the
Certificates or the consummation of any of the transactions contemplated by this
Agreement or (iii) which might materially and adversely affect the performance
by the Depositor of its obligations under, or the validity or enforceability of,
this Agreement or the Certificates; and
(e) The Depositor is the sole owner of the Underlying Certificates and has
full right to transfer and sell the Underlying Certificates to the Trust free
and clear of any lien, mortgage, pledge, charge, encumbrance, adverse claim or
security interest, and, upon execution and delivery by the Trustee of this
Agreement and delivery to the Depositor of the Certificates, the Trust will
acquire the Underlying Certificates free of any lien, mortgage, pledge, charge,
encumbrance, adverse claim or other security interest (except as is created by
this Agreement).
It is understood and agreed that the representations and warranties set
forth in this Section 2.04 shall survive delivery of the Underlying Certificates
to the Trustee. Upon discovery by the Depositor or the Trustee of a breach of
any of the foregoing representations and warranties (referred to herein as a
"breach"), which breach materially and adversely affects the interests of the
Certificateholders in the Underlying Certificates, the party discovering such
breach shall give prompt written notice to the other party. Within 90 days of
its discovery or its receipt of notice of breach, the Depositor shall cure such
breach in all material respects.
[End of Article II]
<PAGE>
ARTICLE III
ADMINISTRATION OF THE UNDERLYING CERTIFICATES;
Section 3.01. Collection of Payments on Underlying Certificates;
Certificate Account; Trustee Obligation To Forward Funds. The Trustee shall
establish and maintain with itself a trust account (the "Certificate Account")
entitled "Lehman Structured Securities Corp., Commercial Mortgage Pass-Through
Certificates, Series 1996-1, Certificate Account," which shall be an Eligible
Account, in which the Trustee shall, subject to the terms of this paragraph and
to Section 5.08, deposit each distribution received by the Trustee with respect
to the Underlying Certificates upon receipt. The Trustee shall arrange to
receive all distributions with respect to the Underlying Certificates by wire
transfer, and the cost of any such wire transfer shall be the nonreimbursable
expense of the Trustee. On each Distribution Date, before making the
distributions referred to in Section 3.02 below, the Trustee shall withdraw (i)
the Trustee Fee and the amount of any taxes payable with respect to the Trust
REMIC pursuant to Section 5.06 from the Certificate Account and pay such amounts
to itself and the appropriate taxing authority as applicable and (ii) any other
amounts payable to itself under this Agreement. With respect to any Distribution
Date, if the Trustee shall not have received the amount distributed on the
Underlying Certificates early enough for the Trustee to remit funds for
distributions on the Trust Certificates on such Distribution Date, the Trustee
shall, unless prevented by law from doing so, or unless in the good faith
judgment of the Trustee such amount will not be ultimately remitted within three
Business Days, forward from its own funds and deposit into the Certificate
Account the full amount distributable to the holders of Trust Certificates on
such Distribution Date (up to the amount to be received by the Trustee on the
Underlying Certificates in respect of such Distribution Date). The amount of any
such advance shall be reimbursable (without any interest) to the Trustee
directly from the distribution on the Underlying Certificates when received by
the Trustee. If the Trustee shall not have received a distribution with respect
to the Underlying Certificates by the second Business Day after the date on
which such distribution was due and payable pursuant to the terms of the
Underlying Certificates, the Trustee shall request such payment as promptly as
possible and legally permitted and shall, subject to the penultimate sentence of
this paragraph, take such legal action as the Trustee shall deem appropriate
under the circumstances, including the prosecution of any claims in connection
therewith. The reasonable legal fees and expenses incurred by the Trustee in
connection with the prosecution of any such legal action shall be reimbursable
to the Trustee out of the proceeds of any such action and shall be retained by
the Trustee prior to the deposit of any remaining proceeds in the Certificate
Account pending distribution thereof to Certificateholders in accordance with
Section 3.02 hereof. In the event that the Trustee has reason to believe that
the proceeds of any such legal action may be insufficient to reimburse it for
its projected legal fees and expenses, the Trustee shall notify the
Certificateholders that it is not obligated to pursue any such available
remedies unless adequate indemnity for its legal fees and expenses is provided
by Certificateholders. In the event any such indemnity is provided to the
Trustee, the Trustee shall take such action as shall be appropriate under the
circumstances.
Amounts on deposit in the Certificate Account may not be invested.
Section 3.02. Distributions. (a) On each Distribution Date, the Trustee
shall, to the extent of the Available Distribution Amount on deposit in the
Certificate Account, distribute to the Certificateholders of record on the
preceding Record Date as specified below, by check mailed to the applicable
Certificateholder at such Holder's address as it appears on the Certificate
Register, or, upon written request to the Trustee at least five Business Days
prior to the relevant Record Date by any Holder of the Certificates having an
aggregate initial Certificate Principal Balance that is in excess of the lesser
of (i) $[5,000,000] or (ii) two-thirds of the initial aggregate Certificate
Principal Balance of such Class of Certificates, by wire transfer in immediately
available funds to the account of such Certificateholder specified in the
request, the Available Distribution Amount in the following order of priority:
first, to the Class E-1 Certificates in an aggregate amount up to its
Interest Accrual Amount with respect to such Distribution Date;
second, to the Class E-1 Certificates in an aggregate amount up to its
previously unpaid Interest Shortfall Amount;
third, to the Class E-2 Certificates in an aggregate amount up to its
Interest Accrual Amount with respect to such Distribution Date;
fourth, to the Class E-2 Certificates in an aggregate amount up to its
previously unpaid Interest Shortfall Amount;
fifth, to the Class E-1 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
sixth, to the Class E-2 Certificates, until the Certificate Principal
Balance thereof has been reduced to zero;
seventh, to each Class of Class E Certificates in reduction of their
principal balances, pro rata, based on their respective Certificate Principal
Balances, in an aggregate amount up to the Excess Interest Amount with respect
to such Distribution Date; and
eighth, to the Class R Certificate.
Distributions of interest and principal to each holder of a Certificate of
a Class will be made to the extent described above, on each Distribution Date in
an amount equal to each such holder's Percentage Interest multiplied by the
amount to be distributed in respect of such Class of Certificates.
(b) The Trustee shall withhold or cause to be withheld such amounts as may
be required by the Code (giving full effect to any exemptions from withholding
and related certifications required to be furnished by Certificateholders and
any reductions to withholding by virtue of any bilateral tax treaties and any
applicable certification required to be furnished by Certificateholders with
respect thereto) from distributions to be made to Non-U.S. Persons. A "Non-U.S.
Person" is an individual, corporation, partnership or other person other than a
citizen or resident of the United States, a corporation, partnership or other
entity created or organized in or under the laws of the United States or any
political subdivision thereof, or an estate or trust that is subject to U.S.
federal income tax regardless of the source of its income.
Section 3.03. Statements to Certificateholders.
(a) On each Distribution Date the Trustee shall forward a statement by mail
to each holder of a Certificate and to each Rating Agency, setting forth:
(1) the amount of any distribution to the Holders of the Certificates
of each Class to be applied to reduce the Certificate Principal Balance
thereof, separately identifying any reduction thereof on account of the
Excess Interest Amount;
(2) the amount of any distribution to the Holders of the Certificates
of each Class allocable to accrued interest and the Pass-Through Rate
applicable to each Class;
(3) the aggregate Certificate Principal Balance of each Class of
Certificates after giving effect to the distribution to be made on such
Distribution Date, separately identifying any reduction thereof on account
of principal losses;
(4) the Underlying Certificate Realized Loss Amount with respect to
such Distribution Date;
(5) the Underlying Certificate Shortfall Amount;
(6) the Interest Shortfall Amount, if any, for each Class of
Certificates, after giving effect to the distribution made on such
Distribution Date; and
(7) any reports required to be provided to Holders of the Certificates
by the REMIC Provisions.
In the case of information furnished pursuant to clauses (1) and (2) above,
the amounts shall be expressed, with respect to any Certificate, as a dollar
amount per $[1,000] denomination.
(b) On each Distribution Date, the Trustee shall forward or cause to be
forwarded by mail to each Certificateholder with each statement described in
subsection (a) of this Section 3.03 a copy of the Underlying Certificate
Statement with respect to such Distribution Date.
(c) In addition to the Distribution Date reports specified in clauses (a)
and (b) above, the Trustee shall forward to the Holder of the Class R
Certificate on each Distribution Date, a statement setting forth the amounts
actually distributed with respect to the Class R Certificate on such
Distribution Date.
Within a reasonable period of time after the end of each calendar year, the
Trustee shall prepare and furnish to each entity who at any time during the
calendar year was a Certificateholder, a statement containing the information
set forth in clauses (1) and (2) of Section 3.03(a) above, aggregated for such
calendar year thereof during which such entity was a Holder of the Certificates.
Such obligation of the Trustee shall be deemed to have been satisfied to the
extent that substantially comparable information shall be provided by the
Trustee pursuant to any requirements of the Code as from time to time are in
force.
Within a reasonable period of time after the end of each calendar year, the
Trustee shall prepare and furnish to each entity who at any time during the
calendar year was a Holder of the Class R Certificate a statement containing the
information provided pursuant to the second preceding paragraph aggregated for
such calendar year thereof during which such entity was a Holder of such
Certificate. Such obligation of the Trustee shall be deemed to have been
satisfied to the extent that substantially comparable information shall be
provided by the Trustee pursuant to any requirements of the Code as from time to
time are in force.
Section 3.04. Reduction of Certificate Principal Balances Due to Underlying
Certificate Realized Losses. With respect to each Distribution Date, the
Certificate Principal Balance of each Class of Class E Certificates shall be
reduced (prior to distribution of the Principal Distribution Amount on such
date) pro rata (on the basis of the Certificate Principal Balance of each such
Class) by the Underlying Certificate Realized Loss Amount with respect to such
Distribution Date.
Section 3.05. Notices to Trustee.
(a) Subject to the third paragraph of Section 7.02, if at any time the
Trustee, as the Holder of the Underlying Certificates, is requested in such
capacity to take any action or to give any consent, approval or waiver,
including without limitation in connection with an amendment of the Underlying
Trust Agreement or if an event of default occurs under the Underlying Trust
Agreement with respect to the Master Servicer or the Underlying Trustee
thereunder, the Trustee, in its capacity as Holder of the Underlying
Certificates, shall promptly notify or cause to be notified all of the Holders
of the Certificates and shall take action in connection with the enforcement of
any rights and remedies available to it in such capacity with respect thereto
only in accordance with the written directions of Holders of the Certificates
representing an aggregate outstanding Certificate Principal Balance of not less
than 51% of the Certificates.
(b) Upon receipt of notice of the final distribution on any Underlying
Certificate, the Trustee shall surrender such Underlying Certificate to the
Underlying Trustee for payment of the final distribution thereon.
[End of Article III]
<PAGE>
ARTICLE IV
THE CERTIFICATES;
Section 4.01. The Certificates.
(a) The Certificates shall be issued as Class E-1, Class E-2 and Class R
Certificates substantially in the respective forms set forth in Exhibit A-1,
Exhibit A-2 and Exhibit A-R. The aggregate Certificate Principal Balance of all
Certificates of each Class issued as of the Closing Date shall equal such
Class's respective Original Certificate Principal Balance. The Certificates
shall be issued in minimum denominations of a Single Certificate and (except for
the Class R Certificate) integral multiples of $1,000 initial Certificate
Principal Balance in excess thereof, except for one Class E Certificate of each
Class which may be issued in another denomination. There will be only one Class
R Certificate. The Certificates shall, on original issue, be executed by the
Trustee, not in its individual capacity but solely as Trustee, authenticated by
the Registrar and delivered by the Trustee to or upon the order of Depositor
upon receipt by the Trustee of the Underlying Certificates pursuant to Section
2.01 hereof. Each Certificate shall be in fully-registered form and shall be
numbered serially for identification. The Certificates shall be executed by
manual or facsimile signature on behalf of the Trustee by any Responsible
Officer thereof. Certificates bearing the manual or facsimile signatures of
individuals who were, at the time when such signatures were affixed, authorized
to sign on behalf of the Trustee shall bind the Trustee, notwithstanding that
such individuals or any of them have ceased to be so authorized prior to the
execution and delivery of such Certificates. No Certificate shall be entitled to
any benefit under this Agreement, or be valid for any purpose, unless such
Certificate shall have been manually authenticated by the Registrar
substantially in the form set forth in Exhibit A-1, Exhibit A-2 or Exhibit A-R,
as the case may be, and such manual signature upon any Certificate shall be
conclusive evidence, and the only evidence, that such Certificate has been duly
authenticated and delivered hereunder. All Certificates shall be dated the date
of their authentication and delivery.
Until such time as Definitive Certificates are issued pursuant to Section
4.05, each Book-Entry Certificate shall bear such legend:
"UNLESS THIS CERTIFICATE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF
[THE CLEARING AGENCY] TO THE TRUSTEE OR ITS AGENT FOR REGISTRATION OF TRANSFER,
EXCHANGE OR PAYMENT, AND ANY CERTIFICATE ISSUED IS REGISTERED IN THE NAME OF
[THE CLEARING AGENCY] OR SUCH OTHER NAME AS IS REQUESTED BY AN AUTHORIZED
REPRESENTATIVE OF [THE CLEARING AGENCY] (AND ANY PAYMENT IS MADE TO [THE
CLEARING AGENCY] OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED
REPRESENTATIVE OF [THE CLEARING AGENCY]), ANY TRANSFER, PLEDGE OR OTHER USE
HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE
REGISTERED OWNER HEREOF, [THE CLEARING AGENCY], HAS AN INTEREST HEREIN."
