<PAGE>
===============================================================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of report (Date of earliest event reported) February 12, 1998
DLJ Commercial Mortgage Corp.
- -------------------------------------------------------------------------------
(Exact Name of Registrant as Specified in Its Charter)
Delaware 333-32019 13-3956945
- -------------------------------------------------------------------------------
(State or Other Jurisdiction (Commission (IRS Employer
of Incorporation) File Number) Identification No.)
277 Park Avenue, New York, New York 10172
- -------------------------------------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 892-3000
--------------
- -------------------------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
===============================================================================
<PAGE>
Item 5. Other Events.
It is expected that during late February or early March of 1998, a
single series of certificates, entitled DLJ Commercial Mortgage Corp.,
Commercial Mortgage Pass-Through Certificates, Series 1998-CF1 (the
"Certificates"), will be issued pursuant to a pooling and servicing agreement
(the "Pooling and Servicing Agreement"), to be entered into by and among DLJ
Commercial Mortgage Corp. (the "Registrant"), Banc One Mortgage Capital
Markets, LLC, as servicer (the "Servicer"), Clarion Capital, as special
servicer (the "Special Servicer") and Norwest Bank Minnesota, National
Association, as trustee (the "Trustee") and REMIC administrator ("REMIC
Administrator"). Certain classes of the Certificates (the "Underwritten
Certificates") will be registered under the Registrant's registration
statement on Form S-3 (no. 333-32019) and sold to Donaldson, Lufkin & Jenrette
Securities Corporation (the "Underwriter") pursuant to an underwriting
agreement (the "Underwriting Agreement") to be entered into by and between the
Registrant and the Underwriter.
In connection with the expected sale of the Underwritten
Certificates, the Underwriter has advised the Registrant that it has furnished
to prospective investors certain information attached hereto as Exhibit 99.1
that may be considered "Computational Materials" (as defined in the no-action
letter dated May 20, 1994 issued by the Division of Corporation Finance of the
Securities and Exchange Commission (the "Commission") to Kidder, Peabody
Acceptance Corporation I, Kidder, Peabody & Co. Incorporated, and Kidder
Structured Asset Corporation and the no-action letter dated May 27, 1994
issued by the Division of Corporation Finance of the Commission to the Public
Securities Association) and "ABS Term Sheets" (as defined in the no-action
letter dated February 17, 1995 issued by the Division of Corporation Finance
of the Commission to the Public Securities Association).
The Computational Materials and ABS Term Sheets attached hereto have
been prepared and provided to the Registrant by the Underwriter. The
information in such Computational Materials and ABS Term Sheets is preliminary
and will be superseded by the final Prospectus Supplement relating to the
Underwritten Certificates and by any other information subsequently filed with
the Commission. To the extent any Computational Materials and ABS Term Sheets
previously filed by the Registrant with respect to the Underwritten
Certificates are inconsistent with the Computational Materials and ABS Term
Sheets attached hereto, such previously filed Computational Materials and ABS
Term Sheets are superseded by the Computational Materials and ABS Term Sheets
attached hereto.
Item 7. Financial Statements and Exhibits.
(a) Financial statements of businesses acquired:
Not applicable.
(b) Pro forma financial information:
Not applicable.
-2-
<PAGE>
(c) Exhibits:
Exhibit No. Description
99.1 Computational Materials and ABS Term Sheets, dated February
12, 1998, prepared by Donaldson, Lufkin & Jenrette
Securities Corporation.
-3-
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
Date: February 17, 1998
DLJ COMMERCIAL MORTGAGE CORP.
By: /s/ N. Dante LaRocca
----------------------------
Name: N. Dante LaRocca
Title: Senior Vice President
-4-
<PAGE>
EXHIBIT INDEX
The following exhibits are filed herewith:
Exhibit No. Page No.
- ----------- --------
99.1 Computational Materials and ABS Term Sheets,
dated February 12, 1998, prepared by Donaldson,
Lufkin & Jenrette Securities Corporation.
-5-
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, New York 10172
- --------------------------------------------------------------------------------
Real Estate Finance Group
COMMERCIAL MORTGAGE TRADING
$838,796,331 (+/- 5%)
(Initial Mortgage Pool Balance)
"Column Conduit VII"
DLJ COMMERCIAL MORTGAGE CORP.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-CF1
Class CP, Class S, Class A-1A, Class A-1B, Class A-2, Class A-3,
Class B-1, Class B-2
** PRELIMINARY SUMMARY MEMORANDUM **
Dated February 12, 1998
This investment summary is a computational, structural and/or collateral
term sheet prepared solely for informational purposes. No offer to sell or
solicitation of any offer to purchase securities is being made hereby. This
summary is designed for use by Donaldson, Lufkin & Jenrette Securities
Corporation personnel to assist them in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by
Donaldson, Lufkin & Jenrette Securities Corporation or any of its respective
affiliates. Therefore, none of Donaldson, Lufkin & Jenrette Securities
Corporation nor any of its respective affiliates make any representations or
warranties with respect to the information contained herein or as to the
appropriateness, usefulness or completeness of these materials. Any
computational information set forth herein (including without limitation any
computations of yields and weighted average life) is hypothetical and based
on certain assumptions (including without limitation assumptions regarding
the rate and timing of voluntary and involuntary prepayments of the mortgage
loan/loans or assumptions that the mortgage loan/loans will not be prepaid
voluntarily or involuntarily or liquidated). The actual characteristics and
performance of the mortgage loan/loans will differ from such assumptions and
such differences may be material. This document is subject to errors,
omissions and changes in the information and is subject to modification or
withdrawal at any time with or without notice. These materials and the
information contained herein supersedes any and all information contained in
any previously furnished computational, structural and/or collateral terms
sheets and shall be superseded by any subsequently furnished similar
materials. These materials and the information contained herein shall be
superseded by a final prospectus and prospectus supplement and by subsequent
summary memoranda. No purchase of any securities may be made unless and
until a final prospectus, prospectus supplement or similar private placement
memorandum has been received by a potential investor and such investor has
complied with all additional related offering requirements. The contents
herein are not to be reproduced without the express written consent of
Donaldson, Lufkin & Jenrette Securities Corporation. Donaldson, Lufkin &
Jenrette Securities Corporation and its affiliates expressly reserve the
right, at their sole discretion, to reject any or all proposals or
expressions of interest in the subject proposed offering and to terminate
discussions with any party at any time with or without notice.
- --------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, New York 10172
- --------------------------------------------------------------------------------
Real Estate Finance Group
COMMERCIAL MORTGAGE TRADING
DLJ Commercial Mortgage Corp.
Commercial Mortgage Pass-Through Certificates, Series 1998-CF1
"Column Conduit VII"
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
| -------------------------------------------------------------------------------------------------------------------------------- |
| | Servicing Fee | |
| -------------------------------------------------------------------------------------------------------------------------------- |
| -------------------------------------------------------------------------------------------------------------------------------- |
| | Class S Public | |
| | ------------------------------------------------------ | |
| | | ------------------------------------------------- | | |
| | | | | | | |
| | | | Class CP Public | | | |
| | | | ------------ | | |
| | | | | --------- | | |
| | | | ------------ |Public | | | |
| | | | | --------- | | | | |
| | | | ------------ |Public | | | ---------------------------------- | |
| | | | | --------- | | | | --------- --------- --------- | | |
| | | | ------------ |Public | | | | | |Private| |Private| |Private| ----------------------------| |
| | | | | --------- | | | | | | | | | | | | -------- -------- --------| |
| | ----- ----- |Public | | | | | | | | | | | | | |Private| |Private| |Private| |
| | | --------- | | | | | | | | | | | | | | | | | | | | |
| --------- |Public | | | | | | | | | | | | | | | | | | | | | |
| --------- | | | | | | | | | | | | | | | | | | | | | | |
| |Public | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | Class | | Class | | Class | | Class | | Class | | Class | | Class | | Class | | Class | | Class | | Class | | Class | |
| | A-1A | | A-1B | | A-2 | | A-3 | | B-1 | | B-2 | | B-3 | | B-4 | | B-5 | | B-6 | | B-7 | | C | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- |
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Expected ($) (%) (%) Avg Prin Price Price Aprx ERISA/
Class SP/FT/MD Balance Balance Sub Life(1) Mat(1) Win(1) Talk Index Price Status SMMEA
- ----- -------- ------- ------- --- ------- ------ ------ ----- ----- ----- ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CP nr/AAA/Aaa 482,300,000 na na 7.1 Apr-05 na --- Curve 5-04 Public Yes/Yes
S nr/AAA/Aaa 838,796,331 na na 9.9 Jan-18 na --- Curve 4-14 Public Yes/Yes
A-1A AAA/AAA/Aaa 125,000,000 14.91 29.50 5.2 Oct-06 103 --- 5 Yr UST 100-08 Public Yes/Yes
A-1B AAA/AAA/Aaa 466,300,000 55.59 29.50 9.7 Feb-08 17 --- 10 Yr UST 101-00 Public Yes/Yes
A-2 AA/AA/Aa2 50,400,000 6.01 23.50 9.9 Feb-08 1 --- 10 Yr UST 101-00 Public No/Yes
A-3 A/A/A2 50,300,000 6.00 17.50 9.9 Feb-08 1 --- 10 Yr UST 101-00 Public No/No
B-1 BBB/BBB/Baa2 41,900,000 5.00 12.51 10.1 Nov-09 22 --- 10 Yr UST 101-00 Public No/No
B-2 BBB-/nr/Baa3 14,700,000 1.75 10.75 11.8 Jan-10 3 --- Curve 101-00 Public No/No
B-3 BB+/BB+/Ba1 10,000,000 1.19 9.56 11.9 Jun-10 6 ****** ** (2) ** ****** Private No/No
B-4 BB/BB/nr 27,100,000 3.23 6.33 14.3 Jan-13 32 ****** ** (2) ** ****** Private No/No
B-5 BB-/nr/nr 15,000,000 1.79 4.54 17.2 Sep-17 57 ****** ** (3) ** ****** Private No/No
B-6 B/nr/nr 15,000,000 1.80 2.75 19.7 Nov-17 3 ****** ** (3) ** ****** Private No/No
B-7 nr/B-/nr 6,300,000 0.75 2.00 19.7 Nov-17 1 ****** ** (3) ** ****** Private No/No
C nr/nr/nr 16,796,331 2.00 0.00 19.7 Jan-18 3 ****** ** (3) ** ****** Private No/No
----------- ------
Total 838,796,331 100.00
=========== ======
</TABLE>
(1) Reflects average life, maturity and principal window. Assumes 0% CPR, no
defaults and no extensions.
