<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 23,1998
Structured Asset Securities Corporation
- - -------------------------------------------------------------------------------
(Exact Name of Registrant as Specified in Its Charter)
Delaware 33-96378 74-2440858
- - -------------------------------------------------------------------------------
(State or Other Jurisdiction (Commission (IRS Employer
of Incorporation) File Number) Identification No.)
200 Vesey Street, New York, New York 10285
- - -------------------------------------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 526-7000
----------------
- - -------------------------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
- - -------------------------------------------------------------------------------
- - -------------------------------------------------------------------------------
<PAGE>
ITEM 5. OTHER EVENTS.
It is expected that on or about March 11, 1998, a single series of
certificates, entitled LB Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 1998-C1 (the "Certificates"), will
be issued pursuant to a pooling and servicing agreement, to be entered into by
and among Structured Asset Securities Corporation (the "Registrant"), GMAC
Commercial Mortgage Corporation, as master servicer and as special servicer,
LaSalle National Bank, as trustee, and ABN AMRO Bank N.V., as fiscal agent.
Certain classes of the Certificates (the "Underwritten Certificates") will be
registered under the Registrant's registration statement on Form S-3 (no. 33-
96378) and sold to Lehman Brothers Inc. (the "Underwriter") pursuant to an
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 prepared by Lehman
Brothers Inc.
-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 25, 1998
STRUCTURED ASSET SECURITIES
CORPORATION
By: /s/ Paul A. Hughson
------------------------------------
Name: Paul A. Hughson
Title: Vice President
-4-
<PAGE>
EXHIBIT INDEX
The following exhibits are filed herewith:
EXHIBIT NO. PAGE NO.
99.1 Computational Materials and ABS Term Sheets prepared
by Lehman Brothers Inc.
-5-
<PAGE>
LB Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates,
Series 1998-C1
$1,557,709,000
(Approximate)
Offered Certificates
[GRAPHIC OMITTED]
% of Mortgage Pool by Cut-off Date Balance
LEHMAN BROTHERS
First Union Capital Markets Corp.
<PAGE>
LB Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 1998-C1
(LBCMT 1998-C1)
- - -----------------------------------------------------------------------
% Credit
- - ------------------------ % of Deal Enhancement
Class A-1
Aaa/AAA 15.5% 29.50%
- - ------------------------
Class A-2
Aaa/AAA 18.6% 29.50%
- - ------------------------
Class A-3 Class IO
Aaa/AAA Aaa/AAA 36.4% 29.50%
- - ------------------------
Class B
Aa2/AA 5.0% 24.50%
- - ------------------------
Class C
A2/A 5.0% 19.50%
- - ------------------------
Class D
Baa2/BBB 5.3% 14.25%
- - ------------------------
Class E
Baa3/BBB 2.0% 12.25%
- - ------------------------
Class F 3.0% 9.25%
- - ------------------------
Class G 2.0% 7.25%
- - ------------------------
Class H 1.0% 6.25%
- - ------------------------
Class J 2.5% 3.75%
- - ------------------------
Class K 1.0% 2.75%
- - ------------------------
Class L 1.0% 1.75%
- - ------------------------
Class M 1.8%
- - ------------------------
- - -----------------------------------------------------------------------
<TABLE>
<CAPTION>
================================================================================================================
Original Avg Principal Legal
Class Face Rating (M/D) Description Coupon Life (1) Window (1) Status
- - ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $ 275,000,000 Aaa/AAA Fixed 4.33 3/98 - 10/04 Public
- - ----------------------------------------------------------------------------------------------------------------
A-2 $ 330,000,000 Aaa/AAA Fixed 7.75 10/04 - 8/07 Public
- - ----------------------------------------------------------------------------------------------------------------
A-3 $ 646,492,000 Aaa/AAA Fixed 9.71 8/07 - 1/08 Public
- - ----------------------------------------------------------------------------------------------------------------
IO $1,775,167,073(2) Aaa/AAA WAC IO 9.63(3) 3/98 - 2/28 (3) Public
- - ----------------------------------------------------------------------------------------------------------------
B $ 88,759,000 Aa2/AA Fixed 9.85 1/08 - 1/08 Public
- - ----------------------------------------------------------------------------------------------------------------
C $ 88,758,000 A2/A Fixed 9.90 1/08 - 9/08 Public
- - ----------------------------------------------------------------------------------------------------------------
D $ 93,196,000 Baa2/BBB Fixed 12.59 9/08 - 8/12 Public
- - ----------------------------------------------------------------------------------------------------------------
E $ 35,504,000 Baa3/BBB- Fixed 14.61 8/12 - 11/12 Public
- - ----------------------------------------------------------------------------------------------------------------
F $ 53,255,000 Not Offered Fixed 14.75 11/12 - 1/13 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
G $ 35,503,000 Not Offered Fixed 14.85 1/13 - 1/13 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
H $ 17,752,000 Not Offered Fixed 14.85 1/13 - 1/13 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
J $ 44,379,000 Not Offered Fixed 15.21 1/13 - 11/14 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
K $ 17,751,000 Not Offered Fixed 17.57 11/14 - 8/16 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
L $ 17,752,000 Not Offered Fixed 19.15 8/16 - 11/17 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
M $ 31,066,073 Not Offered Fixed 23.23 11/17 - 2/28 Private, 144A
- - ----------------------------------------------------------------------------------------------------------------
Total $1,775,167,073
================================================================================================================
</TABLE>
(1) Assuming among other things, 0% CPR, no losses and that ARD loans pay off
on their Anticipated Repayment Date. Expressed in years.
(2) Represents notional amount on Class IO.
(3) Represents average life of related principal notional amounts on Class IO.
Rating Agencies: Moody's and Duff & Phelp's
Trustee: LaSalle National Bank
Master Servicer: GMAC Commercial Mortgage Corporation
Special Servicer: GMAC Commercial Mortgage Corporation
Closing Date: On or about March 11, 1998 (40 days accrued interest)
B-2
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
Cut-off Date: February 1, 1998.
ERISA: Classes A-1, A-2, A-3 and IO are expected to be eligible for
Lehman's individual prohibited transaction exemption with
respect to ERISA.
SMMEA: Classes A-1, A-2, A-3, B and IO are "mortgage related
securities" for purposes of SMMEA.
Payment: Pays on 18th of each month or, if such date is not a business
day, then the following business day, commencing March 18,1998.
The Class IO: The Class IO is comprised of fourteen components, one relating
to each class of Sequential Pay Certificates.
Optional Call: 1% Clean-up Call.
Collateral: The Certificates are backed by 261 mortgage loans secured by
first liens on 288 commercial and multifamily properties, such
mortgage loans having been originated by an affiliate of Lehman
Brothers, or its approved conduit originators.
Offering Highlights
o Newly Originated Collateral. The collateral consists of
261 Mortgage Loans with a principal balance (as of
February 1, 1998) of approximately $1.775 billion.
O Call Protection. 100% of the Mortgage Loans contain call
protection provisions. 98% of the Mortgage Loans provide
for initial lockout period followed by i) defeasance; or
ii) yield maintenance; or/and iii) percentage penalty. The
weighted average lockout and defeasance periods for all
loans is 8.9 years. The Mortgage Loans are generally
prepayable without penalty between three to six months
from Mortgage Loan maturity.