(b) Upon original issuance, the Book-Entry Certificates shall be issued in
the form of one or more typewritten certificates, to be delivered to The
Depository Trust Company, the initial Clearing Agency, by, or on behalf of, the
Depositor. Such Certificates shall initially be registered on the Certificate
Register in the name of the nominee of the initial Clearing Agency, and no
Beneficial Owner will receive a definitive certificate representing such
Beneficial Owner's interest in the Book-Entry Certificates, except as provided
in Section 4.05. Unless and until definitive, fully-registered certificates
("Definitive Certificates") have been issued to Beneficial Owners pursuant to
Section 4.05:
(i) the provisions of this Section 4.01(b) shall be in full force and
effect;
(ii) the Depositor, the Registrar and the Trustee may deal with the
Clearing Agency for all purposes (including the making of distributions on the
Book-Entry Certificates and the taking of actions by the Holders of Book-Entry
Certificates) as the authorized representative of the Beneficial Owners;
(iii) to the extent that the provisions of this Section 4.01(b)
conflict with any other provisions of this Agreement, the provisions of this
Section 4.01(b) shall control;
(iv) the rights of Beneficial Owners shall be exercised only through the
Clearing Agency and shall be limited to those established by law, the rules,
regulations and procedures of the Clearing Agency and agreements between such
Beneficial Owners and the Clearing Agency and/or the Clearing Agency
Participants, and all references in this Agreement to actions by
Certificateholders shall, with respect to the Book-Entry Certificates, refer to
actions taken by the Clearing Agency upon instructions from the Clearing Agency
Participants, and all references in this Agreement to distributions, notices,
reports and statements to Certificateholders shall, with respect to the
Book-Entry Certificates, refer to distributions, notices, reports and statements
to the Clearing Agency or its nominee, as registered holder of the Book-Entry
Certificates, as the case may be, for distribution to Beneficial Owners in
accordance with the procedures of the Clearing Agency; and
(v) the initial Clearing Agency will make book-entry transfers among
the Clearing Agency Participants and receive and transmit distributions of
principal and interest on the Certificates to the Clearing Agency
Participants, for distribution by such Clearing Agency Participants to the
Beneficial Owners or their nominees.
For purposes of any provision of this Agreement requiring or permitting
actions with the consent of, or at the direction of, Holders of Book-Entry
Certificates evidencing specified Percentage Interests, such direction or
consent shall be given by Beneficial Owners having the requisite Percentage
Interests, acting through the Clearing Agency.
Section 4.02. Registration of and Limitations on Transfer and Exchange of
Certificates.
(a) The Registrar shall cause to be kept at its Corporate Trust Office a
Certificate Register in which, subject to such reasonable regulations as it may
prescribe, the Registrar shall provide for the registration of Certificates and
of transfers and exchanges of Certificates as herein provided.
(b) Subject to the restrictions and limitations set forth below, upon
surrender for registration of transfer of any Certificate at the Corporate Trust
Office, the Trustee shall execute and the Registrar (or Trustee, if the Trustee
is also the Registrar) shall authenticate and deliver, in the name of the
designated transferee or transferees, one or more new Certificates of the same
Class in authorized denominations evidencing the same aggregate Percentage
Interests.
(c) No sale, transfer, pledge or other disposition by any Holder of a Class
E-2 Certificate shall be made unless the Trustee shall have received a
transferee affidavit from the proposed purchaser or transferee of such
Certificate in form and substance as set forth in Exhibit D hereto, to the
effect that such proposed purchaser or transferee is (i) not an employee benefit
plan that is subject to the Employee Retirement Income Security Act of 1974, as
amended ("ERISA"), or described in section 4975(e)(1) of the Internal Revenue
Code of 1986, as amended (the "Code"), or subject to any essentially similar
federal, state, or local law ("Similar Law"), and is not an insurance company
using assets of separate accounts or general accounts which include assets of
such plans (or which are deemed pursuant to ERISA to include the assets of such
plans) and (ii) is (a) an institution that is an "accredited investor" as
defined in paragraphs (1), (2), (3) and (7) of rule 501(a) under the Securities
Act of 1933, as amended (the "Act") (or any entity in which all of the equity
owners come within such paragraphs), (b) a "qualified institutional buyer" as
defined in rule 144A under the Act, or (c) any person (other than any rating
organization rating the Depositor's securities) involved in the organization or
operation of the Depositor or an affiliate, as defined in rule 405 under the
Act.
Furthermore, any transferee of any Certificate (including any Beneficial
Holders) will be deemed to have represented that it is not an employee benefit
plan that is subject to the Employee Retirement Income Security Act of 1974, as
amended ("ERISA"), or described in section 4975(e)(1) of the Internal Revenue
Code of 1986, as amended (the "Code"), or subject to any essentially similar
federal, state, or local law ("Similar Law"), and is not an insurance company
using assets of separate accounts or general accounts which include assets of
such plans (or which are deemed pursuant to ERISA to include the assets of such
plans) and (ii) is (a) an institution that is an "accredited investor" as
defined in paragraphs (1), (2), (3) and (7) of rule 501(a) under the Securities
Act of 1933, as amended (the "Act") (or any entity in which all of the equity
owners come within such paragraphs), (b) a "qualified institutional buyer" as
defined in rule 144A under the Act, or (c) any person (other than any rating
organization rating the Depositor's securities) involved in the organization or
operation of the Depositor or an affiliate, as defined in rule 405 under the
Act.
(d) No legal or beneficial interest in all or any portion of the Class R
Certificate may be transferred directly or indirectly to a "disqualified
organization" within the meaning of Code Section 860E(e)(5) or an agent of a
disqualified organization (including a broker, nominee or middleman) or to an
individual, corporation, partnership or other person unless such transferee (i)
is not a Non-U.S. Person or (ii) is a Non-U.S. Person that holds the Class R
Certificate in connection with the conduct of a trade or business within the
United States and has furnished the transferor and the Trustee with an effective
Internal Revenue Service Form 4224 or (iii) is a Non-U.S. Person that has
delivered to both the transferor and the Trustee an opinion of a nationally
recognized tax counsel to the effect that the transfer of the Class R
Certificate to it is in accordance with the requirements of the Code and the
regulations promulgated thereunder and that such transfer of the Class R
Certificate will not be disregarded for federal income tax purposes (any such
person who is not covered by clauses (i), (ii) or (iii) above being referred to
herein as a "Non-permitted Foreign Holder"), and any such purported transfer
shall be void and have no effect. The Trustee shall not execute, and shall not
authenticate (or cause to authenticate) and deliver, a new Class R Certificate
in connection with any such transfer to a disqualified organization or agent
thereof (including a broker, nominee or middleman) or a Non-permitted Foreign
Holder, and neither the Registrar nor the Trustee shall accept a surrender for
transfer or registration of transfer, or register the transfer of, the Class R
Certificate (other than with respect to the transfer of the Class R Certificate
to the Underwriter), unless the proposed transferee shall have provided (at such
transferee's expense) to the Trustee and transferor an affidavit, substantially
in the form attached as Exhibit B hereto, signed by such proposed transferee, to
the effect that the transferee is not such a disqualified organization, an agent
(including a broker, nominee or middleman) for any entity as to which the
transferee has not received a substantially similar affidavit or a Non-permitted
Foreign Holder, which affidavit shall contain the consent of the transferee to
any such amendments of this Agreement as may be required to further effectuate
the foregoing restrictions on transfer of the Class R Certificate to
disqualified organizations or Non-permitted Foreign Holders. Such affidavit
shall also contain the statement of the transferee that (i) the transferee has
historically paid its debts as they have come due and intends to do so in the
future, (ii) the transferee understands that it may incur liabilities in excess
of cash flows generated by the residual interest, (iii) the transferee intends
to pay taxes associated with holding the residual interest as they become due,
(iv) the transferee is a Qualified Institutional Buyer and (v) the transferee
will not transfer the Class R Certificate to any Person who does not provide an
affidavit substantially in the form attached as Exhibit B hereto.
The affidavit described in the preceding paragraph, if not executed in
connection with the initial issuance of the Class R Certificate, shall be
accompanied by a written statement in the form attached as Exhibit C hereto,
signed by the transferor, to the effect that as of the time of the transfer, the
transferor has no actual knowledge that the transferee is a disqualified
organization or Non-permitted Foreign Holder, and has no knowledge or reason to
know that the statements made by the transferee with respect to clauses (i) and
(iii) of the last sentence of the preceding paragraph are not true. The Class R
Certificate shall bear a legend referring to the foregoing restrictions
contained in this paragraph and the preceding paragraph.
Upon notice to a Responsible Officer of the Trustee that any legal or
beneficial interest in any portion of the Class R Certificate has been
transferred, directly or indirectly, to a disqualified organization or agent
thereof (including a broker, nominee or middleman) in contravention of the
foregoing restrictions, (i) such transferee shall be deemed to hold the Class R
Certificate in constructive trust for the last transferor who was not a
disqualified organization or agent thereof, and such transferor shall be
restored as the owner of such Class R Certificate as completely as if such
transfer had never occurred, provided that the Trustee may, but is not required
to, receive any distributions made to such transferee with respect to the Class
R Certificate, and (ii) the Trustee agrees to furnish the Internal Revenue
Service and to any transferor of the Class R Certificate or such agent (within
60 days of the request therefor by the transferor or agent) such information
necessary to the application of Code Section 860E(e) as may be required by the
Code, including but not limited to the present value of the total anticipated
excess inclusions with respect to the Class R Certificate (or portion thereof)
for periods after such transfer. At the election of the Trustee, the cost of
computing and furnishing such information may be charged to the transferor or
such agent referred to above; however, the Trustee shall in no event be excused
from furnishing such information.
(e) At the option of the Certificateholders, Certificates may be exchanged
for other Certificates of the same Class in authorized denominations evidencing
the same aggregate Percentage Interests upon surrender of the Certificates to be
exchanged at the Corporate Trust Office of the Registrar. Whenever any
Certificates are so surrendered for exchange, the Trustee shall execute and the
Registrar shall authenticate and deliver the Certificates that the
Certificateholder making the exchange is entitled to receive. Each Certificate
presented or surrendered for registration of transfer or exchange shall (if so
required by the Registrar) be duly endorsed by, or be accompanied by a written
instrument of transfer in form satisfactory to the Registrar duly executed by,
the Holder thereof or his attorney duly authorized in writing. Certificates
delivered upon any such transfer or exchange will evidence the same obligations,
and will be entitled to the same rights and privileges, as the Certificates
surrendered.
No service charge shall be made for any registration of transfer or
exchange of Certificates, but the Registrar shall require payment of a sum
sufficient to cover any tax or governmental charge that may be imposed in
connection with any registration of transfer or exchange of Certificates.
All Certificates surrendered for registration of transfer and exchange
shall be canceled by the Registrar and delivered to the Trustee for subsequent
destruction without liability on the part of either.
Section 4.03. Mutilated, Destroyed, Lost or Stolen Certificates. If (i) any
mutilated Certificate is surrendered to the Registrar or the Trustee receives
evidence to its satisfaction of the destruction, loss or theft of any
Certificate and of the ownership thereof, and (ii) there is delivered to the
Trustee such security or indemnity as may be required by it to save it and the
Registrar harmless, then the Trustee shall execute and the Registrar shall
authenticate and deliver, in exchange for or in lieu of any such mutilated,
destroyed, lost or stolen Certificate, a new Certificate of like tenor but
bearing a number not contemporaneously outstanding. Upon the issuance of any new
Certificate under this Section 4.03, the Registrar may require the payment of a
sum sufficient to cover any tax or other governmental charge that may be imposed
in relation thereto and any other expenses (including the fees and expenses of
the Trustee or the Registrar) connected therewith. Any duplicate Certificate
issued pursuant to this Section shall constitute complete and indefeasible
evidence of ownership of a like Percentage Interest as if originally issued,
whether or not the lost, stolen or destroyed Certificate shall be found at any
time. All Certificates surrendered to the Registrar under the terms of this
Section 4.03 shall be canceled by the Registrar and delivered to the Trustee for
subsequent destruction without liability on the part of either.
Section 4.04. Persons Deemed Owners. Prior to due presentation of a
Certificate for registration of transfer, the Depositor, the Registrar, the
Trustee and any agent of such Persons may treat the Person in whose name any
Certificate is registered as the owner of such Certificate for the purpose of
receiving distributions pursuant to Section 3.02 and at any other time for all
other purposes whatsoever, and neither the Depositor, the Registrar, the
Trustee, nor any agent of such Persons shall be affected by notice to the
contrary.
Section 4.05. Definitive Certificates. If (i)(A) the Depositor advises the
Trustee in writing that the Clearing Agency is no longer willing or able to
properly discharge its responsibilities as depository with respect to the
Book-Entry Certificates, and (B) the Depositor is unable to locate a qualified
successor, (ii) the Depositor, at its option, advises the Trustee in writing
that it elects to terminate the book-entry system through the Clearing Agency
with respect to some or all of the Book-Entry Certificates or (iii) Beneficial
Owners representing aggregate Percentage Interests of not less than 51% of the
aggregate Percentage Interests of each outstanding Class of Book-Entry
Certificates advise the Trustee through the Clearing Agency and Clearing Agency
Participants in writing that the continuation of a book-entry system through the
Clearing Agency is no longer in the best interests of the Beneficial Owners, the
Trustee shall notify the Beneficial Owners, through the Clearing Agency, of the
occurrence of any such event and of the availability of Definitive Certificates
to Beneficial Owners requesting the same. Upon surrender to the Trustee by the
Clearing Agency of the Certificates held of record by its nominee, accompanied
by re-registration instructions and directions to execute and authenticate new
Certificates, the Trustee shall, at the Depositor's expense, execute and
authenticate Definitive Certificates for delivery at its Corporate Trust Office.
The Trustee shall arrange for the printing and issuance of such Definitive
Certificates at the expense and direction of the Depositor. Neither the
Depositor nor the Trustee shall be liable for any delay in delivery of such
instructions by the Clearing Agency and may conclusively rely on, and shall be
protected in relying on, such instructions and the identification of the
Beneficial Owners by the Clearing Agency and the Clearing Agency Participants.
Section 4.06. Notices to Clearing Agency. Whenever notice or other
communication to the Holders of Book-Entry Certificates is required under this
Agreement, unless and until Definitive Certificates shall have been issued to
Beneficial Owners pursuant to Section 4.05, the Trustee shall give all such
notices and communications specified herein to be given to Holders of Book-Entry
Certificates to the Clearing Agency.