(2) Not Publicly Offered
(3) Sold
This investment summary is a computational, structural and/or collateral
term sheet prepared solely for informational purposes. No offer to sell or
solicitation of any offer to purchase securities is being made hereby. This
summary is designed for use by Donaldson, Lufkin & Jenrette Securities
Corporation personnel to assist them in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by
Donaldson, Lufkin & Jenrette Securities Corporation or any of its respective
affiliates. Therefore, none of Donaldson, Lufkin & Jenrette Securities
Corporation nor any of its respective affiliates make any representations or
warranties with respect to the information contained herein or as to the
appropriateness, usefulness or completeness of these materials. Any
computational information set forth herein (including without limitation any
computations of yields and weighted average life) is hypothetical and based
on certain assumptions (including without limitation assumptions regarding
the rate and timing of voluntary and involuntary prepayments of the mortgage
loan/loans or assumptions that the mortgage loan/loans will not be prepaid
voluntarily or involuntarily or liquidated). The actual characteristics and
performance of the mortgage loan/loans will differ from such assumptions and
such differences may be material. This document is subject to errors,
omissions and changes in the information and is subject to modification or
withdrawal at any time with or without notice. These materials and the
information contained herein supersedes any and all information contained in
any previously furnished computational, structural and/or collateral terms
sheets and shall be superseded by any subsequently furnished similar
materials. These materials and the information contained herein shall be
superseded by a final prospectus and prospectus supplement or similar private
placement memorandum. No purchase of any securities may be made unless and
until a final prospectus, prospectus supplement or similar private placement
memorandum has been received by a potential investor and such investor has
complied with all additional related offering requirements. The contents
herein are not to be reproduced without the express written consent of
Donaldson, Lufkin & Jenrette Securities Corporation. Donaldson, Lufkin &
Jenrette Securities Corporation and its affiliates expressly reserve the
right, at their sole discretion, to reject any or all proposals or
expressions of interest in the subject proposed offering and to terminate
discussions with any party at any time with or without notice.
- --------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, New York 10172
- --------------------------------------------------------------------------------
Real Estate Finance Group
COMMERCIAL MORTGAGE TRADING
DLJ Commercial Mortgage Corp.
Commercial Mortgage Pass-Through Certificates, Series 1998-CF1
"Column Conduit VII"
- --------------------------------------------------------------------------------
Collateral: The Trust Fund will consist of a pool of 168
fixed-rate, monthly-pay mortgage loans with an
aggregate balance of approximately $838,796,331, each
of which is, in general, secured by a first lien on a
fee and/or leashold interest in a multifamily or
commercial property. The properties are located
throughout 31 states and the District of Columbia
with the largest concentrations (by balance) in NJ
13.3% (5 loans), CA 10.3% (19 loans) and MN 7.6% (9
loans).
- --------------------------------------------------------------------------------
Mortgage Loan The mortgage loans were originated between July 1997 and
Origination: January 1998 by 4 participants in DLJ Mortgage Capital,
Inc.'s ("DLJMC") commercial and multifamily mortgage
loan conduit program. Approximately 89.7% of the
mortgage loans were originated by Column Financial,
Inc. The remaining mortgage loans were originated by
Union Capital Investments LLC (8.0%), ARCS Commercial
Mortgage (2.1%) and GMAC Commercial Mortgage
Corporation (0.2%). All mortgage loans were
underwritten with third party due diligence reports.
Column Financial, Inc. ("Column"), formed in 1993, is
a wholly owned subsidiary of DLJMC. Column is a
commercial conduit for sourcing, underwriting and
closing multifamily and commercial mortgage loans.
Mortgage loans closed by Column are originated
primarily through a nationwide network of commercial
mortgage correspondents in local markets.
- --------------------------------------------------------------------------------
Servicer: Banc One Mortgage Capital Dealer: Donaldson, Lufkin &
Markets, LLC Jenrette Securities
- --------------------------------------------------------------------------------
Special Clarion Partners, LLC Expected March 5, 1998
Servicer: Settlement:
- --------------------------------------------------------------------------------
Rating S&P, Fitch & Moody's Trustee: Norwest Bank
Agency: Minnesota, National
Association
- --------------------------------------------------------------------------------
Extensions: The Special Servicer will not be permitted to grant any
extension of the maturity of a mortgage loan beyond 36
months of such mortgage loan's stated maturity date.
- --------------------------------------------------------------------------------
Controlling The Controlling Class of certificateholders may appoint a
Class: Special Servicer and replace the existing Special Servicer.
Controlling Class - will be the most subordinate class of
certificates which has an aggregate certificate principal
amount greater than 25% (or in the case of the Class C
certificates, 20%) of its original aggregate certificate
principal amount.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This investment summary is a computational, structural and/or collateral
term sheet prepared solely for informational purposes. No offer to sell or
solicitation of any offer to purchase securities is being made hereby. This
summary is designed for use by Donaldson, Lufkin & Jenrette Securities
Corporation personnel to assist them in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by
Donaldson, Lufkin & Jenrette Securities Corporation or any of its respective
affiliates. Therefore, none of Donaldson, Lufkin & Jenrette Securities
Corporation nor any of its respective affiliates make any representations or
warranties with respect to the information contained herein or as to the
appropriateness, usefulness or completeness of these materials. Any
computational information set forth herein (including without limitation any
computations of yields and weighted average life) is hypothetical and based
on certain assumptions (including without limitation assumptions regarding
the rate and timing of voluntary and involuntary prepayments of the mortgage
loan/loans or assumptions that the mortgage loan/loans will not be prepaid
voluntarily or involuntarily or liquidated). The actual characteristics and
performance of the mortgage loan/loans will differ from such assumptions and
such differences may be material. This document is subject to errors,
omissions and changes in the information and is subject to modification or
withdrawal at any time with or without notice. These materials and the
information contained herein supersedes any and all information contained in
any previously furnished computational, structural and/or collateral terms
sheets and shall be superseded by any subsequently furnished similar
materials. These materials and the information contained herein shall be
superseded by a final prospectus and prospectus supplement and by subsequent
summary memoranda. No purchase of any securities may be made unless and
until a final prospectus, prospectus supplement or similar private placement
memorandum has been received by a potential investor and such investor has
complied with all additional related offering requirements. The contents
herein are not to be reproduced without the express written consent of
Donaldson, Lufkin & Jenrette Securities Corporation. Donaldson, Lufkin &
Jenrette Securities Corporation and its affiliates expressly reserve the
right, at their sole discretion, to reject any or all proposals or
expressions of interest in the subject proposed offering and to terminate
discussions with any party at any time with or without notice.
- --------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, New York 10172
- --------------------------------------------------------------------------------
Real Estate Finance Group
COMMERCIAL MORTGAGE TRADING
DLJ Commercial Mortgage Corp.
Commercial Mortgage Pass-Through Certificates, Series 1998-CF1
"Column Conduit VII"
- --------------------------------------------------------------------------------
Advances: Advances subject to recoverability determination and
appraisal reductions.
- --------------------------------------------------------------------------------
Priority of On each distribution date, interest will be distributed to
Interest: each of the classes in the following order of priority:
1. Class S, CP(1), A-1A and A-1B, pro rata
2. Class A-2
3. Class A-3
4. Class B-1
5. Class B-2
6. Class B-3
7. Class B-4
8. Class B-5
8. Class B-6
8. Class B-7
9. Class C
(1) The Class CP is not entitled to receive interest
after _____ (subject to change based on pricing).
- --------------------------------------------------------------------------------
Priority of On each distribution date, principal will be distributed and
Principal: the following order of priority:
Scheduled and Prepayments(1) Losses
---------------------------- ------------------
1. Class A-1A 1. Class C
2. Class A-1B(2) 2. Class B-7
3. Class A-2 3. Class B-6
4. Class A-3 4. Class B-5
5. Class B-1 5. Class B-4
6. Class B-2 6. Class B-3
7. Class B-3 7. Class B-2
8. Class B-4 8. Class B-1
9. Class B-5 9. Class A-3
10. Class B-6 10. Class A-2
11. Class B-7 11. Class A-1A and
12. Class C A-1B, pro rata
(1) None of the following classes will receive any principal
distributions until all classes, if any, listed above it are
retired.
(2) Pro rata with Class A-1A if Classes A-2 through C are gone.