================================================================================
Type of Call Protection # of Loans % of Balance
- - --------------------------------------------------------------------------------
Lockout (weighted average 60 months),
then Defeasance 179 71.5
- - --------------------------------------------------------------------------------
Lockout (weighted average 56 months), then
Yield Maintenance("YM")* 66 21.3
- - --------------------------------------------------------------------------------
Lockout (weighted average 68 months), then
declining penalties 11 4.2
- - --------------------------------------------------------------------------------
Lockout (weighted average 60 months), then YM*,
then declining penalties 3 0.9
- - --------------------------------------------------------------------------------
Declining penalties only 2 2.0
================================================================================
* 97.1% of such Mortgage Loans provide for yield maintenance
prepayment premiums that are calculated at a discount rate
of Treasuries flat.
o No loan delinquent 30 days or more as of the Cut-off Date.
o $6.8 million average loan balance as of the Cut-off Date.
o 1.34x Weighted Average Debt Service Coverage Ratio
("DSCR") as of the Cut-off Date.
o 73.2% Weighted Average Loan to Value ("LTV") as of the
Cut-off Date.
o Property Types. 44.8% Retail (79.9% Anchored and 20.1%
Unanchored), 24.8% Multifamily, 16.3% Office, 6.3% Hotel,
5.5% Industrial/Warehouse and 1.3% Health Care.
o Geographic Diversification. Texas (10.2%), Florida (9.4%),
New York (8.4%), California (8.0%), Maryland (5.7%),
Pennsylvania (5.7%); all other states less than 5% each.
o Monthly Investor Reporting. Updated collateral summary
information will be part of the monthly remittance report
in addition to detailed P&I payment and delinquency
information. Quarterly NOI and Occupancy to the extent
delivered by borrowers, will be available to
Certificateholders.
o Cash Flows will be Modeled on BLOOMBERG.
(Except as otherwise indicated, percentages (%) represent the
principal amount of loan or loans compared to aggregate pool
balance, as of the Cut-off Date (the "Initial Pool Balance."))
B-3
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
Priority and Timing of Cash Flows *
[GRAPHIC OMITTED]
* Assuming 0% CPR, no losses. Otherwise based on Table Assumptions.
MORTGAGE LOANS: The collateral consists of an approximately $1.775 billion
pool of 261 fixed rate mortgage loans secured by first liens
on commercial and multifamily properties in 36 different
states. As of the Cut-off Date, the Mortgage Loans have a
weighted average coupon ("WAC") of 7.603% and a weighted
average maturity ("WAM") of 131 months (based upon the
anticipated repayment date of ARD loans).
See the Collateral Summary tables at the end of this memo
for more Mortgage Loan details.
CREDIT
ENHANCEMENT: Credit enhancement for each class of Certificates will be
provided by the classes of Certificates which are
subordinate in priority with respect to payments of interest
and principal.
DISTRIBUTIONS: Principal and interest payments will generally be made to
Certificateholders in the following order:
1) Interest to the Senior Classes: Class A-1,
Class A-2, Class A-3 and Class IO, pro rata,
2) Principal to Class A-1 until such Class is
retired,*
3) Principal to Class A-2 until such Class is
retired,*
4) Principal to Class A-3 until such Class is
retired,*
5) Interest to Class B, then Principal to
Class B until such Class is retired,
6) Interest to Class C, then Principal to
Class C until such Class is retired,
7) Interest to Class D, then Principal to
Class D until such Class is retired,
8) Interest to Class E, then Principal to
Class E until such Class is retired,
9) Interest and Principal to the Private
Classes, sequentially.
* Pro rata if Classes B through M are
retired.
REALIZED LOSSES: Realized Losses from any Mortgage Loan will be allocated in
reverse sequential order (i.e. Classes M, L, K, J, H, G, F,
E, D, C and B, in that order, and then pro-rata to Classes
A-1, A-2, and A-3).
B-4
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
- - ----------------------------------------------
APPRAISAL
REDUCTIONS: With respect to certain specially serviced Mortgage
Loans as to which an appraisal is required
(including any Mortgage Loan that becomes 60 days
delinquent), an Appraisal Reduction Amount may be
created, in the amount, if any, by which the Stated
Principal Balance of such Mortgage Loan, together
with unadvanced interest, unreimbursed P&I advances
and certain other items, exceeds 90% of the
appraised value of the related Mortgaged Property.
The Appraisal Reduction Amount will reduce
proportionately the amount of any P&I Advance for
such loan, which reduction may result in a shortfall
of interest to the most subordinate class of
Principal Balance Certificates outstanding. The
Appraisal Reduction Amount will be reduced to zero
as of the date the related Mortgage Loan has been
brought current for three months, paid in full,
repurchased or otherwise liquidated, and any
shortfalls borne by the subordinate classes may be
made whole.
<TABLE>
<CAPTION>
PREPAYMENT PREMIUMS (% represents % of Cut-off Date Balance):
- - --------------------------------------------------------------------------------------------------------------------------------
Prepayment
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Premium 2/98 2/99 2/00 2/01 2/02 2/03 2/04 2/05 2/06 2/07 2/08
- - -----------------------------------------------------------------------------------------------------------------------------
Lock-out 98.0% 98.0% 95.2% 80.3% 29.5% 24.8% 21.1% 13.8% 11.0% 9.6% 1.7%
- - -----------------------------------------------------------------------------------------------------------------------------
Defeasance 2.4% 14.5% 50.5% 49.0% 49.2% 47.4% 48.3% 44.0% 17.6%
- - -----------------------------------------------------------------------------------------------------------------------------
YM 0.1% 3.0% 16.3% 16.8% 18.4% 16.6% 18.0% 15.7% 3.6%
- - -----------------------------------------------------------------------------------------------------------------------------
5% 0.2% 0.2% 0.4% 1.4% 0.2%
- - -----------------------------------------------------------------------------------------------------------------------------
4% 0.2% 0.6% 1.4% 0.2% 0.2%
- - -----------------------------------------------------------------------------------------------------------------------------
3% 2.0% 1.1% 1.1% 1.2% 1.0% 0.6% 1.9%
- - -----------------------------------------------------------------------------------------------------------------------------
2% 0.9% 1.1% 1.1% 1.2% 1.0% 1.6% 2.1% 0.5%
- - -----------------------------------------------------------------------------------------------------------------------------
1% 0.9% 0.9% 0.9% 1.2% 1.1% 2.7% 2.3% 0.8%
- - -----------------------------------------------------------------------------------------------------------------------------
Open 1.8% 10.0% 0.3%
=============================================================================================================================
Matured 5.2% 5.2% 17.6% 17.6% 17.6% 75.6%
=============================================================================================================================
Total 100.0% 100.0% 100.0% 100.0% 100.0% % 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
=============================================================================================================================
</TABLE>
* Note that Prepayment Premiums generally end prior to the last three to six
months before the Mortgage Loan's maturity date.