[End of Article IV]
<PAGE>
ARTICLE V
THE TRUSTEE
Section 5.01. Representations and Warranties of the Trustee. The Trustee
represents and warrants to the Depositor and the Trustee, for the benefit of the
Certificateholders, as follows:
(a) Organization and Existence. The Trustee is a Massachusetts banking
corporation duly organized and validly existing under the laws of the
Commonwealth of Massachusetts and authorized to engage in a banking and trust
business under such laws.
(b) Power and Authority. The Trustee has full power, authority, and legal
right to execute, deliver, and perform this Agreement, and shall have taken all
necessary action to authorize the execution, delivery, and performance by it of
this Agreement.
(c) Duly Executed. This Agreement has been duly executed and delivered by
the Trustee and constitutes the legal, valid, and binding agreement of the
Trustee, enforceable in accordance with its terms, except as such enforceability
may be limited by (i) bankruptcy, insolvency, liquidation, reorganization,
moratorium, conservatorship, receivership or other similar laws now or hereafter
in effect relating to the enforcement of creditors' rights in general or rights
of creditors' banks, as such laws would apply in the event of a moratorium,
conservatorship, receivership or similar principles of equity (regardless of
whether such enforceability is considered in a proceeding in equity or at law)
as well as concepts of reasonableness, good faith and fair dealing.
Section 5.02. Directions to Trustee. The Trustee is hereby directed:
(a) to accept assignment of the Underlying Certificates and hold the Trust
Fund in trust for the Certificateholders;
(b) to issue, execute and deliver the Certificates substantially in the
forms prescribed by Exhibits A-1, A-2 and A-R in accordance with the terms of
this Agreement; and
(c) to take all other actions as shall be required to be taken by the terms
of this Agreement.
Section 5.03. Liability of the Trustee. The Trustee shall be liable in
accordance herewith only to the extent provided in Section 5.08 and only to the
extent of the obligations specifically imposed upon and undertaken by the
Trustee herein and no implied covenants or obligations shall be read into this
Trust Agreement against the Trustee.
The Trustee, upon receipt of all certificates, opinions, documents or other
instruments furnished to the Trustee that are specifically required to be
furnished pursuant to any provision of this Trust Agreement, shall determine
whether they are in the form required by this Trust Agreement; provided,
however, that the Trustee shall not be responsible for the accuracy or content
of any such certificate, opinion, document or other instrument furnished to it
pursuant to this Trust Agreement.
Section 5.04. Returns. The Trustee, on behalf of the Trust, shall prepare,
execute and file income tax and information returns for each taxable year (the
"REMIC Returns") for the Trust REMIC as may be required under the REMIC
Provisions and any other applicable federal, state or local laws. The Trustee
shall maintain such information and records, including but not limited to the
income, expenses, Underlying Certificates, other assets and liabilities of the
Trust Fund, and the adjusted basis of the Trust Fund property determined at such
intervals as may be required by the Code, as may be necessary and appropriate to
enable the preparation of any such returns, and shall take any and all actions
necessary to ensure that any such returns are prepared and filed as required by
this Section 5.04 and applicable law. The fiscal year of the Trust and the Trust
REMIC shall be the calendar year and the books of the Trust REMIC shall be
maintained on the accrual method of accounting. The Trustee shall also prepare
and forward to the Certificateholders all information reports or tax returns
required with respect to the Trust REMIC (including information relating to
interest, original issue discount and market discount) as and when required to
be provided to the Certificateholders, and to the Internal Revenue Service and
other governmental authorities in accordance with the REMIC Provisions and any
other applicable federal, state or local laws.
Section 5.05. Election of REMIC Status. The parties intend that the Trust
shall constitute, and that the affairs of the Trust shall be conducted so as to
qualify it as, a REMIC. In such manner as may be required by the Code, the
Trustee, on behalf of the Trust, shall elect to treat the Trust as a REMIC and
make the appropriate designations in accordance with Section 2.03 hereof on the
federal income tax return of the Trust REMIC for its first taxable year, in
accordance with the REMIC Provisions. The Trustee, on behalf of the Trust, shall
make all other tax elections that may be required for the qualification of the
Trust REMIC as a REMIC under federal or state law.
Section 5.06. Compliance with REMIC Provisions. The Trustee shall (a) pay
on behalf of the Trust REMIC the amount of any federal income tax, including,
without limitation, prohibited transaction taxes, taxes on net income from
foreclosure property, and taxes on certain contributions to a REMIC after the
Closing Date, imposed on the Trust REMIC when and as the same shall be due and
payable (but such obligation shall not prevent the Trustee or any other
appropriate Person from contesting any such tax in appropriate proceedings and
shall not prevent the Trustee from withholding or depositing payment of such
tax, if permitted by law, pending the outcome of such proceedings); and (b)
within 30 days of the Closing Date, furnish or cause to be furnished to the
Internal Revenue Service, on Form 8811 or as may otherwise be required by the
Code, the name, title and address of the person that Certificateholders may
contact for tax information relating to their Certificates (and the Trustee
shall act as the representative of the Trust REMIC for this purpose), together
with such additional information as may be required by such Form, and shall
update such information at the time and in the manner required by the Code. The
Trustee shall be entitled (a) to make demand upon the Holder of the Class R
Certificate for payment of the amount of any taxes payable by the Class R
Certificateholder pursuant to clause (a) of the preceding sentence, including
interest and penalties, if applicable, and the Class R Certificateholder, by its
acceptance of the Class R Certificate, agrees promptly to comply with such
demand and (b) if, and to the extent the Holder of the Class R Certificate shall
fail to comply with such demand and the Trustee is required to expend its own
funds to pay any such taxes, the Trustee shall be entitled to be reimbursed
pursuant to Section 3.01, except, in the case of either (a) or (b), except to
the extent that such taxes are imposed as the result of the bad faith, willful
misfeasance or negligence of the Trustee in the performance of its obligations
hereunder. The Trustee (x) shall not knowingly or intentionally take any action,
or omit to take any action, if such action or omission may cause the Trust REMIC
to fail to qualify as a REMIC during any taxable year, (y) shall exercise
reasonable care not to allow the occurrence of any Prohibited Transaction,
unless the Trustee shall have provided an Opinion of Counsel (which opinion
shall be at the expense of the Person proposing such transaction) to the Trustee
that such occurrence would not (i) result in a gain, (ii) otherwise subject the
Trust REMIC to tax, or (iii) cause the Trust REMIC to fail to qualify as a REMIC
and (z) shall exercise reasonable care not to allow the Trust REMIC to receive
income from the performance of services or from assets not permitted under the
REMIC Provisions to be held by a REMIC.
Section 5.07. Trustee May Own Certificates. The Trustee in its individual
or any other capacity may become the owner or pledgee of Certificates with the
same rights it would have if it were not Trustee.
Section 5.08. Limitation on Liability of the Trustee and Others. In
entering into this Trust Agreement, the Trustee acts solely as trustee hereunder
and not in its individual capacity; and all persons having any claim under this
Trust Agreement or under the Certificates by reason of the transactions
contemplated hereby shall look only to the Trust Fund for payment or
satisfaction thereof, subject to this Section 5.08. The Trustee shall not be
responsible for the validity or sufficiency of any Underlying Certificate, the
Trust Fund, any assignment or registration, or for any depreciation in the value
of the Trust Fund, subject to this Section 5.08. The recitals and statements
contained herein and in the Certificates (other than the signature of the
Trustee, the authentication of the Registrar on the Certificates and the
representation and warranty of the Trustee in Section 5.01) shall be taken as
the statements of the Depositor, and the Trustee assumes no responsibility for
the correctness of such recitals and statements.
Neither the Trustee nor any of the directors, officers, employees or agents
of the Trustee shall be under any liability to the Trust Fund or the
Certificateholders for any action taken, or for refraining from the taking of
any action, in good faith pursuant to this Trust Agreement, or for errors in
judgment; provided, however, that this provision shall not protect the Trustee
against liability for any breach of the warranty or representation made in
Section 5.01 hereof or against any liability which would otherwise be imposed by
reason of willful misfeasance, bad faith or negligence in the performance of
duties or by reason of reckless disregard of obligations and duties hereunder.
The Trustee and any of its directors, officers, employees or agents may rely in
good faith on any document of any kind prima facie properly executed and/or
submitted by any Person respecting any matter arising hereunder. The Trustee and
any director, officer, employee or agent of the Trustee shall be indemnified by
the Trust Fund and held harmless against any loss, liability or expense incurred
in connection with investigating, preparing or defending any legal action,
commenced or threatened, relating to this Agreement or the Underlying
Certificates, other than any loss, liability or expense incurred by reason of
willful misfeasance, bad faith or negligence in the performance of duties
hereunder or by reason of reckless disregard of obligations and duties
hereunder. All sums due the Trustee pursuant to the foregoing indemnity shall be
reimbursable to the Trustee out of any distribution received by the Trustee with
respect to the Underlying Certificates and shall be retained by the Trustee
prior to the deposit of any remaining distribution in the Certificate Account
pending payment to Certificateholders in accordance with Section 3.01. The
Trustee shall not be under any obligation to appear in, prosecute or defend any
legal action except in connection with the Underlying Certificates under the
circumstances described in Section 3.01; provided, however, that the Trustee
shall at the request of Holders of Certificates evidencing Percentage Interests
aggregating not less than 66-2/3% of the Certificates undertake any such legal
action which the Certificateholders making such request shall specify with
respect to this Agreement and the rights and duties of the parties hereto and
the interests of the Certificateholders hereunder. In such event the legal fees
and expenses of such action and any liability therefrom shall be borne by
Certificateholders pursuant to the indemnity furnished by them as a precondition
to the Trustee's obligation to take any such action pursuant to any such
request.
Section 5.09. Delegation of Duty by Trustee. In carrying out its
obligations under this Trust Agreement, the Trustee may act either directly or
through agents, attorneys, accountants, independent contractors and auditors and
enter into agreements with any of them.
Section 5.10. Trustee's Expenses. The Trustee shall pay, at its own cost,
any recurring and reasonably anticipated expenses incurred in connection with
the performance of its obligations and duties under this Agreement, and shall
not be otherwise entitled to reimbursement for any expenses except as
specifically provided for in this Agreement, including without limitation in
Sections 2.03(c), 3.01, 5.06, 5.08 and 6.02 of this Agreement.
Except as provided above, no provision of this Agreement or of the
Certificates shall require the Trustee to expend or risk its own funds or
otherwise incur any financial liability in the performance of any of its duties
hereunder or thereunder, or in the exercise of any of its rights or powers, if
it shall have reasonable grounds for believing that repayment of such funds or
adequate indemnity against such risk or liability is not reasonably assured to
it.
Section 5.11. Eligibility Requirements for Trustee. The Trustee hereunder
shall at all times be a corporation or a national banking association organized
and doing business under the laws of any state or the United States of America
or the District of Columbia, authorized under such laws to exercise corporate
trust powers, having a combined capital and surplus of at least $[50,000,000]
and subject to supervision or examination by federal or state authority. In
addition, the Trustee shall at all times be acceptable to each Rating Agency
rating the Certificates. If such corporation publishes reports of condition at
least annually, pursuant to law or to the requirements of the aforesaid
supervising or examining authority, then for the purposes of this Section 5.11
the combined capital and surplus of such corporation shall be deemed to be its
combined capital and surplus as set forth in its most recent report of condition
so published. In case at any time the Trustee shall cease to be eligible in
accordance with the provisions of this Section 5.11, the Trustee shall resign
immediately in the manner and with the effect specified in Section 5.12.
Section 5.12. Resignation and Removal of the Trustee. The Trustee may at
any time resign and be discharged from the trusts hereby created by giving
notice thereof to the Depositor and to all Certificateholders; provided,
however, that if the Trustee is also the Underlying Trustee, the Trustee may not
resign as Trustee hereunder unless the Trustee, concurrently with such
resignation, also resigns as Underlying Trustee. No such resignation shall be
effective until a successor trustee is appointed and accepts appointment in
accordance with the following provisions. Upon receiving such notice of
resignation, the Depositor shall promptly appoint a successor trustee who meets
the eligibility requirements of Section 5.11 by written instrument, in
duplicate, which instrument shall be delivered to the resigning Trustee and to
the successor trustee. A copy of such instrument shall be delivered to the
Certificateholders by the Depositor. If no successor trustee shall have been so
appointed and have accepted appointment within 60 days after the giving of such
notice of resignation, the resigning Trustee may petition any court of competent
jurisdiction for the appointment of a successor trustee; provided, however, that
the resigning Trustee shall not resign and be discharged from the trusts hereby
created until such time as each Rating Agency rating the Certificates approves
the successor trustee.
If at any time the Trustee shall cease to be eligible in accordance with
the provisions of Section 5.11 and shall fail to resign after written request
therefor by the Depositor, or if at any time the Trustee shall become incapable
of acting, or shall be adjudged bankrupt or insolvent, or a receiver of the
Trustee or of its property shall be appointed, or any public officer shall take
charge or control of the Trustee or of its property or affairs for the purpose
of rehabilitation, conservation or liquidation, or if the rating of the
long-term debt obligations of the Trustee is not acceptable to the Rating
Agencies in respect of mortgage pass-through certificates having a rating equal
to the then current rating on the Certificates, then, in any such case, the
Depositor or the Holders of at least 25% or more of the aggregate Certificate
Principal Balance of the Certificates then outstanding may remove the Trustee
and appoint a successor trustee who meets the eligibility requirements of
Section 5.11 by written instrument, in duplicate, which instrument shall be
delivered to the Trustee so removed and to the successor trustee. A copy of such
instrument shall be delivered to the Certificateholders by the Depositor.