- -------------------------------------------------------------------------------
This investment summary is a computational, structural and/or collateral
term sheet prepared solely for informational purposes. No offer to sell or
solicitation of any offer to purchase securities is being made hereby. This
summary is designed for use by Donaldson, Lufkin & Jenrette Securities
Corporation personnel to assist them in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by
Donaldson, Lufkin & Jenrette Securities Corporation or any of its respective
affiliates. Therefore, none of Donaldson, Lufkin & Jenrette Securities
Corporation nor any of its respective affiliates make any representations or
warranties with respect to the information contained herein or as to the
appropriateness, usefulness or completeness of these materials. Any
computational information set forth herein (including without limitation any
computations of yields and weighted average life) is hypothetical and based
on certain assumptions (including without limitation assumptions regarding
the rate and timing of voluntary and involuntary prepayments of the mortgage
loan/loans or assumptions that the mortgage loan/loans will not be prepaid
voluntarily or involuntarily or liquidated). The actual characteristics and
performance of the mortgage loan/loans will differ from such assumptions and
such differences may be material. This document is subject to errors,
omissions and changes in the information and is subject to modification or
withdrawal at any time with or without notice. These materials and the
information contained herein supersedes any and all information contained in
any previously furnished computational, structural and/or collateral terms
sheets and shall be superseded by any subsequently furnished similar
materials. These materials and the information contained herein shall be
superseded by a final prospectus and prospectus supplement and by subsequent
summary memoranda. No purchase of any securities may be made unless and
until a final prospectus, prospectus supplement or similar private placement
memorandum has been received by a potential investor and such investor has
complied with all additional related offering requirements. The contents
herein are not to be reproduced without the express written consent of
Donaldson, Lufkin & Jenrette Securities Corporation. Donaldson, Lufkin &
Jenrette Securities Corporation and its affiliates expressly reserve the
right, at their sole discretion, to reject any or all proposals or
expressions of interest in the subject proposed offering and to terminate
discussions with any party at any time with or without notice.
- -------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, New York 10172
- -------------------------------------------------------------------------------
Real Estate Finance Group
COMMERCIAL MORTGAGE TRADING
DLJ Commercial Mortgage Corp.
Commercial Mortgage Pass-Through Certificates, Series 1998-CF1
"Column Conduit VII"
- -------------------------------------------------------------------------------
Prepayment All of the mortgage loans provide for either a prepayment
Protection and lockout period ("Lockout"), a defeasance period
Distribution: ("Defeasance"), a yield maintenance premium ("YMP") period
and/or a prepayment premium ("PP") period or a combination
thereof.
All YMPs collected on the mortgage loans will be
distributed as described below:
I. Class CP Notional Amount Not Effected by Prepayment
<TABLE>
<S> <C> <C>
-------------------------- -------------------------- --------------------------
| | | | | |
| CYMA Due | | Total YMP Collected | 100% | Class S |
| P&I Classes |------| Less |------| Additional Interest |
| | | CYMA Paid | | |
| | | | | |
-------------------------- -------------------------- --------------------------
</TABLE>
II. Class CP Notional Amount Effected by Prepayment
<TABLE>
<S> <C> <C>
--------------------------
75% | |
-------------------------- -------------------------- ---------| Class CP |
| | | | | | Additional Interest |
| CYMA Due | | Total YMP Collected | Split | --------------------------
| P&I Classes |------| Less |-------|
| | | CYMA Paid | | --------------------------
| | | | | 25% | |
-------------------------- -------------------------- ---------| Class S |
| Additional Interest |
--------------------------
</TABLE>
Note: All PPs collected will be distributed to the Class S
and/or Class CP certificates as described above.
The certificate yield maintenance amount ("CYMA") for the
P&I classes is calculated using a fraction (not greater than
one or less than zero) of which, (a) the numerator is equal
to the excess of a specified class pass-through rate over
the relevant discount rate and (b) the denominator is equal
to the excess of the mortgage rate on the related loan over
the relevant discount rate.
- -------------------------------------------------------------------------------
This investment summary is a computational, structural and/or collateral
term sheet prepared solely for informational purposes. No offer to sell or
solicitation of any offer to purchase securities is being made hereby. This
summary is designed for use by Donaldson, Lufkin & Jenrette Securities
Corporation personnel to assist them in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by Donaldson,
Lufkin & Jenrette Securities Corporation or any of its respective affiliates.
Therefore, none of Donaldson, Lufkin & Jenrette Securities Corporation nor any
of its respective affiliates make any representations or warranties with
respect to the information contained herein or as to the appropriateness,
usefulness or completeness of these materials. Any computational information
set forth herein (including without limitation any computations of yields and
weighted average life) is hypothetical and based on certain assumptions
(including without limitation assumptions regarding the rate and timing of
voluntary and involuntary prepayments of the mortgage loan/loans or
assumptions that the mortgage loan/loans will not be prepaid voluntarily or
involuntarily or liquidated). The actual characteristics and performance of
the mortgage loan/loans will differ from such assumptions and such differences
may be material. This document is subject to errors, omissions and changes in
the information and is subject to modification or withdrawal at any time with
or without notice. These materials and the information contained herein
supersedes any and all information contained in any previously furnished
computational, structural and/or collateral terms sheets and shall be
superseded by any subsequently furnished terms sheets. These materials and the
information contained herein shall be superseded by a final prospectus,
prospectus supplement or similar private placement memorandum. NO PURCHASE OF
ANY SECURITIES MAY BE MADE UNLESS AND UNTIL A FINAL PROSPECTUS, PROSPECTUS
SUPPLEMENT OR SIMILAR PRIVATE PLACEMENT MEMORANDUM HAS BEEN RECEIVED BY A
POTENTIAL INVESTOR AND SUCH INVESTOR HAS COMPLIED WITH ALL ADDITIONAL RELATED
OFFERING REQUIREMENTS. The contents herein are not to be reproduced without
the express written consent of Donaldson, Lufkin & Jenrette Securities
Corporation. Donaldson, Lufkin & Jenrette Securities Corporation and its
affiliates expressly reserve the right, at their sole discretion, to reject
any or all proposals or expressions of interest in the subject proposed
offering and to terminate discussions with any party at any time with or
without notice.
- -------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CF1V5 A1A
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $125,000,000.00 Current WAM : 336
Pass-Thru Rate : 6.1200 Settlement : 03/05/98
Accrued Days / Delay Days : 4 / 14
-------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
--------------------------------------------------------------------------------------------------------------------
0.0% CPR 25.0% CPR 50.0% CPR 75.0% CPR 100.0% CPR
Price ----------------- --------------- ----------------- -------------- -----------------
Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98.25000 98-08 6.56 4.20 6.57 4.12 6.57 4.06 6.58 4.01 6.59 3.92
98.37500 98-12 6.53 6.54 6.54 6.55 6.55
98.50000 98-16 6.50 6.51 6.51 6.51 6.52
98.62500 98-20 6.47 6.48 6.48 6.48 6.49
98.75000 98-24 6.44 6.44 6.45 6.45 6.46
98.87500 98-28 6.41 6.41 6.42 6.42 6.43
99.00000 99-00 6.38 6.38 6.39 6.39 6.39
99.12500 99-04 6.35 6.35 6.36 6.36 6.36
99.25000 99-08 6.32 4.22 6.32 4.14 6.32 4.08 6.33 4.03 6.33 3.94
99.37500 99-12 6.29 6.29 6.29 6.29 6.30
99.50000 99-16 6.26 6.26 6.26 6.26 6.27
99.62500 99-20 6.23 6.23 6.23 6.23 6.23
99.75000 99-24 6.20 6.20 6.20 6.20 6.20
99.87500 99-28 6.17 6.17 6.17 6.17 6.17
100.00000 100-00 6.14 6.14 6.14 6.14 6.14
100.12500 100-04 6.11 6.11 6.11 6.11 6.11
100.25000 100-08 6.08 4.24 6.08 4.15 6.08 4.09 6.08 4.05 6.08 3.96
100.37500 100-12 6.05 6.05 6.05 6.05 6.04
100.50000 100-16 6.02 6.02 6.02 6.02 6.01
100.62500 100-20 6.00 5.99 5.99 5.99 5.98