ALLOCATION OF PREPAYMENT PREMIUMS:
All Prepayment Premiums are distributed to
Certificateholders on the Distribution Date
following the one-month collection period in which
the prepayment occurred. All Prepayment Premiums
will be allocated to the Classes A through G, in
each case, up to the product of (i) the Prepayment
Premium, (ii) the "Discount Rate Fraction" and (iii)
the percentage of the total principal distribution
to Certificateholders to which such Class is
entitled. Any excess amounts will be distributed to
Class IO. The Discount Rate Fraction for Classes A
through G is defined as: (Coupon on Class -
Reinvestment Yield) / (Coupon on Mortgage Loan -
Reinvestment Yield)
B-5
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
PREPAYMENT PREMIUM ALLOCATION EXAMPLE:
The Yield Maintenance prepayment premium will
generally be equal to the present value of the
reduction in interest payments as a result of the
prepayment through the maturity of the Mortgage
Loan, discounted at the yield of a Treasury security
of similar maturity in most cases (converted from
semi-annual to monthly pay). The following example
reflects that method.
General Yield Maintenance Example:
Assuming the structure presented on pages 3 and 4 of
this memo and the following assumptions:
Mortgage Loan Characteristics of loan being
prepaid*:
Balance $10,000,000
Coupon 8.0%
Maturity 10 yrs (February 1, 2008)
Amortization Term 30 yrs
Prepayment Date 3/1/98
Prepayment Premium Type Yield Maintenance (Treasuries flat)
Certificate Characteristics
Class A-1 Coupon 6.00%
* The Yield Maintenance formula for certain Mortgage Loans may result in a lower
Yield Maintenance prepayment premium than set forth in this example.
<TABLE>
<CAPTION>
Mortgage Class A-1 Class IO
Loan Certificates Certificates
=======================================================================================================================
<S> <C> <C> <C>
Amount of Principal Prepayment $10,000,000 $10,000,000 N/A
- - -------------------------------------------------------------------------------------------------------------------------
Maturity Date of the Mortgage Loan 2/01/08
Number of Payments (1) 120
- - -------------------------------------------------------------------------------------------------------------------------
Treasury Note used for Reinvestment Yield (2) 7.875% 11/07
Treasury Yield (CBE) 5.563%
Reinvestment Yield (Mtg) (3) 5.500%
- - -------------------------------------------------------------------------------------------------------------------------
Mortgage Rate 8.00%
Payment Differential ($ per month) (4) $20,833.33
- - -------------------------------------------------------------------------------------------------------------------------
Certificate Pass-Through Rate 6.00%
- - -------------------------------------------------------------------------------------------------------------------------
Total Prepayment Premium $1,919,658
- - -------------------------------------------------------------------------------------------------------------------------
Discount Rate Fraction Calculation (6.00% - 5.500%) / excess
(Class A-1 Coupon - Reinvestment Yield) / (8.00% - 5.500%) = prepayment
(Gross Mortgage Rate - Reinvestment Yield) = 0.5 / 2.5 = premiums
- - -------------------------------------------------------------------------------------------------------------------------
$ Premium allocated to each class $383,931.60 $1,535,726.40
=========================================================================================================================
</TABLE>
(1) The number of payments to discount for yield maintenance prepayment
premium computation.
(2) The yield on the treasury note with a maturity date closest to the
maturity date of the loan.
(3) The Reinvestment Yield used is the mortgage equivalent of the CBE treasury
yield.
(4) (Mortgage Rate - Reinvestment Yield) x (amount of Principal Prepayment) /
12 used for 120 payments.
B-6
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
ADVANCING: The Master Servicer will be obligated to make
advances of scheduled principal and interest
payments (excluding balloon payments and Appraisal
Reduction Amounts) and certain servicing expenses
("Advances"), to the extent that such Advances are
deemed to be recoverable. If the Master Servicer
fails to make a required Advance, the Trustee or
Fiscal Agent will be obligated to make such
advances.
CONTROLLING CLASS
REPRESENTATIVE: A Controlling Class Representative will be appointed by a
majority of Certificateholders of the Controlling Class, which
will generally be the most subordinate class with a
Certificate Balance outstanding that is at least 25% of the
initial Certificate Balance of such Class. The Controlling
Class Representative will, subject to certain limitations, be
entitled to direct the Special Servicer on how to resolve
delinquent or defaulted loans.
SPECIAL SERVICER
FLEXIBILITY: The Pooling and Servicing Agreement will generally
permit the Special Servicer to modify, waive or
amend any term of any Mortgage Loan if (a) it
determines, in accordance with the servicing
standard, that it is appropriate to do so and (b)
among other things, such modification, waiver or
amendment will not, subject to certain exceptions:
(i) affect the amount or timing of any
scheduled payments of principal,
interest or other amount (including
Prepayment Premiums and Yield
Maintenance Charges) payable under the
Mortgage Loan;
(ii) affect the obligation of the related
borrower to pay a Prepayment Premium or
Yield Maintenance Charge or permit a
principal prepayment during the
applicable Lockout Period;
(iii) except as expressly provided by the
related Mortgage or in connection with a
material adverse environmental condition
at the related Mortgaged Property,
result in a release of the lien of the
related Mortgage on any material portion
of such Mortgaged Property without a
corresponding principal prepayment, or;
(iv) in the judgment of the Special Servicer,
materially impair the security for the
Mortgage Loan or reduce the likelihood
of timely payment of amounts due
thereon.
SPECIAL AND GMAC COMMERCIAL MORTGAGE CORPORATION ("GMAC")
MASTER SERVICER: As of December 31, 1997, GMAC had a total commercial
and multifamily mortgage loan servicing portfolio
(including loans serviced for its own account and
for others) of approximately $40.2 billion.
B-7
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
MINIMUM DENOMINATIONS:
Minimum Increments
Classes Denomination Thereafter Delivery
- - -------------------------------------------------------------------------------
A-1, A-2, A-3, B, C, D, and E $10,000 $1 DTC
- - -------------------------------------------------------------------------------
IO $100,000 $1 DTC
DETAILED MONTHLY INVESTOR REPORTING:
Updated collateral summary information will be a
part of the monthly remittance report in addition to
detailed P&I payment and delinquency information.