If the Trustee is also the Underlying Trustee and the Underlying Trustee
resigns or is removed as trustee of the Underlying Trust Fund, then the
Depositor or the Holders of Certificates representing at least 25% of the
aggregate Certificate Principal Balance of the Certificates then outstanding
may, at any time on or after such resignation or removal, remove the Trustee and
appoint a successor trustee. In addition, the Holders of Certificates
representing at least 51% or more of the aggregate Certificate Principal Balance
of the Certificates then outstanding may at any time remove the Trustee and
appoint a successor trustee. In either such case, such removal and appointment
shall be by written instrument or instruments, in triplicate, signed by the
Depositor or such Holders, as the case may be, or their attorneys-in-fact duly
authorized, one complete set of which instruments shall be delivered to the
Depositor, one complete set to the Trustee so removed and one complete set to
the successor so appointed. A copy of such instrument shall be delivered to the
Certificateholders by the Depositor.
Any resignation or removal of the Trustee and appointment of a successor
trustee pursuant to any of the provisions of this Section 5.12 shall not become
effective until acceptance of appointment by the successor trustee as provided
in Section 5.13.
Section 5.13. Successor Trustee. Any successor trustee appointed as
provided in Section 5.12 shall execute, acknowledge and deliver to the Depositor
and to its predecessor trustee an instrument accepting such appointment
hereunder, and thereupon the resignation or removal of the predecessor trustee
shall become effective and such successor trustee, without any further act, deed
or conveyance, shall become fully vested with all the rights, powers, duties and
obligations of its predecessor hereunder, with the like effect as if originally
named as trustee herein. The predecessor trustee shall deliver to the successor
trustee all documents and statements held by it hereunder with respect to the
Trust Fund, and the predecessor trustee shall execute and deliver such
instruments and do such other things as may reasonably be required for more
fully and certainly vesting and confirming in the successor trustee all such
rights, powers, duties and obligations.
No successor trustee shall accept appointment as provided in this Section
5.13 unless at the time of such acceptance such successor trustee shall be
eligible under the provisions of Section 5.11.
Upon acceptance of appointment by a successor trustee as provided in this
Section 5.13, the Depositor shall mail notice of the succession of such trustee
hereunder to all Holders of Certificates at their addresses as shown in the
Certificate Register. If the Depositor fails to mail such notice within ten days
after acceptance of appointment by the successor trustee, the successor trustee
shall cause such notice to be mailed at the expense of the Depositor.
Section 5.14. Merger or Consolidation of the Trustee. Any Person into which
the Trustee may be merged or consolidated, or any Person resulting from any
merger, conversion or consolidation to which the Trustee shall be a party, or
any Person succeeding to all or substantially all of the corporate trust
business of the Trustee shall be the successor of the Trustee hereunder, without
the execution or filing of any paper or any further act on the part of any of
the parties hereto, anything herein to the contrary notwithstanding; provided
that (i) such Person shall satisfy the requirements for a successor trustee
specified in the first sentence of Section 5.13, and (ii) the Trustee shall
deliver an Opinion of Counsel to the Depositor to the effect that such merger,
consolidation, sale or transfer will not subject the Trust REMIC to federal,
state or local tax or cause the Trust REMIC to fail to qualify as a REMIC, which
Opinion of Counsel shall be at the sole expense of the Trustee.
Section 5.15. Appointment of Co-Trustee or Separate Trustee.
Notwithstanding any other provisions hereof, at any time, for the purpose of
meeting any legal requirements of any jurisdiction in which any part of the
Trust Fund or property securing the same may at the time be located, the
Depositor and the Trustee acting jointly shall have the power and shall execute
and deliver all instruments to appoint one or more Persons approved by the
Trustee to act as co-trustee or co-trustees, jointly with the Trustee, or
separate trustee or separate trustees, of all or any part of the Trust Fund, and
to vest in such Person or Persons, in such capacity, such title to the Trust
Fund, or any part thereof, and, subject to the other provisions of this Section
5.15, such powers, duties, obligations, rights and trusts as the Depositor and
the Trustee may consider necessary or desirable. If the Depositor shall not have
joined in such appointment within 15 days after the receipt by it of a request
so to do, the Trustee alone shall have the power to make such appointment. No
co-trustee or separate trustee hereunder shall be required to meet the terms of
eligibility as a successor trustee under Section 5.13 hereunder and no notice to
Holders of Certificates of the appointment of co-trustee(s) or separate
trustee(s) shall be required under Section 5.14 hereof.
In the case of any appointment of a co-trustee or separate trustee pursuant
to this Section 5.15 all rights, powers, duties and obligations conferred or
imposed upon the Trustee shall be conferred or imposed upon and exercised or
performed by the Trustee and such separate trustee or co-trustee jointly, except
to the extent that under any law of any jurisdiction in which any particular act
or acts are to be performed (whether as Trustee hereunder or as successor to the
Master Servicer hereunder), the Trustee shall be incompetent or unqualified to
perform such act or acts, in which event such rights, powers, duties and
obligations (including the holding of title to the Trust Fund or any portion
thereof in any such jurisdiction) shall be exercised and performed by such
separate trustee or co-trustee at the direction of the Trustee.
Any notice, request or other writing given to the Trustee shall be deemed
to have been given to each of the then separate trustees and co-trustees, as
effectively as if given to each of them. Every instrument appointing any
separate trustee or co-trustee shall refer to this Agreement and the conditions
of this Article V. Each separate trustee and co-trustee, upon its acceptance of
the trusts conferred, shall be vested with the estates or property specified in
its instrument of appointment, either jointly with the Trustee or separately, as
may be provided therein, subject to all the provisions of this Agreement,
specifically including every provision of this Agreement relating to the conduct
of, affecting the liability of, or affording protection to, the Trustee. Every
such instrument shall be filed with the Trustee.
Any separate trustee or co-trustee may, at any time, constitute the
Trustee, its agent or attorney-in-fact, with full power and authority, to the
extent not prohibited by law, to do any lawful act under or in respect of this
Agreement on its behalf and in its name. If any separate trustee or co-trustee
shall die, become incapable of acting, resign or be removed, all of its estates,
properties, rights, remedies and trusts shall vest in and be exercised by the
Trustee, to the extent permitted by law, without the appointment of a new or
successor trustee.
[End of Article V]
<PAGE>
ARTICLE VI
TERMINATION;
Section 6.01. Termination Upon Distribution to Certificateholders. This
Agreement and the respective obligations and responsibilities of the Depositor
and the Trustee created hereby shall terminate upon the final distribution to
Certificateholders and the Trustee of all amounts required to be distributed
pursuant to Article III; provided, however, that in no event shall the trust
created hereby continue beyond the expiration of 21 years from the death of the
survivor of the descendants of Joseph P. Kennedy, the late ambassador of the
United States to the Court of St. James's, living on the date hereof.
Notice of any termination specifying the Final Distribution Date upon which
the Certificateholders may surrender their Certificates to the Trustee for
payment of the final distribution and cancellation, shall be given promptly by
the Trustee by letter to Certificateholders mailed not earlier than the first
day and not later than the 21st day of the month of such final distribution
specifying (A) the Distribution Date upon which the final distribution on the
Certificates will be made upon presentation and surrender of Certificates at the
office of the Trustee therein designated, (B) the amount of any such final
distribution and (C) that the Record Date otherwise applicable to such
Distribution Date is not applicable, distributions being made only upon
presentation and surrender of the Certificates at the office of the Trustee
therein specified; provided, however, that the failure to give such notice will
not entitle any Certificateholder to receive any interest in excess of such
Certificateholder's Percentage Interest of the allocation of such Class's
Interest Accrual Amount for such Final Distribution Date. Upon presentation and
surrender of a Certificate, the Trustee shall cause to be distributed to the
Holder thereof such Holder's final distribution.
On such Final Distribution Date, any amount remaining on deposit in the
Certificate Account (other than amounts distributed pursuant to Article III)
after payment to the Trustee of any amounts to which it is entitled hereunder
will be distributed on the Class R Certificate.
Section 6.02. Failure of Certificateholders to Surrender Certificates. In
the event that any of the Certificateholders shall not surrender their
Certificates for cancellation within six months after the Final Distribution
Date, the Trustee shall give a written notice to the remaining
Certificateholders to surrender their Certificates for cancellation and receive
the final distribution with respect thereto. If within one year after such
notice all the Certificates shall not have been surrendered for cancellation,
the Trustee may take appropriate steps, or may appoint an agent to take
appropriate steps, to contact the remaining Certificateholders concerning
surrender of their Certificates, and the cost thereof shall be paid out of the
funds and other assets which remain subject to the Trust Fund. If within nine
months thereafter, all of the Certificates shall not have been surrendered for
cancellation, the Class R Certificateholders shall be entitled to all unclaimed
funds and other assets which remain subject thereto.
[End of Article VI]
<PAGE>
ARTICLE VII
MISCELLANEOUS PROVISIONS;
Section 7.01. Amendment. This Agreement may be amended from time to time by
the Trustee, and the Depositor, without the consent of any of the
Certificateholders, (i) to cure any ambiguity, (ii) to correct or supplement any
provisions herein which may be inconsistent with any other material provision
herein, (iii) to maintain the qualification of the Trust REMIC as a REMIC or
prevent the Trust REMIC from entering into any Prohibited Transaction, (iv) to
change the timing and/or nature of deposits into the Certificate Account
provided that (a) such change shall not, as evidenced by an Opinion of Counsel,
adversely affect in any material respect the interests of any Certificateholder
and (b) such change shall not adversely affect the then-current rating of the
Certificates, as evidenced by a letter from each Rating Agency to such effect,
or (v) to add such other provisions with respect to matters or questions arising
under this Agreement that shall not be materially inconsistent with other
provisions of this Agreement; provided that such action shall not, as evidenced
by an Opinion of Counsel, adversely affect in any material respect the interests
of any Certificateholder. This Agreement may also be amended from time to time
by the Trustee, and the Depositor with the consent of the Holders of
Certificates evidencing Percentage Interests aggregating not less than 66-2/3%
of each Class of Certificates affected thereby for the purpose of adding any
provisions to or changing in any manner or eliminating any of the provisions of
this Agreement or modifying in any manner the rights of the Holders of
Certificates; provided, however, that no such amendment shall (i) reduce in any
manner the amount of, or delay the timing of, amounts required to be distributed
on any Certificate without the consent of the Holder of such Certificate, (ii)
reduce the aforesaid percentage of the Certificates of each Class, the Holders
of which are required to consent to any such amendment without the consent of
the Holders of all Certificates then-outstanding or (iii) permit the removal of
the Trustee without cause.
Notwithstanding any contrary provision of this Agreement, the Trustee shall
not consent to any amendment to this Agreement unless it shall have first
received an Opinion of Counsel (which Opinion of Counsel shall not be at the
expense of the Trustee) to the effect that such amendment will not subject the
Trust REMIC to tax or cause the Trust REMIC to fail to qualify as a REMIC at any
time that any Certificates are outstanding.
Promptly after the execution of any amendment to this Agreement requiring
the consent of Certificateholders, the Trustee shall furnish a copy of such
amendment to each Certificateholder and to each Rating Agency.
The manner of obtaining such consents and of evidencing the authorization
of the execution thereof by Certificateholders shall be subject to such
reasonable regulations as the Trustee may prescribe.
Section 7.02. Limitation on Rights of Certificateholders. The death or
incapacity of any Certificateholder shall not operate to terminate this
Agreement or the Trust Fund, nor entitle such Certificateholder's legal
representatives or heirs to claim an accounting or to take any action or
proceeding in any court for a partition or winding up of the Trust Fund, nor
otherwise affect the rights, obligations and liabilities of any of the parties
hereto.
No Certificateholder shall have any right to vote (except as provided in
Sections 3.05, 7.01 or this Section 7.02) or in any manner otherwise control the
operation and management of the Trust Fund, or the obligations of the parties
hereto, nor shall anything herein set forth, or contained in the terms of the
Certificates, be construed so as to constitute the Certificateholders from time
to time as partners or members of an association; nor shall any
Certificateholder be under any liability to any third person by reason of any
action taken by the parties to this Agreement pursuant to any provision hereof.
Notwithstanding anything to the contrary, except in the case of an action,
suit or proceeding against the Trustee in respect to a breach or alleged breach
of its duties and responsibilities hereunder, no Certificateholder shall have
any right by virtue of any provisions of this Agreement to institute any action,
suit or proceeding in equity or at law upon or under or with respect to this
Agreement unless such Holder previously shall have given to the Trustee a
written notice of the basis of such action, suit or proceeding, and unless also
the Holders of Certificates evidencing Percentage Interests aggregating not less
than 51% of the same Class of Certificates shall have made written request upon
the Trustee to institute such action, suit or proceeding in its own name as
Trustee hereunder and shall have offered to the Trustee such reasonable
indemnity as it may require against the costs, expenses and liabilities to be
incurred therein or thereby, and the Trustee, for 60 days after its receipt of
such notice, request and offer of indemnity, shall have neglected or refused to
institute any such action, suit or proceeding; it being understood and intended,
and being expressly covenanted by each Certificateholder with every other Holder
of a Certificate and the Trustee, that no one or more Holders of Certificates
shall have any right in any manner whatever by virtue of any provision of this
Agreement to affect, disturb or prejudice the rights of the Holders of any other
of such Certificates, or to obtain or seek to obtain priority over or preference
to any other such Holder of Certificates, or to enforce any right under this
Agreement, except in the manner herein provided and for the equal, ratable and
common benefit of all Holders of Certificates. For the protection and
enforcement of the provisions of this Section, each and every Certificateholder
and the Trustee shall be entitled to such relief as can be given either at law
or in equity.
Section 7.03. Limitation on Liability of the Deposit or and Others. Neither
the Depositor nor any of its directors, officers, employees or agents shall be
under any liability to the Trust or Certificateholders for any action taken, or
for refraining from the taking of any action, in good faith pursuant to this
Agreement, or for errors in judgment; provided, however, that this provision
shall not protect the Depositor or any other such person against any liability
which would otherwise be imposed by reason of willful misfeasance, bad faith or
negligence in the performance of duties or by reason of reckless disregard of
obligations and duties hereunder. The Depositor and its directors, officers,
employees or agents may rely in good faith on any document of any kind prima
facie properly executed and/or submitted by any Person respecting any matter
arising hereunder.