100.75000 100-24 5.97 5.96 5.96 5.96 5.95
100.87500 100-28 5.94 5.93 5.93 5.92 5.92
101.00000 101-00 5.91 5.90 5.90 5.89 5.89
101.12500 101-04 5.88 5.87 5.87 5.86 5.86
101.25000 101-08 5.85 4.25 5.84 4.17 5.84 4.11 5.83 4.06 5.83 3.97
101.37500 101-12 5.82 5.81 5.81 5.80 5.79
101.50000 101-16 5.79 5.78 5.78 5.77 5.76
101.62500 101-20 5.76 5.75 5.75 5.74 5.73
101.75000 101-24 5.73 5.73 5.72 5.71 5.70
101.87500 101-28 5.71 5.70 5.69 5.68 5.67
102.00000 102-00 5.68 5.67 5.66 5.65 5.64
102.12500 102-04 5.65 5.64 5.63 5.62 5.61
---------------------------------------------------------------------------------------------------------------------
<CAPTION>
Avg Life 5.21 5.09 4.99 4.92 4.79
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First Pay 04/15/98 04/15/98 04/15/98 04/15/98 04/15/98
Last Pay 10/15/06 07/15/06 05/15/06 05/15/06 05/15/06
Prin. Window 103 100 98 98 98
---------------------------------------------------------------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may
occur. Investors should rely on the information contained in or filed in
connection with the prospectus/prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CF1V5 A1B
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $466,300,000.00 Current WAM : 336
Pass-Thru Rate : 6.4000 Settlement : 03/05/98
Accrued Days / Delay Days : 4 / 14
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
--------------------------------------------------------------------------------------------------------------
0.0% CPR 25.0% CPR 50.0% CPR 75.0% CPR 100.0% CPR
Price ---------------- --------------- --------------- --------------- ----------------
Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.00000 99-00 6.59 7.03 6.59 7.00 6.59 6.98 6.59 6.95 6.60 6.81
99.12500 99-04 6.58 6.58 6.58 6.58 6.58
99.25000 99-08 6.56 6.56 6.56 6.56 6.56
99.37500 99-12 6.54 6.54 6.54 6.54 6.54
99.50000 99-16 6.52 6.52 6.52 6.52 6.52
99.62500 99-20 6.50 6.50 6.50 6.50 6.50
99.75000 99-24 6.49 6.49 6.49 6.49 6.49
99.87500 99-28 6.47 6.47 6.47 6.47 6.47
100.00000 100-00 6.45 7.05 6.45 7.02 6.45 7.00 6.45 6.97 6.45 6.83
100.12500 100-04 6.43 6.43 6.43 6.43 6.43
100.25000 100-08 6.42 6.42 6.41 6.41 6.41
100.37500 100-12 6.40 6.40 6.40 6.40 6.39
100.50000 100-16 6.38 6.38 6.38 6.38 6.38
100.62500 100-20 6.36 6.36 6.36 6.36 6.36
100.75000 100-24 6.34 6.34 6.34 6.34 6.34
100.87500 100-28 6.33 6.33 6.33 6.33 6.32
101.00000 101-00 6.31 7.07 6.31 7.04 6.31 7.02 6.31 6.99 6.30 6.84
101.12500 101-04 6.29 6.29 6.29 6.29 6.29
101.25000 101-08 6.27 6.27 6.27 6.27 6.27
101.37500 101-12 6.26 6.26 6.26 6.25 6.25
101.50000 101-16 6.24 6.24 6.24 6.24 6.23
101.62500 101-20 6.22 6.22 6.22 6.22 6.21
101.75000 101-24 6.21 6.20 6.20 6.20 6.20
101.87500 101-28 6.19 6.19 6.19 6.18 6.18
102.00000 102-00 6.17 7.09 6.17 7.06 6.17 7.03 6.17 7.00 6.16 6.86
102.12500 102-04 6.15 6.15 6.15 6.15 6.14
102.25000 102-08 6.14 6.13 6.13 6.13 6.12
102.37500 102-12 6.12 6.12 6.12 6.11 6.11
102.50000 102-16 6.10 6.10 6.10 6.10 6.09
102.62500 102-20 6.08 6.08 6.08 6.08 6.07
102.75000 102-24 6.07 6.07 6.06 6.06 6.05
102.87500 102-28 6.05 6.05 6.05 6.05 6.04
<CAPTION>
---------------------------------------------------------------------------------------------------------
Avg Life 9.72 9.67 9.62 9.56 9.30
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First Pay 10/15/06 07/15/06 05/15/06 05/15/06 05/15/06
Last Pay 02/15/08 02/15/08 02/15/08 01/15/08 09/15/07
Prin. Window 17 20 22 21 17
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may
occur. Investors should rely on the information contained in or filed in
connection with the prospectus / prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CF1V5 A2
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $50,400,000.00 Current WAM : 336
Pass-Thru Rate : 6,5500 Settlement : 03/05/98
Accrued Days/Delay Days : 4 / 14
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- ------------------------------------------------------------------------------------------------------------------------------------
0.0% CPR 25.0% CPR 50.0% CPR 75.0% CPR 100% CPR
--------------------------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.00000 99-00 6.75 7.10 6.75 7.10 6.75 7.10 6.75 7.08 6.75 6.89
99.12500 99-04 6.73 6.73 6.73 6.73 6.73
99.25000 99-08 6.71 6.71 6.71 6.71 6.71
99.37500 99-12 6.69 6.69 6.69 6.69 6.69
99.50000 99-16 6.67 6.67 6.67 6.67 6.68
99.62500 99-20 6.66 6.66 6.66 6.66 6.66
99.75000 99-24 6.64 6.64 6.64 6.64 6.64
99.87500 99-28 6.62 6.62 6.62 6.62 6.62
100.00000 100-00 6.60 7.12 6.60 7.12 6.60 7.12 6.60 7.10 6.60 6.91
100.12500 100-04 6.59 6.59 6.59 6.59 6.59
100.25000 100-08 6.57 6.57 6.57 6.57 6.57
100.37500 100-12 6.55 6.55 6.55 6.55 6.55
100.50000 100-16 6.53 6.53 6.53 6.53 6.53
100.62500 100-20 6.52 6.52 6.52 6.52 6.51
100.75000 100-24 6.50 6.50 6.50 6.50 6.50
100.87500 100-28 6.48 6.48 6.48 6.48 6.48
101.00000 101-00 6.46 7.14 6.46 7.14 6.46 7.14 6.46 7.12 6.46 6.93
101.12500 101-04 6.45 6.45 6.45 6.45 6.44
101.25000 101-08 6.43 6.43 6.43 6.43 6.42
101.37500 101-12 6.41 6.41 6.41 6.41 6.41
101.50000 101-16 6.40 6.40 6.40 6.40 6.39
101.62500 101-20 6.38 6.38 6.38 6.38 6.37
101.75000 101-24 6.36 6.36 6.36 6.36 6.35
101.87500 101-28 6.34 6.34 6.34 6.34 6.34
102.00000 102-00 6.33 7.15 6.33 7.15 6.33 7.15 6.33 7.14 6.32 6.94
102.12500 102-04 6.31 6.31 6.31 6.31 6.30
102.25000 102-08 6.29 6.29 6.29 6.29 6.28
102.37500 102-12 6.28 6.28 6.28 6.28 6.26
102.50000 102-16 6.26 6.26 6.26 6.26 6.25
102.62500 102-20 6.24 6.24 6.24 6.24 6.23
102.75000 102-24 6.22 6.22 6.22 6.22 6.21
102.87500 102-28 6.21 6.21 6.21 6.21 6.19
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Avg Life 9.94 9.94 9.94 9.92 9.54
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First Pay 02/15/08 02/15/08 02/15/08 01/15/08 09/15/07
Last Pay 02/15/08 02/15/08 02/15/08 02/15/08 10/15/07
Prin. Window 1 1 1 2 2
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may
occur. Investors should rely on the information contained in or filed in
connection with the prospectus/prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CF1V5 A3
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $50,300,000.00 Current WAM : 336
Pass-Thru Rate : 6.7000 Settlement : 03/05/98
Accrued Days/Delay Days : 4/14
-------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
-----------------------------------------------------------------------------------------------------------
0.0% CPR 25.0% CPR 50.0% CPR 75.0% CPR 100.0% CPR
----------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.00000 99-00 6.90 7.04 6.90 7.04 6.90 7.04 6.90 7.04 6.90 7.00
99.12500 99-04 6.88 6.88 6.88 6.88 6.88
99.25000 99-08 6.86 6.86 6.86 6.86 6.86
99.37500 99-12 6.85 6.85 6.85 6.85 6.85
99.50000 99-16 6.83 6.83 6.83 6.83 6.83
99.62500 99-20 6.81 6.81 6.81 6.81 6.81
99.75000 99-24 6.79 6.79 6.79 6.79 6.79
99.87500 99-28 6.78 6.78 6.78 6.78 6.77
100.00000 100-00 6.76 7.06 6.76 7.06 6.76 7.06 6.76 7.06 6.76 7.02
100.12500 100-04 6.74 6.74 6.74 6.74 6.74
100.25000 100-08 6.72 6.72 6.72 6.72 6.72
100.37500 100-12 6.70 6.70 6.70 6.70 6.70
100.50000 100-16 6.69 6.69 6.69 6.69 6.69
100.62500 100-20 6.67 6.67 6.67 6.67 6 67
100.75000 100-24 6.65 6.65 6.65 6.65 6.65
100.87500 100-28 6.63 6.63 6.63 6.63 6.63
101.00000 101-00 6.62 7.08 6.62 7.08 6.62 7.08 6.62 7.08 6.62 7.04
101.12500 101-04 6.60 6.60 6.60 6.60 6.60
101.25000 101-08 6.58 6.58 6.58 6.58 6.58
101.37500 101-12 6.56 6.56 6.56 6.56 6.56
101.50000 101-16 6.55 6.55 6.55 6.55 6.55
101.62500 101-20 6.53 6.53 6.53 6.53 6.53
101.75000 101-24 6.51 6.51 6.51 6.51 6.51
101.87500 101-28 6.50 6.50 6.50 6.50 6.49
102.00000 102-00 6.48 7.10 6.48 7.10 6.48 7.10 6.48 7.10 6.48 7.06
102.12500 102-04 6.46 6.46 6.46 6.46 6.46
102.25000 102-08 6.44 6.44 6.44 6.44 6.44
102.37500 102-12 6.43 6.43 6.43 6.43 6.42
102.50000 102-16 6.41 6.41 6.41 6.41 6.41
102.62500 102-20 6.39 6.39 6.39 6.39 6.39
102.75000 102-24 6.38 6.38 6.38 6.38 6.37
102.87500 102-28 6.36 6.36 6.36 6.36 6.36
<CAPTION>
--------------------------------------------------------------------------------------------------------------
Avg Life 9.94 9.94 9.94 9.94 9.86
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First Pay 02/15/08 02/15/08 02/15/08 02/15/08 10/15/07
Last Pay 02/15/08 02/15/08 02/15/08 02/15/08 02/15/08
Prin. Window 1 1 1 1 5
--------------------------------------------------------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus/prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CF1V5 B1
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $41,900,000.00 Current WAM : 336
Pass-Thru Rate : 7.0400 Settlement : 03/05/98
Accrued Days/Delay Days : 4/14
--------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
--------------------------------------------------------------------------------------------------------
Price 0.0% CPR 25.0% CPR 50.0% CPR 75.0% CPR 100.0% CPR
--------------------------------------------------------------------------------------
Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.00000 99-00 7.25 7.00 7.25 6.94 7.25 6.93 7.25 6.93 7.25 6.93