Quarterly NOI and Occupancy data, to the extent
delivered by the borrowers, will be available to
Certificateholders through the Trustee. The
following is a list of all the reports that will be
available to Certificateholders:
<TABLE>
<CAPTION>
<C> <S> <S>
Name of Report Description (information provided)
- - -------------------------------------------------------------------------------------------------------------------
1 Remittance Report principal and interest distributions, principal balances
- - -------------------------------------------------------------------------------------------------------------------
2 Mortgage Loan Status Report portfolio stratifications
- - -------------------------------------------------------------------------------------------------------------------
3 Comparative Financial Status Report revenue, NOI, DSCR to the extent available
- - -------------------------------------------------------------------------------------------------------------------
4 Delinquent Loan Status Report listing of delinquent mortgage loans
- - -------------------------------------------------------------------------------------------------------------------
5 Historical Loan Modification Report information on modified mortgage loans
- - -------------------------------------------------------------------------------------------------------------------
6 Historical Loss Estimate Report liquidation proceeds, expenses, and realized losses
- - -------------------------------------------------------------------------------------------------------------------
7 REO Status Report NOI and value of REO
- - -------------------------------------------------------------------------------------------------------------------
8 Watch List listing of loans in jeopardy of becoming Specially Serviced
- - -------------------------------------------------------------------------------------------------------------------
9 Loan Payoff Notification Report listing of loans that have given notice of intent to payoff
</TABLE>
B-8
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
- - ----------------------------------------------------------------
GENERAL CHARACTERISTICS
===============================================================
Characteristics
- - ---------------------------------------------------------------
Initial Pool Balance $1,775,167,073
- - ---------------------------------------------------------------
# of Loans 261
- - ---------------------------------------------------------------
Gross WAC 7.603%
- - ---------------------------------------------------------------
Original WAM 134(mos)
- - ---------------------------------------------------------------
Remaining WAM 131(mos)
- - ---------------------------------------------------------------
Avg. Loan Balance $6,801,406
- - ---------------------------------------------------------------
WA DSCR 1.34x
- - ---------------------------------------------------------------
WA Cut-off Date LTV Ratio 73.2%
- - ---------------------------------------------------------------
Balloon Loans 62.3%
- - ---------------------------------------------------------------
ARD Loans 30.1%
- - ---------------------------------------------------------------
PROPERTY TYPES
================================================================
Property % of Initial Pool
Types Balance
- - ---------------------------------------------------------------
Retail 44.8%
- - ---------------------------------------------------------------
Multifamily 24.8%
- - ---------------------------------------------------------------
Office 16.3%
- - ---------------------------------------------------------------
Hotel 6.3%
- - ---------------------------------------------------------------
Industrial/Warehouse 5.5%
- - ---------------------------------------------------------------
Health Care 1.3%
- - ---------------------------------------------------------------
Self Storage 0.6%
- - ----------------------------------------------------------------
Mobile Home Park 0.2%
- - ---------------------------------------------------------------
Parking Garage 0.1%
================================================================
DEAL SUMMARY BY PROPERTY TYPE:
- - -----------------------------------------------------------------
<TABLE>
<CAPTION>
Aggregate Average Rem. WA WA
# of Cut-off Date % of Cut-off Date Gross WAM LTV WA Occup. % %
Property Type Loans Balance Pool Balance WAC (mos) Ratio DSCR (x) Rate ) CA Balloon
($) ($) (%) (%) (%)(1)
- - ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Retail 103 794,883,450 44.8 7,717,315 7.68 130 73.0 1.33 96.0 4.5 25.1
- - ------------------------------------------------------------------------------------------------------------------------------------
Anchored 65 642,223,097 36.2 9,880,355 7.67 131 73.3 1.32 95.9 3.8 18.4
- - ------------------------------------------------------------------------------------------------------------------------------------
Unanchored 38 152,660,353 8.6 4,017,378 7.72 127 71.6 1.40 96.1 0.7 6.7
- - ------------------------------------------------------------------------------------------------------------------------------------
Multifamily 75 440,621,293 24.8 5,874,951 7.42 127 76.9 1.31 94.4 2.0 17.4
- - ------------------------------------------------------------------------------------------------------------------------------------
Conventional 72 424,398,139 23.9 5,894,419 7.42 127 77.0 1.31 94.4 2.0 16.5
- - ------------------------------------------------------------------------------------------------------------------------------------
Section 42 3 16,223,153 0.9 5,407,718 7.30 118 75.2 1.24 94.1 - 0.9
- - ------------------------------------------------------------------------------------------------------------------------------------
Office 50 289,905,060 16.3 5,798,101 7.67 130 70.4 1.34 96.6 0.8 11.0
- - ------------------------------------------------------------------------------------------------------------------------------------
Hotel 9 112,290,555 6.3 12,476,728 7.50 145 71.3 1.52 - - 4.6
- - ------------------------------------------------------------------------------------------------------------------------------------
Full Service 3 56,774,538 3.2 18,924,846 7.49 118 73.2 1.45 - - 3.2
- - ------------------------------------------------------------------------------------------------------------------------------------
Limited Service 6 55,516,017 3.1 9,252,670 7.52 172 69.3 1.59 - - 1.4
- - ------------------------------------------------------------------------------------------------------------------------------------
Industrial/W'hse 16 97,954,817 5.5 6,122,176 7.70 153 68.5 1.39 98.3 0.3 2.3
- - ------------------------------------------------------------------------------------------------------------------------------------
Health Care 3 23,216,532 1.3 7,738,844 7.49 134 75.7 1.46 94.2 0.4 1.3
- - ------------------------------------------------------------------------------------------------------------------------------------
Assisted Living/ 1 9,740,102 0.5 9,740,102 7.66 118 73.8 1.46 93.0 - 0.5
Skilled Nursing
- - ------------------------------------------------------------------------------------------------------------------------------------
Congregate Care 1 7,481,807 0.4 7,481,807 7.13 118 79.6 1.37 100.0 0.4 0.4
- - ------------------------------------------------------------------------------------------------------------------------------------
Assisted Living 1 5,994,623 0.3 5,994,623 7.67 179 74.0 1.57 89.0 - 0.3
- - ------------------------------------------------------------------------------------------------------------------------------------
Self Storage 3 11,147,050 0.6 3,715,683 8.00 116 66.0 1.45 89.4 - 0.6
- - ------------------------------------------------------------------------------------------------------------------------------------
Mobile Home Park 1 2,900,000 0.2 2,900,000 7.11 120 75.3 1.37 96.0 - -
- - ------------------------------------------------------------------------------------------------------------------------------------
Parking Garage 1 2,248,317 0.1 2,248,317 7.46 119 72.5 1.36 100.0 - -
====================================================================================================================================
Total/Avg/Min/Max/ 261 1,775,167,073 100.0 6,801,406 7.60 131 73.2 1.34 95.7 8.0 62.3
Wtd.Avg.:
- - ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Excluding Hotels.