Section 7.04. Governing Law. This Agreement shall be construed in
accordance with the laws of the State of New York applicable to agreements made
and to be performed in the State of New York, and the obligations, rights and
remedies of the parties hereto and the Certificateholders shall be determined in
accordance with such laws.
Section 7.05. Notices. All demands, notices and communications hereunder
shall be in writing and shall be deemed to have been duly given when delivered
at (a) in the case of the Depositor, Lehman Structured Securities Corp., 200
Vesey Street, New York, New York, 10285 or to such other address as may
hereafter be furnished to the other parties hereto in writing by the Depositor;
(b) in the case of the Trustee, State Street Bank and Trust Company,
[-------------------], New York, New York, Attention: [--------], or to such
other address as may hereafter be furnished to the other parties hereto in
writing by the Trustee; (c) in the case of Duff & Phelps Credit Rating Co. 17
State Street, New York, New York 10004, Attention: [---------------] and (d) in
the case of Standard and Poor's, 26 Broadway, 15th Floor, New York, New York
10004, Attention: [-----------------]. Any notice required or permitted to be
mailed to a Certificateholder shall be given by first class mail, postage
prepaid, at the address of such Holder as shown in the Certificate Register. Any
notice so mailed to a Holder within the time prescribed in this Agreement shall
be conclusively presumed to have been duly given whether or not the
Certificateholder receives such notice. Any notice mailed to the Trustee shall
be effective only upon receipt.
Section 7.06. Severability of Provisions. If any one or more of the
covenants, agreements, provisions or terms of this Agreement shall be for any
reason whatsoever held invalid, then such covenants, agreements, provisions or
terms shall be deemed severable from the remaining covenants, agreements,
provisions or terms of this Agreement and shall in no way affect the validity or
enforceability of the other provisions of this Agreement or of the Certificates
or the rights of the Holders thereof.
Section 7.07. Certificates Nonassessable and Fully Paid. It is the
intention of this Agreement that Certificateholders shall not be personally
liable for obligations of the Trust, that the beneficial ownership interests
represented by the Certificates shall be nonassessable for any losses or
expenses of the Trust or for any reason whatsoever, and that Certificates upon
execution, authentication and delivery thereof by the Trustee pursuant to
Section 2.02 are and shall be deemed fully paid.
Section 7.08. Execution in Counterparts. This Agreement may be executed in
one or more counterparts, all of which shall be considered one and the same
agreement, and shall become a binding agreement when one or more counterparts
have been signed by each party and delivered to the other party.
[End of Article VII]
<PAGE>
IN WITNESS WHEREOF, the Depositor and the Trustee have caused their names
to be signed hereto by their respective officers thereunto duly authorized, all
as of the day and year first above written.
LEHMAN STRUCTURED SECURITIES CORP.,
as Depositor
By:________________________________
Name:
Title:
STATE STREET BANK AND TRUST COMPANY,
as Trustee
By:________________________________
Name:
Title:
<PAGE>
STATE OF NEW YORK )
) ss.:
COUNTY OF NEW YORK )
On this --- day of [September], 1996, before me, a notary public in and for
the State of New York, personally appeared --------------, known to me who,
being by me duly sworn, did depose and say that he is a -------------- of
[-------------], a [---------] corporation, one of the parties that executed the
foregoing instrument; and that he signed his name thereto by order of the Board
of Directors of said corporation.
--------------------------
Notary Public
[Notarial Seal]
<PAGE>
STATE OF ---------- )
) ss.:
COUNTY OF --------- )
On this ---- day of [September], 1996, before me, a notary public in and
for the State of --------------, personally appeared --------------, known to me
who, being by me duly sworn, did depose and say that he is the -------------- of
[-----------], one of the parties that executed the foregoing instrument; and
that he signed his name thereto by order of the Board of Directors of said
association.
-----------------------------
Notary Public
[NOTARIAL SEAL]
STATE OF ------ )
) ss.:
COUNTY OF ----- )
On this ------ day of [September], 1996, before me, a notary public in and
for the State of -------------, personally appeared -------------------, known
to me who, being by me duly sworn, did depose and say that he is the
- ------------ of [-----------], a banking corporation, one of the parties that
executed the foregoing instrument; and that he signed his name thereto by order
of the Board of Directors of said association.
------------------------------
Notary Public
[NOTARIAL SEAL]
<PAGE>
EXHIBIT A-1
[FORM OF CLASS E-1 CERTIFICATE]
UNLESS THIS CERTIFICATE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE
DEPOSITORY TRUST COMPANY, A NEW YORK CORPORATION ("DTC"), TO THE TRUSTEE OR ITS
AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY CERTIFICATE
ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR IN SUCH OTHER NAME AS IS
REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF THE DTC (AND ANY PAYMENT IS MADE TO
CEDE & CO. OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED
REPRESENTATIVE OF DTC), ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR
OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER
HEREOF, CEDE & CO., HAS AN INTEREST HEREIN.
THIS CERTIFICATE IS ISSUED ON [SEPTEMBER ---], 1996, AT AN ISSUE PRICE OF
- --------------%, INCLUDING ACCRUED INTEREST, AND A STATED REDEMPTION PRICE AT
MATURITY EQUAL TO THE SUM OF ITS INITIAL PRINCIPAL BALANCE AND ALL INTEREST
DISTRIBUTIONS HEREON, AND IS ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID") FOR
FEDERAL INCOME TAX PURPOSES. ASSUMING (A) THAT THIS CERTIFICATE PAYS IN
ACCORDANCE WITH PROJECTED CASH FLOWS REFLECTING THE PREPAYMENT ASSUMPTION OF --%
SPA (AS DEFINED IN THE PROSPECTUS DATED [SEPTEMBER --], 1996 WITH RESPECT TO THE
OFFERING OF THE CLASS E-1, CLASS E-2 AND CLASS R CERTIFICATES) USED TO PRICE
THIS CERTIFICATE AND (B) THAT THE INTEREST RATE AT WHICH DISTRIBUTIONS OF
INTEREST ON THIS CERTIFICATE ACTUALLY WILL BE MADE WILL BE DETERMINED AS THOUGH
THE PASS-THROUGH RATE ON THIS CERTIFICATE APPLICABLE TO THE FIRST DISTRIBUTION
DATE WILL NOT CHANGE THEREAFTER: (I) THE AMOUNT OF OID AS A PERCENTAGE OF THE
INITIAL PRINCIPAL BALANCE OF THIS CERTIFICATE IS APPROXIMATELY ---------------%;
(II) THE ANNUAL YIELD TO MATURITY OF THIS CERTIFICATE, COMPOUNDED MONTHLY, IS
APPROXIMATELY ----%; AND (III) THE AMOUNT OF OID ALLOCABLE TO THE FIRST ACCRUAL
PERIOD ([SEPTEMBER ---], 1996 TO [SEPTEMBER ---], 1996) AS A PERCENTAGE OF THE
INITIAL PRINCIPAL BALANCE OF THIS CERTIFICATE, CALCULATED USING THE EXACT
METHOD, IS APPROXIMATELY -----------%.]
THIS CERTIFICATE CONSTITUTES A "REGULAR INTEREST" IN A "REAL ESTATE
MORTGAGE INVESTMENT CONDUIT" AS THOSE TERMS ARE DEFINED IN SECTION 860G(a)(1)
AND SECTION 860D, RESPECTIVELY, OF THE INTERNAL REVENUE CODE OF 1986, AS
AMENDED.
<PAGE>
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATE
SERIES 1996-1
CLASS E-1
evidencing a beneficial ownership interest in a trust fund
consisting of mortgage pass-through certificates
sold by
LEHMAN STRUCTURED SECURITIES CORP.
(Not an interest in or obligation of the Depositor)
THIS CERTIFICATE DOES NOT EVIDENCE AN OBLIGATION OF, OR AN INTEREST IN, THE
DEPOSITOR, THE TRUSTEE OR ANY OF THEIR AFFILIATES, AND IS NOT INSURED OR
GUARANTEED BY THE DEPOSITOR OR THE TRUSTEE OR ANY OF THEIR AFFILIATES, OR BY ANY
GOVERNMENT AGENCY.
DISTRIBUTIONS IN REDUCTION OF THE PRINCIPAL BALANCE OF THIS CERTIFICATE
WILL BE MADE IN THE MANNER DESCRIBED IN THE AGREEMENT REFERRED TO HEREIN.
ACCORDINGLY THE OUTSTANDING PRINCIPAL BALANCE OF THIS CERTIFICATE AT ANY TIME
MAY BE LESS THAN THE INITIAL PRINCIPAL BALANCE REPRESENTED HEREBY.
Certificate No. ----- First Distribution Date:
October 25, 1996
Percentage Interest evidenced Denomination: $
by this Certificate: %
THIS CERTIFIES THAT -------------- is the registered owner of the
Percentage Interest evidenced by this Certificate in distributions, if any, to
the Holder of the Class E-1 Certificate with respect to a Trust Fund consisting
primarily of Resolution Trust Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1994-C1 (the "RTC Certificates"), Class E (the "Underlying
Certificates"), identified in the Agreement referred to below, which evidence
senior beneficial ownership interests in a trust that consists primarily of a
pool of mortgage loans secured by first liens on commercial, multifamily
residential, and mixed residential commercial properties and certain mortgage
loans secured by junior liens on such types of properties. The Trust Fund was
created pursuant to a Trust Agreement dated as of September 1, 1996 (the
"Agreement"), among Lehman Structured Securities Corp. (the "Depositor"), and
State Street Bank and Trust Company, as trustee (the "Trustee"), a summary of
certain of the pertinent provisions of which is set forth below. To the extent
not defined herein, the capitalized terms used herein have the meanings ascribed
to such terms in the Agreement. This Certificate is issued under and is subject
to the terms, provisions and conditions of the Agreement, to which Agreement the
Holder of this Certificate by virtue of the acceptance hereof assents and by
which such Holder is bound.
Pursuant to the terms of the Agreement, a distribution will be made on the
25th day of each month or, if such 25th day is not a Business Day, the Business
Day immediately following (each, a "Distribution Date"); except as otherwise
provided in the Agreement and except, in the event the Trustee is no longer the
Underlying Trustee and all distributions due on the Underlying Certificates have
not been received prior to 1:00 p.m. (New York City time) on any Distribution
Date, "Distribution Date" with respect to the Certificates shall mean the next
succeeding Business Day, commencing on the first Distribution Date specified
above, to the Person in whose name this Certificate is registered at the close
of business on the last Business Day of the month preceding the month of such
distribution (the "Record Date"), in an amount equal to the product of the
Percentage Interest evidenced by this Certificate and the amount distributable
pursuant to the Agreement on the Class E-1 Certificate for such Distribution
Date, subject to adjustment, in certain events, as specified in the Agreement.
Pursuant to the Agreement and to the extent the Available Distribution Amount is
sufficient therefor, this Class of Certificates is entitled on each Distribution
Date to interest (subject to certain reductions specified in the Agreement)
(based on a 360 day year consisting of twelve 30-day months) equal to 1/12th of
the Pass-Through Rate on the related Certificate Principal Balance and
distributions of principal to the extent provided for in the Agreement. In
addition, to the extent the principal balance of the Underlying Certificates is
reduced as a result of losses on the Mortgage Loans, the Certificate Principal
Balance of this Class of Certificates will be reduced in the manner specified in
the Agreement.
This Certificate is one of a duly authorized issue of Certificates issued
in several Classes designated as Commercial Mortgage Pass-Through Certificates
of the Series specified hereon (herein collectively called the "Certificates").
Distributions on this Certificate will be made by the Trustee by check
mailed to the Holder of this Certificate as of the preceding Record Date at such
Holder's address as it appears on the Certificate Register, or, upon written
request to the Trustee at least five Business Days prior to the relevant Record
Date if such Certificateholder holds Certificates having an aggregate initial
Certificate Principal Balance that is in excess of the lesser of (i)
$[5,000,000]; or (ii) two-thirds of the initial Certificate Principal Balance of
such Class of Certificates, by wire transfer to an account specified in writing
by such Certificateholder. Except as otherwise provided in the Agreement, the
final distribution on this Certificate will be made only upon presentation and
surrender of this Certificate at the Corporate Trust Office of the Trustee.
The Certificates are limited in right of payment to the Percentage
Interests represented thereby in distributions in respect of the Underlying
Certificates received by the Trustee, subject to the provisions of and all as
more specifically set forth in the Agreement. The Certificateholder, by its
acceptance of this Certificate, agrees that it will look solely to the funds on
deposit in the Certificate Account for payment hereunder and that neither the
Trustee in its individual capacity nor the Depositor is personally liable to the
Certificateholders for any amount payable under this Certificate or the
Agreement or, except as expressly provided in the Agreement, subject to any
liability under the Agreement.
This Certificate does not purport to summarize the Agreement and reference
is made to the Agreement for the interests, rights and limitations of rights,
benefits, obligations and duties evidenced hereby, and the rights, duties and
immunities of the Trustee.
The Agreement permits, with certain exceptions as therein provided, the
amendment thereof and the modification of the terms of the Agreement and the
rights of the Holders of the Certificates under the Agreement at any time by the
Depositor and the Trustee with the consent of the Holders of Certificates
evidencing Percentage Interests aggregating not less than 66-2/3% of each Class
of Certificates affected thereby. Any such consent by the Holder of this
Certificate shall be conclusive and binding upon such Holder and upon all future
Holders of this Certificate and of any Certificate issued upon the registration
of transfer hereof or in exchange therefor or in lieu hereof whether or not
notation of such consent or waiver is made upon this Certificate. The Agreement
also permits the Trustee to amend or waive certain terms and conditions set
forth in the Agreement without the consent of the Holders of the Certificates
issued thereunder.