99.12500 99-04 7.23 7.23 7.23 7.23 7.23
99.25000 99-08 7.21 7.21 7.21 7.21 7.21
99.37500 99-12 7.19 7 19 7.19 7.19 7.19
99.50000 99-16 7.18 7.18 7.18 7.18 7.18
99.62500 99-20 7.16 7.16 7.16 7.16 7.16
99.75000 99-24 7.14 7.14 7.14 7.14 7.14
99.87500 99-28 7.12 7.12 7.12 7.12 7.12
100.00000 100-00 7.11 7.02 7.10 6.97 7.10 6.95 7.10 6.95 7.10 6.95
100.12500 100-04 7.09 7.09 7.09 7.09 7.09
100.25000 100-08 7.07 7.07 7.07 7.07 7.07
100.37500 100-12 7.05 7.05 7.05 7.05 7.05
100.50000 100-16 7.03 7.03 7.03 7.03 7.03
100.62500 100-20 7.02 7.02 7.02 7.02 7.02
100.75000 100-24 7.00 7.00 7.00 7.00 7.00
100.87500 100-28 6.98 6.98 6.98 6.98 6.98
101.00000 101-00 6.96 7.04 6.96 6.99 6.96 6.97 6.96 6.97 6.96 6.97
101.12500 101-04 6.95 6.94 6.94 6.94 6.94
101.25000 101-08 6 93 6.93 6.93 6.93 6.93
101.37500 101-12 6.91 6.91 6.91 6.91 6.91
101.50000 101-16 6.89 6.89 6.89 6.89 6.89
101.62500 101-20 6.88 6.87 6.87 6.87 6.87
101.75000 101-24 6.86 6.86 6.86 6.86 6.86
101.87500 101-28 6.84 6.84 6.84 6.84 6.84
102.00000 102-00 6.82 7.06 6.82 7.01 6.82 6.99 6.82 6.99 6.82 6.99
102.12500 102-04 6.81 6.80 6.80 6.80 6.80
102.25000 102-08 6.79 6.79 6.79 6.79 6.79
102.37500 102-12 6.77 6.77 6.77 6.77 6.77
102.50000 102-16 6.75 6.75 6.75 6.75 6.75
102.62500 102-20 6.74 6.73 6.73 6.73 6.73
102.75000 102-24 6.72 6.72 6.72 6.72 6.72
102.87500 102-28 6.70 6.70 6.70 6.70 6.70
<CAPTION>
--------------------------------------------------------------------------------------------------------
Avg Life 10.09 9.98 9.95 9.94 9.94
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First Pay 02/15/08 02/15/08 02/15/08 02/15/08 02/15/08
Last Pay 11/15/09 09/15/08 04/15/08 02/15/08 02/15/08
Prin. Window 22 8 3 1 1
--------------------------------------------------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may
occur. Investors should rely on the information contained in or filed in
connection with the prospectus/prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CFlV5 B2
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $14,700,000.00 Current WAM : 336
Pass-Thru Rate : 7.3000 Settlement : 03/05/98
Accrued Days/Delay Days : 4 / 14
------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
------------------------------------------------------------------------------------------------
0.0% CPR 25.0% CPR 50.0% CPR 75.0% CPR 100.0% CPR
----------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99,00000 99-00 7.50 7.67 7.50 7.50 7.50 7.30 7.50 7.12 7.51 6.98
99.12500 99-04 7.48 7.48 7.48 7.49 7.49
99.25000 99-08 7.46 7.47 7.47 7.47 7.47
99.37500 99-12 7.45 7.45 7.45 7.45 7.45
99.50000 99-16 7.43 7.43 7.43 7.43 7.43
99.62500 99-20 7.42 7.42 7.42 7.42 7.42
99.75000 99-24 7.40 7.40 7.40 7.40 7.40
99.87500 99-28 7.38 7.38 7.38 7.38 7.38
100.00000 100-00 7.37 7.69 7.37 7.53 7.36 7.32 7.36 7.14 7.36 7.00
100.12500 100-04 7.35 7.35 7.35 7.35 7.34
100.25000 100-08 7.33 7.33 7.33 7.33 7.33
100.37500 100-12 7.32 7.32 7.31 7.31 7.31
100.50000 100-16 7.30 7.30 7.30 7.29 7.29
100.62500 100-20 7.29 7.28 7.28 7.28 7.27
100.75000 100-24 7.27 7.27 7.26 7.26 7.26
100.87500 100-28 7.25 7.25 7.25 7.24 7.24
101.00000 101-00 7.24 7.72 7.23 7.55 7.23 7.34 7.22 7.17 7.22 7.02
101.12500 101-04 7.22 7.22 7.21 7.21 7.20
101.25000 101-08 7.21 7.20 7.20 7.19 7.19
101.37500 101-12 7.19 7.19 7.18 7.17 7.17
101.50000 101-16 7.17 7.17 7.16 7.16 7.15
101.62500 101-20 7.16 7.15 7.15 7.14 7.13
101.75000 101-24 7.14 7.14 7.13 7.12 7.12
101.87500 101-28 7.13 7.12 7.11 7.10 7.10
102.00000 102-00 7.11 7.74 7.10 7.58 7.10 7.37 7.09 7.19 7.08 7.04
102.12500 102-04 7.09 7.09 7.08 7.07 7.06
102.25000 102-08 7.08 7.07 7.06 7.05 7.05
102.37500 102-12 7.06 7.06 7.05 7.04 7.03
102.50000 102-16 7.05 7.04 7.03 7.02 7.01
102.62500 102-20 7.03 7.02 7.01 7.00 6.99
102.75000 102-24 7.02 7.01 7.00 6.99 6.98
102.87500 102-28 7.00 6.99 6.98 6.97 6.96
<CAPTION>
------------------------------------------------------------------------------------------------
Avg Life 11.82 11.43 10.95 10.55 10.23
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First Pay 11/15/09 9/15/08 04/15/08 02/15/08 02/15/08
Last Pay 01/15/10 12/15/09 12/15/09 08/15/09 07/15/09
Prin. Window 3 16 21 19 18
------------------------------------------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may
occur. Investors should rely on the information contained in or filed in
connection with the prospectus/prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
<TABLE>
<CAPTION>
DLJCMC-1998CF1V5 CP
Default / Loss Table (Flat File Coll, Ppy Lock, Lockout thru YMP, Lockout thru Ppy Pen. period)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance : $482,300,000.00 Current WAM : 336
Pass-Thru Rate : 0.9200 Settlement : 03/05/98
Accrued Days / Delay Days : 4 / 14
- ------------------------------------------------------------------------------------------------
Price: 5.12220 5-04
<CAPTION>
- -----------------------------------------------------------------------------------------------
Prepayments (Workout: 6 months)
-------------------------------------------------------------------------
Default Loss 0.0% CPR 25.0% CPR
---------------------------------- ----------------------------------
Assumption Severity WAL Spd WAL ModDur Coll Loss WAL Spd WAL ModDur Coll Loss
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00% CDR 30.0% 85 7.11 3.24 0 85 7.11 3.24 0
D Vect 1 30.0% 85 7.11 3.24 20,191,428 85 7.11 3.24 19,928,776
D Vect 2 30.0% 85 7.11 3.24 38,730,071 85 7.11 3.24 38,258,568
D Vect 3 30.0% 85 7.11 3.24 71,395,811 85 7.11 3.24 70,633,743
D Vect 4 30.0% 85 7.11 3.24 98,969,397 85 7.11 3.24 98,041,739
D Vect 5 30.0% 85 7.11 3.24 122,255,313 84 7.11 3.24 121,247,289
D Vect 6 30.0% 75 7.08 3.23 141,992,411 73 7.07 3.23 140,891,212
<CAPTION>
Prepayments (Workout: 6 months)
--------------------------------------------------------------------------
Default 65.0% CPR 100.0% CPR
----------------------------------- ----------------------------------
Assumption WAL Spd WAL ModDur Coll Loss WAL Spd WAL ModDur Coll Loss
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00% CDR 85 7.11 3.24 0 85 7.11 3.24 0
D Vect 1 85 7.11 3.24 19,607,452 85 7.11 3.24 18,957,251
D Vect 2 85 7.11 3.24 37,678,182 85 7.11 3.24 36,483,943
D Vect 3 85 7.11 3.24 69,684,592 85 7.11 3.24 67,670,031
D Vect 4 85 7.11 3.24 96,873,657 85 7.11 3.24 94,325,323
D Vect 5 84 7.11 3.24 119,965,296 84 7.11 3.24 117,100,860
D Vect 6 70 7.07 3.23 139,567,977 66 7.06 3.23 136,551,178
</TABLE>
Treasury Curve: 1 Yr 5.2700%; 2 Yr 5.3700%; 3 Yr 5.3900%; 5 Yr 5.4300%;
10 Yr 5.5600; 30 Yr 5.8400%.
<TABLE>
<S> <C>
1. Default Vector (Relative to Settle Date): 1-18 mo = 0.00%; CDR; 19-life = 1.00% CDR.
2. Default Vector (Relative to Settle Date): 1-18 mo = 0.00%; CDR; 19-life = 2.00% CDR.
3. Default Vector (Relative to Settle Date): 1-18 mo = 0.00%; CDR; 19-life = 4.00% CDR.
4. Default Vector (Relative to Settle Date): 1-18 mo = 0.00%; CDR; 19-life = 6.00% CDR.
5. Default Vector (Relative to Settle Date): 1-18 mo = 0.00%; CDR; 19-life = 8.00% CDR.
6. Default Vector (Relative to Settle Date): 1-18 mo = 0.00%; CDR; 19-life = 10.00% CDR.
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus/prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
DLJCMC-1998CF1V5 S
Default / Loss Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- -------------------------------------------------------------------------------
Current Balance : $838,796,331.18 Current WAM : 336
Pass-Thru Rate : 0.7215 Settlement : 03/05/98
Accrued Days Delay / Days : 4 / 14
- -------------------------------------------------------------------------------
Price: 4.43290 4-14
<TABLE>
<CAPTION>
Prepayments (Workout: 6 months)
-------------------------------------------------------------------------
Default Loss 0.0% CPR 25.0% CPR
---------------------------------- ----------------------------------
Assumption Severity WAL Spd WAL ModDur Coll Loss WAL Spd WAL ModDur Coll Loss
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00% CDR 30.0% 325 9.89 4.91 0 306 9.77 4.89 0
D Vect 1 30.0% 202 9.54 4.88 20,191,428 185 9.44 4.86 19,928,776
D Vect 2 30.0% 67 9.22 4.81 38,730,071 52 9.12 4.80 38,258,568
D Vect 3 30.0% -76 8.91 4.71 55,755,863 -93 8.83 4.69 55,120,400
D Vect 4 30.0% -168 8.62 4.76 71,395,811 -187 8.54 4.74 70,633,743
<CAPTION>
Prepayments (Workout: 6 months)
--------------------------------------------------------------------------
Default 65.0% CPR 100.0% CPR
----------------------------------- ----------------------------------
Assumption WAL Spd WAL ModDur Coll Loss WAL Spd WAL ModDur Coll Loss
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0.00% CDR 281 9.63 4.85 0 210 9.35 4.79 0
D Vect 1 159 9.31 4.83 19,607,452 87 9.05 4.77 18,957,251
D Vect 2 28 9.01 4.78 37,678,182 -46 8.77 4.72 36,483,943
D Vect 3 -118 8.72 4.67 54,333,501 -194 8.50 4.61 52,688,345
D Vect 4 214 8.45 4.72 69,684,592 -297 8.25 4.64 67,670,081
</TABLE>
Treasury Curve: 1 Yr 5.2700%; 2 Yr 5.3700%; 3 Yr 5.3900%; 5 Yr 5.4300%;