B-9
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
DEAL SUMMARY BY PROPERTY TYPE (CONTINUED)
- - ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Minimum
Aggregate % of Cut-off Cut-off Maximum Gross
Property # of Cut-off Date Initial Date Date Cut-off Date WAC
Type Loans Balance Pool Balance Balance Balance
- - -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Retail 103 794,883,450 44.8 7,717,315 664,323 62,467,513 7.68
- - -----------------------------------------------------------------------------------------------------------
Anchored 65 642,223,097 36.2 9,880,355 1,455,349 62,467,513 7.67
- - -----------------------------------------------------------------------------------------------------------
Unanchored 38 152,660,353 8.6 4,017,378 664,323 11,477,744 7.72
- - -----------------------------------------------------------------------------------------------------------
Multifamily 75 440,621,293 24.8 5,874,951 958,972 33,180,421 7.42
- - -----------------------------------------------------------------------------------------------------------
Conventional 72 424,398,139 23.9 5,894,419 958,972 33,180,421 7.42
- - -----------------------------------------------------------------------------------------------------------
Section 42 3 16,223,153 0.9 5,407,718 2,038,367 11,986,547 7.30
- - -----------------------------------------------------------------------------------------------------------
Office 50 289,905,060 16.3 5,798,101 613,738 31,382,675 7.67
- - -----------------------------------------------------------------------------------------------------------
Hotel 9 112,290,555 6.3 12,476,728 2,696,562 20,360,654 7.50
- - -----------------------------------------------------------------------------------------------------------
Full Service 3 56,774,538 3.2 18,924,846 16,451,099 20,360,654 7.49
- - -----------------------------------------------------------------------------------------------------------
Limited Service 6 55,516,017 3.1 9,252,670 2,696,562 17,944,805 7.52
- - -----------------------------------------------------------------------------------------------------------
Industrial/W'hse 16 97,954,817 3.1 6,122,176 1,097,047 17,735,508 7.70
- - -----------------------------------------------------------------------------------------------------------
Health Care 3 23,216,532 1.3 7,738,844 5,994,623 9,740,102 7.49
- - -----------------------------------------------------------------------------------------------------------
Assisted Living/ 1 9,740,102 1.3 9,740,102 9,740,102 9,740,102 7.66
Skilled Nursing
- - -----------------------------------------------------------------------------------------------------------
Congregate Care 1 7,481,807 0.4 7,481,807 7,481,807 7,481,807 7.13
- - -----------------------------------------------------------------------------------------------------------
Assisted Living 1 5,994,623 0.3 5,994,623 5,994,623 5,994,623 7.67
- - -----------------------------------------------------------------------------------------------------------
Self Storage 3 11,147,050 0.6 3,715,683 1,998,192 4,656,636 8.00
- - -----------------------------------------------------------------------------------------------------------
Mobile Home Park 1 2,900,000 0.6 2,900,000 2,900,000 2,900,000 7.11
- - -----------------------------------------------------------------------------------------------------------
Parking Garage 1 2,248,317 0.1 2,248,317 2,248,317 2,248,317 7.46
===========================================================================================================
Total/Avg/Min/Max/ 261 1,775,167,073 100.0 6,801,406 613,738 62,467,513 7.60
Wtd.Avg.:
- - -----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Min Max Min Max WA Min Max WA Min Max
Property WAC WAC WAM WAM DSCR DSCR DSCR LTV LTV LTV
Type Ratio Ratio Ratio
- - -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Retail 6.97 9.05 59 360 1.33 1.21 1.82 73.0 50.5 80.0
- - -----------------------------------------------------------------------------------------------------------
Anchored 6.97 9.05 59 360 1.32 1.21 1.80 73.3 50.5 80.0
- - -----------------------------------------------------------------------------------------------------------
Unanchored 7.23 8.46 78 229 1.40 1.25 1.82 71.6 55.4 77.8
- - -----------------------------------------------------------------------------------------------------------
Multifamily 6.98 8.57 58 299 1.31 1.19 1.72 76.9 58.8 80.0
- - -----------------------------------------------------------------------------------------------------------
Conventional 6.98 8.57 58 299 1.31 1.19 1.72 77.0 58.8 80.0
- - -----------------------------------------------------------------------------------------------------------
Section 42 7.12 7.36 118 119 1.24 1.22 1.24 75.2 73.5 79.9
- - -----------------------------------------------------------------------------------------------------------
Office 7.03 9.17 58 297 1.34 1.24 2.13 70.4 28.0 78.8
- - -----------------------------------------------------------------------------------------------------------
Hotel 7.36 7.97 117 275 1.52 1.40 2.05 71.3 54.4 77.4
- - -----------------------------------------------------------------------------------------------------------
Full Service 7.36 7.60 117 118 1.45 1.40 1.49 73.2 67.2 77.4
- - -----------------------------------------------------------------------------------------------------------
Limited Service 7.38 7.97 117 275 1.59 1.46 2.05 69.3 54.4 74.8
- - -----------------------------------------------------------------------------------------------------------
Industrial/W'hse 7.09 8.12 81 239 1.39 1.28 1.74 68.5 55.5 80.0
- - -----------------------------------------------------------------------------------------------------------
Health Care 7.13 7.67 118 179 1.46 1.37 1.57 75.7 73.8 79.6
- - -----------------------------------------------------------------------------------------------------------
Assisted Living/ 7.66 7.66 118 118 1.46 1.46 1.46 73.8 73.8 73.8
Skilled Nursing
- - -----------------------------------------------------------------------------------------------------------
Congregate Care 7.13 7.13 118 118 1.37 1.37 1.37 79.6 79.6 79.6
- - -----------------------------------------------------------------------------------------------------------
Assisted Living 7.67 7.67 179 179 1.57 1.57 1.57 74.0 74.0 74.0
- - -----------------------------------------------------------------------------------------------------------
Self Storage 7.84 8.17 114 118 1.45 1.33 1.60 66.0 58.2 71.8
- - -----------------------------------------------------------------------------------------------------------
Mobile Home Park 7.11 7.11 120 120 1.37 1.37 1.37 75.3 75.3 75.3
- - -----------------------------------------------------------------------------------------------------------
Parking Garage 7.46 7.46 119 119 1.36 1.36 1.36 72.5 72.5 72.5
===========================================================================================================
Total/Avg/Min/Max/ 6.97 9.17 58 360 1.34 1.19 2.13 73.2 28.0 80.0
Wtd.Avg.:
- - -----------------------------------------------------------------------------------------------------------
</TABLE>
B-10
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
LOAN SIZE DISTRIBUTION
==============================================================================
% of Initial
Balance Ranges ($) # of Loans Pool Balance
- - -----------------------------------------------------------------------------
613,738 - 2,000,000 30 2.5
- - -----------------------------------------------------------------------------
2,000,001 - 4,000,000 72 11.5
- - -----------------------------------------------------------------------------
4,000,001 - 6,000,000 61 16.9
- - -----------------------------------------------------------------------------
6,000,001 - 8,000,000 27 10.3
- - -----------------------------------------------------------------------------
8,000,001 - 10,000,000 20 10.4
- - -----------------------------------------------------------------------------
10,000,001 - 12,000,000 14 8.9
- - -----------------------------------------------------------------------------
12,000,001 - 14,000,000 9 6.5
- - -----------------------------------------------------------------------------
14,000,001 - 16,000,000 8 6.6
- - -----------------------------------------------------------------------------
16,000,001 - 18,000,000 6 5.8
- - -----------------------------------------------------------------------------
18,000,001 - 20,000,000 8 8.6
- - -----------------------------------------------------------------------------
20,000,001 - 22,000,000 1 1.1
- - -----------------------------------------------------------------------------
22,000,001 - 24,000,000 1 1.3
- - -----------------------------------------------------------------------------
30,000,001 - 32,000,000 1 1.8
- - -----------------------------------------------------------------------------
32,000,001 - 34,000,000 1 1.9
- - -----------------------------------------------------------------------------
40,000,001 - 42,000,000 1 2.4
- - -----------------------------------------------------------------------------
62,000,001 - 62,467,513 1 3.5
=============================================================================
Minimum Balance: $613,738
Maximum Balance: $62,467,513
Average Balance: $6,801,406
GROSS RATE DISTRIBUTION
=======================================================
Gross Rate % of Initial
(%) Pool Balance
- - -------------------------------------------------------
6.970 - 6.999% 3.8
- - -------------------------------------------------------
7.000 - 7.249% 14.0
- - -------------------------------------------------------
7.250 - 7.499% 28.7
- - -------------------------------------------------------
7.500 - 7.749% 27.1
- - -------------------------------------------------------
7.750 - 7.999% 9.2
- - -------------------------------------------------------
8.000 - 8.249% 9.2
- - -------------------------------------------------------
8.250 - 8.499% 2.7
- - -------------------------------------------------------
8.500 - 8.749% 2.1
- - -------------------------------------------------------
8.750 - 8.999% 1.8
- - -------------------------------------------------------
9.000 - 9.170% 1.3
=======================================================
Minimum WAC: 6.970%
Maximum WAC: 9.170%
Weighted Avg. WAC: 7.603%
REMAINING TERMS TO MATURITY*
=======================================================
% of Initial
Months Pool Balance
- - -------------------------------------------------------
49 - 60 5.2
- - -------------------------------------------------------
73 - 84 12.4
- - -------------------------------------------------------
109 - 120 58.1
- - -------------------------------------------------------
133 - 144 1.1
- - -------------------------------------------------------
145 - 156 1.0
- - -------------------------------------------------------
169 - 180 13.3
- - -------------------------------------------------------
217 - 228 0.1
- - -------------------------------------------------------
229 - 240 5.6
- - -------------------------------------------------------
265 - 276 0.2
- - -------------------------------------------------------
289 - 300 2.5
- - -------------------------------------------------------
349 - 360 0.7
=======================================================
Minimum Remaining
Term to Maturity: 58 months
Maximum Remaining
Term to Maturity: 360 months
Weighted Average
Remaining Term to Maturity: 131 months
REMAINING AMORTIZATION TERM
=======================================================
% of Initial % of Initial
Months Pool Balance
- - -------------------------------------------------------
181 - 192 0.1
- - -------------------------------------------------------
217 - 228 0.1
- - -------------------------------------------------------
229 - 240 6.2
- - -------------------------------------------------------
265 - 276 0.5
- - -------------------------------------------------------
277 - 288 0.2
- - -------------------------------------------------------
289 - 300 18.4
- - -------------------------------------------------------
313 - 324 0.1
- - -------------------------------------------------------
325 - 336 0.3
- - -------------------------------------------------------
349 - 360 74.1
=======================================================
Minimum Remaining
Amortization Term: 189 months
Maximum Remaining
Amortization Term: 360 months
Weighted Average
Amortization Term: 338 months
* Assumes ARD Loans mature and pay off on their anticipated
repayment date.
B-11
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
DEBT SERVICE COVERAGE RATIOS
==============================================
% of Initial
DSCR Ranges (x) Pool Balance
- - -----------------------------------------------
1.19 - 1.24 14.3
- - -----------------------------------------------
1.25 - 1.29 26.7
- - -----------------------------------------------
1.30 - 1.34 19.1
- - -----------------------------------------------
1.35 - 1.39 16.5
- - -----------------------------------------------
1.40 - 1.44 6.6
- - -----------------------------------------------
1.45 - 1.49 7.9
- - -----------------------------------------------
1.50 - 1.54 1.4
- - -----------------------------------------------
1.55 - 1.59 2.6
- - -----------------------------------------------
1.60 - 1.64 1.1
- - -----------------------------------------------
1.65 - 1.69 0.9
- - -----------------------------------------------
1.70 - 1.74 0.8
- - -----------------------------------------------
1.80 - 1.84 1.3
- - -----------------------------------------------
1.90 - 1.94 0.2
- - -----------------------------------------------
2.05 - 2.14 0.6
===============================================
Minimum DSCR: 1.19x
Maximum DSCR: 2.13x
Weighted Average DSCR: 1.34x
LOAN TO VALUE % (LTV)
===============================================
% of Initial
LTV Ranges Pool Balance
- - -----------------------------------------------
25.01 - 30.00 0.2
- - -----------------------------------------------
45.01 - 50.00 0.6
- - -----------------------------------------------
50.01 - 55.00 2.2
- - -----------------------------------------------
55.01 - 60.00 2.7
- - -----------------------------------------------
60.01 - 65.00 2.9
- - -----------------------------------------------
65.01 - 70.00 11.3
- - -----------------------------------------------
70.01 - 75.00 42.2
- - -----------------------------------------------
75.01 - 80.00 37.8
===============================================
Minimum LTV: 28.0%
Maximum LTV: 80.0%
Weighted Average LTV: 73.2%
STATE DISTRIBUTION
===============================================
% of Initial
State Pool Balance
- - -----------------------------------------------
Texas 10.2
- - -----------------------------------------------
Florida 9.4
- - -----------------------------------------------
New York 8.4
- - -----------------------------------------------
California 8.0
- - -----------------------------------------------
Maryland 5.7
- - -----------------------------------------------
Pennsylvania 5.7
- - -----------------------------------------------
Tennessee 4.9
- - -----------------------------------------------
Nevada 4.0
- - -----------------------------------------------
Ohio 3.9
- - -----------------------------------------------
Connecticut 3.6
- - -----------------------------------------------
Other* 36.2
===============================================
* No other state greater than 3.5%.
B-12
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class A1 Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------ ---------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
100.04 6.115% 3.62 6.115% 3.62 6.115% 3.61 6.115% 3.61 6.114% 3.60
100.06 6.098% 3.62 6.098% 3.62 6.098% 3.61 6.098% 3.61 6.097% 3.60
100.08 6.081% 3.62 6.081% 3.62 6.081% 3.61 6.080% 3.61 6.080% 3.60
100.10 6.064% 3.62 6.064% 3.62 6.063% 3.61 6.063% 3.61 6.063% 3.60
100.12 6.047% 3.62 6.046% 3.62 6.046% 3.62 6.046% 3.61 6.046% 3.60
100.14 6.030% 3.62 6.029% 3.62 6.029% 3.62 6.029% 3.61 6.029% 3.60
100.16 6.013% 3.62 6.012% 3.62 6.012% 3.62 6.012% 3.61 6.011% 3.61
100.18 5.996% 3.63 5.995% 3.62 5.995% 3.62 5.995% 3.61 5.994% 3.61
100.20 5.979% 3.63 5.978% 3.62 5.978% 3.62 5.978% 3.61 5.977% 3.61
100.22 5.962% 3.63 5.961% 3.62 5.961% 3.62 5.961% 3.62 5.960% 3.61
100.24 5.945% 3.63 5.944% 3.62 5.944% 3.62 5.944% 3.62 5.943% 3.61
100.26 5.928% 3.63 5.927% 3.62 5.927% 3.62 5.927% 3.62 5.926% 3.61
100.28 5.911% 3.63 5.910% 3.63 5.910% 3.62 5.910% 3.62 5.909% 3.61
Weighted
Average
Life (yrs.) 4.33 4.32 4.32 4.31 4.30
First
Principal
Payment Date 18-Mar-98 18-Mar-98 18-Mar-98 18-Mar-98 18-Mar-98
Last
Principal
Payment Date 18-Oct-2004 18-Oct-2004 18-Sep-2004 18-Sep-2004 18-Aug-2004
</TABLE>
B-13
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class A2 Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------ ---------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
100.04 6.261% 5.93 6.261% 5.93 6.261% 5.92 6.261% 5.91 6.261% 5.89
100.06 6.251% 5.93 6.251% 5.93 6.251% 5.92 6.251% 5.91 6.251% 5.90
100.08 6.241% 5.94 6.241% 5.93 6.240% 5.92 6.240% 5.91 6.240% 5.90
100.10 6.230% 5.94 6.230% 5.93 6.230% 5.92 6.230% 5.92 6.230% 5.90
100 12 6.220% 5.94 6.220% 5.93 6.220% 5.92 6.219% 5.92 6.219% 5.90
100.14 6.209% 5.94 6.209% 5.93 6.209% 5.92 6.209% 5.92 6.209% 5.90
100.16 6.199% 5.94 6.199% 5.93 6.199% 5.93 6.198% 5.92 6.198% 5.90
100.18 6.189% 5.94 6.188% 5.93 6.188% 5.93 6.188% 5.92 6.188% 5.90
100.20 6.178% 5.94 6.178% 5.93 6.178% 5.93 6.178% 5.92 6.177% 5.90
100.22 6.168% 5.94 6.168% 5.94 6.167% 5.93 6.167% 5.92 6.167% 5.90
100.24 6.157% 5.94 6.157% 5.94 6.157% 5.93 6.157% 5.92 6.156% 5.90
100.26 6.147% 5.94 6.147% 5.94 6.147% 5.93 6.146% 5.92 6.146% 5.90
100.28 6.137% 5.95 6.136% 5.94 6.136% 5.93 6.136% 5.92 6.135% 5.91
Weighted
Average
Life (yrs.) 7.75 7.74 7.73 7.72 7.68
First
Principal
Payment Date 18-Oct-2004 18-Oct-2004 18-Sep-2004 18-Sep-2004 18-Aug-2004
Last
Principal
Payment Date 18-Aug-2007 18-Aug-2007 18-Jul-2007 18-Jul-2007 18-Jun-2007
</TABLE>
B-14
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class A3 Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------- ----------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.24 6.427% 7.02 6.427% 7.01 6.427% 7.01 6.427% 7.00 6.427% 6.98
99.28 6.410% 7.02 6.410% 7.01 6.410% 7.01 6.410% 7.00 6.410% 6.98
100.00 6.392% 7.02 6.392% 7.02 6.392% 7.01 6.392% 7.00 6.392% 6.99
100.04 6.374% 7.02 6.374% 7.02 6.374% 7.01 6.374% 7.01 6.374% 6.99
100.08 6.357% 7.03 6.357% 7.02 6.357% 7.01 6.357% 7.01 6.356% 6.99
100.12 6.339% 7.03 6.339% 7.02 6.339% 7.02 6.339% 7.01 6.339% 6.99
100.16 6.322% 7.03 6.321% 7.03 6.321% 7.02 6.321% 7.01 6.321% 7.00
100.20 6.304% 7.03 6.304% 7.03 6.304% 7.02 6.304% 7.01 6.303% 7.00
100.24 6.288% 7.04 6.286% 7.03 6.286% 7.02 6.286% 7.02 6.286% 7.00
100.28 6.269% 7.04 6.269% 7.03 6.269% 7.03 6.269% 7.02 6.268% 7.00
101.00 6.252% 7.04 6.251% 7.03 6.251% 7.03 6.251% 7.02 6.251% 7.01
101.04 6.234% 7.04 6.234% 7.04 6.234% 7.03 6.234% 7.02 6.233% 7.01
101.08 6.217% 7.04 6.217% 7.04 6.216% 7.03 6.216% 7.03 6.216% 7.01
Weighted Average
Life (yrs.) 9.71 9.70 9.69 9.67 9.64
First Principal
Payment Date 18-Aug-2007 18-Aug-2007 18-Jul-2007 18-Jul-2007 18-Jun-2007
Last Principal
Payment Date 18-Jan-2008 18-Jan-2008 18-Jan-2008 18-Jan-2008 18-Jan-2008
</TABLE>
B-15
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class B Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------- ----------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.24 6.581% 7.04 6.581% 7.04 6.581% 7.04 6.581% 7.04 6.581% 7.04
99.28 8.563% 7.04 6.563% 7.04 6.563% 7.04 6.563% 7.04 6.563% 7.04
100.00 6.545% 7.05 6.545% 7.05 6.545% 7.05 6.545% 7.05 6.545% 7.05
100.04 6.528% 7.05 6.528% 7.05 6.528% 7.05 6.528% 7.05 6.528% 7.05
100.08 6.510% 7.05 6.510% 7.05 6.510% 7.05 6.510% 7.05 6.510% 7.05
100.12 6.493% 7.05 6.493% 7.05 6.493% 7.05 6.493% 7.05 6.493% 7.05
100.16 8.475% 7.05 6.475% 7.05 6.475% 7.05 6.475% 7.05 6.475% 7.05
100.20 6.458% 7.06 6.458% 7.06 6.458% 7.06 6.458% 7.06 8.458% 7.06
100.24 6.440% 7.06 6.440% 7.06 6.440% 7.06 6.440% 7.06 6.440% 7.06
100.28 6.423% 7.06 6.423% 7.06 6.423% 7.06 6.423% 7.06 6.423% 7.06
101.00 6.405% 7.06 6.405% 7.06 6.405% 7.06 6.405% 7.06 6.405% 7.06
101.04 6.388% 7.07 6.388% 7.07 6.388% 7.07 6.388% 7.07 6.388% 7.07
101.08 6.371% 7.07 6.371% 7.07 6.371% 7.07 6.371% 7.07 6.371% 7.07
Weighted Average
Life (yrs.) 9.85 9.85 9.85 9.85 9.85
First Principal
Payment Date 18-Jan-2008 18-Jan.2008 18-Jan-2008 18-Jan-2008 18-Jan-2008
Last Principal
Payment Date 18-Jan-2008 18-Jan-2008 18-Jan-2008 18-Jan-2008 18-Jan-2008
</TABLE>
B-16
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class C Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------- ----------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.16 6.616% 7.06 6.616% 7.06 6.616% 7.06 6.616% 7.06 6.616% 7.06
99.20 6.598% 7.06 6.598% 7.06 6.598% 7.06 6.598% 7.06 6.598% 7.06
99.24 6.581% 7.06 6.581% 7.06 6.581% 7.06 6.581% 7.06 6.581% 7.06
99.28 6.563% 7.07 6.563% 7.07 6.563% 7.07 6.563% 7.06 6.563% 7.06
100.00 6.545% 7.07 6.545% 7.07 6.545% 7.07 6.545% 7.07 6.545% 7.07
100.04 6.528% 7.07 6.528% 7.07 6.528% 7.07 6.528% 7.07 6.528% 7.07
100.08 6.510% 7.07 6.510% 7.07 6.510% 7.07 6.510% 7.07 6.510% 7.07
100.12 6.493% 7.08 6.493% 7.08 6.493% 7.07 6.493% 7.07 6.493% 7.07
100.16 6.475% 7.08 6.475% 7.08 6.475% 7.08 6.475% 7.08 6.475% 7.08
100.20 6.458% 7.08 6.458% 7.08 6.458% 7.08 6.458% 7.08 6.458% 7.08
100.24 6.441% 7.08 6.441% 7.08 6.441% 7.08 6.441% 7.08 6.441% 7.08
100.28 6.423% 7.09 6.423% 7.09 6.423% 7.08 6.423% 7.08 6.423% 7.08
101.00 6.406% 7.09 6.406% 7.09 6.406% 7.09 6.406% 7.09 6.406% 7.09
Weighted Average
Life (yrs.) 9.90 9.90 9.90 9.89 9.89
First Principal
Payment Date 18-Jan-2008 18-Jan-2008 18-Jan-2008 18-Jan-2008 18-Jan-2008
Last Principal
Payment Date 18-Sep-2008 18-Sep-2008 18-Sep-2008 18-Aug-2008 18-Aug-2008
</TABLE>
B-17
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class D Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------- ----------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98.16 7.094% 8.10 7.094% 8.08 7.094% 8.06 7.095% 8.04 7.095% 8.02
98.24 7.063% 8.10 7.063% 8.08 7.063% 8.07 7.063% 8.05 7.064% 8.03
99.00 7.032% 8.11 7.032% 8.09 7.032% 8.07 7.032% 8.06 7.033% 8.03
99.08 7.001% 8.12 7.001% 8.10 7.001% 8.08 7.001% 8.07 7.001% 8.04
99.16 6.970% 8.12 6.970% 8.10 6.970% 8.09 6.970% 8.07 6.970% 8.05
99.24 6.939% 8.13 6.939% 8.11 6.939% 8.09 6.939% 8.08 6.939% 8.05
100.00 6.909% 8.14 6.909% 8.12 6.909% 8.10 6.909% 8.09 6.909% 8.06
100.08 6.879% 8.15 6.878% 8.13 6.878% 8.11 6.878% 8.09 6.878% 8.07
100.16 6.848% 8.15 6.848% 8.13 6.848% 8.11 6.848% 8.10 6.847% 8.07
100.24 6.818% 8.16 6.818% 8.14 6.817% 8.12 6.817% 8.11 8.817% 8.08
101.00 6.788% 8.17 6.787% 8.15 6.787% 8.13 6.787% 8.11 6.786% 8.09
101.08 6.758% 8.17 6.757% 8.15 6.757% 8.14 6.757% 8.12 6.756% 8.09
101.16 6.728% 8.18 6.727% 8.16 6.727% 8.14 6.726% 8.13 6.726% 8.10
Weighted Average
Life (yrs.) 12.59 12.53 12.49 12.45 12.39
First Principal
Payment Date 18-Sep-2008 18-Sep-2008 18-Sep-2008 18-Aug-2008 18-Aug-2008
Last Principal
Payment Date 18-Aug-2012 18-Jun-2012 18-Jun-2012 18-Jun-2012 18-Jun-2012
</TABLE>
B-18
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class E Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------- ----------------- ----------------- ----------------- ----------------- -----------------
CBE Modified CBE Modified CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.) (%) (yrs.)
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
97.08 7.380% 8.75 7.381% 8.73 7.381% 8.72 7.382% 8.71 7.382% 8.68
97.16 7.351% 8.76 7.352% 8.74 7.352% 8.73 7.352% 8.72 7.353% 8.69
97.24 7.322% 8.77 7.323% 8.75 7.323% 8.74 7.323% 8.72 7.324% 8.70
98.00 7.293% 8.77 7.294% 8.76 7.294% 8.75 7.294% 8.73 7.295% 8.71
98.08 7.264% 8.78 7.265% 8.77 7.265% 8.75 7.265% 8.74 7.266% 8.72
98.16 7.236% 8.79 7.236% 8.77 7.236% 8.76 7.236% 8.75 7.237% 8.73
98.24 7.207% 8.80 7.207% 8.78 7.208% 8.77 7.208% 8.76 7.208% 8.73
99.00 7.179% 8.81 7.179% 8.79 7.179% 8.78 7.179% 8.77 7.179% 8.74
99.08 7.150% 8.82 7.150% 8.80 7.150% 8.79 7.150% 8.78 7.151% 8.75
99.16 7.122% 8.83 7.122% 8.81 7.122% 8.80 7.122% 8.78 7.122% 8.76
99.24 7.094% 8.83 7.094% 8.82 7.094% 8.80 7.094% 8.79 7.094% 8.77
100.00 7.066% 8.84 7.066% 8.83 7.066% 8.81 7.065% 8.80 7.065% 8.78
100.08 7.038% 8.85 7.038% 8.83 7.037% 8.82 7.037% 8.81 7.037% 8.78
Weighted Average
Life (yrs.) 14.61 14.56 14.53 14.49 14.42
First Principal
Payment Date 18-Aug-2012 18-Jun-2012 18-Jun-2012 18-Jun-2012 18-Jun-2012
Last Principal
Payment Date 18-Nov-2012 18-Nov-2012 18-Oct-2012 18-Oct-2012 18-Oct-2012
</TABLE>
B-19
<PAGE>
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class IO Certificates
0% CPR during lockout, defeasance, YM or PP - otherwise at indicated CPR
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 10% CPR 20% CPR 30% CPR 50% CPR
- - ------------- ----------------- ----------------- ----------------- ----------------- -----------------
CBE CBE CBE CBE CBE
Yield Yield Yield Yield Yield
(%) (%) (%) (%) (%)
--- --- --- --- ---
<S> <C> <C> <C> <C> <C>
7.12 9.223% 9.194% 9.169% 9.146% 9.098%
7.14 9.021% 8.991% 8.966% 8.942% 8.894%
7.16 8.821% 8.791% 8.765% 8.742% 8.694%
7.18 8.624% 8.593% 8.568% 8.544% 8.496%
7.20 8.430% 8.399% 8.373% 8.349% 8.300%
7.22 8.238% 8.207% 8.181% 8.157% 8.108%
7.24 8.049% 8.017% 7.991% 7.967% 7.918%
7.26 7.863% 7.831% 7.804% 7.780% 7.730%
7.28 7.679% 7.646% 7.619% 7.595% 7.545%
7.30 7.498% 7.464% 7.437% 7.412% 7.363%
8.00 7.318% 7.285% 7.257% 7.232% 7.182%
8.02 7.142% 7.108% 7.080% 7.055% 7.004%
8.04 6.967% 6.933% 6.905% 6.879% 6.829%
Weighted Average
Life (yrs.) 9.63 9.60 9.58 9.56 9.53
First Principal
Payment Date 18-Mar-98 18-Mar-98 18-Mar-98 18-Mar-98 18-Mar-98
Last Principal
Payment Date 18-Feb-2028 18-Feb-2028 18-Feb-2028 18-Feb-2028 18-Feb-2028
</TABLE>
B-20