As provided in the Agreement and subject to certain limitations therein set
forth, the transfer of this Certificate is registrable in the Certificate
Register maintained by the Registrar for the Certificates represented hereby
upon surrender of this Certificate for registration of transfer at the offices
or agencies appointed by the Trustee as provided in the Agreement, duly endorsed
by, or accompanied by an assignment in the form below or other written
instrument of transfer in form satisfactory to the Registrar, duly executed by
the Holder hereof or such Holder's attorney duly authorized in writing, and
thereupon one or more new Certificates of authorized denominations evidencing
the same aggregate Percentage Interest will be issued to the designated
transferee or transferees.
The Certificates are issuable only as registered Certificates without
coupons in Classes and denominations specified in the Agreement. As provided in
the Agreement and subject to certain limitations therein set forth, Certificates
are exchangeable for new Certificates of authorized denominations evidencing the
same aggregate Percentage Interest, as requested by the Holder surrendering the
same.
No service charge will be made for any such registration of transfer or
exchange, but the Registrar for the Certificates may require payment of a sum
sufficient to cover any tax or other governmental charge payable in connection
therewith.
The Depositor, the Trustee, and any agent of any such Person may treat the
Person in whose name this Certificate is registered as the owner hereof for all
purposes, and none of such Persons nor any such agent shall be affected by
notice to the contrary.
The obligations created by the Agreement and the Trust Fund created thereby
(other than the obligations to make distributions to Certificateholders pursuant
to the Agreement) shall terminate upon the last action required to be taken by
the Trustee on the final Distribution Date after the earlier of (i) the final
payment in respect of the Underlying Certificates or (ii) the purchase from the
Trust Fund or the redemption of the Underlying Certificates by the Master
Servicer. Pursuant to the terms of the Underlying Trust Agreement, the Master
Servicer may redeem the RTC Certificates (including the Underlying
Certificates), in whole but not in part, on any Distribution Date on or after
the Distribution Date on which, after taking into account payments of principal
to be made on such Distribution Date, the aggregate principal balance of the RTC
Certificates is less than 5% of the aggregate initial principal amount of the
RTC Certificates. Any such sale or redemption will be made at a price determined
as set forth in the Underlying Trust Agreement. The consummation of such sale or
redemption will effect an early retirement of the Certificates. In no event,
however, will the trust created by the Agreement continue beyond the expiration
of 21 years from the death of the last survivor of the descendants, living at
the date of the Agreement, of Joseph P. Kennedy, the late ambassador of the
United States to the Court of St. James's.
Unless this Certificate has been executed by an authorized officer of the
Trustee, and authenticated by an authorized officer of the Registrar (or the
Trustee, if the Trustee is also the Registrar), by manual signature, this
Certificate shall not be entitled to any benefit under the Agreement or be valid
for any purpose.
[Signatures Commence on Following Page]
<PAGE>
IN WITNESS WHEREOF, the Trustee has caused this Certificate to be duly
executed as of the date set forth below.
Dated:
STATE STREET BANK AND TRUST COMPANY
as Trustee
By-----------------------------------
Authorized Officer
Authenticated:
STATE STREET BANK AND TRUST COMPANY
as Trustee
By---------------------------------
Authorized Officer
<PAGE>
ASSIGNMENT
FOR VALUE RECEIVED, the undersigned hereby sell(s), assign(s) and transfer(s)
unto --------------------------------------------------------------
(Please print or typewrite name and address including postal zip code of
assignee)
the beneficial interest evidenced by the within Commercial Mortgage Pass-Through
Certificates and hereby authorizes the transfer of registration of such interest
to assignee on the Certificate Register of the Trust Fund.
I (We) further direct the Registrar to issue a new Certificate of a like
denomination or Percentage Interest and Class, to the above named assignee and
deliver such Certificate to the following address:
.
- -------------------------------------------------------.
Social Security or other Identifying Number of Assignee:
- --------------------------------------------------------
.
Dated:
-------------------------------------------
Signature by or on behalf of
assignor
-------------------------------------------
Signature Guaranteed
<PAGE>
DISTRIBUTION INSTRUCTIONS
The assignee should include the following for purposes of distribution:
Distributions shall be made, if the assignee is eligible to receive
distributions in immediately available funds, by wire transfer or otherwise, in
immediately available funds to --------------------------------- for the account
of ----------------------------- account number ---------------------, or, if
mailed by check, to -------------. Applicable statements should be mailed to
- ------------------------------------.
This information is provided by -------------- the assignee named above, or
- ---------------, as its agent.
<PAGE>
EXHIBIT A-2
[FORM OF CLASS E-2 CERTIFICATE]
THIS CERTIFICATE IS ISSUED ON [SEPTEMBER ---], 1996, AT AN ISSUE PRICE OF
- -------------%, INCLUDING ACCRUED INTEREST, AND A STATED REDEMPTION PRICE AT
MATURITY EQUAL TO THE SUM OF ITS INITIAL PRINCIPAL BALANCE AND ALL INTEREST
DISTRIBUTIONS HEREON, AND IS ISSUED WITH ORIGINAL ISSUE DISCOUNT ("OID") FOR
FEDERAL INCOME TAX PURPOSES. ASSUMING (A) THAT THIS CERTIFICATE PAYS IN
ACCORDANCE WITH PROJECTED CASH FLOWS REFLECTING THE PREPAYMENT ASSUMPTION OF --%
SPA (AS DEFINED IN THE PROSPECTUS DATED [SEPTEMBER ---], 1996 WITH RESPECT TO
THE OFFERING OF THE CLASS E-1, CLASS E-2 AND CLASS R CERTIFICATES) USED TO PRICE
THIS CERTIFICATE AND (B) THAT THE INTEREST RATE AT WHICH DISTRIBUTIONS OF
INTEREST ON THIS CERTIFICATE ACTUALLY WILL BE MADE WILL BE DETERMINED AS THOUGH
THE PASS-THROUGH RATE ON THIS CERTIFICATE APPLICABLE TO THE FIRST DISTRIBUTION
DATE WILL NOT CHANGE THEREAFTER: (I) THE AMOUNT OF OID AS A PERCENTAGE OF THE
INITIAL PRINCIPAL BALANCE OF THIS CERTIFICATE IS APPROXIMATELY ---------------%;
(II) THE ANNUAL YIELD TO MATURITY OF THIS CERTIFICATE, COMPOUNDED MONTHLY, IS
APPROXIMATELY %; AND (III) THE AMOUNT OF OID ALLOCABLE TO THE FIRST ACCRUAL
PERIOD ([SEPTEMBER ---], 1996 TO [SEPTEMBER ---], 1996) AS A PERCENTAGE OF THE
INITIAL PRINCIPAL BALANCE OF THIS CERTIFICATE, CALCULATED USING THE EXACT
METHOD, IS APPROXIMATELY -------------%.]
THIS CERTIFICATE CONSTITUTES A "REGULAR INTEREST" IN A "REAL ESTATE
MORTGAGE INVESTMENT CONDUIT" AS THOSE TERMS ARE DEFINED IN SECTION 860G(a)(1)
AND SECTION 860D, RESPECTIVELY, OF THE INTERNAL REVENUE CODE OF 1986, AS
AMENDED.
TRANSFERS, SALES, PLEDGES OR OTHER DISPOSITIONS OF THIS CERTIFICATE SHALL
BE MADE ONLY TO (I) AN INSTITUTION THAT IS AN "ACCREDITED INVESTOR" AS DEFINED
IN PARAGRAPHS (1), (2), (3) AND (7) OF RULE 501(A) UNDER THE SECURITIES ACT OF
1933, AS AMENDED (THE "ACT") (OR ANY ENTITY IN WHICH ALL OF THE EQUITY OWNERS
COME WITHIN SUCH PARAGRAPHS), (II) A "QUALIFIED INSTITUTIONAL BUYER" AS DEFINED
IN RULE 144A UNDER THE ACT, OR (III) ANY PERSON (OTHER THAN ANY RATING
ORGANIZATION RATING THE DEPOSITOR'S SECURITIES) INVOLVED IN THE ORGANIZATION OR
OPERATION OF THE DEPOSITOR OR AN AFFILIATE, AS DEFINED IN RULE 405 UNDER THE
ACT.
NO TRANSFER, SALE, PLEDGE OR OTHER DISPOSITION OF THIS CERTIFICATE SHALL BE
MADE TO ANY EMPLOYEE BENEFIT PLAN THAT IS SUBJECT TO THE EMPLOYEE RETIREMENT
INCOME SECURITY ACT OF 1974, AS AMENDED ("ERISA"), OR DESCRIBED IN SECTION
4975(E)(1) OF THE INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE "CODE"), OR
SUBJECT TO ANY ESSENTIALLY SIMILAR FEDERAL, STATE, OR LOCAL LAW ("SIMILAR LAW"),
AND IS NOT AN INSURANCE COMPANY USING ASSETS OF SEPARATE ACCOUNTS OR GENERAL
ACCOUNTS WHICH INCLUDE ASSETS OF SUCH PLANS (OR WHICH ARE DEEMED PURSUANT TO
ERISA TO INCLUDE THE ASSETS OF SUCH PLANS).
<PAGE>
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATE
SERIES 1996-1
CLASS E-2
evidencing a beneficial ownership interest in a trust fund
consisting of mortgage pass-through certificates
sold by
LEHMAN STRUCTURED SECURITIES CORP.
(Not an interest in or obligation of the Depositor)
THIS CERTIFICATE DOES NOT EVIDENCE AN OBLIGATION OF, OR AN INTEREST IN, THE
DEPOSITOR, THE TRUSTEE OR ANY OF THEIR AFFILIATES, AND IS NOT INSURED OR
GUARANTEED BY THE DEPOSITOR OR THE TRUSTEE OR ANY OF THEIR AFFILIATES, OR BY ANY
GOVERNMENT AGENCY.
DISTRIBUTIONS IN REDUCTION OF THE PRINCIPAL BALANCE OF THIS CERTIFICATE
WILL BE MADE IN THE MANNER DESCRIBED IN THE AGREEMENT REFERRED TO HEREIN.
ACCORDINGLY THE OUTSTANDING PRINCIPAL BALANCE OF THIS CERTIFICATE AT ANY TIME
MAY BE LESS THAN THE INITIAL PRINCIPAL BALANCE REPRESENTED HEREBY.
Certificate No. ----- First Distribution Date:
October 25, 1996
Percentage Interest evidenced Denomination: $
by this Certificate: %
THIS CERTIFIES THAT -------------- is the registered owner of the
Percentage Interest evidenced by this Certificate in distributions, if any, to
the Holder of the Class E-2 Certificate with respect to a Trust Fund consisting
primarily of Resolution Trust Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1994-C1 (the "RTC Certificates"), Class E (the "Underlying
Certificates"), identified in the Agreement referred to below, which evidence
senior beneficial ownership interests in a trust that consists primarily of a
pool of mortgage loans secured by first liens on commercial, multifamily
residential, and mixed residential commercial properties and certain mortgage
loans secured by junior liens on such types of properties. The Trust Fund was
created pursuant to a Trust Agreement dated as of [September ---], 1996 (the
"Agreement"), among Lehman Structured Securities Corp. (the "Depositor"), and
State Street Bank and Trust Company, as trustee (the "Trustee"), a summary of
certain of the pertinent provisions of which is set forth below. To the extent
not defined herein, the capitalized terms used herein have the meanings ascribed
to such terms in the Agreement. This Certificate is issued under and is subject
to the terms, provisions and conditions of the Agreement, to which Agreement the
Holder of this Certificate by virtue of the acceptance hereof assents and by
which such Holder is bound.
Pursuant to the terms of the Agreement, a distribution will be made on the
25th day of each month or, if such 25th day is not a Business Day, the Business
Day immediately following (each, a "Distribution Date"); except as otherwise
provided in the Agreement and except, in the event the Trustee is no longer the
Underlying Trustee and all distributions due on the Underlying Certificates have
not been received prior to 1:00 p.m. (New York City time) on any Distribution
Date, "Distribution Date" with respect to the Certificates shall mean the next
succeeding Business Day, commencing on the first Distribution Date specified
above, to the Person in whose name this Certificate is registered at the close
of business on the last Business Day of the month preceding the month of such
distribution (the "Record Date"), in an amount equal to the product of the
Percentage Interest evidenced by this Certificate and the amount distributable
pursuant to the Agreement on the Class E-2 Certificate for such Distribution
Date, subject to adjustment, in certain events, as specified in the Agreement.
Pursuant to the Agreement and to the extent the Available Distribution Amount is
sufficient therefor, this Class of Certificates is entitled on each Distribution
Date to interest (subject to certain reductions specified in the Agreement)
(based on a 360 day year consisting of twelve 30-day months) equal to 1/12th of
the Pass-Through Rate on the related Certificate Principal Balance and
distributions of principal to the extent provided for in the Agreement. In
addition, to the extent the principal balance of the Underlying Certificates is
reduced as a result of losses on the Mortgage Loans, the Certificate Principal
Balance of this Class of Certificates will be reduced in the manner specified in
the Agreement.
This Certificate is one of a duly authorized issue of Certificates issued
in several Classes designated as Commercial Mortgage Pass-Through Certificates
of the Series specified hereon (herein collectively called the "Certificates").
Distributions on this Certificate will be made by the Trustee by check
mailed to the Holder of this Certificate as of the preceding Record Date at such
Holder's address as it appears on the Certificate Register, or, upon written
request to the Trustee at least five Business Days prior to the relevant Record
Date if such Certificateholder holds Certificates having an aggregate initial
Certificate Principal Balance that is in excess of the lesser of (i)
$[5,000,000]; or (ii) two-thirds of the initial Certificate Principal Balance of
such Class of Certificates, by wire transfer to an account specified in writing
by such Certificateholder. Except as otherwise provided in the Agreement, the
final distribution on this Certificate will be made only upon presentation and
surrender of this Certificate at the Corporate Trust Office of the Trustee.