10 Yr 5.5600%; 30 Yr 5.8400%.
<TABLE>
<S> <C>
1. Default Vector (Relative to Settle Date): 1-18 mo = 0.00% CDR; 19-life = 1.00% CDR.
2. Default Vector (Relative to Settle Date): 1-18 mo = 0.00% CDR; 19-life = 2.00% CDR.
3. Default Vector (Relative to Settle Date): 1-18 mo = 0.00% CDR; 19-life = 3.00% CDR.
4. Default Vector (Relative to Settle Date): 1-18 mo = 0.00% CDR; 19-life = 4.00% CDR.
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may
occur. Investors should rely on the information contained in or filed in
connection with the prospectus / prospectus supplement.
<PAGE>
<TABLE>
<CAPTION>
Mortgage Loans by State
Weighted
Aggregate Percentage of Aggregate Average
Number Cut-off Date Initial Appraised Cut-off Date Aggregate
State of Loans Balance Pool Balance Value LTV Ratio U/W NOI
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
New Jersey 5 $111,574,714 13.3% $432,915,000 28.9% $10,581,385
California 19 86,001,420 10.3% 117,055,000 73.9% 10,064,501
Minnesota 9 63,783,440 7.6% 85,870,000 74.7% 7,555,720
Illinois 10 62,539,201 7.5% 85,290,000 73.4% 7,002,443
Texas 20 55,693,380 6.6% 75,555,000 74.0% 6,680,433
Georgia 12 50,785,935 6.1% 68,100,000 75.1% 6,192,009
Florida 10 49,139,088 5.9% 65,000,000 75.7% 5,658,491
New York 12 48,555,822 5.8% 71,900,000 68.5% 6,423,379
North Carolina 8 35,629,019 4.2% 49,300,000 73.5% 3,815,563
District of Columbia 2 35,443,428 4.2% 77,100,000 46.4% 4,996,292
Missouri 6 29,842,655 3.6% 52,245,000 62.3% 4,372,623
Michigan 6 29,782,074 3.6% 44,150,000 68.5% 3,653,638
Oregon 4 21,152,519 2.5% 31,113,000 68.4% 2,306,288
Virginia 2 21,078,325 2.5% 26,800,000 78.7% 2,273,744
Maryland 4 16,149,353 1.9% 22,500,000 72.1% 2,020,255
Massachusetts 3 14,098,639 1.7% 23,190,000 62.8% 1,921,641
Colorado 5 13,020,897 1.6% 19,050,000 68.4% 1,610,889
Delaware 2 12,777,191 1.5% 21,200,000 60.3% 1,621,594
Ohio 3 12,248,634 1.5% 18,010,000 69.8% 1,681,304
Nevada 4 11,642,726 1.4% 15,600,000 75.2% 1,391,994
South Carolina 2 9,002,744 1.1% 12,100,000 74.4% 1,052,482
Washington 3 8,486,499 1.0% 11,500,000 74.2% 937,249
Mississippi 4 7,164,625 0.9% 9,320,000 76.9% 861,112
Pennsylvania 1 6,877,403 0.8% 11,100,000 62.0% 802,766
Arizona 2 5,829,834 0.7% 7,500,000 78.3% 621,813
Tennessee 3 5,170,082 0.6% 6,800,000 76.0% 614,637
Indiana 2 4,635,676 0.6% 6,400,000 72.5% 595,219
Louisiana 1 2,832,998 0.3% 3,800,000 74.6% 364,824
Arkansas 1 2,348,406 0.3% 3,150,000 74.6% 286,412
Vermont 1 2,042,910 0.2% 3,365,000 60.7% 251,946
Iowa 1 1,751,985 0.2% 2,350,000 74.6% 240,060
Connecticut 1 1,714,709 0.2% 2,300,000 74.6% 253,339
------------------------------------------------------------------------------------------------
Total/Weighted Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $98,706,045
================================================================================================
<CAPTION>
Weighted
Average Weighted
Weighted Occupancy Average
Average Rate at Year Built/
State U/W DSCR U/W (1) Renovated (2)
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
New Jersey 1.16x 97.1% 1992
California 1.34 98.9% 1987
Minnesota 1.35 99.2% 1991
Illinois 1.28 97.8% 1986
Texas 1.34 97.9% 1991
Georgia 1.35 97.1% 1985
Florida 1.32 98.2% 1992
New York 1.50 97.8% 1988
North Carolina 1.30 96.7% 1982
District of Columbia 1.61 100.0% 1995
Missouri 1.62 99.6% 1986
Michigan 1.43 94.9% 1985
Oregon 1.32 99.4% 1993
Virginia 1.27 95.6% 1989
Maryland 1.38 98.7% 1991
Massachusetts 1.46 100.0% 1984
Colorado 1.31 92.0% 1991
Delaware 1.56 98.4% 1989
Ohio 1.51 95.0% 1988
Nevada 1.34 94.7% 1996
South Carolina 1.34 100.0% 1993
Washington 1.27 96.2% 1993
Mississippi 1.35 99.6% 1984
Pennsylvania 1.28 93.0% 1987
Arizona 1.16 99.0% 1991
Tennessee 1.32 99.5% 1991
Indiana 1.45 100.0% 1986
Louisiana 1.33 100.0% 1976
Arkansas 1.26 100.0% 1987
Vermont 1.29 100.0% 1994
Iowa 1.42 100.0% 1972
Connecticut 1.53 100.0% 1979
--------------------------------------------------
Total/Weighted Average: 1.35x 97.8% 1989
==================================================
</TABLE>
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
<PAGE>
<TABLE>
<CAPTION>
Mortgage Loans by Property Type
Aggregate Percentage of Aggregate
Number Cut-off Date Initial Appraised
Property Type of Loans Balance Pool Balance Value
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Retail 56 $267,703,187 31.9% $ 372,530,000
Multifamily 45 161,040,755 19.2% 215,565,000
Office 19 118,207,066 14.1% 165,370,000
Hotel & Casino 1 99,880,087 11.9% 416,000,000
Hotel 5 67,095,124 8.0% 121,900,000
Industrial 23 58,642,423 7.0% 84,275,000
Mobile Home Park 5 26,517,366 3.2% 48,338,000
Mixed Use 5 19,201,359 2.3% 27,950,000
Other Commercial 7 10,829,699 1.3% 16,700,000
Senior Housing 1 7,224,844 0.9% 9,600,000
Self Storage 1 2,454,422 0.3% 3,400,000
----------------------------------------------------------------
Total/Weighted Average: 168 $838,796,331 100.0% $1,481,628,000
================================================================
<CAPTION>
Weighted
Weighted Average Weighted
Average Weighted Occupancy Average
Cut-off Date Aggregate Average Rate at Year Built/
Property Type LTV Ratio U/W NOI U/W DSCR U/W (1) Renovated(2)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Retail 72.8% $ 31,791,905 1.35x 97.5% 1991
Multifamily 75.2% 17,996,887 1.31 97.4% 1985
Office 71.9% 13,801,842 1.35 97.9% 1987
Hotel & Casino 24.0% 9,182,326 1.14 N/A 1994
Hotel 57.9% 9,327,445 1.54 N/A 1995
Industrial 70.8% 7,957,578 1.42 99.6% 1978
Mobile Home Park 58.4% 3,594,708 1.64 99.1% 1987
Mixed Use 69.6% 2,293,523 1.39 97.6% 1992
Other Commercial 65.0% 1,588,205 1.36 100.0% 1983
Senior Housing 75.3% 866,932 1.36 100.0% 1996
Self Storage 72.2% 304,694 1.34 83.0% 1996
---------------------------------------------------------------------------
Total/Weighted Average: 65.4% $ 98,706,045 1.35x 97.8% 1989
===========================================================================
</TABLE>
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
<PAGE>
<TABLE>
<CAPTION>
Underwriting Debt Service Coverage Ratios
Weighted Average Weighted
Aggregate Percentage Aggregate Average Weighted Occupancy Average
Range of Number Cut-off Date of Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
U/W DSCRs of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W (1) Renovated (2)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.000x - 1.090 1 $ 2,889,908 0.3% $ 3,400,000 85.0% $ 289,321 1.05x 100.0% 1996
1.100 - 1.190 2 102,672,915 12.2% 419,800,000 25.4% 9,479,112 1.14 100.0% 1994
1.200 - 1.290 69 298,666,835 35.6% 404,340,000 74.5% 33,293,513 1.26 97.8% 1989
1.300 - 1.390 50 206,104,138 24.6% 280,773,000 73.7% 24,067,647 1.34 97.4% 1987
1.400 - 1.490 23 108,775,000 13.0% 155,015,000 71.0% 13,957,561 1.43 98.6% 1988
1.500 - 1.590 11 49,781,448 5.9% 77,265,000 65.4% 6,837,739 1.55 99.0% 1987
1.600 - 1.690 7 49,389,235 5.9% 98,850,000 51.7% 7,221,773 1.64 99.7% 1993
1.700 - 1.790 1 1,491,051 0.2% 2,000,000 74.6% 255,955 1.77 100.0% 1967
1.800 - 1.890 1 1,496,585 0.2% 3,190,000 46.9% 228,817 1.83 100.0% 1975
1.900 - 1.990 2 13,705,799 1.6% 25,840,000 53.3% 2,218,059 1.94 92.4% 1984
2.000 - 3.000 x 1 3,823,417 0.5% 11,155,000 34.3% 856,548 2.67 99.0% 1972
-----------------------------------------------------------------------------------------------------------
Total/Weighted Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $ 98,706,045 1.35x 97.8% 1989
===========================================================================================================
</TABLE>
Maximum Underwriting DSCR: 2.67 x
Minimum Underwriting DSCR: 1.05 x
Wtd. Avg. Underwriting DSCR: 1.35 x
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the
Year Renovated.
<TABLE>
<CAPTION>
Cut-off Date Loan-to-Value Ratios
Weighted
Weighted Average Weighted
Range of Aggregate Percentage Aggregate Average Weighted Occupancy Average
Cut-off Date Number Cut-off Date of Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
LTV Ratios of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W (1) Renovated (2)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
20.00% - 29.99% 2 $100,578,424 12.0% $ 418,750,000 24.0% $ 9,265,231 1.14x 100.0% 1994
30.00% - 39.99% 1 3,823,417 0.5% 11,155,000 34.3% 856,548 2.67 99.0% 1972
40.00% - 49.99% 4 40,649,349 4.8% 89,080,000 45.6% 5,982,058 1.66 99.4% 1992
50.00% - 59.99% 9 37,488,892 4.5% 69,290,000 54.2% 5,337,054 1.58 96.1% 1985
60.00% - 69.99% 32 122,605,397 14.6% 186,428,000 65.9% 15,552,498 1.42 97.1% 1991
70.00% - 79.99% 114 512,891,056 61.1% 681,325,000 75.4% 59,385,120 1.32 98.0% 1988
80.00% - 90.00% 6 20,759,797 2.5% 25,600,000 81.1% 2,327,536 1.24 99.5% 1985
-----------------------------------------------------------------------------------------------------------
Total/Weighted Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $98,706,045 1.35x 97.8% 1989
===========================================================================================================
</TABLE>
Maximum Cut-off Date LTV Ratio: 85.0%
Minimum Cut-off Date LTV Ratio: 24.0%
Wtd. Avg. Cut-off Date LTV Ratio: 65.4%
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the
Year Renovated.
<PAGE>
Mortgage Rates
<TABLE>
<CAPTION>
Weighted
Weighted Average Weighted
Aggregate Percentage Aggregate Average Weighted Occupancy Average
Range of Number Cut-off Date of Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
Mortgage Rates of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W(1) Renovated(2)
- -------------- -------- ------------ ------------ --------- ------------ --------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.500%-7.499% 45 $378,894,177 45.2% $ 842,618,000 56.4% $42,837,520 1.36x 97.8% 1989
7.500%-7.999% 66 285,996,926 34.1% 396,340,000 73.2% 33,448,528 1.33 97.7% 1990
8.000%-8.499% 45 143,083,045 17.1% 197,605,000 72.7% 18,205,464 1.34 97.9% 1985
8.500%-8.999% 10 25,157,144 3.0% 37,965,000 66.6% 3,481,924 1.37 98.9% 1989
9.000%-9.500% 2 5,665,040 0.7% 7,100,000 79.9% 732,609 1.29 100.0% 1992
-----------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $98,706,045 1.35x 97.8% 1989
=================================================================================================================
</TABLE>
Maximum Mortgage
Rate: 9.25% per annum
Minimum Mortgage
Rate: 6.98% per annum
Wtd. Avg.
Mortgage Rate: 7.64% per annum
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
Cut-off Date Balances
<TABLE>
<CAPTION>
Weighted
Weighted Average
Weighted Average Year
Number Aggregate Percentage Aggregate Average Weighted Occupancy Built/
Range of of Cut-off Date of Initial Appraised Cut-off Aggregate Average Rate at Renovated
Mortgage Rates Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W(1) (1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 500,000- 1,499,999 29 $ 34,881,849 4.2% $ 52,695,000 68.9% $ 4,667,423 1.38x 98.3% 1983
1,500,000- 2,499,999 37 73,890,123 8.8% 105,680,000 70.6% 9,068,891 1.34 97.5% 1984
2,500,000- 3,499,999 26 78,305,668 9.3% 107,040,000 73.7% 9,324,733 1.33 98.3% 1990
3,500,000- 4,499,999 21 83,720,342 10.0% 124,760,000 69.7% 10,765,142 1.44 97.8% 1980
4,500,000- 5,499,999 12 60,023,426 7.2% 84,255,000 72.2% 7,103,112 1.34 98.9% 1991
5,500,000- 6,499,999 7 41,257,656 4.9% 53,775,000 76.9% 4,771,170 1.35 95.9% 1988
6,500,000- 7,499,999 11 79,406,278 9.5% 111,740,000 72.1% 9,558,153 1.39 97.2% 1989
7,500,000- 9,999,999 14 121,860,490 14.5% 172,900,000 71.3% 14,848,721 1.42 96.8% 1990
10,000,000- 14,999,999 5 62,036,508 7.4% 86,083,000 72.3% 6,928,727 1.29 99.8% 1991
15,000,000- 28,499,999 4 69,587,375 8.3% 91,700,000 76.0% 7,660,628 1.30 97.8% 1990
28,500,000-$100,000,000 2 133,826,615 16.0% 491,000,000 29.4% 14,009,345 1.26 N/A 1994
---------------------------------------------------------------------------------------------------------
Total/Weighted Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $98,706,045 1.35x 97.8% 1989
=========================================================================================================
</TABLE>
Maximum Cut-off Date
Balance: $ 99,880,087
Minimum Cut-off Date
Balance: $ 507,458
Average Cut-off Date
Balance: $ 4,992,835
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
<PAGE>
Original Amortization Terms
<TABLE>
<CAPTION>
Weighted
Range of Weighted Average Weighted
Original Aggregate Percentage of Aggregate Average Weighted Occupancy Average
Amortization Number Cut-off Date Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
Terms(Months) of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W(1) Renovated(2)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
156 - 216 4 $ 9,250,638 1.1% $ 14,875,000 63.4% $ 1,425,146 1.35x 98.9% 1995
217 - 264 15 29,156,979 3.5% 43,650,000 67.8% 3,976,935 1.33 99.8% 1988
265 - 300 49 208,738,562 24.9% 324,935,000 66.7% 27,318,773 1.43 98.3% 1988
301 - 336 2 11,214,744 1.3% 16,350,000 68.6% 1,524,260 1.55 95.1% 1992
337 - 360 98 580,435,408 69.2% 1,081,818,000 64.8% 64,460,931 1.32 97.6% 1989
------------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $98,706,045 1.35x 97.8% 1989
==================================================================================================================
</TABLE>
Maximum Original Amortization
Term (Months): 360
Minimum Original Amortization
Term (Months): 156
Wtd. Avg. Original Amortization
Term (Months): 339
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
Original Terms to Stated Maturity (1)
<TABLE>
<CAPTION>
Weighted
Range of Weighted Average Weighted
Original Terms Aggregate Percentage of Aggregate Average Weighted Occupancy Average
to Maturity Number Cut-off Date Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
(Months) of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W(2) Renovated (3)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
84 - 108 9 $ 27,247,191 3.2% $ 38,950,000 71.2% $ 2,934,193 1.27x 98.2% 1986
109 - 120 128 675,930,797 80.6% 1,243,313,000 64.2% 79,064,941 1.35 97.5% 1988
121 - 168 3 28,079,155 3.3% 38,750,000 73.1% 3,136,369 1.27 98.1% 1992
169 - 240 28 107,539,188 12.8% 160,615,000 69.4% 13,570,542 1.38 99.0% 1991
------------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 168 $838,796,331 100.0% $1,481,628,000 65.4% $98,706,045 1.35x 97.8% 1989
==================================================================================================================
</TABLE>
Maximum Original Term to Maturity
(Months): 240
Minimum Original Term to Maturity
(Months): 84
Wtd. Avg. Original Term to Maturity
(Months): 133
(1) In the case of the Showboat Hotel & Casino, Atlantic City, Washington
Marriott Hotel, Hampton Inn - Houston Galleria, Holiday Inn Southwest
and Viking Conference Center, Holiday Inn Express Hotel, AMC Theater
Complex, and the Comfort Inn - Cleveland, the maturity date is assumed
to be the Anticipated Repayment Date. See "Description of the Mortgage
Pool - General" in the Prospectus Supplement.
(2) Does not reflect any Mortgage Loans secured by hotel properties.
(3) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
<PAGE>
Remaining Amortization Terms
<TABLE>
<CAPTION>
Weighted
Weighted Average Weighted
Range of Remaining Aggregate Percentage of Aggregate Average Weighted Occupancy Average
Amort. Terms Number Cut-off Date Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
(Months) of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W (1) Renovated (2)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
144 - 204 3 $ 4,291,112 0.5% $ 7,825,000 55.4% $ 748,162 1.45x 97.6% 1992
205 - 228 1 4,959,525 0.6% 7,050,000 70.4% 676,984 1.26 100.0% 1997
229 - 240 14 26,267,071 3.1% 40,250,000 65.9% 3,687,614 1.36 99.7% 1987
241 - 276 1 2,889,908 0.3% 3,400,000 85.0% 289,321 1.05 100.0% 1996
277 - 300 49 208,738,562 24.9% 324,935,000 66.7% 27,318,773 1.43 98.3% 1988
301 - 348 2 11,214,744 1.3% 16,350,000 68.6% 1,524,260 1.55 95.1% 1992
349 - 360 98 580,435,408 69.2% 1,081,818,000 64.8% 64,460,931 1.32 97.6% 1989
--------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 168 $838,796,331 100.0% $ 1,481,628,000 65.4% $ 98,706,045 1.35x 97.8% 1989
==============================================================================================================
</TABLE>
Maximum Remaining Amortization Term (Months): 359
Minimum Remaining Amortization Term (Months): 152
Wtd. Avg. Remaining Amortization Term (Months): 336
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
Remaining Terms to Stated Maturity (1)
<TABLE>
<CAPTION>
Weighted
Weighted Average Weighted
Range of Remaining Aggregate Percentage of Aggregate Average Weighted Occupancy Average
Terms to Stated Number Cut-off Date Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
Maturity (Months) of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W (2) Renovated (3)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
72 - 108 9 $ 27,247,191 3.2% $ 38,950,000 71.2% $ 2,934,193 1.27x 98.2% 1986
109 - 120 128 675,930,797 80.6% 1,243,313,000 64.2% 79,064,941 1.35 97.5% 1988
121 - 144 2 26,601,624 3.2% 35,700,000 74.5% 2,826,855 1.25 97.9% 1992
145 - 168 1 1,477,531 0.2% 3,050,000 48.4% 309,514 1.68 100.0% 1996
169 - 216 9 34,236,562 4.1% 53,865,000 64.7% 4,534,280 1.37 97.7% 1990
217 - 240 19 73,302,625 8.7% 106,750,000 71.6% 9,036,262 1.38 99.6% 1991
--------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 168 $ 838,796,331 100.0% $ 1,481,628,000 65.4% $ 98,706,045 1.35x 97.8% 1989
==============================================================================================================
</TABLE>
Maximum Remaining Term to Maturity (Months): 238
Minimum Remaining Term to Maturity (Months): 77
Wtd. Avg. Remaining Term to Maturity (Months): 130
(1) In the case of the Showboat Hotel & Casino, Atlantic City, Washington
Marriott Hotel, Hampton Inn - Houston Galleria, Holiday Inn Southwest and
Viking Conference Center, Holiday Inn Express Hotel, AMC Theater Complex,
and the Comfort Inn - Cleveland, the maturity date is assumed to be the
Anticipated Repayment Date. See "Description of the Mortgage Pool -
General" in the Prospectus Supplement.
(2) Does not reflect any Mortgage Loans secured by hotel properties.
(3) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
<PAGE>
Years Built/Years Renovated(1)
<TABLE>
<CAPTION>
Weighted
Weighted Average Weighted
Range of Aggregate Percentage of Aggregate Average Aggregate Weighted Occupancy Average
Years Number Cut-off Date Initial Appraised Cut-off Date Underwriting Average Rate at Year Built/
Built/Renovated of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W(2) Renovated
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1920 - 1950 1 $ 3,787,272 0.5% $ 4,700,000 80.6% $ 424,292 1.30 97.0% 1938
1951 - 1960 1 3,739,241 0.4% 5,000,000 74.8% 432,738 1.35 94.0% 1959
1961 - 1970 21 56,890,634 6.8% 81,540,000 71.8% 7,261,178 1.42 97.5% 1968
1971 - 1980 25 67,901,160 8.1% 101,670,000 69.7% 8,547,540 1.42 97.0% 1976
1981 - 1990 47 264,558,863 31.5% 377,255,000 71.1% 31,376,889 1.37 97.7% 1987
1991 - 1997 73 441,919,161 52.7% 911,463,000 60.3% 50,663,408 1.31 98.3% 1995
----------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 168 $ 838,796,331 100.0% $1,481,628,000 65.4% $ 98,706,045 1.35x 97.8% 1989
================================================================================================================
</TABLE>
Most Recent Year Built/Renovated: 1997
Oldest Year Built/Renovated: 1938
Wtd. Avg. Year Built/Renovated: 1989
(1) Year Built/Renovated reflects the later of the Year Built or the Year
Renovated.
(2) Does not reflect any Mortgage Loans secured by hotel properties.
Occupancy Rates at Underwriting(1)
<TABLE>
<CAPTION>
Weighted
Weighted Average Weighted
Range of Aggregate Percentage of Aggregate Average Weighted Occupancy Average
Occupancy Number Cut-off Date Initial Appraised Cut-off Date Aggregate Average Rate at Year Built/
Rates at U/W of Loans Balance Pool Balance Value LTV Ratio U/W NOI U/W DSCR U/W Renovated(2)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
80.0% - 84.9% 2 $ 4,229,693 0.5% $ 6,100,000 69.5% $ 508,495 1.32x 82.6% 1989
85.0% - 89.9% 3 14,806,012 1.8% 20,650,000 71.9% 1,732,720 1.34 88.2% 1981
90.0% - 94.9% 16 74,826,166 8.9% 106,440,000 71.4% 9,192,626 1.40 92.3% 1988
95.0% - 100.0% 141 577,959,250 68.9% 810,538,000 72.4% 68,762,433 1.35 98.9% 1987
----------------------------------------------------------------------------------------------------------------
Total/Weighted
Average: 162 $ 671,821,121 80.1% $ 943,728,000 72.3% $ 80,196,274 1.36x 97.8% 1987
================================================================================================================
</TABLE>
Maximum Occupancy Rate at Underwriting: 100.0%
Minimum Occupancy Rate at Underwriting: 82.0%
Wtd. Avg. Occupancy Rate at Underwriting: 97.8%
(1) Does not reflect any Mortgage Loans secured by hotel properties.
(2) Year Built/Renovated reflects the later of the Year Built or the
Year Renovated.
<PAGE>
Prepayment Provision as of the Cut-off Date (1)
<TABLE>
<CAPTION>
Weighted Weighted
Average Average
Remaining Remaining Weighted
Range of Aggregate Percentage Lockout of Lockout Plus Average
Remaining Terms to Number of Cut-off Date Initial Period Premium Period Maturity
Stated Maturity (years) Loans Balance Pool Balance (years) (years) (years) (1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6.0 - 6.9 9 $ 27,247,191 3.2% 4.1 5.7 6.8
9.0 - 9.9 128 675,930,797 80.6% 8.1 9.3 9.8
11.0 - 11.9 2 26,601,624 3.2% 6.9 9.9 11.8
12.0 - 12.9 1 1,477,531 0.2% 12.2 12.2 12.7
14.0 - 14.9 9 34,236,562 4.1% 8.9 12.5 14.8
19.0 - 19.9 19 73,302,625 8.7% 17.5 17.5 19.7
================================================================================================
Total/Weighted Average: 168 $838,796,331 100.0% 8.8 10.0 10.8
================================================================================================
</TABLE>
(1) In the case of the Showboat Hotel & Casino, Atlantic City,
Washington Marriott Hotel, Hampton Inn - Houston Galleria,
Holiday Inn Southwest and Viking Conference Center, Holiday
Inn Express Hotel, AMC Theater Complex, and the Comfort Inn
- Cleveland, the maturity date is assumed to be the
Anticipated Repayment Date. See "Description of the
Mortgage Pool - General" in the Prospectus Supplement.
<PAGE>
Mortgage Pool Prepayment Profile (1)
<TABLE>
<CAPTION>
Prepayment Provision % of Pool % of Pool % of Pool % of Pool % of Pool % of Pool % of Pool
As of Cut-off Date Mar-98 Mar-99 Mar-00 Mar-01 Mar-02 Mar-03 Mar-04
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Lock out 100.0% 99.8% 99.8% 94.7% 92.2% 74.3% 73.8%
Yield Maint. Premium 0.0% 0.2% 0.2% 5.0% 7.5% 23.4% 23.9%
1% to 4% Prepayment Premium 0.0% 0.0% 0.0% 0.2% 0.2% 0.0% 0.0%
Other 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Open Period 0.0% 0.0% 0.0% 0.1% 0.1% 2.3% 2.3%
---------------------------------------------------------------------------------------------------
Total: 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
===================================================================================================
Outstanding
Balance (mm): $838.8 $830.1 $820.9 $810.9 $800.0 $788.2 $775.6
Number of Loans: 168 168 168 168 168 168 168
<CAPTION>
Prepayment Provision % of Pool % of Pool % of Pool % of Pool % of Pool % of Pool % of Pool
As of Cut-off Date Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Lock out 73.8% 73.9% 73.6% 69.7% 69.9% 80.8% 81.3%
Yield Maint. Premium 25.1% 25.1% 24.1% 15.8% 15.5% 0.0% 0.0%
1% to 4% Prepayment Premium 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Other 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Open Period 1.0% 1.0% 2.3% 14.4% 14.6% 19.2% 18.7%
---------------------------------------------------------------------------------------------------
Total: 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
===================================================================================================
Outstanding
Balance (mm): $736.9 $722.5 $706.9 $111.2 $107.5 $80.9 $77.2
Number of Loans: 159 159 159 31 31 29 28
<CAPTION>
Prepayment Provision % of Pool % of Pool % of Pool % of Pool % of Pool % of Pool
As of Cut-off Date Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-17
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Lock out 82.0% 89.1% 88.9% 32.2% 30.6% 28.6%
Yield Maint. Premium 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
1% to 4% Prepayment Premium 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Other 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Open Period 18.0% 10.9% 11.1% 67.8% 69.4% 71.4%
--------------------------------------------------------------------------------------
Total: 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
======================================================================================
Outstanding
Balance (mm): $73.3 $51.5 $48.9 $46.1 $43.1 $39.8
Number of Loans: 28 19 19 19 19 19
</TABLE>
(1) Calculated assuming that no Mortgage Loan prepays prior to stated
maturity, except that the Mortgage Loans secured by the Showboat Hotel &
Casino, Atlantic City, Washington Marriott Hotel, Hampton Inn - Houston
Galleria, Holiday Inn Southwest Conference Center, Holiday Inn Express
Hotel, AMC Theater Complex, and the Comfort Inn - Cleveland,
respectively, are assumed to pay in full on their respective Anticipated
Repayment Dates. Otherwise calculated based on Modeling Assumptions. See
"Description of the Mortgage Pool - General" and "Yield and Maturity
Considerations" in the Prospectus Supplement.