The Certificates are limited in right of payment to the Percentage
Interests represented thereby in distributions in respect of the Underlying
Certificates received by the Trustee, subject to the provisions of and all as
more specifically set forth in the Agreement. The Certificateholder, by its
acceptance of this Certificate, agrees that it will look solely to the funds on
deposit in the Certificate Account for payment hereunder and that neither the
Trustee in its individual capacity nor the Depositor is personally liable to the
Certificateholders for any amount payable under this Certificate or the
Agreement or, except as expressly provided in the Agreement, subject to any
liability under the Agreement.
This Certificate does not purport to summarize the Agreement and reference
is made to the Agreement for the interests, rights and limitations of rights,
benefits, obligations and duties evidenced hereby, and the rights, duties and
immunities of the Trustee.
The Agreement permits, with certain exceptions as therein provided, the
amendment thereof and the modification of the terms of the Agreement and the
rights of the Holders of the Certificates under the Agreement at any time by the
Depositor and the Trustee with the consent of the Holders of Certificates
evidencing Percentage Interests aggregating not less than 66-2/3% of each Class
of Certificates affected thereby. Any such consent by the Holder of this
Certificate shall be conclusive and binding upon such Holder and upon all future
Holders of this Certificate and of any Certificate issued upon the registration
of transfer hereof or in exchange therefor or in lieu hereof whether or not
notation of such consent or waiver is made upon this Certificate. The Agreement
also permits the Trustee to amend or waive certain terms and conditions set
forth in the Agreement without the consent of the Holders of the Certificates
issued thereunder.
As provided in the Agreement and subject to certain limitations therein set
forth, the transfer of this Certificate is registrable in the Certificate
Register maintained by the Registrar for the Certificates represented hereby
upon surrender of this Certificate for registration of transfer at the offices
or agencies appointed by the Trustee as provided in the Agreement, duly endorsed
by, or accompanied by an assignment in the form below or other written
instrument of transfer in form satisfactory to the Registrar, duly executed by
the Holder hereof or such Holder's attorney duly authorized in writing, and
thereupon one or more new Certificates of authorized denominations evidencing
the same aggregate Percentage Interest will be issued to the designated
transferee or transferees.
The Certificates are issuable only as registered Certificates without
coupons in Classes and denominations specified in the Agreement. As provided in
the Agreement and subject to certain limitations therein set forth, Certificates
are exchangeable for new Certificates of authorized denominations evidencing the
same aggregate Percentage Interest, as requested by the Holder surrendering the
same.
No service charge will be made for any such registration of transfer or
exchange, but the Registrar for the Certificates may require payment of a sum
sufficient to cover any tax or other governmental charge payable in connection
therewith.
The Depositor, the Trustee, and any agent of any such Person may treat the
Person in whose name this Certificate is registered as the owner hereof for all
purposes, and none of such Persons nor any such agent shall be affected by
notice to the contrary.
The obligations created by the Agreement and the Trust Fund created thereby
(other than the obligations to make distributions to Certificateholders pursuant
to the Agreement) shall terminate upon the last action required to be taken by
the Trustee on the final Distribution Date after the earlier of (i) the final
payment in respect of the Underlying Certificates or (ii) the purchase from the
Trust Fund or the redemption of the Underlying Certificates by the Master
Servicer. Pursuant to the terms of the Underlying Trust Agreement, the Master
Servicer may redeem the RTC Certificates (including the Underlying
Certificates), in whole but not in part, on any Distribution Date on or after
the Distribution Date on which, after taking into account payments of principal
to be made on such Distribution Date, the aggregate principal balance of the RTC
Certificates is less than 5% of the aggregate initial principal amount of the
RTC Certificates. Any such sale or redemption will be made at a price determined
as set forth in the Underlying Trust Agreement. The consummation of such sale or
redemption will effect an early retirement of the Certificates. In no event,
however, will the trust created by the Agreement continue beyond the expiration
of 21 years from the death of the last survivor of the descendants, living at
the date of the Agreement, of Joseph P. Kennedy, the late ambassador of the
United States to the Court of St. James's.
Unless this Certificate has been executed by an authorized officer of the
Trustee, and authenticated by an authorized officer of the Registrar (or the
Trustee, if the Trustee is also the Registrar), by manual signature, this
Certificate shall not be entitled to any benefit under the Agreement or be valid
for any purpose.
[Signatures Commence on Following Page]
<PAGE>
IN WITNESS WHEREOF, the Trustee has caused this Certificate to be duly
executed as of the date set forth below.
Dated:
STATE STREET BANK AND TRUST COMPANY
as Trustee
By____________________________
Authorized Officer
Authenticated:
STATE STREET BANK AND TRUST COMPANY
as Trustee
By___________________________
Authorized Officer
<PAGE>
ASSIGNMENT
FOR VALUE RECEIVED, the undersigned hereby sell(s), assign(s) and transfer(s)
unto ------------------------------------------------------------------------
(Please print or typewrite name and address including postal zip code of
assignee)
the beneficial interest evidenced by the within Commercial Mortgage Pass-Through
Certificates and hereby authorizes the transfer of registration of such interest
to assignee on the Certificate Register of the Trust Fund.
I (We) further direct the Registrar to issue a new Certificate of a like
denomination or Percentage Interest and Class, to the above named assignee and
deliver such Certificate to the following address:
- -------------------------------------------------------.
Social Security or other Identifying Number of Assignee:
- -------------------------------------------------------.
Dated:
---------------------------
Signature by or on behalf of
assignor
-----------------------------
Signature Guaranteed
<PAGE>
DISTRIBUTION INSTRUCTIONS
The assignee should include the following for purposes of distribution:
Distributions shall be made, if the assignee is eligible to receive
distributions in immediately available funds, by wire transfer or otherwise, in
immediately available funds to ------------------------------------------------
for the account of ----------------------------------- account number ---------,
or, if mailed by check, to ------------------------------------. Applicable
statements should be mailed to ---------------------------------------.
This information is provided by -------------- the assignee named above, or
- ----------------------, as its agent.
<PAGE>
EXHIBIT A-R
[FORM OF CLASS R CERTIFICATE]
FOR U.S. FEDERAL INCOME TAX PURPOSES, THIS CERTIFICATE IS A "RESIDUAL
INTEREST" IN A "REAL ESTATE MORTGAGE INVESTMENT CONDUIT" AS THOSE TERMS ARE
DEFINED, RESPECTIVELY, IN SECTIONS 860G(a)(2) AND 860D OF THE INTERNAL REVENUE
CODE OF 1986, AS AMENDED (THE "CODE"). A TRANSFEREE OF THIS CERTIFICATE, BY
ACCEPTANCE HEREOF, IS DEEMED TO HAVE ACCEPTED THIS CERTIFICATE SUBJECT TO
CERTAIN RESTRICTIONS ON TRANSFERABILITY, AS SET FORTH IN SECTION 4.02 OF THE
AGREEMENT, AND SHALL BE REQUIRED TO FURNISH AN AFFIDAVIT TO THE TRANSFEROR AND
THE TRUSTEE TO THE EFFECT THAT IT IS NOT A DISQUALIFIED ORGANIZATION, AS SUCH
TERM IS DEFINED IN CODE SECTION 860E(e)(5), AN AGENT (INCLUDING A BROKER,
NOMINEE OR OTHER MIDDLEMAN) FOR SUCH DISQUALIFIED ORGANIZATION OR A
NON-PERMITTED FOREIGN HOLDER, AS DEFINED IN SECTION 4.02(c) OF THE AGREEMENT AND
TO HAVE AGREED TO SUCH AMENDMENTS TO THE TRUST AGREEMENT AS MAY BE REQUIRED TO
FURTHER EFFECTUATE THE RESTRICTIONS ON TRANSFERS TO DISQUALIFIED ORGANIZATIONS,
AGENTS THEREOF OR NON-PERMITTED FOREIGN HOLDERS.
THE HOLDER OF THIS CLASS R CERTIFICATE, BY ACCEPTANCE HEREOF, AGREES (I) TO
ACT AS "TAX MATTERS PERSON" OF THE TRUST FUND TO PERFORM THE FUNCTIONS OF A "TAX
MATTERS PARTNER" FOR PURPOSES OF SUBCHAPTER C OF CHAPTER 63 OF SUBTITLE F OF THE
CODE, AND (II) TO THE IRREVOCABLE DESIGNATION OF THE TRUSTEE AS ITS AGENT IN
PERFORMING THE FUNCTIONS OF TAX MATTERS PERSON OF THE TRUST FUND.
NO TRANSFER OF THIS CERTIFICATE SHALL BE MADE UNLESS THE TRUSTEE SHALL HAVE
RECEIVED A REPRESENTATION FROM THE TRANSFEREE OF THIS CERTIFICATE TO THE EFFECT
THAT SUCH TRANSFEREE IS NOT (I) AN EMPLOYEE BENEFIT PLAN SUBJECT TO THE
FIDUCIARY RESPONSIBILITY PROVISIONS OF THE EMPLOYEE RETIREMENT INCOME SECURITY
ACT OF 1974, AS AMENDED ("ERISA"), OR SECTION 4975 OF THE INTERNAL REVENUE CODE
OF 1986, AS AMENDED (THE "CODE"), OR A PERSON ACTING ON BEHALF OF ANY SUCH PLAN
OR USING THE ASSETS OF ANY SUCH PLAN OR (II) AN INSURANCE COMPANY USING THE
ASSETS OF ANY INSURANCE COMPANY SEPARATE OR GENERAL ACCOUNT IN WHICH THE ASSETS
OF ANY SUCH PLAN ARE INVESTED TO EFFECT SUCH ACQUISITION OR AN INSURANCE COMPANY
USING THE ASSETS OF A GROUP ANNUITY CONTRACT WHICH CONSTITUTE PLAN ASSETS.
<PAGE>
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATE
SERIES 1996-1
CLASS R
evidencing a beneficial ownership interest in a trust fund
consisting of mortgage pass-through certificates
sold by
LEHMAN STRUCTURED SECURITIES CORP.
(Not an interest in or obligation of the Depositor)
THIS CERTIFICATE DOES NOT EVIDENCE AN OBLIGATION OF, OR AN INTEREST IN, THE
DEPOSITOR, THE TRUSTEE OR ANY OF THEIR AFFILIATES, AND IS NOT INSURED OR
GUARANTEED BY THE DEPOSITOR OR THE TRUSTEE OR ANY OF THEIR AFFILIATES, OR BY ANY
GOVERNMENT AGENCY.
Certificate No.
Percentage Interest evidenced Cut-Off Date: September 1, 1996
by this Certificate: %
First Distribution Date: Denomination: $
October 25, 1996
THIS CERTIFIES THAT ------------------ is the registered owner of the
Percentage Interest evidenced by this Certificate in distributions, if any, to
the Holder of the Class R Certificate with respect to a Trust Fund consisting
primarily of Resolution Trust Corporation, Commercial Mortgage Pass-Through
Certificates, Series 1994-C1 (the "RTC Certificates"), Class E (the "Underlying
Certificates"), identified in the Agreement referred to below, which evidence
senior beneficial ownership interests in a trust that consists primarily of a
pool of mortgage loans secured by first liens on commercial, multifamily
residential, and mixed residential commercial properties and certain mortgage
loans secured by junior liens on such types of properties. The Trust Fund was
created pursuant to a Trust Agreement dated as of [September ---], 1996 (the
"Agreement"), among Lehman Structured Securities Corp. (the "Depositor"), and
State Street Bank and Trust Company, as trustee (the "Trustee"), a summary of
certain of the pertinent provisions of which is set forth below. To the extent
not defined herein, the capitalized terms used herein have the meanings ascribed
to such terms in the Agreement. This Certificate is issued under and is subject
to the terms, provisions and conditions of the Agreement, to which Agreement the
Holder of this Certificate by virtue of the acceptance hereof assents and by
which such Holder is bound.
Pursuant to the terms of the Agreement, a distribution will be made on the
25th day of each month or, if such 25th day is not a Business Day, the Business
Day immediately following (each, a "Distribution Date"); except as otherwise
provided in the Agreement and except, in the event the Trustee is no longer the
Underlying Trustee and all distributions due on the Underlying Certificates have
not been received prior to 1:00 p.m. (New York City time) on any Distribution
Date, "Distribution Date" with respect to the Certificates shall mean the next
succeeding Business Day, commencing on the first Distribution Date specified
above, to the Person in whose name this Certificate is registered at the close
of business on the last Business Day of the month preceding the month of such
distribution (the "Record Date"), in an amount equal to the product of the
Percentage Interest evidenced by this Certificate and the amount distributable
pursuant to the Agreement on the Class R Certificate for such Distribution Date,
subject to adjustment, in certain events, as specified in the Agreement.
Pursuant to the Agreement and to the extent the Available Distribution Amount is
sufficient therefor, this Class of Certificates is entitled on each Distribution
Date to interest (subject to certain reductions specified in the Agreement)
(based on a 360 day year consisting of twelve 30-day months) equal to 1/12th of
the Pass-Through Rate on the related Certificate Principal Balance and
distributions of principal to the extent provided for in the Agreement. In
addition, to the extent the principal balance of the Underlying Certificates is
reduced as a result of losses on the Mortgage Loans, the Certificate Principal
Balance of this Class of Certificates will be reduced in the manner specified in
the Agreement.
This Certificate represents a non-economic residual interest in a REMIC
and, except for the distribution on the first Distribution Date and as specified
in the Agreement, does not entitle the Holder hereof to any distributions with
respect to the Trust Fund.
No transfer of a Class R Certificate will be made unless the Trustee
receives a representation letter, in the form as described in the Agreement,
stating that the transferee is not (a) a Plan and is not acting on behalf of a
Plan or using the assets of a Plan to effect such purchase, or (b) a collective
investment fund in which Plans are invested or an insurance company using the
assets of any separate or general account in which the assets of any such Plan
are invested (or which are deemed pursuant to ERISA or any similar law to
include assets of Plans), which representation letter shall not be at the
expense of the Trustee or the Depositor.
This Certificate is one of a duly authorized issue of Certificates issued
in several Classes designated as Commercial Mortgage Pass-Through Certificates
of the Series specified hereon (herein collectively called the "Certificates").
Distributions on this Certificate will be made by the Trustee by check
mailed to the Holder of this Certificate as of the preceding Record Date at such
Holder's address as it appears on the Certificate Register, or, upon written
request to the Trustee at least five Business Days prior to the relevant Record
Date if such Certificateholder holds Certificates having an aggregate initial
Certificate Principal Balance that is in excess of the lesser of (i)
$[5,000,000]; or (ii) two-thirds of the initial Certificate Principal Balance of
such Class of Certificates, by wire transfer to an account specified in writing
by such Certificateholder. Except as otherwise provided in the Agreement, the
final distribution on this Certificate will be made only upon presentation and
surrender of this Certificate at the Corporate Trust Office of the Trustee.
The Certificates are limited in right of payment to the Percentage
Interests represented thereby in distributions in respect of the Underlying
Certificates received by the Trustee, subject to the provisions of and all as
more specifically set forth in the Agreement. The Certificateholder, by its
acceptance of this Certificate, agrees that it will look solely to the funds on
deposit in the Certificate Account for payment hereunder and that neither the
Trustee in its individual capacity nor the Depositor is personally liable to the
Certificateholders for any amount payable under this Certificate or the
Agreement or, except as expressly provided in the Agreement, subject to any
liability under the Agreement.
The Class R Certificateholder, by its acceptance hereof, agrees to
reimburse the Trustee for taxes imposed upon the REMIC as provided in the
Agreement. This Certificate does not purport to summarize the Agreement and
reference is made to the Agreement for the interests, rights and limitations of
rights, benefits, obligations and duties evidenced hereby, and the rights,
duties and immunities of the Trustee.
The Agreement permits, with certain exceptions as therein provided, the
amendment thereof and the modification of the terms of the Agreement and the
rights of the Holders of the Certificates under the Agreement at any time by the
Depositor and the Trustee with the consent of the Holders of Certificates
evidencing Percentage Interests aggregating not less than 66-2/3% of each Class
of Certificates affected thereby. Any such consent by the Holder of this
Certificate shall be conclusive and binding upon such Holder and upon all future
Holders of this Certificate and of any Certificate issued upon the registration
of transfer hereof or in exchange therefor or in lieu hereof whether or not
notation of such consent or waiver is made upon this Certificate. The Agreement
also permits the Trustee to amend or waive certain terms and conditions set
forth in the Agreement without the consent of the Holders of the Certificates
issued thereunder.
As provided in the Agreement and subject to certain limitations therein set
forth, the transfer of this Certificate is registrable in the Certificate
Register maintained by the Registrar for the Certificates represented hereby
upon surrender of this Certificate for registration of transfer at the offices
or agencies appointed by the Trustee as provided in the Agreement, duly endorsed
by, or accompanied by an assignment in the form below or other written
instrument of transfer in form satisfactory to the Registrar, duly executed by
the Holder hereof or such Holder's attorney duly authorized in writing, and
thereupon one or more new Certificates of authorized denominations evidencing
the same aggregate Percentage Interest will be issued to the designated
transferee or transferees.
The Certificates are issuable only as registered Certificates without
coupons in Classes and denominations specified in the Agreement. As provided in
the Agreement and subject to certain limitations therein set forth, Certificates
are exchangeable for new Certificates of authorized denominations evidencing the
same aggregate Percentage Interest, as requested by the Holder surrendering the
same.
No service charge will be made for any such registration of transfer or
exchange, but the Registrar for the Certificates may require payment of a sum
sufficient to cover any tax or other governmental charge payable in connection
therewith.
The Depositor, the Trustee and the Registrar, and any agent of any such
Person may treat the Person in whose name this Certificate is registered as the
owner hereof for all purposes, and none of such Persons nor any such agent shall
be affected by notice to the contrary.
The obligations created by the Agreement and the Trust Fund created thereby
(other than the obligations to make distributions to Certificateholders pursuant
to the Agreement) shall terminate upon the last action required to be taken by
the Trustee on the final Distribution Date after the earlier of (i) the final
payment in respect of the Underlying Certificates or (ii) the purchase from the
Trust Fund or the redemption of the Underlying Certificates by the Master
Servicer. Pursuant to the terms of the Underlying Trust Agreement, the Master
Servicer may redeem the RTC Certificates (including the Underlying
Certificates), in whole but not in part, on any Distribution Date on or after
the Distribution Date on which, after taking into account payments of principal
to be made on such Distribution Date, the aggregate principal balance of the RTC
Certificates is less than 5% of the aggregate initial principal amount of the
RTC Certificates. Any such sale or redemption will be made at a price determined
as set forth in the Underlying Trust Agreement. The consummation of such sale or
redemption will effect an early retirement of the Certificates. In no event,
however, will the trust created by the Agreement continue beyond the expiration
of 21 years from the death of the last survivor of the descendants, living at
the date of the Agreement, of Joseph P. Kennedy, the late ambassador of the
United States to the Court of St. James's.
Unless this Certificate has been executed by an authorized officer of the
Trustee, and authenticated by an authorized officer of the Registrar (or the
Trustee, if the Trustee is also the Registrar), by manual signature, this
Certificate shall not be entitled to any benefit under the Agreement or be valid
for any purpose.
[Signatures Commence on Following Page]
<PAGE>
IN WITNESS WHEREOF, the Trustee has caused this Certificate to be duly
executed as of the date set forth below.
Dated:
STATE STREET BANK AND TRUST COMPANY
as Trustee
By-----------------------------------
Authorized Officer
Authenticated:
STATE STREET BANK AND TRUST COMPANY
as Trustee
By---------------------------------
Authorized Officer
<PAGE>
ASSIGNMENT
FOR VALUE RECEIVED, the undersigned hereby sell(s), assign(s) and transfer(s)
unto -------------------------------------------------------------- (Please
print or typewrite name and address including postal zip code of assignee)
the beneficial interest evidenced by the within Commercial Mortgage Pass-Through
Certificates and hereby authorizes the transfer of registration of such interest
to assignee on the Certificate Register of the Trust Fund.
I (We) further direct the Registrar to issue a new Certificate of a like
denomination or Percentage Interest and Class, to the above named assignee and
deliver such Certificate to the following address:
- -------------------------------------------------------.
Social Security or other Identifying Number of Assignee:
- -------------------------------------------------------.
Dated:
----------------------------------
Signature by or on behalf of
assignor
----------------------------------
Signature Guaranteed
<PAGE>
DISTRIBUTION INSTRUCTIONS
The assignee should include the following for purposes of distribution:
Distributions shall be made, if the assignee is eligible to receive
distributions in immediately available funds, by wire transfer or otherwise, in
immediately available funds to ----------------------------- for the account of
- ---------------------------------------- account number ----------------------,
or, if mailed by check, to --------------------. Applicable statements should be
mailed to -------------------------------------
This information is provided by ----------------------------------------
the assignee named above, or -------------------------------, as its agent.
<PAGE>
EXHIBIT B
AFFIDAVIT PURSUANT TO
SECTION 860E(e)(4) OF THE
INTERNAL REVENUE CODE OF
1986, AS AMENDED
STATE OF ---------- )
) ss.:
COUNTY OF -------- )
[NAME OF OFFICER], being first duly sworn, deposes and says:
1. That he is [Title of Officer] of [Name of Purchaser] (the "Purchaser"),
a [description of type of entity] duly organized and existing under the laws of
the [State of -------] [United States], on behalf of which he makes this
affidavit.
2. That the Purchaser's Taxpayer Identification Number is [-----------].
3. That the Purchaser is not a "disqualified organization" within the
meaning of Section 860E(e)(5), of the Internal Revenue Code of 1986, as amended
(the "Code"), and will not be a "disqualified organization" as of [date of
transfer], and that the Purchaser is not acquiring Lehman Structured Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series 1996-1, Class R
Certificate (the "Class R Certificate") for the account of, or as agent
(including a broker, nominee, or other middleman) for, any person or entity from
which it has not received an affidavit substantially in the form of this
affidavit. For these purposes, "disqualified organization" means the United
States, any state or political subdivision thereof, any foreign government, any
international organization, any agency or instrumentality of any of the
foregoing (other than an instrumentality if all of its activities are subject to
tax and a majority of its board of directors is not selected by such
governmental entity), any cooperative organization furnishing electric energy or
providing telephone service to persons in rural areas as described in Code
Section 1381(a)(2)(C), or any organization (other than a farmers' cooperative
described in Code Section 521) that is exempt from taxation under the Code
unless such organization is subject to the tax on unrelated business income
imposed by Code Section 511.
4. That the Purchaser historically has paid its debts as they have come due
and intends to pay its debts as they come due in the future and the Purchaser
intends to pay taxes associated with holding the Class R Certificate as they
become due.
5. That the Purchaser understands that it may incur tax liabilities with
respect to the Class R Certificate in excess of cash flows generated by the
Class R Certificate.
6. That the Purchaser will not transfer the Class R Certificate to any
person or entity from which the Purchaser has not received an affidavit
substantially in the form of this affidavit and as to which the Purchaser has
actual knowledge that the requirements set forth in paragraphs 3, 4 or 7 hereof
are not satisfied or that the Purchaser has reason to know does not satisfy the
requirements set forth in paragraph 4 hereof.
7. That the Purchaser (i) is not a Non-U.S. Person or (ii) is a Non-U.S.
Person that holds the Class R Certificate in connection with the conduct of a
trade or business within the United States and has furnished the transferor and
the Trustee with an effective Internal Revenue Service Form 4224 or successor
form at the time and in the manner required by the Code or (iii) is a Non-U.S.
Person that has delivered to both the transferor and the Trustee an opinion of a
nationally recognized tax counsel to the effect that the transfer of the Class R
Certificate to it is in accordance with the requirements of the Code and the
regulations promulgated thereunder and that such transfer of the Class R
Certificate will not be disregarded for federal income tax purposes. "Non-U.S.
Person" means an individual corporation, partnership or other person other than
a citizen or resident of the United States, a corporation, partnership or other
entity created or organized in or under the laws of the United States or any
political subdivision thereof, or an estate or trust that is subject to U.S.
federal income tax regardless of the source of its income.
8. That the Purchaser agrees to such amendments of the Trust Agreement as
may be required to further effectuate the restrictions on transfer of the Class
R Certificate to such a "disqualified organization," an agent thereof or a
person that does not satisfy the requirements of paragraph 4, paragraph 5 and
paragraph 7 hereof.
9. That the Purchaser, pursuant to Section 2.03(c) of the Trust Agreement,
consents (i) to serve as "tax matters person" of the REMIC for as long as it
shall hold the Class R Certificate and (ii) to the irrevocable designation of
the Certificate Administrator as its agent in performing the functions of "tax
matters person."
10. That the Purchaser is a "qualified institutional buyer" within the
meaning of Rule 144A under the Securities Act of 1933, as amended.
<PAGE>
IN WITNESS WHEREOF, the Purchaser has caused this instrument to be executed
on its behalf, pursuant to authority of its Board of Directors, by its [Title of
Officer] this ----- day of ------, 19--.
[NAME OF PURCHASER]
By:--------------------------
[Name of Officer]
[Title of Officer]
Personally appeared before me the above-named [Name of Officer], known or
proved to me to be the same person who executed the foregoing instrument and to
be the [Title of Officer], of the Purchaser, and acknowledged to me that he
[she] executed the same as his [her] free act and deed and the free act and deed
of the Purchaser.
Subscribed and sworn before me this --- day of ------------, 19--.
- --------------------------------
NOTARY PUBLIC
COUNTY OF ------------------------
STATE OF -------------------------
My commission expires the --- day of ---------, 19--.
<PAGE>
EXHIBIT C
[Letter from Transferor of Class R Certificate]
[Date]
STATE STREET BANK AND TRUST COMPANY
[------------------------]
[------------------------]
[------------------------]
Attention: [------------------------------]
Re: Lehman Structured Securities Corp.,
Commercial Mortgage Pass-Through
Certificates, Series 1996-1, Class R
Ladies and Gentlemen:
[Transferor] has reviewed the attached affidavit of [Transferee], and has
no actual knowledge that such affidavit is not true and has no reason to know
that the information contained in paragraph 4 thereof is not true.
Very truly yours,
[Transferor]
--------------------------
<PAGE>
EXHIBIT D
LEHMAN STRUCTURED SECURITIES CORP.
Commercial Pass-Through Certificates
Series 1996-1
TRANSFEREE AFFIDAVIT
Reference is made to the trust and servicing agreement (the "Trust and
Servicing Agreement"), dated as of September 1, 1995, between Lehman Structured
Securities Corp., as depositor (the "Depositor"), and State Street Bank and
Trust Company, as trustee (the "Trustee "). All terms used herein and not
otherwise defined shall have the respective meanings set forth in the Trust and
Servicing Agreement. In connection with the transfer of the Class E-2
Certificates (the "Class E-2 Certificate") issued pursuant to the Trust and
Servicing Agreement, --------------, hereby certifies that:
1. That (s)he is ------------------ of ------------------- (the
"Transferee"), a -------------- corporation, on behalf of which he makes this
affidavit.
2. That the Transferee is (i) an institution that is an "accredited
investor" as defined in paragraphs (1), (2), (3) and (7) of rule 501(a) under
the Securities Act of 1933, as amended (the "Act") (or any entity in which all
of the equity owners come within such paragraphs), (ii) a "qualified
institutional buyer" as defined in rule 144A under the Act, or (iii) any person
(other than any rating organization rating the Depositor's securities) involved
in the organization or operation of the Depositor or an affiliate, as defined in
rule 405 under the Act.
3. That the Transferee is not an employee benefit plan that is subject to
the Employee Retirement Income Security Act of 1974, as amended ("ERISA"), or
described in section 4975(e)(1) of the Internal Revenue Code of 1986, as amended
(the "Code"), or subject to any essentially similar federal, state, or local law
("Similar Law"), and is not an insurance company using assets of separate
accounts or general accounts which include assets of such plans (or which are
deemed pursuant to ERISA to include the assets of such plans).
--------------------------
Name:
Title: