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Filed Pursuant to Rule 424(b)(5)
Registration File No.: 333-31070
PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED SEPTEMBER 11, 2000)
[GRAPHIC OMITTED]
[GRAPHIC OMITTED]
LB-UBS COMMERCIAL MORTGAGE TRUST 2000-C4
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2000-C4
CLASS A-1, CLASS A-2, CLASS B, CLASS C, CLASS D,
CLASS E, CLASS F AND CLASS G
APPROXIMATE TOTAL PRINCIPAL BALANCE AT INITIAL ISSUANCE: $921,633,000
We, Structured Asset Securities Corporation, have prepared this prospectus
supplement in order to offer the classes of commercial mortgage pass-through
certificates identified above. These certificates are the only securities
offered by this prospectus supplement. This prospectus supplement specifically
relates to, and is accompanied by, our prospectus dated September 11, 2000. We
will not list the offered certificates on any national securities exchange or
any automated quotation system of any registered securities associations, such
as NASDAQ.
The offered certificates will represent interests only in the trust
identified above. They will not represent interests in or obligations of any
other party. The assets of the trust will include a pool of multifamily and
commercial mortgage loans. The initial mortgage pool balance that we expect to
transfer to the trust will be approximately $999,060,409. No governmental
agency or instrumentality or private insurer has insured or guaranteed the
offered certificates or any of the mortgage loans that back them.
Each class of offered certificates will receive, to the extent of
available funds, monthly distributions of interest, principal or both,
commencing in October 2000. The table on page S-6 of this prospectus supplement
contains a list of the classes of offered certificates and states the principal
balance, initial interest rate, interest rate description, and other select
characteristics of each class. Credit enhancement is being provided through the
subordination of various non-offered classes of series 2000-C4 certificates.
That same table on page S-6 of this prospectus supplement also contains a list
of the non-offered classes of the series 2000-C4 certificates.
---------------
YOU SHOULD FULLY CONSIDER THE RISK FACTORS BEGINNING ON PAGE S-27 IN THIS
PROSPECTUS SUPPLEMENT AND ON PAGE 12 IN THE ACCOMPANYING PROSPECTUS PRIOR TO
INVESTING IN THE OFFERED CERTIFICATES.
NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE
ADEQUACY OR ACCURACY OF THIS PROSPECTUS SUPPLEMENT OR THE ACCOMPANYING
PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
---------------
Lehman Brothers Inc., UBS Warburg LLC and Deutsche Bank Securities Inc.
are the underwriters for this offering. They will purchase their respective
allocations of the offered certificates from us, subject to the satisfaction of
specified conditions. Our proceeds from the sale of the offered certificates
will equal approximately 100.20027% of the total initial principal balance of
the offered certificates, plus accrued interest, before deducting expenses
payable by us. Each underwriter's commission will be the difference between the
price it pays to us for its allocation of the offered certificates and the
amount it receives from the sale of those offered certificates to the public.
The underwriters currently intend to sell the offered certificates at varying
prices to be determined at the time of sale. See "Method of Distribution" in
this prospectus supplement.
With respect to this offering, Lehman Brothers Inc. is acting as lead
manager and sole bookrunner, UBS Warburg LLC is acting as a co-lead manager,
and Deutsche Bank Securities Inc. is acting as a co-manager.
LEHMAN BROTHERS UBS WARBURG LLC
DEUTSCHE BANC ALEX. BROWN
The date of this prospectus supplement is September 21, 2000.
<PAGE>
LB-UBS COMMERCIAL MORTGAGE TRUST 2000-C4
Commrecial Mortgage Pass-Through Certificates, Series 2000-C4
WASHINGTON UTAH MISSOURI ILLINOIS
1 property 2 properties 2 properties 1 property
$5,792,342 $11,990,800 $16,204,532 $5,013,091
0.58% of total 1.20% of total 1.62% of total 0.50% of total
INDIANA MICHIGAN OHIO PENNSYLVANIA
5 properties 4 properties 3 properties 12 properties
$23,337,962 $9,682,796 $20,661,351 $47,186,093
2.34% of total 0.97% of total 2.07% of total 4.72% of total
VERMONT MASSACHUSETTS CONNECTICUT NEW YORK
1 property 11 properties 4 properties 17 properties
$397,750 $18,936,251 $9,612,768 $192,111,731
0.04% of total 1.90% of total 0.96% of total 19.23% of total
NEW JERSEY MARYLAND VIRGINIA NORTH CAROLINA
8 properties 1 property 8 properties 8 properties
$27,085,423 $15,560,266 $65,670,064 $31,251,408
2.71% of total 1.56% of total 6.57% of total 3.13% of total
TENNESSEE GEORGIA SOUTH CAROLINA FLORIDA
3 properties 10 properties 2 properties 21 properties
$47,388,093 $43,438,281 $13,058,080 $102,045,075
4.74% of total 4.35% of total 1.31% of total 10.21% of total
FLORIDA ALABAMA ARKANSAS OKLAHOMA
21 properties 1 property 1 property 7 properties
$102,045,075 $2,468,604 $4,479,616 $19,013,782
10.21% of total 0.25% of total 0.45% of total 1.90% of total
TEXAS NEW MEXICO COLORADO ARIZONA
20 properties 1 property 1 property 9 properties
$92,182,639 $3,177,075 $5,069,776 $21,067,089
9.23% of total 0.32% of total 0.51% of total 2.11% of total
CALIFORNIA
17 properties
$145,177,671
14.53% of total
DISTRIBUTION OF PROPERTY TYPES
Mobile Home Park 1.47%
CTL 2.11%
Hotel 4.53%
Industrial/Warehouse 5.29%
Office 19.93%
Mixed Use 1.34%
Self-Storage 0.81%
Healthcare 0.31%
Retail 39.43%
Multifamily 24.78%
(greater than) 10.00% of Initial Pool Balance
5.01-10.00% of Initial Pool Balance
1.01-5.00% of Initial Pool Balance
(less than) 1.00% of Initial Pool Balance
<PAGE>
-----------------
IMPORTANT NOTICE ABOUT THE INFORMATION CONTAINED IN THIS PROSPECTUS SUPPLEMENT,
THE ACCOMPANYING PROSPECTUS AND THE RELATED REGISTRATION STATEMENT
Information about the offered certificates is contained in two separate
documents:
o this prospectus supplement, which describes the specific terms of the
offered certificates; and
o the accompanying prospectus, which provides general information, some
of which may not apply to the offered certificates.
You should read both this prospectus supplement and the accompanying
prospectus in full to obtain material information concerning the offered
certificates.
In addition, we have filed with the Securities and Exchange Commission a
registration statement under the Securities Act of 1933, as amended, with
respect to the offered certificates. This prospectus supplement and the
accompanying prospectus form a part of that registration statement. However,
this prospectus supplement and the accompanying prospectus do not contain all
of the information contained in our registration statement. For further
information regarding the documents referred to in this prospectus supplement
and the accompanying prospectus, you should refer to our registration statement
and the exhibits to it. Our registration statement and the exhibits to it can
be inspected and copied at prescribed rates at the public reference facilities
maintained by the SEC at its public reference section, 450 Fifth Street, N.W.,
Washington, D.C. 20549, and at its regional offices located at: Chicago
regional office, Citicorp Center, 500 West Madison Street, Chicago, Illinois
60661; and New York regional office, Seven World Trade Center, New York, New
York 10048. Copies of these materials can also be obtained electronically
through the SEC's internet web site (http:\\www.sec.gov).
You should only rely on the information contained in this prospectus
supplement, the accompanying prospectus and our registration statement. We have
not authorized any person to give any other information or to make any
representation that is different from the information contained in this
prospectus supplement, the accompanying prospectus or our registration
statement.
S-3
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TABLE OF CONTENTS
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PAGE
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<S> <C>
PROSPECTUS SUPPLEMENT
Important Notice About the Information Contained in this Prospectus Supplement, the
Accompanying
Prospectus and the Related Registration Statement ....................................... S-3
Summary of Prospectus Supplement ......................................................... S-6
Risk Factors ............................................................................. S-27
Capitalized Terms Used in this Prospectus Supplement ..................................... S-34
Forward-Looking Statements ............................................................... S-34
Description of the Mortgage Pool ......................................................... S-35
Servicing of the Underlying Mortgage Loans ............................................... S-59
Description of the Offered Certificates .................................................. S-79
Yield and Maturity Considerations ........................................................ S-97
Use of Proceeds .......................................................................... S-101
Federal Income Tax Consequences .......................................................... S-101
ERISA Considerations ..................................................................... S-104
Legal Investment ......................................................................... S-107
Method of Distribution ................................................................... S-107
Legal Matters ............................................................................ S-108
Ratings .................................................................................. S-109
Glossary ................................................................................. S-110
ANNEX A-1--Certain Characteristics of the Underlying Mortgage Loans ...................... A-1-1
ANNEX A-2--Certain Monetary Terms of the Underlying Mortgage Loans ....................... A-2-1
ANNEX A-3--Certain Information Regarding Reserves ........................................ A-3-1
ANNEX B--Certain Information Regarding Multifamily Properties ............................ B-1
ANNEX C-1--Price/Yield Tables ............................................................ C-1-1
ANNEX C-2--Decrement Tables .............................................................. C-2-1
ANNEX D--Form of Delinquent Loan Status Report ........................................... D-1
ANNEX E--Form of Historical Loan Modification Report ..................................... E-1
ANNEX F--Form of Historical Liquidation Report ........................................... F-1
ANNEX G--Form of REO Status Report ....................................................... G-1
ANNEX H--Form of Servicer Watch List ..................................................... H-1
ANNEX I--Form of Operating Statement Analysis Report ..................................... I-1
ANNEX J--Form of NOI Adjustment Worksheet ................................................ J-1
ANNEX K--Form of Loan Payment Notification Report ........................................ K-1
ANNEX L--Form of Comparative Financial Status Report ..................................... L-1
PROSPECTUS
Important Notice About the Information Presented in this Prospectus ...................... 3
Available Information; Incorporation by Reference ........................................ 3
Summary of Prospectus .................................................................... 4
Risk Factors ............................................................................. 12
Capitalized Terms Used in this Prospectus ................................................ 29
Description of the Trust Assets .......................................................... 29
Yield and Maturity Considerations ........................................................ 51
Structured Asset Securities Corporation .................................................. 56
Description of the Certificates .......................................................... 57
Description of the Governing Documents ................................................... 66
Description of Credit Support ............................................................ 74
</TABLE>
S-4
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<TABLE>
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PAGE
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<S> <C>
Legal Aspects of Mortgage Loans ........................................................... 76
Federal Income Tax Consequences ........................................................... 87
State and Other Tax Consequences .......................................................... 125
ERISA Considerations ...................................................................... 125
Legal Investment .......................................................................... 129
Use of Proceeds ........................................................................... 130
Method of Distribution .................................................................... 130
Legal Matters ............................................................................. 132
Financial Information ..................................................................... 132
Rating .................................................................................... 132
Glossary .................................................................................. 133
</TABLE>
S-5
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SUMMARY OF PROSPECTUS SUPPLEMENT
This summary contains selected information regarding the offering being
made by this prospectus supplement. It does not contain all of the information
you need to consider in making your investment decision. TO UNDERSTAND ALL OF
THE TERMS OF THE OFFERING OF THE OFFERED CERTIFICATES, YOU SHOULD READ
CAREFULLY THIS PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS IN FULL.
INTRODUCTION TO THE TRANSACTION
The offered certificates will be part of a series of commercial mortgage
pass-through certificates designated as the Series 2000-C4 Commercial Mortgage
Pass-Through Certificates and consisting of multiple classes. The table below
identifies the respective classes of that series, specifies various
characteristics of each of those classes and indicates which of those classes
are offered by this prospectus supplement and which are not.
SERIES 2000-C4 COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
<TABLE>
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APPROX.
APPROX. TOTAL
TOTAL APPROX. % CREDIT
PRINCIPAL OF INITIAL SUPPORT AT
BALANCE AT MORTGAGE INITIAL
CLASS INITIAL ISSUANCE POOL BALANCE ISSUANCE
-------------- ------------------ -------------- ------------
<S> <C> <C> <C>
Offered Certificates
A-1 .......... $170,000,000 17.016% 21.00%
A-2 .......... $619,257,000 61.984% 21.00%
B ............ $ 42,460,000 4.250% 16.75%
C ............ $ 39,963,000 4.000% 12.75%
D ............ $ 12,488,000 1.250% 11.50%
E ............ $ 7,493,000 0.750% 10.75%
F ............ $ 17,483,000 1.750% 9.00%
G ............ $ 12,489,000 1.250% 7.75%
Non-Offered Certificates
X ............ N/A N/A N/A
H ............ $ 22,479,000 2.250% N/A
J ............ $ 12,488,000 1.250% N/A
K ............ $ 7,493,000 0.750% N/A
L ............ $ 7,493,000 0.750% N/A
M ............ $ 9,990,000 1.000% N/A
N ............ $ 4,996,000 0.500% N/A
P ............ $ 12,488,409 1.250% N/A
R-I .......... N/A N/A N/A
R-II ......... N/A N/A N/A
R-III ........ N/A N/A N/A
<CAPTION>
APPROXIMATE
PASS-THROUGH INITIAL WEIGHTED MOODY'S/
RATE PASS-THROUGH AVERAGE PRINCIPAL S&P
CLASS DESCRIPTION RATE LIFE (YEARS) WINDOW RATINGS
-------------- -------------- -------------- -------------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Offered
Certificates
A-1 .......... Fixed 7.18% 5.87 10/00-09/09 Aaa/AAA
A-2 .......... Fixed 7.37% 9.45 09/09-06/10 Aaa/AAA
B ............ Fixed 7.48% 9.71 06/10-06/10 Aa2/AA
C ............ Fixed 7.61% 9.71 06/10-06/10 A2/A
D ............ Fixed 7.70% 9.71 06/10-06/10 A3/A--
E ............ Fixed 7.97% 9.75 06/10-07/10 Baa1/BBB+
F ............ Fixed 8.07% 9.80 07/10-07/10 Baa2/BBB
G ............ Fixed 8.15% 9.80 07/10-07/10 Baa3/BBB--
Non-Offered
Certificates
X ............ Variable IO 0.99% N/A N/A N/A
H ............ Fixed 6.89% N/A N/A N/A
J ............ Fixed 6.89% N/A N/A N/A
K ............ Fixed 6.89% N/A N/A N/A
L ............ Fixed 6.89% N/A N/A N/A
M ............ Fixed 6.89% N/A N/A N/A
N ............ Fixed 6.89% N/A N/A N/A
P ............ Fixed 6.89% N/A N/A N/A
R-I .......... N/A N/A N/A N/A N/A
R-II ......... N/A N/A N/A N/A N/A
R-III ........ N/A N/A N/A N/A N/A
</TABLE>
The offered certificates will evidence beneficial ownership interests in a
common law trust designated as the LB-UBS Commercial Mortgage Trust 2000-C4. We
will form the trust at or prior to the time of initial issuance of the offered
certificates. The assets of the trust will include a pool of multifamily and
commercial mortgage loans having the characteristics described in this
prospectus supplement.
The governing document for purposes of issuing the offered certificates
and forming the trust will be a pooling and servicing agreement to be dated as
of September 11, 2000. The pooling and servicing agreement will also govern the
servicing and administration of the mortgage loans and the other assets that
back the offered certificates. The parties to the pooling and servicing
agreement will include us, a trustee, a fiscal agent, a master servicer and a
special servicer. A copy of the pooling and servicing agreement will be filed
with the SEC as an exhibit to a current report on Form 8-K, within 15 days
after the initial issuance of the offered certificates. The SEC will make that
current report on Form 8-K and its exhibits available to the public for
inspection.
S-6
<PAGE>
KEY CERTIFICATE FEATURES SHOWN IN THE TABLE ABOVE
A. TOTAL PRINCIPAL
BALANCE OR NOTIONAL
AMOUNT AT INITIAL
ISSUANCE ............ The table above identifies for each class of the
series 2000-C4 certificates the approximate total
principal balance, if any, of that class at initial
issuance. The actual total principal balance of any
class of series 2000-C4 certificates at initial
issuance may be larger or smaller than the amount
shown above, depending on the actual size of the
initial mortgage pool balance. The actual size of the
initial mortgage pool balance may be as much as 5%
larger or smaller than the amount presented in this
prospectus supplement.
As shown in the table above, the class A-1, A-2, B,
C, D, E, F, G, H, J, K, L, M, N and P certificates
are the only series 2000-C4 certificates with
principal balances. The principal balance of any of
those certificates at any time represents the maximum
amount that the holder may receive as principal out
of cashflow received on or with respect to the
underlying mortgage loans.
The class X certificates do not have principal
balances. They are interest-only certificates. For
purposes of calculating the amount of accrued
interest with respect to the class X certificates,
however, they will have a total notional amount equal
to the total principal balance of the class A-1, A-2,
B, C, D, E, F, G, H, J, K, L, M, N and P certificates
outstanding from time to time. The total initial
notional amount of the class X certificates will be
approximately $999,060,409, although it may be as
much as 5% larger or smaller.
The class R-I, R-II and R-III certificates do not
have principal balances or notional amounts. They are
residual interest certificates. The holders of the
class R-I, R-II and R-III certificates are not
expected to receive any material payments.
B. TOTAL CREDIT SUPPORT
AT INITIAL ISSUANCE.. The respective classes of the series 2000-C4
certificates entitle their holders to varying degrees
of seniority for purposes of--
o receiving payments of interest and, if and when
applicable, payments of principal, and
o bearing the effects of losses on the underlying
mortgage loans, as well as default-related and
other unanticipated expenses of the trust.
The class A-1, A-2 and X certificates are the most
senior. The class R-I, R-II and R-III certificates
are the most subordinate, but they do not provide any
credit support to the other series 2000-C4
certificates. The remaining classes of series 2000-C4
certificates are listed from top to bottom in
descending order of seniority. The table above shows
the approximate total credit support provided to each
class of the offered certificates through the
subordination of other classes of the series 2000-C4
certificates. In the case of each class of offered
certificates, the credit support shown in the table
above represents the total initial principal balance,
expressed as a percentage of the initial mortgage
pool balance, of all classes of the series 2000-C4
certificates that are subordinate to the indicated
class.
C. PASS-THROUGH RATE.... Each class of the series 2000-C4 certificates, other
than the class R-I, R-II and R-III certificates, will
bear interest. The table above provides the indicated
information
S-7
<PAGE>
regarding the pass-through rate at which each of the
interest-bearing classes of the series 2000-C4
certificates will accrue interest.
The pass-through rate for each interest-bearing class
of series 2000-C4 certificates, other than the Class
X certificates, is fixed at the rate per annum
identified in the table above as its initial
pass-through rate.
The pass-through rate for the class X certificates
will equal the weighted average of the class X strip
rates for each of the other interest-bearing classes
of series 2000-C4 certificates. In the case of each
of those other interest-bearing classes of series
2000-C4 certificates, the class X strip rate will
equal the excess, if any, of--
o a weighted average coupon derived from net
interest rates on the pooled mortgage loans, over
o the fixed pass-through rate for the particular
interest-bearing class of series 2000-C4
certificates.
D. WEIGHTED AVERAGE LIFE
AND PRINCIPAL
WINDOW .............. The weighted average life of any class of offered
certificates refers to the average amount of time that
will elapse from the date of initial issuance until
each dollar to be applied in reduction of the total
principal balance of those certificates is paid to the
investor. The principal window for any class of
offered certificates is the period during which the
holders of that class of offered certificates will
receive payments of principal. The weighted average
life and principal window shown in the table above for
each class of offered certificates were calculated
based on the following assumptions with respect to
each underlying mortgage loan--
o the related borrower timely makes all payments on
the mortgage loan,
o if the mortgage loan has an anticipated repayment
date, as described under "--The Underlying Mortgage
Loans and the Mortgaged Real Properties" below,
the mortgage loan will be paid in full on that
date, and
o that mortgage loan will not otherwise be prepaid
prior to stated maturity.
The weighted average life and principal window shown
in the table above for each class of offered
certificates were further calculated based on the
other maturity assumptions referred to under "Yield
and Maturity Considerations" in, and set forth in the
glossary to, this prospectus supplement.
E. RATINGS.............. The ratings shown in the table above for the offered
certificates are those of Moody's Investors Services,
Inc. and Standard & Poor's Ratings Service, a division
of The McGraw-Hill Companies, Inc., respectively. It
is a condition to their issuance that the respective
classes of the offered certificates receive credit
ratings no lower than those shown in the table above.
The ratings of the offered certificates address the
timely payment of interest and the ultimate payment
of principal on or before the payment date in
September 2019 in the case of the class A-1
certificates, the payment date in August 2026 in the
case of the class A-2 certificates, and the payment
date in July 2032 in the case of the other classes of
offered certificates, which date in each case is the
rated final payment date. A security rating is not a
recommendation to buy, sell or hold securities and
the assigning rating agency may revise or withdraw
its rating at any time.
For a description of the limitations of the ratings
of the offered certificates, see "Ratings" in this
prospectus supplement.
S-8
<PAGE>
RELEVANT PARTIES
WHO WE ARE............. Our name is Structured Asset Securities Corporation.
We are a special purpose Delaware corporation. Our
address is 200 Vesey Street, New York, New York 10285
and our telephone number is (212) 526-7000. See
"Structured Asset Securities Corporation" in the
accompanying prospectus.
INITIAL TRUSTEE........ LaSalle Bank National Association, a nationally
chartered bank, will act as the initial trustee on
behalf of all the series 2000-C4 certificateholders.
See "Description of the Offered Certificates--The
Trustee" in this prospectus supplement. The trustee
will also have, or be responsible for appointing an
agent to perform, additional duties with respect to
tax administration.
INITIAL FISCAL AGENT... ABN AMRO Bank N.V., a Netherlands banking
corporation, will act as the initial fiscal agent with
respect to the trustee. See "Description of the
Offered Certificates--The Fiscal Agent" in this
prospectus supplement.
INITIAL MASTER SERVICER
AND INITIAL SPECIAL
SERVICER.............. ORIX Real Estate Capital Markets, LLC, a Delaware
limited liability company, will act as the initial
master servicer and the initial special servicer with
respect to the pooled mortgage loans. See "Servicing
of the Underlying Mortgage Loans--The Initial Master
Servicer and the Initial Special Servicer" in this
prospectus supplement.
CONTROLLING CLASS
OF CERTIFICATEHOLDERS.. The holders of certificates representing a majority
interest in a designated controlling class of the
series 2000-C4 certificates will have the right,
subject to the conditions described under "Servicing
of the Underlying Mortgage Loans--The Controlling
Class Representative" and "--Replacement of the
Special Servicer" in this prospectus supplement, to--
o replace the special servicer, and
o select a representative that may direct and advise
the special servicer on various servicing matters.
Unless there are significant losses on the underlying
mortgage loans, the controlling class of series
2000-C4 certificateholders will be the holders of a
non-offered class of series 2000-C4 certificates.
UNDERWRITERS........... Lehman Brothers Inc., UBS Warburg LLC and Deutsche
Bank Securities Inc. are the underwriters of this
offering. With respect to this offering--
o Lehman Brothers Inc. is acting as lead manager and
sole bookrunner,
o UBS Warburg LLC is acting as a co-lead manager,
and
o Deutsche Bank Securities Inc. is acting as a
co-manager.
Lehman Brothers Inc. is our affiliate and an
affiliate of one of the mortgage loan sellers. UBS
Warburg LLC is an affiliate of the other mortgage
loan seller. See "Method of Distribution" in this
prospectus supplement.
S-9
<PAGE>
RELEVANT DATES AND PERIODS
CUT-OFF DATE........... The pooled mortgage loans will be considered part of
the trust as of a cut-off date of September 11, 2000.
All payments and collections received on the
underlying mortgage loans after that date, excluding
any payments or collections that represent amounts due
on or before that date, will belong to the trust.
Accordingly, September 11, 2000 is the date as of
which we present much of the information relating to
the underlying mortgage loans and the mortgaged real
properties for those loans in this prospectus
supplement.
ISSUE DATE............. The date of initial issuance for the offered
certificates will be on or about September 28, 2000.
PAYMENT DATE........... Payments on the offered certificates are scheduled
to occur monthly, commencing in October 2000. During
any given month, the payment date will be the fourth
business day following the 11th calendar day of that
month or, if that 11th calendar day is not a business
day, then the fifth business day following that 11th
calendar day.
RECORD DATE............ The record date for each monthly payment on an
offered certificate will be the last business day of
the prior calendar month. The registered holders of
the offered certificates at the close of business on
each record date will be entitled to receive any
payments on those certificates on the following
payment date.
COLLECTION PERIOD...... Amounts available for payment on the offered
certificates on any payment date will depend on the
payments and other collections received, and any
advances of payments due, on the underlying mortgage
loans during the related collection period. Each
collection period--
o will relate to a particular payment date,
o will be approximately one month long,
o will begin immediately after the prior collection
period ends or, in the case of the first collection
period, will begin on September 12, 2000, and
o will end on the 11th day of the same calendar
month as the related payment date or, if that
11th day is not a business day, the following
business day.
INTEREST ACCRUAL
PERIOD................. The amount of interest payable with respect to the
offered certificates on any payment date will be a
function of the interest accrued during the related
interest accrual period. The interest accrual period
for any payment date will be the period commencing on
the 11th day of the month preceding the month in which
that payment date occurs and ending on the 10th day of
the month in which that payment date occurs.
RATED FINAL
PAYMENT DATE............. The rated final payment dates for the respective
classes of the offered certificates are as follows:
o for the class A-1 certificates, the payment date
in September 2019;
o for the class A-2 certificates, the payment date
in August 2026; and
o for the class B, C, D, E, F and G certificates,
the payment date in July 2032.
S-10
<PAGE>
As discussed in this prospectus supplement, the
ratings assigned to the offered certificates will
represent the likelihood of--
o timely receipt by the holders of all interest to
which they are entitled on each payment date, and
o the ultimate receipt by the holders of all
principal to which they are entitled, by the
related rated final payment date.
ASSUMED FINAL
PAYMENT DATE........... With respect to any class of offered certificates, the
assumed final payment date is the payment date on
which the holders of those certificates would be
expected to receive their last payment and the total
principal balance of those certificates would be
expected to be reduced to zero, based upon--
o the assumption that each borrower timely makes all
payments on its pooled mortgage loan;
o the assumption that each pooled mortgage loan with
an anticipated repayment date is paid in full on
that date;
o the assumption that no borrower otherwise prepays
its pooled mortgage loan prior to stated maturity;
and
o the other modeling assumptions referred to under
"Yield and Maturity Considerations" in, and set
forth in the glossary to, this prospectus
supplement.
Accordingly, the assumed final payment date for each
class of offered certificates is the payment date in
the calendar month and year set forth below for that
class:
<TABLE>
<CAPTION>
MONTH AND YEAR OF
ASSUMED FINAL
CLASS PAYMENT DATE
--------------- ------------------
<S> <C>
A-1 ......... September, 2009
A-2 ......... June, 2010
B ........... June, 2010
C ........... June, 2010
D ........... June, 2010
E ........... July, 2010
F ........... July, 2010
G ........... July, 2010
</TABLE>
DESCRIPTION OF THE OFFERED CERTIFICATES
REGISTRATION AND
DENOMINATIONS......... We intend to deliver the offered certificates in
book-entry form in original denominations of $10,000
initial principal balance and in any greater whole
dollar denominations.
You will initially hold your offered certificates
through The Depository Trust Company. As a result,
you will not receive a fully registered physical
certificate representing your interest in any offered
certificate, except under the limited circumstances
described under "Description of the Offered
Certificates--Registration and Denominations" in this
prospectus supplement and under "Description of the
Certificates--Book-Entry Registration" in the
accompanying prospectus. We may elect to terminate
the book-entry system through DTC with respect to all
or any portion of any class of offered certificates.
S-11
<PAGE>
PAYMENTS
A. GENERAL............ The trustee will make payments of interest and
principal to the respective classes of series 2000-C4
certificateholders entitled to those payments,
sequentially as follows:
<TABLE>
<CAPTION>
PAYMENT ORDER CLASS
----------------- ---------------
<S> <C>
1st ........... A-1, A-2 and X
2nd ........... B
3rd ........... C
4th ........... D
5th ........... E
6th ........... F
7th ........... G
8th ........... H
9th ........... J
10th .......... K
11th .......... L
12th .......... M
13th .......... N
14th .......... P
</TABLE>
Allocation of interest payments among the class A-1,
A-2 and X certificates is pro rata based on the
respective amounts of interest payable on each of
those classes. Allocation of principal payments
between the class A-1 and A-2 certificates is
described under "--Payments--Payments of Principal"
below. The class X certificates do not have principal
balances and do not entitle the class X
certificateholders to payments of principal.
See "Description of the Offered
Certificates--Payments--Priority of Payments" in this
prospectus supplement.
B. PAYMENTS
OF INTEREST............ Each class of series 2000-C4 certificates, other than
the class R-I, R-II and R-III certificates, will bear
interest. In each case, that interest will accrue
during each interest accrual period based upon--
o the pass-through rate applicable for the
particular class for that interest accrual period,
o the total principal balance or notional amount, as
the case may be, of the particular class
outstanding immediately prior to the related
payment date, and
o the assumption that each year consists of twelve
30-day months.
A whole or partial prepayment on an underlying
mortgage loan may not be accompanied by the amount of
one full month's interest on the prepayment. As and
to the extent described under "Description of the
Offered Certificates--Payments--Payments of Interest"
in this prospectus supplement, these shortfalls may
be allocated to reduce the amount of accrued interest
otherwise payable to the holders of all of the
interest-bearing classes of the series 2000-C4
certificates, including the offered certificates, on
a pro rata basis in accordance with the respective
amount of interest otherwise payable on those classes
for the corresponding interest accrual period.
On each payment date, subject to available funds and
the payment priorities described under
"--Payments--General" above, you will be entitled to
receive your proportionate share of all unpaid
distributable interest accrued with respect to
S-12
<PAGE>
your class of offered certificates through the end of
the related interest accrual period.
See "Description of the Offered
Certificates--Payments--Payments of Interest" and
"--Payments--Priority of Payments" in this prospectus
supplement.
C. PAYMENTS OF
PRINCIPAL........... Subject to available funds and the payment priorities
described under "--Payments--General" above, the
holders of each class of offered certificates will be
entitled to receive a total amount of principal over
time equal to the total principal balance of their
particular class. The trustee must make payments of
principal in a specified sequential order to ensure
that--
o no payments of principal will be made to the
holders of any non-offered class of series 2000-C4
certificates until the total principal balance of
the offered certificates is reduced to zero,
o no payments of principal will be made to the
holders of the class B, C, D, E, F or G
certificates until, in the case of each of those
classes, the total principal balance of all more
senior classes of offered certificates is reduced
to zero, and
o except as described in the following paragraph, no
payments of principal will be made to the holders
of the class A-2 certificates until the total
principal balance of the class A-1 certificates is
reduced to zero.
Because of losses on the underlying mortgage loans
and/or default-related or other unanticipated
expenses of the trust, the total principal balance of
the class B, C, D, E, F, G, H, J, K, L, M, N and P
certificates could be reduced to zero at a time when
the class A-1 and A-2 certificates remain
outstanding. Under those circumstances, any payments
of principal on the class A-1 and A-2 certificates
will be made on a pro rata basis in accordance with
their respective principal balances.
The class X, R-I, R-II and R-III certificates do not
have principal balances and do not entitle their
holders to payments of principal.
The total payments of principal to be made on the
series 2000-C4 certificates on any payment date will
be a function of--
o the amount of scheduled payments of principal due
or, in some cases, deemed due on the underlying
mortgage loans during the related collection
period, which payments are either received as of
the end of that collection period or advanced by
the master servicer, and
o the amount of any prepayments and other
unscheduled collections of previously unadvanced
principal with respect to the underlying mortgage
loans that are received during the related
collection period.
See "Description of the Offered
Certificates--Payments--Payments of Principal" and
"--Payments--Priority of Payments" in this prospectus
supplement.
D. PAYMENTS OF PREPAYMENT
PREMIUMS AND YIELD
MAINTENANCE
CHARGES............. If any prepayment premium or yield maintenance charge
is collected on any of the pooled mortgage loans, then
the trustee will pay that amount in the proportions
described under "Description of the Offered
Certificates--Payments--Payments of Prepayment
Premiums and Yield Maintenance Charges" in this
prospectus supplement, to--
o the holders of the class X certificates, and/or
S-13
<PAGE>
o the holders of any other class or classes of
certificates senior to the class J certificates,
that are then entitled to receive payments of
principal.
REDUCTIONS OF CERTIFICATE
PRINCIPAL BALANCES IN
CONNECTION WITH LOSSES
ON THE UNDERLYING
MORTGAGE LOANS AND
DEFAULT-RELATED AND
OTHER UNANTICIPATED
EXPENSES................ Because of losses on the underlying mortgage
loans and/or default-related and other unanticipated
expenses of the trust, the total principal balance of
the mortgage pool, net of advances of principal, may
fall below the total principal balance of the series
2000-C4 certificates. If and to the extent that those
losses and expenses cause a deficit to exist following
the payments made on the series 2000-C4 certificates
on any payment date, the total principal balances of
the following classes of series 2000-C4 certificates
will be successively reduced in the following order,
until that deficit is eliminated:
<TABLE>
<CAPTION>
REDUCTION ORDER CLASS
----------------- ------------
<S> <C>
1st ........... P
2nd ........... N
3rd ........... M
4th ........... L
5th ........... K
6th ........... J
7th ........... H
8th ........... G
9th ........... F
10th .......... E
11th .......... D
12th .......... C
13th .......... B
14th .......... A-1 and A-2
</TABLE>
Any reduction to the total principal balances of the
class A-1 and class A-2 certificates will be made on
a pro rata basis in accordance with the relative
sizes of those principal balances.
See "Description of the Offered
Certificates--Reductions of Certificate Principal
Balances in Connection With Realized Losses and
Additional Trust Fund Expenses" in this prospectus
supplement.
ADVANCES OF DELINQUENT
MONTHLY DEBT SERVICE
PAYMENTS............... Except as described below in this "--Advances of
Delinquent Monthly Debt Service Payments" subsection,
the master servicer will be required to make advances
with respect to any delinquent monthly debt service
payments, other than balloon payments, due on the
pooled mortgage loans. In addition, the trustee must
make any of those advances that the master servicer is
required, but fails, to make, and the fiscal agent
must make any of those advances that the trustee is
required, but fails, to make. As described under
"Description of the Offered Certificates--Advances of
Delinquent Monthly Debt Service Payments" in this
prospectus supplement, any party that makes an
advance will be entitled to be reimbursed for the
advance, together with interest at the prime rate
described in that section of this prospectus
supplement.
S-14
<PAGE>
Notwithstanding the foregoing, none of the master
servicer, the trustee or the fiscal agent will be
required to make any advance that it determines, in
its good faith and reasonable judgment, will not be
recoverable from proceeds of the related mortgage
loan.
In addition, if any of the adverse events or
circumstances that we refer to under "Servicing of
the Underlying Mortgage Loans--Required Appraisals"
in, and identify in the glossary to, this prospectus
supplement, occur or exist with respect to any pooled
mortgage loan or the mortgaged real property for that
mortgage loan, the special servicer will be obligated
to obtain a new appraisal or, in some cases involving
relatively small principal balances, conduct a
valuation estimate of that property. If, based on
that appraisal or other valuation, it is determined
that--
o the principal balance of, and other delinquent
amounts due under, the mortgage loan, exceed
o an amount equal to--
1. 90% of the new estimated value of that real
property, minus
2. the amount of any obligations secured by liens on
the property, which liens are prior to the lien
of the mortgage loan, and the amount of estimated
liquidation expenses, plus
3. escrows and reserves and any letter of credit
constituting additional security for the mortgage
loan,
then the amount otherwise required to be advanced
with respect to interest on that mortgage loan will
be reduced. The reduction will be in the same
proportion that the excess bears to the principal
balance of the mortgage loan, net of related advances
of principal. Due to the payment priorities, any
reduction in advances will reduce the funds available
to pay interest on the most subordinate
interest-bearing class of series 2000-C4 certificates
then outstanding.
See "Description of the Offered Certificates--Advances
of Delinquent Monthly Debt Service Payments" and
"Servicing of the Underlying Mortgage Loans--Required
Appraisals" in this prospectus supplement. See also
"Description of the Certificates--Advances" in the
accompanying prospectus.
REPORTS TO
CERTIFICATEHOLDERS..... On each payment date, the following reports, among
others, will be available to you and will contain the
information described under "Description of the
Offered Certificates--Reports to Certificateholders;
Available Information" in this prospectus supplement:
o Delinquent Loan Status Report,
o Historical Liquidation Report,
o Historical Loan Modification Report,
o REO Status Report,
o Servicer Watch List,
o Loan Payment Notification Report, and
o Comparative Financial Status Report.
Upon reasonable prior notice, you may also review at
the trustee's offices during normal business hours a
variety of information and documents that pertain to
the pooled mortgage loans and the mortgaged real
properties for those loans. We
S-15
<PAGE>
expect that the available information and documents
will include loan documents, borrower operating
statements, rent rolls and property inspection
reports, to the extent received by the trustee.
See "Description of the Offered Certificates--Reports
to Certificateholders; Available Information" in this
prospectus supplement.
OPTIONAL AND
OTHER TERMINATION...... Specified parties to the transaction may terminate the
trust when the total principal balance of the related
mortgage pool, net of advances of principal, is less
than approximately 1.0% of the initial mortgage pool
balance. See "Description of the Offered
Certificates--Termination" in this prospectus
supplement.
THE UNDERLYING MORTGAGE LOANS AND THE MORTGAGED REAL PROPERTIES
GENERAL................ In this section, "--The Underlying Mortgage Loans
and the Mortgaged Real Properties", we provide summary
information with respect to the mortgage loans that we
intend to include in the trust. For more detailed
information regarding those mortgage loans, you should
review the following sections in this prospectus
supplement:
o "Description of the Mortgage Pool"
o "Risk Factors--Risks Related to the Underlying
Mortgage Loans"
o Annex A-1--Certain Characteristics of the
Underlying Mortgage Loans
o Annex A-2--Certain Monetary Terms of the
Underlying Mortgage Loans
o Annex A-3--Certain Information Regarding Reserves
o Annex B--Certain Information Regarding Multifamily
Properties.
When reviewing the information that we have included
in this prospectus supplement with respect to the
mortgage loans that are to back the offered
certificates, please note that--
o All numerical information provided with respect to
the mortgage loans is provided on an approximate
basis.
o All weighted average information provided with
respect to the mortgage loans reflects a weighting
based on their respective cut-off date principal
balances. We will transfer the cut-off date
principal balance for each of the mortgage loans to
the trust. We show the cut-off date principal
balance for each of the mortgage loans on Annex A-1
to this prospectus supplement.
o When information with respect to mortgaged real
properties is expressed as a percentage of the
initial mortgage pool balance, the percentages are
based upon the cut-off date principal balances of
the related mortgage loans.
o If any of the mortgage loans is secured by
multiple real properties located in more than one
state, a portion of that mortgage loan has been
allocated to each of those properties.
o Statistical information regarding the mortgage
loans may change prior to the date of initial
issuance of the offered certificates due to changes
in the composition of the mortgage pool prior to
that date.
S-16
<PAGE>
SOURCE OF THE UNDERLYING MORTGAGE
LOANS................. We are not the originator of any of the mortgage
loans that we intend to include in the trust. We will
acquire those mortgage loans from two separate
parties. Each of those mortgage loans was originated
by--
o the related mortgage loan seller from whom we
acquired the mortgage loan,
o an affiliate of the related mortgage loan seller,
or
o a correspondent in the related mortgage loan
seller's conduit lending program.
PAYMENT AND
OTHER TERMS............ Each of the mortgage loans that we intend to include
in the trust is the obligation of a borrower to repay
a specified sum with interest.
Repayment of each of the mortgage loans is secured by
a mortgage lien on the ownership and/or leasehold
interest of the related borrower or another party in
one or more commercial or multifamily real
properties. Except for limited permitted
encumbrances, which we list in the glossary to this
prospectus supplement, that mortgage lien will be a
first priority lien.
All of the mortgage loans are or should be considered
nonrecourse. None of the mortgage loans are insured
or guaranteed by any governmental agency or
instrumentality or by any private mortgage insurer.
Each of the mortgage loans currently accrues interest
at the annual rate specified with respect to that
loan on Annex A-1 to this prospectus supplement.
Except as otherwise described below with respect to
mortgage loans that have anticipated repayment dates,
the mortgage interest rate for each mortgage loan is,
in the absence of default, fixed for the entire term
of the loan.
Subject, in some cases, to a next business day
convention--
o 121 of the mortgage loans, representing 63.2% of
the initial mortgage pool balance, provide for
scheduled payments of principal and/or interest to
be due on the first day of each month,
o 40 of the mortgage loans, representing 34.8% of
the initial mortgage pool balance, provide for
scheduled payments of principal and/or interest to
be due on the eleventh day of each month, and
o six of the mortgage loans, representing 2.0% of
the initial mortgage pool balance, provide for
scheduled payments of principal and/or interest to
be due on the sixth day of each month.
One hundred thirty-seven of the mortgage loans,
representing 66.9% of the initial mortgage pool
balance, provide for:
o an amortization schedule that is significantly
longer than its remaining term to stated maturity;
and
o a substantial balloon payment of principal on its
maturity date.
Twenty-two of the mortgage loans, representing 31.0%
of the initial mortgage pool balance, provide
material incentives to the related borrower to pay
the mortgage loan in full by a specified date prior
to the related maturity date. We consider that date
to be the anticipated repayment date for the mortgage
loan. There can be no assurance, however, that these
incentives will result in any of these mortgage loans
being paid in full on or before its anticipated
repayment date. The incentives, which in each case
will become effective as of the related anticipated
repayment date, include:
S-17
<PAGE>
o The calculation of interest at a rate per annum in
excess of the initial mortgage interest rate. The
additional interest over the initial mortgage
interest rate will be deferred, may be compounded
and will be payable only after the outstanding
principal balance of the mortgage loan is paid in
full.
o The application of excess cash flow from the
mortgaged real property, after debt service payments
and any specified reserves or expenses have been
funded or paid, to pay the principal amount of the
mortgage loan. The payment of principal from excess
cash flow will be in addition to the principal
portion, if any, of the normal monthly debt service
payment.
Eight of the mortgage loans, representing 2.1% of the
initial mortgage pool balance, have payment schedules
that provide for the payment of these mortgage loans
in full or substantially in full by their respective
maturity dates. These mortgage loans do not provide
for any of the repayment incentives associated with
mortgage loans with anticipated repayment dates.
DELINQUENCY STATUS..... None of the mortgage loans that we intend to include
in the trust was 30 days or more delinquent with
respect to any monthly debt service payment as of the
cut-off date or at any time during the 12-month period
preceding that date.
PREPAYMENT LOCK-OUT
PERIODS AND
DEFEASANCE............ A prepayment lock-out period is currently in effect
for all the mortgage loans to be included in the
trust. A lock-out period is a period during which the
principal balance of a mortgage loan may not be
voluntarily prepaid in whole or in part.
One hundred fifty-five mortgage loans, representing
80.6% of the initial mortgage pool balance, provide
for a period, following the initial prepayment
lockout period, when voluntary prepayments are
prohibited but the related borrower may obtain a full
or partial release of the mortgaged real property
from the related mortgage lien by defeasing the
mortgage loan through the delivery of U.S. Treasury
obligations as substitute collateral. None of these
mortgage loans permits defeasance prior to the second
anniversary of the date of initial issuance of the
certificates.
Eleven mortgage loans, representing 10.8% of the
initial mortgage pool balance, provide for a period,
following the initial prepayment lock-out period,
when the loan is prepayable with a payment of
additional consideration for prepayment, but do not
provide for defeasance.
The one remaining mortgage loan, which represents
8.6% of the initial mortgage pool balance, provides
for a period, following its initial prepayment
lock-out period, when the loan may be either defeased
or voluntarily prepaid with a payment of additional
consideration, at the borrower's option.
Set forth below is information regarding the
remaining terms of the lock-out and defeasance
periods for the 155 mortgage loans that provide for
lock-outs and defeasance:
Maximum remaining lock-out/defeasance
period: 237 months
Minimum remaining lock-out/defeasance
period: 45 months
Weighted average remaining lock-out/
defeasance period: 116 months
The information above does not include the one
mortgage loan described above, representing 8.6% of
the initial mortgage pool balance, that may be
voluntarily prepaid during its defeasance period.
S-18
<PAGE>
ADDITIONAL STATISTICAL INFORMATION
A. GENERAL
CHARACTERISTICS..... The mortgage pool will have the following general
characteristics as of the cut-off date:
<TABLE>
<S> <C>
Initial mortgage pool balance ................... $999,060,409
Number of mortgage loans ........................ 167
Number of mortgaged properties .................. 181
Maximum cut-off date principal balance .......... $85,932,282
Minimum cut-off date principal balance .......... $ 497,470
Average cut-off date principal balance .......... $ 5,982,398
Maximum mortgage interest rate .................. 10.000%
Minimum mortgage interest rate .................. 7.390%
Weighted average mortgage interest rate ......... 8.425%
Maximum original loan term to maturity or
anticipated repayment date ...................... 239 months
Minimum original loan term to maturity or
anticipated repayment date ...................... 60 months
Weighted average original loan term to
maturity or anticipated repayment date .......... 122 months
Maximum remaining loan term to maturity or
anticipated repayment date ...................... 237 months
Minimum remaining loan term to maturity or
anticipated repayment date ...................... 46 months
Weighted average remaining loan term to
maturity or anticipated repayment date .......... 117 months
Maximum underwritten debt service coverage
ratio ........................................... 3.47:1
Minimum underwritten debt service coverage
ratio ........................................... 1.20:1
Weighted average underwritten debt service
coverage ratio .................................. 1.40:1
Maximum cut-off date loan-to-appraised value
ratio ........................................... 79.9%
Minimum cut-off date loan-to-appraised value
ratio ........................................... 25.4%
Weighted average cut-off date loan-to-
appraised value ratio ........................... 67.7%
</TABLE>
The initial mortgage pool balance is equal to the
total cut-off date principal balance of the mortgage
pool and is subject to a permitted variance of plus
or minus 5%.
The underwritten debt service coverage ratio for any
mortgage loan that is to be included in the trust is
equal to the underwritten net cash flow for the
related mortgaged real property divided by the
product of 12 times the monthly debt service payment
due in respect of that mortgage loan on the cut-off
date or, if it is currently in an interest-only
period and except in the case of the Westfield
Shoppingtown Plaza Camino Real mortgage loan, on the
first due date after the commencement of the
scheduled amortization. In the case of the Westfield
Shoppingtown Plaza Camino Real mortgage loan, the
underwritten debt service coverage ratio is
calculated using the scheduled interest-only payments
as the monthly debt service payments. UNDERWRITTEN
DEBT SERVICE COVERAGE RATIOS HAVE NOT BEEN CALCULATED
AND ARE NOT PRESENTED FOR MORTGAGE LOANS SECURED BY
PROPERTIES THAT ARE SUBJECT TO CREDIT TENANT LEASES.
See definition of "Net Cash Flow" in the glossary to
this prospectus supplement.
S-19
<PAGE>
The cut-off date loan-to-appraised value ratio for
any mortgage loan to be included in the trust is
equal to its cut-off date principal balance, divided
by the estimated value of the related mortgaged real
property as set forth in the most recent third-party
appraisal available to us. CUT-OFF DATE
LOAN-TO-APPRAISED VALUE RATIOS HAVE NOT BEEN
CALCULATED AND ARE NOT PRESENTED FOR MORTGAGE LOANS
SECURED BY PROPERTIES THAT ARE SUBJECT TO CREDIT
TENANT LEASES.
B. STATE
CONCENTRATION...... The table below shows the number of, and percentage of
the initial mortgage pool balance secured by, mortgaged
real properties located in the indicated states:
<TABLE>
<CAPTION>
% OF
NUMBER OF INITIAL MORTGAGE
STATE PROPERTIES POOL BALANCE
---------------------- ------------ -----------------
<S> <C> <C>
New York ........... 17 19.2%
California ......... 17 14.5%
Florida ............ 21 10.2%
Texas .............. 20 9.2%
Virginia ........... 8 6.6%
</TABLE>
The remaining mortgaged real properties with respect
to the mortgage pool, are located throughout 23 other
states. No more than 4.7% of the initial mortgage
pool balance is secured by mortgaged real properties
located in any of these other jurisdictions.
C. PROPERTY TYPES..... The table below shows the number of, and percentage
of the initial mortgage pool balance secured by,
mortgaged real properties operated for each indicated
purpose:
<TABLE>
<CAPTION>
% OF
NUMBER OF INITIAL MORTGAGE
PROPERTY TYPE LOANS POOL BALANCE
--------------------------------- ----------- -----------------
<S> <C> <C>
Retail ........................ 40 39.4%
Regional Malls ................ 3 16.3%
Other Anchored Retail ......... 23 18.0%
Unanchored Retail ............. 14 5.1%
Multifamily ................... 54 24.8%
Office ........................ 27 19.9%
Industrial/Warehouse .......... 12 5.3%
Hospitality ................... 12 4.5%
Full Service .................. 1 0.3%
Limited Service ............... 10 3.6%
Extended Stay ................. 1 0.6%
Properties Subject to
Credit Tenant Leases .......... 8 2.1%
Mobile Home Parks ............. 7 1.5%
Mixed-Use ..................... 3 1.3%
Self Storage .................. 3 0.8%
Healthcare .................... 1 0.3%
</TABLE>
The properties subject to credit tenant leases are
presented together in the foregoing table regardless
of property type.
S-20
<PAGE>
D. ENCUMBERED
INTERESTS........... The table below shows the number of, and percentage of
the initial mortgage pool balance secured by,
mortgaged real properties for which the encumbered
interest is as indicated:
<TABLE>
<CAPTION>
ENCUMBERED INTEREST % OF
IN THE MORTGAGED NUMBER OF INITIAL MORTGAGE
REAL PROPERTY LOANS POOL BALANCE
------------- ----------- -----------------
<S> <C> <C>
Fee simple .................................... 164 96.7%
Fee simple in part, leasehold in part ......... 2 1.8%
Leasehold ..................................... 1 1.6%
</TABLE>
E. SIGNIFICANT MORTGAGE
LOANS WITH
AFFILIATED
BORROWERS.......... The largest group of mortgage loans with affiliated
borrowers is comprised of the first and third largest
mortgage loans to be included in the trust. The larger
of those two mortgage loans is identified on Annex A-1
to this prospectus supplement as being secured by a
regional mall known as Westfield Shoppingtown South
Shore. The smaller of those two mortgage loans is
identified on Annex A-1 to this prospectus supplement
as being secured by a regional mall known as Westfield
Shoppingtown Plaza Camino Real.
Set forth below is loan and property information with
respect to the Westfield Shoppingtown South Shore
mortgage loan.
<TABLE>
<S> <C>
Cut-off date principal balance ..................... $85,932,282
Percentage of initial mortgage pool
balance ............................................ 8.6%
Current mortgage interest rate ..................... 8.177%
Maturity date ...................................... December 11, 2029
Anticipated repayment date ......................... December 11, 2009
Lockout expiration date ............................ December 9, 2002
Original amortization term ......................... 30 years
Cut-off date loan-to-appraised value ratio ......... 48.4%
Underwritten debt service coverage ratio ........... 1.65:1
Lockbox ............................................ Hard
Sponsor ............................................ Westfield America, Inc.
Anchor tenants ..................................... Macy's, Sears,
JC Penney and
Lord & Taylor
Property type ...................................... Regional Mall
Property size (gross leasable area) ................ 1,154,671 square feet
Property location .................................. Bay Shore, New York
Appraised value .................................... $177,400,000
</TABLE>
In reviewing the foregoing table, please note that:
o a hard lockbox means that income from the
mortgaged real property is deposited into an account
controlled by the mortgagee. Funds in that account
are then disbursed by the mortgagee pursuant to the
related loan documents to pay, among other things,
taxes and insurance premiums and to satisfy the
borrower's obligation to make debt service payments.
S-21
<PAGE>
o Lord & Taylor owns its improvements and leases
its pad from the borrower under the Westfield
Shoppingtown South Shore mortgage loan. Only the
Lord & Taylor pad is part of the collateral for the
Westfield Shoppingtown South Shore mortgage loan.
The Westfield Shoppingtown South Shore mortgage loan
has credit characteristics consistent with that of an
obligation rated "A3" and "A" by Moody's and S&P,
respectively.
Set forth below is loan and property information with
respect to the Westfield Shoppingtown Plaza Camino
Real mortgage loan.
<TABLE>
<S> <C>
Cut-off date principal balance ................... $ 36,000,000
Percentage of initial mortgage pool
balance .......................................... 3.6%
Current mortgage interest rate ................... 7.65%
Maturity date .................................... June 11, 2030
Anticipated repayment date ....................... June 11, 2010
Lockout expiration date .......................... September 28, 2002
Original amortization term ....................... NAP
Cut-off date loan-to-appraised value ratio ....... 25.4%
Underwritten debt service coverage ratio ......... 3.47:1
Lockbox .......................................... Springing
Sponsor .......................................... Westfield America, Inc.
Anchor tenants ................................... JC Penney, Macy's,
Robinsons-May,
Macy's Men's & Home Store
Property type .................................... Regional Mall
Property size (gross leasable area) .............. 1,148,028 square feet
Property location ................................ Carlsbad, California
Appraised value .................................. $141,900,000
</TABLE>
In reviewing the foregoing table, please note that:
o Macy's, Robinsons-May and Macy's Men's & Home
Store each own their improvements and their pads;
and JC Penney owns its improvements and leases its
pad from a third party. None of those improvements
and pads are part of the collateral for the
Westfield Shoppingtown Plaza Camino Real mortgage
loan.
o Sears owns its improvements and leases its pad
from the borrower under the Westfield Shoppingtown
Plaza Camino Real mortgage loan. Only the Sears pad
is part of the collateral for the Westfield
Shoppingtown Plaza Camino Real mortgage loan.
o The Westfield Shoppingtown Plaza Camino Real
mortgage loan provides for interest-only payments
prior to its anticipated repayment date.
o A springing lockbox means that income from the
mortgaged real property is deposited into accounts
controlled by the mortgagee upon the occurrence of
specified triggering events.
The Westfield Shoppingtown Plaza Camino Real mortgage
loan has credit characteristics consistent with that
of an obligation rated "Aaa" and "AAA" by Moody's and
S&P, respectively.
See "Description of the Mortgage Pool--Significant
Mortgage Loans with Affiliated Borrowers" in this
prospectus supplement.
S-22
<PAGE>
LEGAL AND INVESTMENT CONSIDERATIONS
FEDERAL INCOME
TAX CONSEQUENCES........ The trustee or its agent will make elections to treat
designated portions of the assets of the trust as
three separate real estate mortgage investment
conduits under Sections 860A through 860G of the
Internal Revenue Code of 1986. Those three REMICs are
as follows:
o REMIC I, the lowest tier REMIC, which will consist
of, among other things--
1. the pooled mortgage loans, and
2. any mortgaged real properties that may be
acquired by the trust following a borrower
default,
but will exclude collections of additional
interest accrued and deferred as to payment with
respect to each mortgage loan with an
anticipated repayment date that remains
outstanding past that date;
o REMIC II, which will hold the regular interests in
REMIC I; and
o REMIC III, which will hold the regular interests
in REMIC II.
Any assets not included in a REMIC will constitute a
grantor trust for federal income tax purposes.
The offered certificates will be treated as regular
interests in REMIC III. This means that they will be
treated as newly issued debt instruments for federal
income tax purposes. You will have to report income
on your offered certificates in accordance with the
accrual method of accounting even if you are
otherwise a cash method taxpayer. The offered
certificates will not represent any interest in the
grantor trust referred to above.
No class of offered certificates will be issued with
more than a de minimis amount of original issue
discount. If you own an offered certificate issued
with original issue discount, you may have to report
original issue discount income and be subject to a
tax on this income before you receive a corresponding
cash payment.
When determining the rate of accrual of market
discount and premium, if any, for federal income tax
purposes, the prepayment assumption used will be that
following any date of determination:
o the mortgage loans with anticipated repayment
dates will be paid in full on those dates,
o no mortgage loan in the trust will otherwise be
prepaid prior to maturity, and
o there will be no extension of maturity for any
mortgage loan in the trust.
For a more detailed discussion of the federal income
tax aspects of investing in the offered certificates,
see "Federal Income Tax Consequences" in this
prospectus supplement and "Federal Income Tax
Consequences" in the accompanying prospectus.
S-23
<PAGE>
ERISA.................. We anticipate that, subject to satisfaction of the
conditions referred to under "ERISA Considerations" in
this prospectus supplement, retirement plans and other
employee benefit plans and arrangements subject to--
o Title I of the Employee Retirement Income Security
Act of 1974, as amended, or
o Section 4975 of the Internal Revenue Code of 1986,
will be able to invest in the class A-1 and A-2
certificates without giving rise to a prohibited
transaction. This is based upon individual prohibited
transaction exemptions granted to the underwriters by
the U.S. Department of Labor.
The characteristics of the class B, C, D, E, F and G
certificates do not meet the requirements of the
underwriters' transaction exemptions. Accordingly,
those offered certificates may not be acquired by, on
behalf of or with the assets of a retirement plan or
other employee benefit plan subject to Title I of
ERISA or Section 4975 of the Internal Revenue Code,
except in the case of an insurance company using
funds in its general account, which may be able to
rely on specified provisions of prohibited
transaction class exemption 95-60, which we discuss
under "ERISA Considerations" in this prospectus
supplement.
However, the Department of Labor has proposed
amendments to the underwriters' prohibited
transaction exemptions that, if finalized in current
form, will generally be retroactively effective as of
August 23, 2000. Among other changes, it is
anticipated that the proposed amendments would permit
retirement plans or other employee benefit plans of
the kind discussed above to purchase the Class B, C,
D, E, F and G certificates, in addition to the class
A-1 and A-2 certificates, so long as--
o they are rated in any of the four highest ratings
categories of Moody's and S&P, and
o all other requirements of the underwriters'
prohibited transaction exemptions are met.
It is not certain if and when the proposed amendments
will be issued in final form, and it is not certain
that, if finalized, the proposed amendments will
contain the same relief as is currently proposed.
If you are a fiduciary of any retirement plan or
other employee benefit plan or arrangement subject to
Title I of ERISA or section 4975 of the Internal
Revenue Code, you should review carefully with your
legal advisors whether the purchase or holding of the
offered certificates could give rise to a transaction
that is prohibited under ERISA or Section 4975 of the
Internal Revenue Code. See "ERISA Considerations" in
this prospectus supplement and in the accompanying
prospectus.
LEGAL INVESTMENT....... The offered certificates will not be mortgage
related securities within the meaning of the Secondary
Mortgage Market Enhancement Act of 1984, as amended.
You should consult your own legal advisors to
determine whether and to what extent the offered
certificates will be legal investments for you. See
"Legal Investment" in this prospectus supplement and
in the accompanying prospectus.
INVESTMENT
CONSIDERATIONS......... The rate and timing of payments and other collections
of principal on or with respect to the underlying
mortgage loans will affect the yield to maturity on
each offered certificate. In the case of offered
certificates purchased at a discount, a slower than
anticipated rate of payments and other collections of
principal on the
S-24
<PAGE>
underlying mortgage loans could result in a lower
than anticipated yield. In the case of offered
certificates purchased at a premium, a faster than
anticipated rate of payments and other collections of
principal on the underlying mortgage loans could
result in a lower than anticipated yield.
See "Yield and Maturity Considerations" in this
prospectus supplement and in the accompanying
prospectus.
S-25
<PAGE>
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S-26
<PAGE>
RISK FACTORS
The offered certificates are not suitable investments for all investors.
You should not purchase any offered certificates unless you understand and are
able to bear the risks associated with those certificates.
The offered certificates are complex securities and it is important that
you possess, either alone or together with an investment advisor, the expertise
necessary to evaluate the information contained in this prospectus supplement
and the accompanying prospectus in the context of your financial situation.
You should consider the following factors, as well as those set forth
under "Risk Factors" in the accompanying prospectus, in deciding whether to
purchase any offered certificates. The "Risk Factors" section in the
accompanying prospectus includes a number of general risks associated with
making an investment in the offered certificates.
RISKS RELATED TO THE OFFERED CERTIFICATES
The Class B, C, D, E, F and G Certificates are Subordinate to, and are
Therefore Riskier than, the Class A-1 and A-2 Certificates. If you purchase
class B, C, D, E, F or G certificates, then your offered certificates will
provide credit support to other classes of offered certificates. As a result,
you will receive payments after, and must bear the effects of losses on the
underlying mortgage loans before, the holders of those other classes of offered
certificates.
When making an investment decision, you should consider, among other
things--
o the payment priorities of the respective classes of the series 2000-C4
certificates,
o the order in which the principal balances of the respective classes of
the series 2000-C4 certificates with balances will be reduced in
connection with losses and default-related shortfalls, and
o the characteristics and quality of the mortgage loans in the trust.
See "Description of the Mortgage Pool" and "Description of the Offered
Certificates--Payments" and "--Reductions of Certificate Principal Balances in
Connection With Realized Losses and Additional Trust Fund Expenses" in this
prospectus supplement. See also "Risk Factors--The Investment Performance of
Your Offered Certificates Will Depend on Payments, Defaults and Losses on the
Underlying Mortgage Loans; and Those Payments, Defaults and Losses May Be
Highly Unpredictable", "--Any Credit Support for Your Offered Certificates May
Be Insufficient to Protect you Against All Potential Losses" and "--Payments on
the Offered Certificates Will Be Made Solely from the Limited Assets of the
Related Trust, and Those Assets May Be Insufficient to Make All Required
Payments on Those Certificates" in the accompanying prospectus.
The Offered Certificates Have Uncertain Yields to Maturity. The yield on
your offered certificates will depend on--
o the price you paid for your offered certificates, and
o the rate, timing and amount of payments on your offered certificates.
The rate, timing and amount of payments on your offered certificates will
depend on:
o the pass-through rate for, and other payment terms of, your offered
certificates;
o the rate and timing of payments and other collections of principal on
the underlying mortgage loans;
o the rate and timing of defaults, and the severity of losses, if any,
on the underlying mortgage loans;
o the rate, timing, severity and allocation of other shortfalls and
expenses that reduce amounts available for payment on your offered
certificates;
o the collection and payment of prepayment premiums and yield maintenance
charges with respect to the underlying mortgage loans; and
o servicing decisions with respect to the underlying mortgage loans.
In general, these factors cannot be predicted with any certainty.
Accordingly, you may find it difficult to analyze the effect that these factors
might have on the yield to maturity of your offered certificates.
S-27
<PAGE>
See "Description of the Mortgage Pool", "Servicing of the Underlying
Mortgage Loans", "Description of the Offered Certificates--Payments" and
"--Reductions of Certificate Principal Balances in Connection With Realized
Losses and Additional Trust Fund Expenses" and "Yield and Maturity
Considerations" in this prospectus supplement. See also "Risk Factors--The
Investment Performance of Your Offered Certificates Will Depend on Payments,
Defaults and Losses on the Underlying Mortgage Loans; and Those Payments,
Defaults and Losses May Be Highly Unpredictable" and "Yield and Maturity
Considerations" in the accompanying prospectus.
The Investment Performance of Your Offered Certificates May Vary
Materially and Adversely from Your Expectations Because the Rate of Prepayments
and Other Unscheduled Collections of Principal on the Underlying Mortgage Loans
is Faster or Slower Than You Anticipated. If you purchase your offered
certificates at a premium, and if payments and other collections of principal
on the mortgage loans in the trust occur at a rate faster than you anticipated
at the time of your purchase, then your actual yield to maturity may be lower
than you had assumed at the time of your purchase. Conversely, if you purchase
your offered certificates at a discount, and if payments and other collections
of principal on the mortgage loans in the trust occur at a rate slower than you
anticipated at the time of your purchase, then your actual yield to maturity
may be lower than you had assumed at the time of your purchase. You should
consider that prepayment premiums and yield maintenance charges may not be
collected in all circumstances. Furthermore, even if a prepayment premium or
yield maintenance charge is collected and payable on your offered certificates,
it may not be sufficient to offset fully any loss in yield on your offered
certificates.
ERISA Considerations. The regulations that govern pension and other
employee benefit plans subject to ERISA and plans and other retirement
arrangements subject to Section 4975(c) of the Internal Revenue Code of 1986
are complex. Accordingly, if you are using the assets of such a plan or
arrangement to acquire offered certificates, you are urged to consult legal
counsel regarding consequences under ERISA and the Internal Revenue Code of the
acquisition, ownership and disposition of those certificates. In particular,
the purchase or holding of class B, C, D, E, F and G certificates by any such
plan or arrangement may result in a prohibited transaction or the imposition of
excise taxes or civil penalties. As a result, these offered certificates should
not be acquired by, on behalf of, or with assets of any such plan or
arrangement, unless the purchase and continued holding of the certificate or an
interest in the certificate is exempt from the prohibited transaction
provisions of Section 406 of ERISA and Section 4975 of the Internal Revenue
Code under Sections I and III of Prohibited Transaction Class Exemption 95-60.
Sections I and III of Prohibited Transaction Class Exemption 95-60 provide an
exemption from the prohibited transaction rules for some transactions involving
an insurance company general account.
See "ERISA Considerations" in this prospectus supplement and in the
accompanying prospectus.
RISKS RELATED TO THE UNDERLYING MORTGAGE LOANS
Repayment of the Underlying Mortgage Loans Depends on the Operation of the
Mortgaged Real Properties. The underlying mortgage loans are secured by
mortgage liens on ownership and/or leasehold interests in the following types
of real property:
o regional malls,
o other anchored retail,
o unanchored retail,
o multifamily rental,
o office,
o industrial/warehouse,
o hospitality,
o properties subject to credit tenant leases,
o mobile home parks,
o mixed-use,
o self storage; and
o healthcare
S-28
<PAGE>
The risks associated with lending on these types of real properties are
inherently different from those associated with lending on the security of
single-family residential properties. This is because, among other reasons,
repayment of each of the underlying mortgage loans is dependent on--
o the successful operation and value of the related mortgaged real
property, and
o the related borrower's ability to refinance the mortgage loan or sell
the related mortgaged real property.
See "Risk Factors--Repayment of a Commercial or Multifamily Mortgage Loan
Depends on the Performance and Value of the Underlying Real Property, Which May
Decline Over Time, and the Related Borrower's Ability to Refinance the
Property, of Which There Is No Assurance" and "Description of the Trust
Assets--Mortgage Loans--A Discussion of Various Types of Multifamily and
Commercial Properties that May Secure Mortgage Loans Underlying a Series of
Offered Certificates" in the accompanying prospectus.
The Underlying Mortgage Loans Have a Variety of Characteristics Which May
Expose Investors to Greater Risk of Default and Loss. When making an investment
decision, you should consider, among other things, the following
characteristics of the underlying mortgage loans and/or the mortgaged real
properties for those loans. Any or all of these characteristics can affect,
perhaps materially and adversely, the investment performance of your offered
certificates. Each of the respective items below includes a cross-reference to
where the associated risks are further discussed in this prospectus supplement
or in the accompanying prospectus. In addition, each of those items may include
a cross reference to where further information about the particular
characteristic may be found in this prospectus supplement.
o The Mortgaged Real Property Will Be the Sole Asset Available to Satisfy
the Amounts Owing Under an Underlying Mortgage Loan in the Event of
Default. All of the mortgage loans that we intend to include in the
trust are or should be considered nonrecourse loans. You should
anticipate that, if the related borrower defaults on any of the
underlying mortgage loans, only the mortgaged real property, and none of
the other assets of the borrower, is available to satisfy the debt. Even
if the related loan documents permit recourse to the borrower or a
guarantor, the trust may not be able to ultimately collect the amount
due under a defaulted mortgage loan. None of the mortgage loans are
insured or guaranteed by any governmental agency or instrumentality or
by any private mortgage insurer. See "Risk Factors--Repayment of a
Commercial or Multifamily Mortgage Loan Depends on the Performance and
Value of the Underlying Real Property, Which May Decline Over Time, and
the Related Borrower's Ability to Refinance the Property, of Which There
Is No Assurance--Most of the Mortgage Loans Underlying Your Offered
Certificates Will be Nonrecourse" in the accompanying prospectus.
o In Some Cases, a Mortgaged Real Property is Dependent on a Single Tenant
or on One or a Few Major Tenants. In the case of 70 mortgaged real
properties, securing 48.5% of the initial mortgage pool balance, the
related borrower has leased the property to at least one tenant that
occupies 25% or more of the particular property. In the case of 15 of
those properties, securing 6.1% of the initial mortgage pool balance,
the related borrower has leased the particular property to a single
tenant that occupies all or substantially all of it. Accordingly, the
full and timely payment of each of the related mortgage loans is highly
dependent on the continued operation of the major tenant or tenants,
which, in some cases, is the sole tenant, at the mortgaged real
property. See "Risk Factors--Repayment of a Commercial or Multifamily
Mortgage Loan Depends on the Performance and Value of the Underlying
Real Property, Which May Decline Over Time, and the Related Borrower's
Ability to Refinance the Property, of Which There Is No Assurance--The
Successful Operation of a Multifamily or Commercial Property Depends on
Tenants", "--Repayment of a Commercial or Multifamily Mortgage Loan
Depends on the Performance and Value of the Underlying Real Property,
Which May Decline Over Time, and the Related Borrower's Ability to
Refinance the Property, of Which There Is No Assurance--Dependence on a
Single Tenant or a Small Number of Tenants Makes a Property Riskier
Collateral" and "--Repayment of a Commercial or Multifamily Mortgage
Loan Depends on the Performance and Value of the Underlying Real
Property, Which May Decline Over Time and the Related Borrower's Ability
to Refinance the Property, of Which There Is No Assurance--Tenant
Bankruptcy Adversely Affects Property Performance" in the accompanying
prospectus.
o Ten Percent or More of the Initial Mortgage Pool Balance Will Be Secured
by Mortgage Liens on Each of the Following Property Types--Retail,
Multifamily Rental and Office. Forty of the mortgage loans that we
intend to include in the trust, representing 39.4% of the initial
mortgage pool balance, will be secured by mortgage liens on the
respective borrowers' interests in mortgaged real properties primarily
used for retail purposes. Three of the retail properties, securing 16.3%
of the initial mortgage pool balance, are regional malls. We consider an
additional 23 of
S-29
<PAGE>
the retail properties, securing 18.0% of the initial mortgage pool
balance, to be anchored or shadow anchored. A shadow anchor is a store
or business that materially affects the draw of customers to a retail
property, but which may be located at a nearby property or on a portion
of that retail property that is not collateral for the related mortgage
loan.
Fifty-four of the mortgage loans that we intend to include in the trust,
representing 24.8% of the initial mortgage pool balance, will be secured
by mortgage liens on the respective borrowers' interests in mortgaged
real properties primarily used for multifamily rental purposes.
Twenty-seven of the mortgage loans that we intend to include in the
trust, representing 19.9% of the initial mortgage pool balance, will be
secured by mortgage liens on the respective borrowers' interests in
mortgaged real properties primarily used for office purposes. Some of
those office properties are heavily dependent on a sole tenant that
leases the entire property or on a few major tenants.
The inclusion in the trust of a significant concentration of mortgage
loans that are secured by mortgage liens on a particular type of
income-producing property makes the overall performance of the mortgage
pool materially more dependent on the factors that affect the operations
at and value of that property type. See "Description of the Trust
Assets--Mortgage Loans--A Discussion of Various Types of Multifamily and
Commercial Properties That May Secure Mortgage Loans Underlying a Series
of Offered Certificates" in the accompanying prospectus.
o Five Percent or More of the Initial Mortgage Pool Balance Will Be
Secured by Mortgage Liens on Real Property Located in Each of the
Following States--New York, California, Florida, Texas and Virginia. The
mortgaged real properties located in each of the following states secure
mortgage loans or allocated portions of mortgage loans that represent
5.0% or more of the initial mortgage pool balance:
<TABLE>
<CAPTION>
% OF
NUMBER OF INITIAL MORTGAGE
STATE PROPERTIES POOL BALANCE
---------------------- ------------ -----------------
<S> <C> <C>
New York ........... 17 19.2%
California ......... 17 14.5%
Florida ............ 21 10.2%
Texas .............. 20 9.2%
Virginia ........... 8 6.6%
</TABLE>
The inclusion of a significant concentration of mortgage loans that are
secured by mortgage liens on real properties located in a particular
state makes the overall performance of the mortgage pool materially more
dependent on economic and other conditions or events in that state. See
"Risk Factors--Geographic Concentration Within a Trust Exposes Investors
to Greater Risk of Default and Loss" in the accompanying prospectus.
o The Mortgage Pool Will Include Material Concentrations of Balloon Loans
and Loans with Anticipated Repayment Dates. One hundred thirty-seven
mortgage loans, representing 66.9% of the initial mortgage pool balance,
are balloon loans. In addition, 22 mortgage loans, representing 31.0% of
the initial mortgage pool balance, provide material incentives for the
related borrower to repay the loan by an anticipated repayment date
prior to maturity. The ability of a borrower to make the required
balloon payment on a balloon loan at maturity, and the ability of a
borrower to repay a mortgage loan on or before any related anticipated
repayment date, in each case depends upon the borrower's ability either
to refinance the loan or to sell the mortgaged real property. Although a
mortgage loan may provide the related borrower with incentives to repay
the loan by an anticipated repayment date prior to maturity, the failure
of that borrower to do so will not be a default under that loan. See
"Description of the Mortgage Pool--Terms and Conditions of the
Underlying Mortgage Loans" in this prospectus supplement and "Risk
Factors--The Investment Performance of Your Offered Certificates Will
Depend on Payments, Defaults and Losses on the Underlying Mortgage
Loans; and Those Payments, Defaults and Losses May Be Highly
Unpredictable--There is an Increased Risk of Default Associated with
Balloon Payments" in the accompanying prospectus.
o The Mortgage Pool Will Include Some Disproportionately Large Mortgage
Loans. The inclusion in the mortgage pool of one or more loans that have
outstanding principal balances that are substantially larger than the
other mortgage loans can result in losses that are more severe, relative
to the size of the mortgage pool, than would be the case if the total
balance of the mortgage pool were distributed more evenly. The 10
largest mortgage loans to be
S-30
<PAGE>
included in the trust represent 31.1% of the initial mortgage pool
balance. See "Description of the Mortgage Pool--General",
"--Cross-Collateralized Mortgage Loans, Multi-Property Mortgage Loans
and Mortgage Loans with Affiliated Borrowers" and "--Significant
Mortgage Loans with Affiliated Borrowers" in this prospectus supplement
and "Risk Factors--Loan Concentration Within a Trust Exposes Investors
to Greater Risk of Default and Loss" in the accompanying prospectus.
o The Mortgage Pool Will Include a Leasehold Mortgage Loan. One mortgage
loan, representing 1.6% of the initial mortgage pool balance, is secured
by a mortgage lien on the related borrower's leasehold interest in all
of the related mortgaged real property, but not by the corresponding
ownership interest in the property that is subject to the ground lease.
Because of possible termination of the related ground lease, lending on
a leasehold interest in a real property is riskier than lending on an
actual ownership interest in that property notwithstanding the fact that
a lender, such as the trustee on behalf of the trust, generally will
have the right to cure defaults under the related ground lease. See
"Description of the Mortgage Pool--Additional Loan and Property
Information--Ground Leases" in this prospectus supplement. See also
"Risk Factors--Ground Leases Create Risks for Lenders that Are Not
Present When Lending on an Actual Ownership Interest in a Real Property"
and "Legal Aspects of Mortgage Loans--Foreclosure--Leasehold
Considerations" in the accompanying prospectus.
o Some of the Mortgaged Real Properties Are Legal Nonconforming Uses or
Legal Nonconforming Structures. Some of the mortgage loans are secured
by a mortgage lien on a real property that is a legal nonconforming use
or a legal nonconforming structure. This may impair the ability of the
borrower to restore the improvements on a mortgaged real property to its
current form or use following a major casualty. See "Description of the
Mortgage Pool--Additional Loan and Property Information--Zoning and
Building Code Compliance" in this prospectus supplement and "Risk
Factors--Changes in Zoning May Adversely Affect the Use or Value of a
Real Property" in the accompanying prospectus.
o Some of the Mortgaged Real Properties May Not Comply with the Americans
with Disabilities Act of 1990. Some of the mortgaged real properties
securing mortgage loans that we intend to include in the trust may not
comply with the Americans with Disabilities Act of 1990. Compliance, if
required, can be expensive. See "Risk Factors--Compliance with the
Americans with Disabilities Act of 1990 May Be Expensive" in the
accompanying prospectus.
o Multiple Mortgaged Real Properties Are Owned by the Same Borrower or
Affiliated Borrowers or Are Occupied, in Whole or in Part, by the Same
Tenant or Affiliated Tenants. Thirteen separate groups of mortgage loans
that we intend to include in the trust have borrowers that, in the case
of each of those groups, are the same or under common control. The
largest of these separate groups is made up of the two mortgage loans
that are identified on Annex A-1 to this prospectus supplement as being
secured by the mortgaged real properties known as Westfield Shoppingtown
South Shore and Westfield Shoppingtown Plaza Camino Real, respectively.
These two mortgage loans, which are the largest and third largest
mortgage loans to be included in the trust, together represent 12.2% of
the initial mortgage pool balance. The second and third largest of the
separate groups represent 5.7% and 4.0%, respectively, of the initial
mortgage pool balance. See "Description of the Mortgage
Pool--Cross-Collateralized Mortgage Loans, Multi-Property Mortgage Loans
and Mortgage Loans with Affiliated Borrowers" and "Significant Mortgage
Loans with Affiliated Borrowers" in this prospectus supplement.
In addition, there may be tenants which lease space at more than one
mortgaged real property securing mortgage loans that we intend to
include in the trust. Furthermore, there may be tenants that are related
to or affiliated with a borrower. See Annex A-1 to this prospectus
supplement for a list of the three most significant tenants at each of
the mortgaged real properties used for retail, office and/or industrial
purposes.
The bankruptcy or insolvency of, or other financial problems with
respect to, any borrower or tenant that is, directly or through
affiliation, associated with two or more of the mortgaged real
properties could have an adverse effect on all of those properties and
on the ability of those properties to produce sufficient cash flow to
make required payments on the related mortgage loans in the trust. See
"Risk Factors--Repayment of a Commercial or Multifamily Mortgage Loan
Depends on the Performance and Value of the Underlying Real Property,
Which May Decline Over Time, and the Related Borrower's Ability to
Refinance the Property, of Which There Is No Assurance--Tenant
Bankruptcy Adversely Affects Property Performance", "--Borrower
Concentration Within a Trust Exposes Investors to Greater Risk of
Default and Loss" and "--Borrower Bankruptcy Proceedings Can Delay and
Impair Recovery on a Mortgage Loan Underlying Your Offered Certificates"
in the accompanying prospectus.
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<PAGE>
o Some Borrowers Under the Underlying Mortgage Loans Will Not Be Special
Purpose Entities. The business activities of a co-borrower under three
mortgage loans to be included in the trust that represent 2.7% of the
initial mortgage pool balance, are not limited to owning the related
mortgaged real property. In all three cases, the co-borrower is an
affiliate of the owner of the related mortgaged real property.
Furthermore, the business activities of the borrowers under pooled
mortgage loans with cut-off date principal balances below $25,000,000
may not be limited to owning their respective mortgaged real properties.
Accordingly, the financial success of each of the above-mentioned
borrowers may be affected by the performance of its other business
activities, including other real estate interests. Those other business
activities increase the possibility that the borrower may become
bankrupt or insolvent.
Changes in Mortgage Pool Composition can Change the Nature of Your
Investment. If you purchase any of the class B, C, D, E, F or G certificates,
you will be more exposed to risks associated with changes in concentrations of
borrower, loan or property characteristics than are persons who own the class
A-1 and class A-2 certificates. See "Risk Factors--Changes in Pool Composition
Will Change the Nature of Your Investment" in the accompanying prospectus.
Lending on Income-Producing Real Properties Entails Environmental
Risks. The trust could become liable for a material adverse environmental
condition at one of the mortgaged real properties securing the mortgage loans
in the trust. Any potential environmental liability could reduce or delay
payments on the offered certificates.
A third-party consultant conducted an environmental site assessment, or
updated a previously conducted assessment, with respect to the mortgaged real
properties for all the underlying mortgage loans, during the 19-month period
ending on September 11, 2000. To the extent that any environmental site
assessment recommended a Phase II environmental site assessment, that site
assessment was performed.
In many cases, the environmental testing described above identified the
presence of asbestos-containing materials, lead-based paint and/or radon. Where
these substances were present, the environmental consultant generally
recommended, and the related loan documents required, the establishment of an
operation and maintenance plan or the implementation of a remediation program
to address the issue. If the particular asbestos-containing materials or
lead-based paint was in poor condition, then this could result in a claim for
damages by any party injured by that condition.
In several cases, the environmental site assessment for a mortgaged real
property identified potential and, in some cases, serious problems, at nearby
properties.
In a few cases, the environmental consultant did not recommend that any
action be taken with respect to a potential adverse environmental condition at
a mortgaged real property securing a mortgage loan that we intend to include in
the trust, because a responsible party with respect to that condition had
already been identified. There can be no assurance, however, that such a
responsible party will be financially able to address the subject condition.
Furthermore, any particular environmental assessment may not have tested
for all potentially adverse conditions. For example, testing for lead-based
paint, lead in water and radon was done only if the use, age and condition of
the subject property warranted that testing. There can be no assurance that--
o the environmental testing referred to above identified all material
adverse environmental conditions and circumstances at the subject
properties,
o the recommendation of the environmental consultant was, in the case of
all identified problems, the appropriate action to take, or
o any environmental escrows that may have been established will be
sufficient to cover the recommended remediation or other action.
See "Description of the Mortgage Pool--Assessments of Property
Condition--Environmental Assessments" in this prospectus supplement and "Risk
Factors--Environmental Liabilities Will Adversely Affect the Value and
Operation of the Contaminated Property and May Deter a Lender from Foreclosing"
and "Legal Aspects of Mortgage Loans--Environmental Considerations" in the
accompanying prospectus.
S-32
<PAGE>
Lending on Income-Producing Properties Entails Risks Related to Property
Condition. Engineering firms inspected the mortgaged real properties securing
163 of the 167 mortgage loans that we intend to include in the trust, during
the 19-month period preceding the cut-off date, to assess--
o the structure, exterior walls, roofing, interior construction,
mechanical and electrical systems, and
o the general condition of the site, buildings and other improvements
located at each property.
In some cases, the inspections identified conditions requiring escrows to be
established for repairs or replacements estimated to cost in excess of
$100,000. In those cases, the originator generally required the related
borrower to fund reserves, or deliver letters of credit or other instruments,
to cover these costs.
Limitations on Enforceability of Cross-Collateralization. The mortgage
pool will include 11 mortgage loans that are secured, including through
cross-collateralization with other mortgage loans, by multiple mortgaged real
properties. These mortgage loans are identified in the tables contained in
Annex A-1. The purpose of securing any particular mortgage loan or group of
cross-collateralized mortgage loans with multiple real properties is to reduce
the risk of default or ultimate loss as a result of an inability of any
particular property to generate sufficient net operating income to pay debt
service. However, three of these mortgage loans permit--
o the release of one or more of the mortgaged real properties from the
related mortgage lien, and/or
o a full or partial termination of the applicable
cross-collateralization,
in each case, upon the satisfaction of the conditions described under
"Description of the Mortgage Pool--Terms and Conditions of the Underlying
Mortgage Loans--Cross Collateralized Mortgage Loans, Multi-Property Mortgage
Loans and Mortgage Loans With Affiliated Borrowers" in this prospectus
supplement.
If a borrower under any cross-collateralized mortgage loan were to become
a debtor in a bankruptcy case, the creditors of that borrower or the
representative of that borrower's bankruptcy estate could challenge that
borrower's pledging of the underlying mortgaged real property as a fraudulent
conveyance. See "Risk Factors--Some Provisions in the Mortgage Loans Underlying
Your Offered Certificates May Be Challenged as Being
Unenforceable--Cross-Collateralization Arrangements" in the accompanying
prospectus.
In addition, when multiple real properties secure a mortgage loan or group
of cross-collateralized mortgage loans, the amount of the mortgage encumbering
any particular one of those properties may be less than the full amount of the
related mortgage loan or group of cross-collateralized mortgage loans,
generally to avoid recording tax. This mortgage amount may equal the appraised
value or allocated loan amount for the mortgaged real property and will limit
the extent to which proceeds from the property will be available to offset
declines in value of the other properties securing the same mortgage loan or
group of cross-collateralized mortgage loans.
One of the mortgage loans that we intend to include in the trust is
secured by real properties located in two or more states. This mortgage loan
represents 0.1% of the initial mortgage pool balance. Foreclosure actions are
brought in state court and the courts of one state cannot exercise jurisdiction
over property in another state. Upon a default under this mortgage loan, it may
not be possible to foreclose on the mortgaged real properties simultaneously.
Limited Information Causes Uncertainty. Thirty-nine of the mortgage loans
that we intend to include in the trust, are acquisition financings.
Accordingly, for certain of these loans limited or no historical operating
information is available with respect to the mortgaged real properties. As a
result, you may find it difficult to analyze the historical performance of
those properties.
Tax Considerations Related to Foreclosure. If the trust were to acquire an
underlying real property through foreclosure or similar action, the special
servicer may be required to retain an independent contractor to operate and
manage the property. Any net income from that operation and management, other
than qualifying rents from real property within the meaning of section 856(d)
of the Internal Revenue Code of 1986, or any rental income based on the net
profits of a tenant or sub-tenant or allocable to a service that is
non-customary in the area and for the type of building involved, will subject
the trust to federal, and possibly state or local, tax as described under
"Federal Income Tax Consequences--Prohibited Transactions Tax and Other Taxes"
in the accompanying prospectus. Those taxes, and the cost of retaining an
independent contractor, would reduce net proceeds available for distribution
with respect to the series 2000-C4 certificates.
The Appraisals of Some of the Mortgaged Real Properties Are More than 12
Months Old. The appraisals of 35 mortgaged real properties, securing 25.6% of
the initial mortgage pool balance, were conducted more than 12 months prior to
the date of initial issuance of the offered certificates and, in three of those
cases, more than 18 months prior to that date. See "Description of the Mortgage
Pool--Assessments of Property Condition--Appraisals" in this prospectus
supplement.
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<PAGE>
Prior Bankruptcies. We are aware that, in the case of six mortgage loans
that we intend to include in the trust--
o the related borrower or a principal in the related borrower has been a
party to, or
o the related mortgaged real property has been the subject of,
prior bankruptcy proceedings. There is no assurance that principals or
affiliates of other borrowers have not been a party to bankruptcy proceedings.
See "Risk Factors--Borrower Bankruptcy Proceedings Can Delay and Impair
Recovery on a Mortgage Loan Underlying Your Offered Certificates" in the
accompanying prospectus.
CAPITALIZED TERMS USED IN THIS PROSPECTUS SUPPLEMENT
From time to time we use capitalized terms in this prospectus supplement,
including in Annexes A-1, A-2 and A-3 to this prospectus supplement. Each of
those capitalized terms will have the meaning assigned to it in the "Glossary"
attached to this prospectus supplement.
FORWARD-LOOKING STATEMENTS
This prospectus supplement and the accompanying prospectus includes the
words "expects", "intends", "anticipates", "estimates" and similar words and
expressions. These words and expressions are intended to identify
forward-looking statements. Any forward-looking statements are made subject to
risks and uncertainties which could cause actual results to differ materially
from those stated. These risks and uncertainties include, among other things,
declines in general economic and business conditions, increased competition,
changes in demographics, changes in political and social conditions, regulatory
initiatives and changes in customer preferences, many of which are beyond our
control and the control of any other person or entity related to this offering.
The forward-looking statements made in this prospectus supplement are accurate
as of the date stated on the cover of this prospectus supplement. We have no
obligation to update or revise any forward-looking statement.
S-34
<PAGE>
DESCRIPTION OF THE MORTGAGE POOL
GENERAL
We intend to include the 167 mortgage loans identified on Annex A-1 to
this prospectus supplement in the trust. The mortgage pool consisting of those
loans will have an initial mortgage pool balance of $999,060,409. However, the
actual initial mortgage pool balance may be as much as 5% smaller or larger
than that amount if any of those mortgage loans are removed from the mortgage
pool or any other mortgage loans are added to the mortgage pool. See "--Changes
in Mortgage Pool Characteristics" below.
The initial mortgage pool balance will equal the total cut-off date
principal balance of the mortgage loans included in the trust. The cut-off date
principal balance of any mortgage loan is equal to its unpaid principal balance
as of the cut-off date, after application of all monthly debt service payments
due with respect to the mortgage loan on or before that date, whether or not
those payments were received. The cut-off date principal balance of each
mortgage loan that we intend to include in the trust is shown on Annex A-1 to
this prospectus supplement. Those cut-off date principal balances range from
$497,470 to $85,932,282, and the average of those cut-off date principal
balances is $5,982,398.
Each of the mortgage loans that we intend to include in the trust is an
obligation of the related borrower to repay a specified sum with interest. Each
of those mortgage loans is evidenced by a promissory note and secured by a
mortgage, deed of trust or other similar security instrument that creates a
mortgage lien on the ownership and/or leasehold interest of the related
borrower or another party in one or more commercial or multifamily real
properties. That mortgage lien will, in all cases, be a first priority lien,
subject only to Permitted Encumbrances.
You should consider each of the pooled mortgage loans to be a nonrecourse
obligation of the related borrower. You should anticipate that, in the event of
a payment default by the related borrower, recourse will be limited to the
corresponding mortgaged real property or properties for satisfaction of that
borrower's obligations. In those cases where recourse to a borrower or
guarantor is permitted under the related loan documents, we have not undertaken
an evaluation of the financial condition of any of these persons. None of the
pooled mortgage loans will be insured or guaranteed by any governmental agency
or instrumentality or by any private mortgage insurer.
We provide in this prospectus supplement a variety of information
regarding the mortgage loans that we intend to include in the trust. When
reviewing this information, please note that--
o All numerical information provided with respect to the mortgage loans is
provided on an approximate basis.
o All weighted average information provided with respect to the mortgage
loans reflects a weighting by their respective cut-off date principal
balances.
o When information with respect to mortgaged real properties is expressed
as a percentage of the initial mortgage pool balance, the percentages are
based upon the cut-off date principal balances of the related mortgage
loans.
o If a mortgage loan is secured by multiple mortgaged real properties
located in more than one state, a portion of that mortgage loan has been
allocated to each of those properties.
o Statistical information regarding the mortgage loans may change prior to
the date of initial issuance of the offered certificates due to changes
in the composition of the mortgage pool prior to that date.
CROSS-COLLATERALIZED MORTGAGE LOANS, MULTI-PROPERTY MORTGAGE LOANS AND MORTGAGE
LOANS WITH AFFILIATED BORROWERS
The mortgage pool will include 17 mortgage loans that are, in each case,
individually or through cross-collateralization with other mortgage loans,
secured by two or more real properties. However, the amount of the mortgage
lien encumbering any particular one of those properties may be less than the
full amount of the related mortgage loan or group of cross-collateralized
mortgage loans, generally to avoid recording tax. The mortgage amount may equal
the appraised value or allocated loan amount for the particular real property.
This would limit the extent to which proceeds from that property would be
available to offset declines in value of the other mortgaged real properties
securing the same mortgage loan or group of cross-collateralized mortgage
loans.
One of the mortgage loans referred to in the first paragraph of this
section, "--Cross-Collateralized Mortgage Loans, Multi-Property Mortgage Loans
and Mortgage Loans with Affiliated Borrowers", entitles the related borrower(s)
to obtain a release of one or more of the corresponding mortgaged real
properties and/or a termination of any applicable cross-collateralization,
subject, in each case, to the fulfillment of one or more of the following
conditions--
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<PAGE>
o the pay down of the mortgage loan(s) in an amount equal to 125% of the
portion of the total loan amount allocated to the property or properties
to be released;
o the satisfaction of property performance tests, such as an occupancy
test, for the property or properties that will remain as collateral;
o the satisfaction of debt service coverage and loan-to-value tests for the
property or properties that will remain as collateral; and/or
o receipt by the lender of confirmation from each applicable rating agency
that the action will not result in a qualification, downgrade or
withdrawal of any of the then-current ratings of the offered certificates.
In addition, 16 of the mortgage loans referred to in the first paragraph
of this section, "--Cross-Collateralized Mortgage Loans, Multi-Property
Mortgage Loans and Mortgage Loans with Affiliated Borrowers", also entitle the
related borrower to a release of one or more of the corresponding mortgaged
real properties through defeasance. See "--Terms and Conditions of the
Underlying Mortgage Loans--Defeasance Loans" below.
The table below identifies each group of cross-collateralized mortgage
loans that represent at least 1.0% of the initial mortgage pool balance.
<TABLE>
<CAPTION>
NUMBER OF
STATES WHERE % OF
THE PROPERTIES INITIAL MORTGAGE
CROSS COLLATERALIZED GROUPS/PROPERTY NAMES ARE LOCATED POOL BALANCE
------------------------------------------ ---------------- -----------------
<S> <C> <C>
Hersha Pool I
Holiday Inn Express-Hershey, Holiday Inn & Conference Center-New
Cumberland, Hampton Inn-Danville, Holiday Inn Express-New Columbia ...... 1 1.2%
Kureti Pool
Wellesley Inn Edison, Wellesley Inn Hazlet, Wellesley Inn Reading ....... 1 1.2%
</TABLE>
The table below shows each group of mortgaged real properties that:
o are owned by the same or affiliated borrowers; and
o secure two or more non-cross-collateralized mortgage loans that represent
at least 3.0% of the initial mortgage pool balance.
<TABLE>
<CAPTION>
NUMBER OF
STATES WHERE % OF
THE PROPERTIES INITIAL MORTGAGE
PROPERTY NAMES ARE LOCATED POOL BALANCE
-------------- ---------------- -----------------
<S> <C> <C>
Westfield Shoppingtown South Shore, Westfield Shoppingtown Plaza Camino
Real ........................................................................... 2 12.2%
Johnson City Mall, Georgesville Square .......................................... 2 5.7%
City Centre, Bluff's Square Shoppes, Kirkman Shoppes, Ross Plaza ................ 1 4.0%
Dulles North-Phase 2, Dulles North-Phase 5, Townplace Suites Sterling, Dulles
North-Phase 1, 1000 Circle 75, Commerce Center ................................. 3 3.5%
</TABLE>
The borrowers under the Westfield Shoppingtown South Shore Mortgage Loan
and the Westfield Shoppingtown Plaza Camino Real Mortgage Loan are indirectly
controlled by Westfield America, Inc. Westfield America, Inc. is the fourth
largest regional mall-owning real estate investment trust in the United States,
as measured by gross leasable area owned.
The Westfield Shoppingtown South Shore Mortgage Loan has credit
characteristics consistent with that of an obligation rated "A3" and "A" by
Moody's and S&P, respectively, and the Westfield Shoppingtown Plaza Camino Real
Mortgage Loan has credit characteristics consistent with that of an obligation
rated "Aaa" and "AAA" by Moody's and S&P, respectively.
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<PAGE>
TERMS AND CONDITIONS OF THE UNDERLYING MORTGAGE LOANS
Due Dates. Subject, in some cases, to a next business day convention--
o 121 of the mortgage loans that we intend to include in the trust,
representing 63.2% of the initial mortgage pool balance, provide for
monthly debt service payments to be due on the first day of each month,
and
o 40 of the mortgage loans that we intend to include in the trust,
representing 34.8% of the initial mortgage pool balance, provide for
monthly payments to be due on the eleventh day of each month, and
o six of the mortgage loans that we intend to include in the trust,
representing 2.0% of the initial mortgage pool balance, provide for
monthly payments to be due on the sixth day of each month.
Each mortgage loan provides--
o for a grace period for the payment of monthly debt service payments that
does not go beyond the eleventh day of each month and/or
o that Default Interest will commence accruing if a monthly debt service
payment has not been made as of the eleventh day of any month.
Mortgage Rates; Calculations of Interest. In general, each of the mortgage
loans that we intend to include in the trust bears interest at a mortgage
interest rate that, in the absence of default, is fixed until maturity.
However, as described below under "--ARD Loans", each ARD Loan that remains
outstanding past its anticipated repayment date will accrue interest after that
date at a rate that is in excess of its mortgage interest rate prior to that
date, but the additional interest will not be payable until the entire
principal balance of the mortgage loan has been paid in full.
The current mortgage interest rate for each of the mortgage loans that we
intend to include in the trust is shown on Annex A-1 to this prospectus
supplement. As of the cut-off date, those mortgage interest rates ranged from
7.390% per annum to 10.000% per annum, and the weighted average of those
mortgage interest rates was 8.425% per annum.
Except in the case of ARD Loans, none of the mortgage loans that we intend
to include in the trust provides for negative amortization or for the deferral
of interest.
Each of the pooled mortgage loans will accrue interest on the basis of one
of the following conventions:
o the actual number of days elapsed during each one-month accrual period in
a year of 360 days; or
o a 360-day year consisting of twelve 30-day months;
The table below shows the number of, and percentage of initial mortgage
pool balance represented by, mortgage loans that accrue interest based on each
of the foregoing conventions.
<TABLE>
<CAPTION>
% OF
NUMBER OF INITIAL MORTGAGE
INTEREST ACCRUAL BASIS MORTGAGE LOANS POOL BALANCE
---------------------- ---------------- -----------------
<S> <C> <C>
Actual/360 Basis ................. 159 97.9%
30/360 Basis ..................... 8 2.1%
</TABLE>
Balloon Loans. One hundred thirty-seven of the mortgage loans that we
intend to include in the trust, representing 66.9% of the initial mortgage pool
balance, are characterized by--
o an amortization schedule that is significantly longer than the actual
term of the mortgage loan, and
o a substantial balloon payment being due with respect to the mortgage loan
on its stated maturity date.
ARD Loans. Twenty-two of the mortgage loans that we intend to include in
the trust, representing 31.0% of the initial mortgage pool balance, are
characterized by the following features:
o A maturity date that is more than 25 years following origination.
o The designation of an anticipated repayment date that is generally 10
years following origination. The anticipated repayment date for each of
the ARD Loans is listed on Annex A-1 to this prospectus supplement.
o The ability of the related borrower to prepay the mortgage loan, without
restriction, including without any obligation to pay a prepayment premium
or a yield maintenance charge, at any time on or after a date that is
generally one to three months prior to the related anticipated repayment
date.
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<PAGE>
o Until its anticipated repayment date, the calculation of interest at its
initial mortgage interest rate.
o From and after its anticipated repayment date, the accrual of interest at
a revised annual rate that will be at least two percentage points in
excess of its initial mortgage interest rate.
o The deferral of any additional interest accrued with respect to the
mortgage loan from and after the related anticipated repayment date at
the difference between its revised mortgage interest rate and its initial
mortgage interest rate. This Post-ARD Additional Interest may, in some
cases, compound at the new revised mortgage interest rate. Any Post-ARD
Additional Interest accrued with respect to the mortgage loan following
its anticipated repayment date will not be payable until the entire
principal balance of the mortgage loan has been paid in full.
o From and after its anticipated repayment date, the accelerated
amortization of the mortgage loan out of any and all monthly cash flow
from the corresponding mortgaged real property which remains after
payment of the applicable monthly debt service payments, permitted
operating expenses, capital expenditures and/or specified reserves, as
the case may be. These accelerated amortization payments and the Post-ARD
Additional Interest are considered separate from the monthly debt
service payments due with respect to the mortgage loan.
As discussed under "Ratings" in this prospectus supplement, the ratings on
the respective classes of offered certificates do not represent any assessment
of whether and to what extent accelerated amortization payments or Post-ARD
Additional Interest will be received.
One of the ARD Loans, representing 3.6% of the initial mortgage pool
balance, provides for interest-only payments prior to its anticipated repayment
date.
In the case of each of the ARD Loans that we intend to include in the
trust, the related borrower has agreed to enter into a cash management
agreement no later than the related anticipated repayment date, if it has not
already done so. The related borrower or the manager of the corresponding
mortgaged real property will be required under the terms of that cash
management agreement to deposit or cause the deposit of all revenue from that
property received after the related anticipated repayment date into a
designated account controlled by the lender under the ARD Loan.
Fully Amortizing Loans. Eight of the mortgage loans that we intend to
include in the trust, representing 2.1% of the initial mortgage pool balance,
are characterized by--
o constant monthly debt service payments throughout the substantial term of
the mortgage loan, and
o an amortization schedule that is approximately equal to the actual term
of the mortgage loan.
None of these fully amortizing loans has either--
o an anticipated repayment date, or
o the associated repayment incentives.
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<PAGE>
Amortization of Principal. The table below shows, in months, the original
and, as of the cut-off date, the remaining amortization schedules and terms to
maturity for the mortgage loans that we expect to back the offered certificates
or the specified sub-groups of those mortgage loans. For purposes of the
following table, the ARD Loans are assumed to mature on their respective
anticipated repayment dates.
<TABLE>
<CAPTION>
BALLOON LOANS ARD LOANS FULLY AMORTIZING LOANS ALL MORTGAGE LOANS
--------------- ----------- ------------------------ -------------------
<S> <C> <C> <C> <C>
ORIGINAL TERM TO MATURITY (MOS.)
Maximum .......................... 180 120 239 239
Minimum .......................... 60 115 224 60
Weighted Average ................. 120 118 235 122
REMAINING TERM TO MATURITY (MOS.)
Maximum .......................... 178 118 237 237
Minimum .......................... 46 111 221 46
Weighted Average ................. 114 115 232 117
ORIGINAL AMORTIZATION TERM (MOS.)
Maximum .......................... 360 360 239 360
Minimum .......................... 240 0 224 0
Weighted Average ................. 352 356 235 351
REMAINING AMORTIZATION TERM (MOS.)
Maximum .......................... 360 358 237 360
Minimum .......................... 234 0 221 0
Weighted Average ................. 347 352 232 346
</TABLE>
Some of the pooled mortgage loans will, in each case, provide for a recast
of the amortization schedule and an adjustment of the monthly debt service
payments on the mortgage loan upon application of specified amounts of
condemnation proceeds or insurance proceeds to pay the related unpaid principal
balance.
Voluntary Prepayment Provisions. In general, at origination, the mortgage
loans that we intend to include in the trust, provided for a prepayment
lock-out period, during which voluntary principal prepayments are prohibited,
followed by one or more of the following--
o a defeasance period, during which voluntary principal prepayments are
prohibited, but the related borrower may obtain a release of the related
mortgaged real property through defeasance,
o a prepayment consideration period, during which voluntary prepayments are
permitted, subject to the payment of an additional consideration for the
prepayment, and
o an open prepayment period, during which voluntary principal prepayments
may be made without any prepayment consideration.
However, the Westfield Shoppingtown South Shore Mortgage Loan provides for a
period, following its initial prepayment lock-out period, when the loan may
either be defeased or voluntarily prepaid with a payment of additional
consideration, at the borrower's option.
Notwithstanding otherwise applicable lock-out periods, partial prepayments
of some of the pooled mortgage loans may occur under the circumstances
described under "--Terms and Conditions of the Underlying Mortgage Loans--Other
Prepayment Provisions" below.
The prepayment terms of each of the mortgage loans that we intend to
include in the trust are more particularly described in Annex A-1 to this
prospectus supplement.
As described below under "--Defeasance Loans", most of the pooled mortgage
loans will permit the related borrower to obtain a full or partial release of
the corresponding mortgaged real property from the related mortgage lien by
delivering U.S. government securities as substitute collateral. None of these
mortgage loans will permit defeasance prior to the second anniversary of the
date of initial issuance of the offered certificates. Defeasance can occur
during a prepayment lock-out period.
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<PAGE>
Prepayment Lock-out Periods. All of the mortgage loans that we intend to
include in the trust, representing 100% of the initial mortgage pool balance,
provide for prepayment lock-out periods as of the cut-off date. With respect to
those mortgage loans--
o the maximum remaining prepayment lock-out/defeasance period as of that
date is 237 months,
o the minimum remaining prepayment lock-out/defeasance period as of that
date is 45 months, and
o the weighted average remaining prepayment lock-out/defeasance period as
of that date is 116 months.
The information in the three bullets above, does not include the
defeasance period for the Westfield Shoppingtown South Shore Mortgage Loan,
which represents 8.6% of the initial mortgage pool balance, because that
mortgage loan may be voluntarily prepaid during its defeasance period.
Eleven of the mortgage loans, representing 10.8% of the initial mortgage
pool balance, provide for a period, following the initial prepayment lock-out
period, when the loan is prepayable with a payment of additional consideration
for prepayment, but do not provide for defeasance.
Notwithstanding otherwise applicable lock-out periods, partial prepayments
of some of the pooled mortgage loans may occur under the circumstances
described under "--Terms and Conditions of the Underlying Mortgage Loans--Other
Prepayment Provisions" below.
Prepayment Consideration. Following an initial prepayment lock-out period,
11 of the mortgage loans that we intend to include in the trust, representing
10.8% of the initial mortgage pool balance, provide for the payment of
prepayment consideration in connection with a voluntary prepayment during part
of the loan term. That prepayment consideration will equal either an amount
calculated based on a yield maintenance formula or the greater of an amount
calculated based on a yield maintenance formula and a percentage of the amount
prepaid.
Prepayment premiums and yield maintenance charges received on the pooled
mortgage loans, whether in connection with voluntary or involuntary
prepayments, will be allocated and paid to the persons, in the amounts and in
accordance with the priorities described under "Description of the Offered
Certificates--Payments--Payments of Prepayment Premiums and Yield Maintenance
Charges" in this prospectus supplement. Limitations may exist under applicable
state law on the enforceability of the provisions of the pooled mortgage loans
that require payment of prepayment premiums or yield maintenance charges.
Neither we nor the underwriters make any representation or warranty as to the
collectibility of any prepayment premium or yield maintenance charge with
respect to any of the mortgage loans included in the trust. See "Risk
Factors--Some Provisions in the Mortgage Loans Underlying Your Offered
Certificates May Be Challenged as Being Unenforceable--Prepayment Premiums,
Fees and Charges" and "Legal Aspects of Mortgage Loans--Default Interest and
Limitations on Prepayments" in the accompanying prospectus.
Open Prepayment Periods. One hundred twenty-two of the mortgage loans that
we intend to include in the trust, representing 78.7% of the initial mortgage
pool balance, provide for an open prepayment period. That open prepayment
period generally begins one to six months prior to stated maturity or, in the
case of an ARD Loan, prior to the related anticipated repayment date.
Other Prepayment Provisions. None of the mortgage loans that we intend to
include in the trust provide for mandatory partial prepayments based on the
failure to satisfy property performance criteria.
However, most of the mortgage loans that we intend to include in the trust
provide that condemnation proceeds and insurance proceeds may be applied to
reduce the mortgage loan's principal balance, to the extent such funds will not
be used to repair the improvements on the mortgaged real property or given to
the related borrower.
Investors should not expect any prepayment consideration to be paid in
connection with any mandatory partial prepayment described in the prior
paragraph.
Defeasance Loans. One hundred fifty-five of the mortgage loans that we
intend to include in the trust, representing 80.6% of the initial mortgage pool
balance, permit the respective borrowers to, in each case, defease the subject
mortgage loan in whole or, in some cases, in part, during a period that
voluntary prepayments are prohibited. In addition, the Westfield Shoppingtown
South Shore Mortgage Loan provides for a period when the related borrower may,
at its option, either prepay the loan with prepayment consideration or defease
the loan.
S-40
<PAGE>
Each of these mortgage loans permits the related borrower, during
specified periods and subject to specified conditions, to defease the mortgage
loan by pledging to the holder of the mortgage loan the requisite amount of
direct, non-callable U.S. government securities and obtaining a release of the
related mortgaged real property or, if applicable, one or more of the related
mortgaged real properties.
In general, the U.S. government securities that are to be delivered in
connection with the defeasance of any mortgage loan, must provide for a series
of payments that--
o will be made prior, but as closely as possible, to all successive due
dates through and including the maturity date or, if applicable, the
related anticipated repayment date, and
o will, in the case of each due date, be in a total amount equal to or
greater than the monthly debt service payment, including any applicable
balloon payment, scheduled to be due or deemed due on that date, with any
excess to be returned to the related borrower.
If fewer than all of the real properties securing any particular mortgage
loan or group of cross-collateralized mortgage loans are to be released in
connection with any defeasance, the requisite defeasance collateral will be
calculated to equal 125% of the allocated loan amount for the properties to be
released.
In connection with any delivery of defeasance collateral, the related
borrower will be required to deliver a security agreement granting the trust a
first priority security interest in the collateral, together with an opinion of
counsel confirming the first priority status of the security interest. Also, a
borrower will generally be required to deliver a certification from an
independent accounting firm to the effect that the defeasance collateral is
sufficient to make all scheduled debt service payments under the related
mortgage loan through maturity or, if applicable, the related anticipated
repayment date.
None of the mortgage loans that we intend to include in the trust may be
defeased prior to the second anniversary of the date of initial issuance of the
certificates.
Due-on-Sale and Due-on-Encumbrance Provisions. All of the mortgage loans
that we intend to include in the trust contain both a due-on-sale clause and a
due-on-encumbrance clause. In general, except for the permitted transfers
discussed below in this "--Due-on-Sale and Due-on-Encumbrance Provisions"
subsection, these clauses either:
o permit the holder of the related mortgage to accelerate the maturity of
the mortgage loan if the borrower sells or otherwise transfers or
encumbers the corresponding mortgaged real property, or
o prohibit the borrower from transferring or encumbering the corresponding
mortgaged real property without the consent of the holder of the
mortgage.
See, however, "Risk Factors--The Investment Performance of Your Offered
Certificates Will Depend on Payments, Defaults and Losses on the Underlying
Mortgage Loans; and Those Payments, Defaults and Losses May Be Highly
Unpredictable--Delinquencies, Defaults and Losses on the Underlying Mortgage
Loans May Affect the Amount and Timing of Payments on Your Offered
Certificates; and the Rate and Timing of Those Delinquencies and Defaults, and
the Severity of Those Losses, Are Highly Unpredictable" and "--Some Provisions
in the Mortgage Loans Underlying Your Offered Certificates May Be Challenged as
Being Unenforceable--Due-on-Sale and Debt Acceleration Clauses" and "Legal
Aspects of Mortgage Loans--Due on Sale and Due-on-Encumbrance Provisions" in
the accompanying prospectus.
All of the mortgage loans that we intend to include in the trust permit
one or more of the following types of transfers:
o transfers of the corresponding mortgaged real property if specified
conditions are satisfied, which conditions normally include one or both of
the following--
1. confirmation by each applicable rating agency that the transfer will
not result in a qualification, downgrade or withdrawal of any of its
then current ratings of the certificates, or
2. the reasonable acceptability of the transferee to the lender;
o a transfer of the corresponding mortgaged real property to a person that
is affiliated with or otherwise related to the borrower;
o transfers by the borrower of the corresponding mortgaged real property to
specified entities or types of entities;
o a transfer of non-controlling ownership interests in the related
borrower; or
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<PAGE>
o transfers of interests in the related borrower for estate planning
purposes or otherwise upon the death of a principal.
CTL LOANS
Eight mortgage loans that we intend to include in the trust, representing
2.1% of the initial mortgage pool balance, are CTL Loans. CTL Loans are secured
by mortgaged real properties occupied primarily or wholly by Credit Tenants who
have, or whose parent entities or lease guarantors have investment grade
ratings.
In the case of each CTL Loan, the related Credit Tenant Lease has a
primary lease term that expires on or after the scheduled final maturity date
of that mortgage loan. The CTL Loans, exclusive of any balloon payment under
those loans, are scheduled to be fully repaid from monthly rental payments made
over the primary term of the related Credit Tenant Lease. In connection with
each CTL Loan that provides for a balloon payment, the trust will have the
benefit of a residual value insurance policy that insures the payment of the
balloon payment to the extent that the related mortgaged real property cannot
be sold for that amount at the stated maturity date because of changes in
market conditions. Some of the Credit Tenant Leases give the Credit Tenant the
right to extend the term of the Credit Tenant Lease by one or more renewal
periods after the end of the primary lease term.
The table below shows, for each Credit Tenant or related guarantor of the
tenant's obligation under the related Credit Tenant Lease, the number and total
cut-off date principal balance of the related CTL Loan or Loans, the rating of
the Credit Tenant, its parent or any guarantor of the tenant's obligations
under the related Credit Tenant Lease and the Credit Tenant Lease type.
<TABLE>
<CAPTION>
CUT-OFF CREDIT CREDIT
NUMBER OF DATE PRINCIPAL RATING RATING
TENANT/GUARANTOR LOANS BALANCE LEASE TYPE (MOODY'S) (S&P)
-------------------------------- ----------- ---------------- --------------- ----------- -------
<S> <C> <C> <C> <C> <C>
Walgreens Company ......... 3 $10,069,545 NN Aa3 A+
CVS Corporation ........... 4 9,614,247 NN, NNN, Bond A3 A
Mobil Corporation ......... 1 1,351,232 NNN Aaa AAA
Total ................. 8 $21,035,024
</TABLE>
For the purposes of the foregoing table--
o "Bond" means Bond-Type Lease; "NNN" means Triple-Net Lease; and "NN"
means Double-Net lease.
o Unless otherwise indicated, the specified ratings are, in each case, the
highest rating assigned to long-term debt obligations of the related
tenant or guarantor, as applicable, by Moody's and S&P, respectively. Any
of the specified ratings may be downgraded or withdrawn at any time, and
there can be no assurance that the assigning rating agency is not
contemplating that action currently.
o Mobil Corporation is the parent of the tenant, which is an unrated
operating subsidiary. The tenant holds substantially all the assets of
Mobil Corporation.
Each Credit Tenant Lease generally provides that the related Credit Tenant
is responsible for all real property taxes and assessments levied or assessed
against the related mortgaged real property and, in the case of Bond-Type
Leases and Triple-Net Leases, for all charges for utility services, insurance
and other operating expenses incurred in connection with the operation of the
related mortgaged real property.
Generally, each CTL Loan provides that if the Credit Tenant defaults
beyond applicable notice and grace periods in the performance of any covenant
or agreement in the related Credit Tenant Lease, then the holder of the related
mortgage loan may require that the related borrower either:
o terminate that Credit Tenant Lease, or
o refrain from the exercise of any of its rights thereunder.
A default of this type will constitute a default under the related CTL Loan,
although in some cases, the related borrower may possess cure rights.
In addition, most of the Credit Tenant Leases permit the Credit Tenant, at
its own expense, and generally with the consent of the related borrower, to
make alterations or improvements on the leased premises. Those actions, if
undertaken by the tenant, will not affect the tenant's obligation under the
Credit Tenant Lease.
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<PAGE>
At the end of the term of the Credit Tenant Leases, Credit Tenants are
generally obligated to surrender the leased premises in good order and in the
original condition received by the Credit Tenant, except for ordinary wear and
tear and repairs required or permitted to be performed by the borrower.
In general, each Credit Tenant is obligated under its Credit Tenant Lease
to make all monthly rental payments directly to the owner of the related CTL
Loan.
In connection with each Triple-Net Lease and Double-Net Lease, the trust
will have the benefit of a noncancelable lease enhancement policy. A lease
enhancement policy is an insurance policy that provides, subject to customary
exclusions, that in the event of a permitted termination by a Credit Tenant of
its Credit Tenant Lease as a result of a casualty or condemnation, the insurer
will pay to the master servicer on behalf of the trustee a sum equal to all
outstanding principal plus accrued interest on the CTL Loan, subject to the
limitation that the insurer is not required to pay interest for a period
greater than 75 days past the date of the Credit Tenant's termination of its
Credit Tenant Lease. If the Credit Tenant Lease permits the Credit Tenant to
abate all or a portion of the rent in the event of a casualty or partial
condemnation, the sum payable by the insurer will be an amount equal to the
portion of any monthly rental payments not made by that Credit Tenant for the
period from the date the abatement commences until the earlier of the date the
abatement ceases or the expiration date of the initial term of the Credit
Tenant Lease. The insurer is not required to pay amounts due under any CTL Loan
other than principal and, subject to the limitation above, accrued interest.
Each lease enhancement policy contains some exclusions from coverage,
including loss arising from damage or destruction directly or indirectly caused
by war, insurrection, pollutants or radioactive matter, or from a taking, other
than by condemnation.
We indicate on Annex A-1 to this prospectus supplement, by the designation
"CTL" in the property type column, which of the mortgage loans that we intend
to include in the trust are CTL Loans.
MORTGAGE POOL CHARACTERISTICS
General. A detailed presentation of various characteristics of the
mortgage loans that we intend to include in the trust, and of the corresponding
mortgaged real properties, on an individual basis and in tabular format, is
shown on Annex A-1, Annex A-2, Annex A-3 and Annex B to this prospectus
supplement. The statistics in the tables and schedules on Annex A-1, Annex A-2,
Annex A-3 and Annex B to this prospectus supplement were derived, in many
cases, from information and operating statements furnished by or on behalf of
the respective borrowers. The information and the operating statements were
generally unaudited and have not been independently verified by us or the
underwriters.
SIGNIFICANT MORTGAGE LOANS WITH AFFILIATED BORROWERS
General. The respective borrowers under the Westfield Shoppingtown South
Shore Mortgage Loan and the Westfield Shoppingtown Plaza Camino Real Mortgage
Loan are affiliates. Each of those borrowers is a California limited
partnership that is indirectly controlled by Westfield America, Inc. Westfield,
headquartered in Los Angeles, California, is an owner and manager of major
shopping centers, with interests, as of March 31, 2000, in 38 enclosed
super-regional and regional malls and power centers branded as "Westfield
Shoppingtowns". The portfolio of Westfield Shoppingtowns includes shopping
centers in major markets in the east coast, midwest and west coast regions of
the United States. Westfield and its affiliates manage over 37.6 million square
feet of gross leasable space in the United States. Westfield is a publicly
traded real estate investment trust, and its shares are listed on the New York
Stock Exchange under the symbol WEA.
The Westfield Shoppingtown South Shore Mortgage Loan. The Westfield
Shoppingtown South Shore Mortgage Loan has a cut-off date principal balance of
$85,932,282, representing 8.6% of the initial mortgage pool balance. The
Westfield Shoppingtown South Shore Mortgage Loan is secured by a first priority
mortgage lien on the fee simple interest of the borrower in the Westfield
Shoppingtown South Shore Mortgaged Property, consisting of a 1,154,671 square
foot regional mall known as Westfield Shoppingtown South Shore located in Bay
Shore, New York. The Westfield Shoppingtown South Shore Mortgage Loan has
credit characteristics consistent with that of an obligation rated "A3" and "A"
by Moody's and S&P, respectively.
The Westfield Shoppingtown South Shore Mortgage Loan is an ARD Loan with
an anticipated repayment date of December 11, 2009 and a maturity date of
December 11, 2029. The Westfield Shoppingtown South Shore Mortgage Loan
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<PAGE>
accrues interest on an Actual/360 Basis. Until its anticipated repayment date,
the Westfield Shoppingtown South Shore Mortgage Loan will accrue interest at a
mortgage interest rate of 8.177% per annum. From and after its anticipated
repayment date, the Westfield Shoppingtown South Shore Mortgage Loan will
accrue interest at a revised annual rate equal to 10.177% per annum.
On the eleventh day of each month, continuing through and including the
maturity date, the borrower is required to make a constant monthly debt service
payment on the Westfield Shoppingtown South Shore Mortgage Loan, equal to
$644,284.70.
From and after its anticipated repayment date, the borrower must apply
certain excess cash flow from the Westfield Shoppingtown South Shore Mortgaged
Property towards additional amortization of the Westfield Shoppingtown South
Shore Mortgage Loan. The payment of any Post-ARD Additional Interest accrued on
the Westfield Shoppingtown South Shore Mortgage Loan will be deferred until the
principal balance of the Westfield Shoppingtown South Shore Mortgage Loan is
repaid in full. To the extent permitted by law, that Post-ARD Additional
Interest will compound at the revised mortgage interest rate.
Provided no event of default exists under the Westfield Shoppingtown South
Shore Mortgage Loan, the borrower may voluntarily prepay the Westfield
Shoppingtown South Shore Mortgage Loan, in whole only, at any time after
December 9, 2002. However, until the third due date prior to its anticipated
repayment date, the borrower will be required to pay a yield maintenance
premium in connection with any voluntary prepayment.
The borrower may defease the entire Westfield Shoppingtown South Shore
Mortgage Loan, on any due date after December 9, 2002 and prior to its
anticipated repayment date, by pledging substitute collateral that consists
solely of direct non-callable and non-redeemable United States government
securities that produce payments which replicate the payment obligations of the
borrower under the Westfield Shoppingtown South Shore Mortgage Loan and repay
the Westfield Shoppingtown South Shore Mortgage Loan in full on the anticipated
repayment date. In connection with that defeasance, the Westfield Shoppingtown
South Shore Mortgaged Property will be released from the lien of the related
mortgage instrument.
The Westfield Shoppingtown South Shore Mortgaged Property. The Westfield
Shoppingtown South Shore Mortgaged Property is a 1,154,671 square foot enclosed
regional mall located in Bay Shore, Suffolk County, New York. The Westfield
Shoppingtown South Shore Mortgaged Property was built in 1963 and renovated and
expanded in 1997 and 1998, resulting in the addition of a third and fourth
anchor and expanded in-line mall space. The mall's four anchors are Macy's,
Sears, JC Penney and Lord & Taylor, which occupy 857,261 square feet or 74.2%
of the total gross leasable area. All of the anchor space is owned by the
borrower, except for Lord & Taylor, which owns its improvements and leases its
pad from the borrower. In-line mall space totals 297,410 square feet, or 25.8%
of the gross leasable area. Major in-line tenants include Lerner New York,
Record Town, The Gap, Finish Line and Ann Taylor Loft. Average in-line mall
sales for 1999 were reported by the borrower to the related originator to be
$393 per square foot. For 1999, in-line tenant occupancy costs as a percentage
of sales, based on an analysis of reported base rent and reimbursements at
Westfield Shoppingtown South Shore, were 15.3%. As of May 1, 2000, based on
square footage leased, in-line occupancy at Westfield Shoppingtown South Shore
was 93.7% and overall mall occupancy was 98.4%.
S-44
<PAGE>
The tables below provide the indicated information regarding tenants and
leases at Westfield Shoppingtown South Shore.
GROSS LEASABLE AREA (GLA)
OVERVIEW OF WESTFIELD SHOPPINGTOWN SOUTH SHORE
<TABLE>
<CAPTION>
ANCHOR LEASE
SQUARE FEET AS % OF GLA EXPIRATION
------------- ------------- -------------
<S> <C> <C> <C>
ANCHORS
Macy's (Federated) ............... 318,804 27.6% January-12
Sears ............................ 216,341 18.7% September-12
JC Penney ........................ 202,116 17.5% April-02
Lord & Taylor (May) .............. 120,000 10.4% January-59
------- -----
TOTAL ANCHOR SPACE ............... 857,261 74.2%
TOTAL IN-LINE MALL SPACE ......... 297,410 25.8%
------- -----
TOTAL GLA ........................ 1,154,671 100.0%
</TABLE>
Please note the following with respect to the foregoing table--
o The information provided is based on the May 1, 2000 rent roll.
o Lord & Taylor owns its improvements and leases its pad from the
borrower under the Westfield Shoppingtown South Shore Mortgage Loan.
Only the Lord & Taylor pad is part of the collateral for the Westfield
Shoppingtown South Shore Mortgage Loan.
o The totals presented may not reflect the exact sum of the information
in the related columns due to rounding.
LARGEST IN-LINE TENANTS AT WESTFIELD SHOPPINGTOWN SOUTH SHORE
<TABLE>
<CAPTION>
TENANT SQUARE FEET LEASE EXPIRATION DATE
------ ------------- ----------------------
<S> <C> <C>
Record Town ................. 13,312 July-07
Lerner New York ............. 12,158 January-03
The Finish Line ............. 9,216 January-09
Old Country Buffet .......... 9,182 December-14
CVS ......................... 7,862 January-05
Express ..................... 7,364 August-04
TGI Friday's ................ 6,830 January-09
Foot Locker ................. 6,573 January-09
Victoria's Secret ........... 6,504 July-05
Ann Taylor Loft ............. 6,066 January-10
------
TOTAL ....................... 85,067
</TABLE>
The information provided in the foregoing table is based on the May 1,
2000 rent roll.
S-45
<PAGE>
LEASE EXPIRATION SCHEDULE FOR
IN-LINE TENANTS AT WESTFIELD SHOPPINGTOWN SOUTH SHORE
<TABLE>
<CAPTION>
EXPIRING IN-LINE AS % OF TOTAL
YEAR SQUARE FEET IN-LINE SQUARE FEET CUMULATIVE %
---- ------------------ --------------------- -------------
<S> <C> <C> <C>
2000 .................... 4,305 1.4% 1.4%
2001 .................... 14,070 4.7% 6.1%
2002 .................... 7,904 2.7% 8.8%
2003 .................... 25,535 8.6% 17.4%
2004 .................... 14,367 4.8% 22.2%
2005 .................... 34,526 11.6% 33.8%
2006 .................... 8,852 3.0% 36.8%
2007 .................... 27,753 9.3% 46.1%
2008 .................... 51,626 17.4% 63.5%
2009 .................... 51,528 17.3% 80.8%
2010 and beyond ......... 38,279 12.9% 93.7%
Vacant .................. 18,665 6.3% 100.0%
------ -----
TOTAL ................... 297,410 100.0%
5 Year Avg.
Rollover ................ 13,236 4.5%
7 Year Avg.
Rollover ................ 15,651 5.3%
</TABLE>
Please note the following with respect to the foregoing table--
o The information provided is based on the May 1, 2000 rent roll.
o The totals presented may not reflect the exact sum of the information in
the related columns due to rounding.
o The average rollover information shown at the bottom of the table
excludes vacant in-line space.
Property Management. The Westfield Shoppingtown South Shore Mortgaged
Property is managed by Westfield Corporation, Inc., an affiliate of the
borrower.
Cut-off Date Loan-to-Value Ratio. Based on an appraisal conducted in June
1999 by a third-party appraiser, the appraised value of the Westfield
Shoppingtown South Shore Mortgaged Property is $177,400,000. Based on that
appraised value, the Westfield Shoppingtown South Shore Mortgage Loan has a
Cut-off Date Loan-to-Value Ratio of 48.4%.
Cut-off Date Debt Service Coverage Ratio. The Net Cash Flow for the
Westfield Shoppingtown South Shore Mortgaged Property, calculated as of May,
2000, was $12,719,735. Based on that Net Cash Flow, the Westfield Shoppingtown
South Shore Mortgage Loan has a Cut-off Date Debt Service Coverage Ratio of
1.65:1.
Reserves and Escrows. If the debt service coverage ratio for the Westfield
Shoppingtown South Shore Mortgage Loan falls below 1.25:1 or an event of
default occurs and is continuing, the borrower will be required to make ongoing
reserve and escrow payments for tenant improvements, leasing commissions,
operating expenses and capital expenditures. If the borrower is required to
make these payments due to a decline in debt service coverage ratio, the
borrower has a one-time opportunity to terminate the making of those payments
by depositing cash or a letter of credit with the holder of the Westfield
Shoppingtown South Shore Mortgage Loan in an amount sufficient to raise the
debt service coverage ratio of the Westfield Shoppingtown South Shore Mortgage
Loan to at least 1.30:1 and sufficient to keep the debt service coverage ratio
of the Westfield Shoppingtown South Shore Mortgage Loan at 1.25:1 or greater at
the end of the immediately following quarter. A subsequent decline in the debt
service coverage ratio of the Westfield Shoppingtown South Shore Mortgage Loan
to below 1.25:1 will result in the borrower's having to again make the reserve
and escrow payments described above unless the borrower is already making those
payments due to the existence of an event of default. The borrower will not be
able to again deposit any funds or letter of credit in order to stop having to
make those payments. Other than the borrower's one-time opportunity to
terminate its obligation to make reserve and escrow payments as described
above, the borrower's obligation to make those payments otherwise will cease
only upon the cessation of the related event of default or an increase in the
debt
S-46
<PAGE>
service coverage ratio for the Westfield Shoppingtown South Shore Mortgage Loan
to 1.25:1 or greater for two consecutive fiscal quarters, in each case so long
as no other event giving rise to the obligation to make escrow and reserve
payments is then currently existing.
Lockbox. The borrower has established a segregated account controlled by
the lender into which all rents, income, receipts, profits and other
consideration attributable to the Westfield Shoppingtown South Shore Mortgaged
Property are required to be deposited.
The Westfield Shoppingtown Plaza Camino Real Mortgage Loan. The Westfield
Shoppingtown Plaza Camino Real Mortgage Loan, which is the third largest
mortgage loan in the mortgage pool, has a cut-off date principal balance of
$36,000,000, representing 3.6% of the initial mortgage pool balance. The
Westfield Shoppingtown Plaza Camino Real Mortgage Loan is secured by a first
priority mortgage lien on the fee simple interest of the borrower in the
Westfield Shoppingtown Plaza Camino Real Mortgaged Property, made up of the
in-line mall space, one anchor store pad and four outparcel pads in a 1,148,028
square foot regional mall known as Westfield Shoppingtown Plaza Camino Real
located in Carlsbad, California. The Westfield Shoppingtown Plaza Camino Real
Mortgage Loan has credit characteristics consistent with that of an obligation
rated "Aaa" and "AAA" by Moody's and S&P, respectively.
The Westfield Shoppingtown Plaza Camino Real Mortgage Loan is an ARD Loan
with an anticipated repayment date of June 11, 2010 and a maturity date of June
11, 2030. The Westfield Shoppingtown Plaza Camino Real Mortgage Loan accrues
interest on an Actual/360 Basis. Until its anticipated repayment date, the
Westfield Shoppingtown Plaza Camino Real Mortgage Loan will accrue interest at
a mortgage interest rate of 7.65% per annum. From and after its anticipated
repayment date, the Westfield Shoppingtown Plaza Camino Real Mortgage Loan will
accrue interest at a revised annual rate equal to the greater of--
o 12.65% per annum, and
o the sum of a specified U.S. Treasury rate plus 5%.
On the eleventh day of each month, the borrower under the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan is required to make monthly
interest-only payments through and including the May 11, 2030 payment date.
From and after its anticipated repayment date, however, the borrower will be
required to apply certain excess cash flow from the Westfield Shoppingtown
Plaza Camino Real Mortgaged Property towards amortization of the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan.
The payment of any Post-ARD Additional Interest on the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan will be deferred until the
principal balance of the Westfield Shoppingtown Plaza Camino Real Mortgage Loan
is repaid in full. To the extent permitted by law, that Post-ARD Additional
Interest will compound at the revised mortgage interest rate.
The borrower is prohibited from voluntarily prepaying the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan in whole or in part prior to
September 2002. Thereafter, up to the beginning of the three-month period prior
to the anticipated repayment date, the borrower may prepay the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan, in whole only, subject to the
payment of prepayment consideration equal to the greater of (a) 1% of the then
outstanding principal balance and (b) an amount derived from a yield
maintenance calculation set forth in the mortgage instrument. Commencing with
and following the third month prior to its anticipated repayment date, the
borrower may prepay the Westfield Shoppingtown Plaza Camino Real Mortgage Loan
without payment of any prepayment consideration.
The Westfield Shoppingtown Plaza Camino Real Mortgaged Property. Westfield
Shoppingtown Plaza Camino Real is a 1,148,028 square foot enclosed regional
mall located in Carlsbad, California, approximately 30 miles north of downtown
San Diego. Plaza Camino Real, which was built in 1969 with two anchors, was
renovated and expanded in 1979 to include three additional anchors and was
further renovated in 1989. The mall's five anchors are JC Penney, Macy's,
Sears, Robinsons-May and Macy's Men's & Home Store, which occupy 718,210 square
feet or 62.6% of the total gross leasable area. However, four of the anchors
are not part of the Westfield Shoppingtown Plaza Camino Real Mortgaged Property
and therefore are not part of the collateral for the Westfield Shoppingtown
Plaza Camino Real Mortgage Loan: Macy's, Robinsons-May and Macy's Men's & Home
Store, all of which own their improvements and pads, and JC Penney, which owns
its improvements and leases its pad from a third party. Sears owns its
improvements and leases its pad from the borrower, which pad is part of the
collateral for the Westfield Shoppingtown Plaza Camino Real Mortgage Loan.
In-line mall space totals 381,802 square feet, or 33.3% of the gross leaseable
area and includes national and specialty retailers such as Gap/Gap Kids,
Charlotte Russe, Express, The Disney Store, The Bombay Company, Lerner New York
and Ann Taylor Loft. In addition, there are four
S-47
<PAGE>
outparcels with a total of 48,016 square feet. Two of the outparcel pads, along
with the improvements, are owned by the borrower and are therefore part of the
collateral for the Westfield Shoppingtown Plaza Camino Real Mortgage Loan. The
remaining two outparcel tenants own their improvements, which are not part of
the loan collateral, and lease their pads, which are part of the loan
collateral, from the borrower under the Westfield Shoppingtown Plaza Camino
Real Mortgage Loan. The outparcel tenants referred to in the prior sentence are
the four-screen Cinema Plaza Theater with 21,432 square feet and Reuben's
Restaurant with 12,883 square feet. Average in-line mall sales for 1999 were
reported by the borrower to the originator to be $320 per square foot. In-line
tenant occupancy costs as a percentage of sales were reported by the borrower
to the originator to be 13.1% for 1999. As of May 2000, based on square footage
leased, in-line occupancy at Westfield Shoppingtown Plaza Camino Real was 89.6%
and overall mall occupancy was 96.1%.
The tables below provide the specified tenant and lease information
regarding Westfield Shoppingtown Plaza Camino Real.
GROSS LEASABLE AREA (GLA) OVERVIEW OF WESTFIELD SHOPPINGTOWN PLAZA CAMINO REAL
<TABLE>
<CAPTION>
ANCHOR LEASE OR REA
STORE SQUARE FEET AS % OF GLA EXPIRATION
----- ------------- ------------- --------------------
<S> <C> <C> <C>
Anchors
JC Penney ................ 154,093 13.4% June-68
Macy's ................... 152,000 13.2% June-68
Sears .................... 148,958 13.0% March-11
Robinsons-May ............ 148,159 12.9% June-68
Macy's Men's &
Home Store ............... 115,000 10.0% June-68
------- -----
TOTAL ANCHOR SPACE ....... 718,210 62.6%
TOTAL IN-LINE MALL
SPACE .................... 381,802 33.3%
Cinema Plaza Theater ..... 21,432 1.9%
Three Additional
Outparcels ............... 26,584 2.3%
------- -----
TOTAL GLA ................ 1,148,028 100.0%
</TABLE>
Please note the following with respect to the foregoing table--
o The information provided above is based on the April 1, 2000 rent roll,
updated for new leasing activity through May 2000.
o REA, as used in the lease expiration column above, means reciprocal
easement agreement.
o Macy's, Robinsons-May and Macy's Men's & Home Store each own their
improvements and their pads, and JC Penney owns its improvements and
leases its pad from a third party. Those improvements and pads are not
part of the collateral for the Westfield Shoppingtown Plaza Camino Real
Mortgage Loan.
o Sears owns its improvements and leases its pad from the borrower under
the Westfield Shoppingtown Plaza Camino Real Mortgage Loan with the lease
expiration noted above, subject to exercise of six 10-year renewal options
and a seventh renewal option of four years. The Sears pad is part of the
collateral for the Westfield Shoppingtown Plaza Camino Real Mortgage Loan.
o Cinema Plaza Theater owns its improvements and leases its pad from the
borrower under the Westfield Shoppingtown Plaza Camino Real Mortgage Loan.
The Cinema Plaza Theater pad is part of the collateral for the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan.
o Three additional outparcel pads contain a 9,250 square foot First
National Bank branch, a 12,883 square foot Reuben's Restaurant and a 4,451
square foot vacant outparcel. Reuben's owns its improvements and leases
its pad from the borrower under the Westfield Shoppingtown Plaza Camino
Real Mortgage Loan. The three outparcels and, except for the Reuben's pad,
their improvements, are part of the collateral for the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan.
S-48
<PAGE>
o The totals presented may not reflect the exact sum of the information in
the related columns due to rounding.
LARGEST IN-LINE TENANTS AT WESTFIELD SHOPPINGTOWN PLAZA CAMINO REAL
<TABLE>
<CAPTION>
TENANT SQUARE FEET LEASE EXPIRATION DATE
------ ------------- ----------------------
<S> <C> <C>
Venator ................... 61,635 January-04
Gap/Gap Kids .............. 8,413 January-06
Express ................... 8,390 January-01
O-Nami .................... 8,269 January-09
Charlotte Russe ........... 7,097 January-08
Forever 21 ................ 6,996 January-10
Miller's Outpost .......... 6,470 January-05
Lerner New York ........... 6,402 January-06
Footaction USA ............ 6,000 January-08
Ann Taylor Loft ........... 5,606 January-11
------
TOTAL ..................... 125,278
</TABLE>
Please note the following with respect to the foregoing table--
o The information provided above is based on the April 1, 2000 rent roll,
updated for new leasing activity through May 2000.
o Foot Locker, a division of Venator Group, formerly Woolworth, and third
party sub-tenants, Burger King, Popeye's and Afterthoughts, sub-lease
approximately 34,017 square feet of Venator's leased space. Venator has
vacated the remaining portion of its space but continues to pay rent under
its lease with respect to its 61,635 square foot space.
LEASE EXPIRATION SCHEDULE FOR
IN-LINE TENANTS AT WESTFIELD SHOPPINGTOWN PLAZA CAMINO REAL
<TABLE>
<CAPTION>
EXPIRING IN-LINE AS % OF TOTAL
YEAR SQUARE FEET IN-LINE SQUARE FEET CUMULATIVE%
---- ------------------ --------------------- ------------
<S> <C> <C> <C>
2000 .................... 970 0.3% 0.3%
2001 .................... 44,781 11.7% 12.0%
2002 .................... 13,791 3.6% 15.6%
2003 .................... 23,251 6.1% 21.7%
2004 .................... 77,634 20.3% 42.0%
2005 .................... 32,481 8.5% 50.5%
2006 .................... 35,077 9.2% 59.7%
2007 .................... 11,192 2.9% 62.6%
2008 .................... 37,137 9.7% 72.3%
2009 .................... 19,809 5.2% 77.5%
2010 and beyond ......... 45,892 12.0% 89.5%
Vacant .................. 39,787 10.4% 100.0%
------ -----
TOTAL ................... 381,802 100.0%
5 Year Avg. Rollover 32,085 8.4%
7 Year Avg. Rollover 32,569 8.5%
</TABLE>
Please note the following with respect to the foregoing table--
o The information provided above is based on the April 1, 2000 rent roll,
updated for new leasing activity through May 2000.
o The information regarding expiring in-line square feet includes Venator's
61,635 square feet.
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<PAGE>
o The totals presented may not reflect the exact sum of the information in
the related columns due to rounding.
o The average rollover information shown at the bottom of the table
excludes vacant in-line space.
Property Management. The Westfield Shoppingtown Plaza Camino Real
Mortgaged Property is managed by Westfield Corporation, Inc., an affiliate of
the borrower.
Cut-off Date Loan-to-Value Ratio. Based on an appraisal conducted in April
2000 by a third-party appraiser, the appraised value of the Westfield
Shoppingtown Plaza Camino Real Mortgaged Property is $141,900,000. Based on
that appraised value, the Westfield Shoppingtown Plaza Camino Real Mortgage
Loan has a Cut-off Date Loan-to-Value Ratio of 25.4%.
Cut-off Date Debt Service Coverage Ratio. The Net Cash Flow for the
Westfield Shoppingtown Plaza Camino Real Mortgaged Property, calculated as of
May, 2000 was $9,675,975. Based on that Net Cash Flow, the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan has a Cut-off Date Debt Service
Coverage Ratio of 3.47:1.
Reserves and Escrows. A completion repair reserve account with funds in
the amount of $94,375 was established by the borrower at the closing of the
Westfield Shoppingtown Plaza Camino Real Mortgage Loan. The borrower is
required to make monthly escrow payments for real estate taxes upon the
occurrence of any of the following events:
o an event of default under the Westfield Shoppingtown Plaza Camino Real
Mortgage Loan,
o the borrower's failure to repay the Westfield Shoppingtown Plaza Camino
Real Mortgage Loan in full by its anticipated repayment date, or
o the expiration of a business day after the borrower is notified that the
debt service coverage ratio of the Westfield Shoppingtown Plaza Camino
Real Mortgage Loan is below either--
(1) 1.35:1, or
(2) 1.40:1, after the borrower exercises its one-time right to raise the
debt service coverage ratio from below 1.35:1 as described in the
following sentence.
In addition, in the event of the occurrence of an event of default, the
borrower will also be required to make monthly escrow payments for insurance
premiums.
As indicated above, provided that the Westfield Shoppingtown Plaza Camino
Real Mortgage Loan has not experienced its anticipated repayment date and
provided that no event of default has occurred and is continuing, the borrower
has a one-time right to improve the debt service coverage ratio of the
Westfield Shoppingtown Plaza Camino Real Mortgage Loan. This would be achieved
by the borrower depositing cash or a letter of credit in an amount that if
applied to reduce the outstanding principal balance of the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan would result in a debt service
coverage ratio of at least 1.40:1. As a result of the borrower's successful
exercise of its one-time cure right, the borrower would not be obligated to
make the monthly insurance escrow payments described above.
Lockbox. Upon the occurrence of any of the triggering events described
under "--Reserves and Escrows" above, the borrower will be required to
establish a segregated lockbox account into which all income from the mortgaged
real property, after funds for the taxes and insurance premiums referred to in
"--Reserves and Escrows" above and monthly debt service payments have been
deducted, is to be deposited on a daily basis.
Notwithstanding the foregoing, provided--
(1) no event of default under the Westfield Shoppingtown Plaza Camino
Real Mortgage Loan is continuing,
(2) the lockbox account was established prior to the anticipated
repayment date, and
(3) the debt service coverage ratio equals or is greater than 1.35:1 for
six consecutive months following the occurrence of a triggering
event,
then, at the request of the borrower, the lockbox account will be discontinued
until the occurrence of another triggering event, at which time the lockbox
account will be re-established. If the lockbox account is established for a
third time, it will remain in place until payment in full of the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan.
Seismic Assessment. The Westfield Shoppingtown Plaza Camino Real Mortgaged
Property has a seismic risk assessment with a probable maximum loss of 14.0% of
the amount of the estimated replacement cost of the improvements. The Westfield
Shoppingtown Plaza Camino Real Mortgaged Property has the benefit of an
earthquake insurance policy.
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<PAGE>
ADDITIONAL LOAN AND PROPERTY INFORMATION
Delinquencies. None of the mortgage loans that we intend to include in the
trust was, as of the cut-off date, or has been at any time during the 12-month
period preceding that date, 30 days or more delinquent with respect to any
monthly debt service payment.
Tenant Matters. Described and listed below are special considerations
regarding tenants at the mortgaged real properties for the mortgage loans that
we intend to include in the trust--
o 70 of the mortgaged real properties, securing 48.5% of the initial
mortgage pool balance, are, in each case, a retail property, an office
property or an industrial property that is leased to one or more major
tenants that each occupy at least 25% of the net rentable area of the
particular property.
o 15 of the mortgaged real properties, securing 6.1% of the initial
mortgage pool balance, are substantially leased to a single tenant.
o A number of companies are major tenants at more than one of the mortgaged
real properties.
o There are several cases in which a particular entity is a tenant at more
than one of the mortgaged real properties, and although it may not be a
major tenant at any of those properties, it is significant to the success
of the properties.
o One of the mortgaged real properties, securing 0.7% of the initial
mortgage pool balance, is a multifamily rental property that has a
material concentration of student tenants.
Ground Leases. Three of the mortgage loans that we intend to include in
the trust, representing 3.3% of the initial mortgage pool balance, are secured,
in whole or in material part, by a mortgage lien on the borrower's leasehold
interest in the corresponding mortgaged real property. In each case, the
related ground lease, giving effect to all extension options, expires more than
20 years after the stated maturity of the related mortgage loan and either:
o the ground lessor has subordinated its interest in the mortgaged real
property to the interest of the holder of that mortgage loan; or
o the ground lessor has agreed to give the holder of that mortgage loan
notice of, and the right to cure, any default or breach by the lessee.
See "Risk Factors--Ground Leases Create Risks for Lenders That Are Not
Present When Lending on an Actual Ownership Interest in a Real Property" and
"Legal Aspects of Mortgage Loans--Foreclosure--Leasehold Considerations" in the
accompanying prospectus.
Additional and Other Financing. Some of the pooled mortgage loans will
permit the related borrower to encumber the related mortgaged real property in
the future with secured subordinate debt, subject to the satisfaction of
conditions such as:
o the entering into a subordination and standstill agreement similar to
that described in the preceding sentence, and
o the satisfaction of debt service coverage criteria.
Borrowers that do not meet special purpose entity, bankruptcy-remote
criteria, generally do not have any restriction on the incurrence of unsecured
debt. Additional debt, in any form, may cause a diversion of funds from
property maintenance and increase the likelihood that the borrower will become
the subject of a bankruptcy proceeding. See "Risk Factors--Subordinate Debt
Increases the Likelihood that a Borrower Will Default on a Mortgage Loan
Underlying Your Offered Certificates" and "Legal Aspects of Mortgage
Loans--Subordinate Financing" in the accompanying prospectus.
Except as disclosed under this "--Additional and Other Financing"
subsection, we have not been able to confirm whether the respective borrowers
under the mortgage loans that we intend to include in the trust, have any other
debt outstanding.
In the case of some of the mortgage loans that we intend to include in the
trust, one or more of the principals of the related borrower may have incurred
mezzanine debt. Mezzanine debt is secured by the principal's ownership interest
in the borrower. While the mezzanine lender has no security interest in or
rights to the related mortgaged real properties, a default under the mezzanine
loan could cause a change in control of the related borrower.
Zoning and Building Code Compliance. In connection with the origination of
each mortgage loan that we intend to include in the trust, the related
originator examined whether the use and operation of the mortgaged real
property were in
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<PAGE>
material compliance with zoning, land-use, building, fire and health
ordinances, rules, regulations and orders then-applicable to that property.
Evidence of this compliance may have been in the form of legal opinions,
certifications from government officials, title insurance endorsements,
engineering or consulting reports and/or representations by the related
borrower. Where the property as currently operated is a permitted nonconforming
use and/or structure and the improvements may not be rebuilt in the event of a
major casualty, the related originator--
o determined that any major casualty that would prevent rebuilding has a
sufficiently remote likelihood of occurring;
o determined that casualty insurance proceeds would be available in an
amount sufficient to pay off the related mortgage loan in full;
o determined that the mortgaged real property, if permitted to be repaired
or restored in conformity with current law, would constitute adequate
security for the related mortgage loan; and/or
o required a corresponding endorsement to the title insurance policy.
Hazard, Liability and Other Insurance. Although exceptions exist, the loan
documents for each of the mortgage loans that we intend to include in the trust
generally require the related borrower to maintain with respect to the
corresponding mortgaged real property the following insurance coverage--
o hazard insurance in an amount that generally is, subject to a customary
deductible, at least equal to the lesser of--
1. the outstanding principal balance of the mortgage loan, and
2. the full insurable replacement cost of the improvements located on the
insured property;
o if any portion of the property was in an area identified in the federal
register by the Federal Emergency Management Agency as having special
flood hazards, flood insurance meeting the requirements of the Federal
Insurance Administration guidelines, if available, in an amount that is
equal to the least of--
1. the outstanding principal balance of the related mortgage loan,
2. the full insurable value of the insured property,
3. the maximum amount of insurance available under the National Flood
Insurance Act of 1968, and
4. the full replacement cost of the improvements located on the mortgaged
real property.
o comprehensive general liability insurance against claims for personal and
bodily injury, death or property damage occurring on, in or about the
insured property, in an amount customarily required by institutional
lenders; and
o business interruption or rent loss insurance either in an amount not less
than the projected rental income or revenue from the insured property for
at least twelve months.
In general, the mortgaged real properties for the mortgage loans that we
intend to include in the trust, including those properties located in
California, are not insured against earthquake risks. In general, if a
mortgaged real property was located in California or in seismic zones 3 or 4
and seismic reports concluded that the mortgaged real property was likely to
experience a probable maximum or bounded loss in excess of 20% of the estimated
replacement cost of the improvements as a result of an earthquake, the related
originator required the borrower to obtain earthquake insurance. In the case of
three mortgaged real properties located in seismic zone 3, no seismic
assessment was performed, but earthquake insurance was nevertheless obtained.
Various forms of insurance maintained with respect to any of the mortgaged
real properties for the pooled mortgage loans, including casualty insurance,
environmental insurance and earthquake insurance, may be provided under a
blanket insurance policy. That blanket insurance policy will also cover other
real properties, some of which may not secure loans in the trust. As a result
of total limits under any of those blanket policies, losses at other properties
covered by the blanket insurance policy may reduce the amount of insurance
coverage with respect to a property securing one of the loans in the trust. See
"Risk Factors--Lack of Insurance Coverage Exposes a Trust to Risk for
Particular Special Hazard Losses" in the accompanying prospectus.
The applicable originator and its successors and assigns are the
beneficiaries under separate title insurance policies with respect to each
mortgage loan that we intend to include in the trust. Each title insurer may
enter into such co-insurance and reinsurance arrangements with respect to the
title insurance policy as are customary in the title insurance industry.
Subject
S-52
<PAGE>
to standard exceptions, including those regarding claims made in the context of
insolvency proceedings, each title insurance policy will provide coverage to
the trustee for the benefit of the series 2000-C4 certificateholders for claims
made against the trustee regarding the priority and validity of the borrowers'
title to the subject mortgaged real property.
Borrower Affiliation. The owner of a partnership interest in the borrower
under one of the UBS Mortgage Loans, representing 2.7% of the initial mortgage
pool balance, is an entity affiliated with Lehman Brothers Inc.
ASSESSMENTS OF PROPERTY CONDITION
Property Inspections. Each of the mortgaged real properties securing a
mortgage loan that we intend to include in the trust was inspected in
connection with the origination or acquisition of the related mortgage loan to
assess its general condition.
Appraisals. Each of the mortgaged real properties securing a mortgage loan
that we intend to include in the trust, was appraised by a state certified
appraiser or an appraiser belonging to the Appraisal Institute. Those
appraisals were conducted in accordance with the Appraisal Institute's Uniform
Standards of Professional Appraisal Practices. Each of those appraisals was
conducted within 12 months of the origination of the related mortgage loan, and
in no event was any of those appraisals conducted more than 20 months prior to
the cut-off date. With a few exceptions, each of the resulting appraisal
reports or a separate letter contains a statement by the appraiser stating that
the guidelines in Title XI of the Financial Institutions Reform, Recovery and
Enforcement Act of 1989 were followed in preparing the appraisal. We have not
independently verified the accuracy of that statement with respect to any of
those properties. The primary purpose of each of those appraisals was to
provide an opinion of the fair market value of the related mortgaged real
property. There can be no assurance that another appraiser would have arrived
at the same opinion of value. The resulting appraised values are shown on Annex
A-1 to this prospectus supplement.
Environmental Assessments. A Phase I environmental site assessment, or an
update of a previously conducted assessment, was performed with respect to all
of the mortgaged real properties for the mortgage loans that we intend to
include in the trust during the 19-month period ending on the cut-off date.
Each of those environmental site assessments or updates was conducted in
connection with the origination of the related mortgage loan and complied with
the standards of the American Society for Testing and Materials. Not all of
those environmental site assessments or updates satisfied all the requirements
necessary to be considered a Phase I environmental site assessment. The
environmental testing at any particular mortgaged real property did not
necessarily cover all potential environmental issues. For example, tests for
radon, lead-based paint and lead in water were performed only at multifamily
rental properties and only when the originator of the related mortgage loan
believed this testing was warranted under the circumstances.
The above-described environmental testing identified various adverse or
potentially adverse environmental conditions at the respective mortgaged real
properties. In many cases, the identified condition related to the presence of
asbestos-containing materials, lead-based paint and/or radon. Where these
substances were present, the environmental consultant generally recommended,
and the related loan documents required--
o the establishment of an operation and maintenance plan to address the
issue, or
o the implementation of a remediation program.
If the particular asbestos-containing materials or lead-based paint was in poor
condition, then this could result in a claim for damages by any party injured
by the condition.
In cases where the environmental consultant recommended specified
remediation of an adverse environmental condition, the related originator of
the mortgage loan generally required the related borrower either:
1. to carry out the specific remedial measures prior to closing;
2. to carry out the specific remedial measures post-closing and deposit
with the lender a cash reserve in an amount generally equal to 125%
of the estimated cost to complete the remedial measures; or
3. to monitor the environmental condition and/or to carry out additional
testing, in the manner and within the time frame specified in the
related loan documents.
Some borrowers under the mortgage loans may not have satisfied all
post-closing obligations required by the related loan documents with respect to
environmental matters. There can be no assurance that recommended operations
and maintenance plans have been or will continue to be implemented.
S-53
<PAGE>
In some cases, the environmental consultant did not recommend that any
action be taken with respect to a potential adverse environmental condition at
a mortgaged real property because a responsible party with respect to that
condition had already been identified. There can be no assurance, however, that
such a responsible party will be financially able to address the subject
condition.
In several cases, the environmental site assessment for a mortgaged real
property identified potential and, in some cases, serious environmental
problems at nearby properties. These assessments generally indicated, however,
that--
o the mortgaged real property had not been affected or had been minimally
affected,
o the potential for the problem to affect the mortgaged real property was
limited, or
o a person responsible for remediation had been identified.
The information provided by us in this prospectus supplement regarding
environmental conditions at the respective mortgaged real properties is based
on the environmental site assessments referred to in this "--Assessments of
Property Condition--Environmental Assessments" subsection and has not been
independently verified by us, the underwriters or any of their respective
affiliates.
There can be no assurance that the environmental assessments or studies,
as applicable, identified all environmental conditions and risks at, or that
any environmental conditions will not have a material adverse effect on the
value of or cash flow from, one or more of the mortgaged real properties.
If any assessment or update revealed a material adverse environmental
condition or circumstance at any mortgaged real property and the consultant
recommended action, then, depending on the nature of the condition or
circumstance, the borrower has--
o implemented or agreed to implement an operations and maintenance plan, in
the manner and within the time frames specified in the related loan
documents;
o agreed to monitor periodically nearby properties, in the manner and
within the time frames specified in the related loan documents; or
o established a reserve account with the lender to cover the estimated cost
of addressing the condition or circumstances.
Engineering Assessments. In connection with the origination process, an
engineering firm inspected the mortgaged real properties with respect to 163 of
the 167 mortgage loans that we intend to include in the trust, to assess the
structure, exterior walls, roofing, interior structure and mechanical and
electrical systems. The resulting reports indicated deferred maintenance items
and/or recommended capital improvements with respect to some of the mortgaged
real properties securing the mortgage loans that we intend to include in the
trust. In cases where the cost of repair was deemed material, the related
borrowers were generally required to deposit with the lender an amount equal to
125% of the engineering firm's estimated cost of the recommended repairs,
corrections or replacements to assure their completion.
S-54
<PAGE>
ASSIGNMENT OF THE UNDERLYING MORTGAGE LOANS
On or before the date of initial issuance of the offered certificates, the
following transfers of the underlying mortgage loans will occur. In each case,
the transferor will assign the subject mortgage loans, without recourse, to the
transferee.
Lehman Mortgage Loan UBS Mortgage Loan
Seller Seller
122 mortgage loans $667,356,143 45 mortgage loans $331,704,266
Structured Asset
Securities Corporation
All mortgage loans
$999,060,409
LB-UBS Commercial
Mortgage Trust
2000-C4
In connection with the foregoing transfers, we will be required to deliver
the following documents, among others, to the trustee with respect to each
Lehman Mortgage Loan, and the UBS Mortgage Loan Seller will be required to
deliver to the trustee the following documents, among others, with respect to
each UBS Mortgage Loan.
o either--
1. the original promissory note evidencing that mortgage loan endorsed,
without recourse, to the order of the trustee or in blank, or
2. if the original promissory note has been lost, a copy of that note,
together with a lost note affidavit;
o the original or a copy of the mortgage instrument, together with
originals or copies of any intervening assignments of the mortgage
instrument, in each case, unless an assignment has not been returned from
the applicable recording office, with evidence of recording;
o the original or a copy of any separate assignment of leases and rents,
together with originals or copies of any intervening assignments of any
assignment of leases and rents, in each case, unless the particular
document has not been returned from the applicable recording office, with
evidence of recording;
o either--
1. an executed assignment of the mortgage instrument in favor of the
trustee, in recordable form except for missing recording information
relating to that mortgage instrument, or
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<PAGE>
2. a certified copy of that assignment as sent for recording;
o either--
1. an executed assignment of any separate assignment of leases and rents
in favor of the trustee, in recordable form except for missing recording
information relating to that assignment of leases, or
2. a certified copy of that assignment as sent for recording;
o originals or copies of all written modification agreements, in those
instances in which the terms or provisions of a mortgage instrument or
promissory note were modified;
o an original or copy of the related lender's title insurance policy, or if
a title insurance policy has not yet been issued, a commitment for title
insurance; and
o an assignment in favor of the trustee of each effective UCC financing
statement, if any, in the possession of the transferor.
The trustee, either directly or through a custodian, is required to hold
all of the documents delivered to it with respect to the pooled mortgage loans,
in trust for the benefit of the series 2000-C4 certificateholders. Within a
specified period of time following that delivery, the trustee, directly or
through a custodian, will be further required to conduct a review of those
documents. The scope of the trustee's review of those documents will, in
general, be limited solely to confirming that they have been received. None of
the trustee, the master servicer, the special servicer or any custodian is
under any duty or obligation to inspect, review or examine any of the documents
relating to the pooled mortgage loans to determine whether the document is
valid, effective, enforceable, in recordable form or otherwise appropriate for
the represented purpose.
If--
o any of the above-described documents required to be delivered by us or
the UBS Mortgage Loan Seller to the trustee is not delivered or is
otherwise defective, and
o that omission or defect materially and adversely affects the value of, or
the interests of the series 2000-C4 certificateholders in, the subject
loan,
then the omission or defect will constitute a material document defect as to
which the trust will have the rights against us or the UBS Mortgage Loan
Seller, as applicable, described under "--Cures and Repurchases" below.
Within a specified period following the later of--
o the date on which the offered certificates are initially issued, and
o the date on which all recording information necessary to complete the
subject document is received by the trustee,
an independent third party contractor, retained at the expense of the Lehman
Mortgage Loan Seller and the UBS Mortgage Loan Seller, must submit for
recording in the real property records of the applicable jurisdiction each of
the assignments of recorded loan documents in favor of the trustee described
above. Because most of the mortgage loans that we intend to include in the
trust are newly originated, many of those assignments cannot be completed and
recorded until the related mortgage and/or assignment of leases and rents,
reflecting the necessary recording information, is returned from the applicable
recording office.
REPRESENTATIONS AND WARRANTIES
As of the date of initial issuance of the offered certificates, we will
make with respect to each Lehman Mortgage Loan, and the UBS Mortgage Loan
Seller will make with respect to each UBS Mortgage Loan, that we include in the
trust, representations and warranties generally to the effect described below,
together with any other representations and warranties as may be required by
the applicable rating agencies:
o The information pertaining to the mortgage loan set forth in the loan
schedule attached to the pooling and servicing agreement will be true and
correct in all material respects as of the cut-off date.
o To the knowledge of the representing party after having performed the
type of due diligence customarily performed by prudent institutional
commercial and multifamily mortgage lenders, as of the date of its
origination, the mortgage loan complied in all material respects with, or
was exempt from, all requirements of federal, state or local law relating
to the origination of the mortgage loan.
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<PAGE>
o The proceeds of the mortgage loan have been fully disbursed and there is
no requirement for future advances.
o The promissory note, each mortgage instrument, and each assignment of
leases and rents, if any, with respect to the mortgage loan is the legal,
valid and binding obligation of the maker thereof, subject to any
non-recourse provisions in the particular document and any state
anti-deficiency legislation, and is enforceable in accordance with its
terms, except as enforcement may be limited by bankruptcy, insolvency,
reorganization or other similar laws and by general principles of equity.
o As of the date of its origination, there was no valid offset, defense,
counterclaim or right to rescission with respect to the promissory note or
any related mortgage instrument or other agreement executed in connection
with the mortgage loan.
o The assignment of each related mortgage instrument in favor of the
trustee constitutes the legal, valid and binding assignment of that
mortgage instrument to the trustee, subject to customary bankruptcy and
creditors' rights limitations and to general principles of equity.
o Each related mortgage instrument is a valid and, subject to the
limitations in the third preceding bullet, enforceable first lien on the
related mortgaged real property, free and clear of all encumbrances and
liens having priority over or on a parity with the first lien of the
mortgage instrument, except for Permitted Encumbrances.
o To the representing party's actual knowledge, all taxes and governmental
assessments that prior to the cut-off date became due or owing in respect
of, and materially affect, the related mortgaged real property or
properties, have been paid, or an escrow of funds in an amount sufficient
to cover those payments has been established.
o As of the date of its origination, there was no proceeding pending for
the total or partial condemnation of the related mortgaged real property
or properties that materially affects the value thereof, and each related
mortgaged real property was free of material damage.
o As of the cut-off date, the representing party has not received any
notice of the commencement of any proceeding for the total or partial
condemnation of the related mortgaged real property or properties that
materially affects the value thereof; and, to the representing party's
knowledge, each related mortgaged real property is free of material
damage.
o As of the date of its origination, all insurance required under the
mortgage loan was in full force and effect with respect to the related
mortgaged real property or properties.
o As of the cut-off date, the mortgage loan is not 30 days or more past due
in respect of any scheduled payment of principal and/or interest.
o One or more environmental site assessments were performed with respect to
the related mortgaged real property or properties during the 19-month
period preceding the cut-off date, and the representing party, having made
no independent inquiry other than to review the report(s) prepared in
connection with those assessments, has no knowledge of any material and
adverse environmental condition or circumstances affecting that mortgaged
real property that was not disclosed in those reports.
In addition to the foregoing, we will also represent that we own the
mortgage loans to be included in the trust, have good title to them, have full
right and authority to sell, assign and transfer the mortgage loans to be
included in the trust and are transferring the mortgage loans free and clear of
any and all liens, pledges, charges or security interests. The UBS Mortgage
Loan Seller will make a similar representation with respect to the UBS Mortgage
Loans. With respect to the UBS Mortgage Loans, our representation described in
the first sentence of this paragraph will be made assuming the accuracy of the
similar representation made by the UBS Mortgage Loan Seller.
If--
o there exists a breach of any of the above-described representations and
warranties made by us or the UBS Mortgage Loan Seller, and
o that breach materially and adversely affects the value of, or the
interests of the series 2000 C-4 certificateholders in, the subject
mortgage loan,
then that breach will be a material breach as to which the trust will have the
rights against us or the UBS Mortgage Loan Seller, as applicable, described
under "--Cures and Repurchases" below.
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CURES AND REPURCHASES
If there exists a material breach of any of the representations and
warranties made by us with respect to any of the Lehman Mortgage Loans or by
the UBS Mortgage Loan Seller as to any of the UBS Mortgage Loans, as discussed
under "--Representations and Warranties" above, or a material document defect
with respect to any Lehman Mortgage Loan or UBS Mortgage Loan, as discussed
under "--Assignment of the Underlying Mortgage Loans" above, then we, in the
case of a Lehman Mortgage Loan, and the UBS Mortgage Loan Seller, in the case
of a UBS Mortgage Loan, will be required either:
o to remedy the material breach or the material document defect in all
material respects, or
o repurchase the affected mortgage loan at a price generally equal to the
sum of--
1. the unpaid principal balance of that mortgage loan at the time of
purchase, plus
2. all unpaid interest, other than Post-ARD Additional Interest and
Default Interest, due with respect to that mortgage loan pursuant to the
related loan documents through the due date in the collection period of
purchase, plus
3. all unreimbursed servicing advances relating to that mortgage loan,
plus
4. all unpaid interest accrued on advances made by the master servicer,
the special servicer, the trustee and/or the fiscal agent with respect
to that mortgage loan, plus
5. all unpaid special servicing fees and other Additional Trust Fund
Expenses related to that mortgage loan.
The time period within which we or the UBS Mortgage Loan Seller must
complete that remedy or repurchase will generally be limited to 90 days
following the earlier of the responsible party's discovery or receipt of notice
of the subject material breach or material document defect, as the case may be.
However, if the responsible party is diligently attempting to correct the
problem, then, with limited exception, it will be entitled to an additional 90
days to complete that remedy or repurchase.
The cure/repurchase obligations of us and the UBS Mortgage Loan Seller
described above will constitute the sole remedy available to the series 2000-C4
certificateholders in connection with a material breach of any representations
or warranties or a material document defect with respect to any mortgage loan
in the trust. No other person will be obligated to repurchase any affected
mortgage loan in connection with a material breach of any of the
representations and warranties or a material document defect, if we or the UBS
Mortgage Loan Seller, as the case may be, default on our obligations to do so.
There can be no assurance that we or the UBS Mortgage Loan Seller will have
sufficient assets to repurchase a mortgage loan if required to do so.
CHANGES IN MORTGAGE POOL CHARACTERISTICS
The description in this prospectus supplement of the mortgage pool is
based upon the mortgage pool as it is expected to be constituted at the time
the offered certificates are issued, with adjustments for the monthly debt
service payments due on the mortgage loans on or before the cut-off date. Prior
to the issuance of the offered certificates, one or more mortgage loans may be
removed from the mortgage pool if we consider the removal necessary or
appropriate. A limited number of other mortgage loans may be included in the
mortgage pool prior to the issuance of the offered certificates, unless
including those mortgage loans would materially alter the characteristics of
the mortgage pool as described in this prospectus supplement. We believe that
the information in this prospectus supplement will be generally representative
of the characteristics of the mortgage pool as it will be constituted at the
time the offered certificates are issued. However, the range of mortgage
interest rates and maturities, as well as the other characteristics of the
pooled mortgage loans described in this prospectus supplement, may vary, and
the actual initial mortgage pool balance may be as much as 5% larger or smaller
than the initial mortgage pool balance specified in this prospectus supplement.
A current report on Form 8-K will be available to purchasers of the
offered certificates on or shortly after the date of initial issuance of the
offered certificates. We will file that current report on Form 8-K, together
with the pooling and servicing agreement as an exhibit, with the SEC within 15
days after the initial issuance of the offered certificates. If mortgage loans
are removed from or added to the mortgage pool, that removal or addition will
be noted in that current report on Form 8-K.
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SERVICING OF THE UNDERLYING MORTGAGE LOANS
GENERAL
Although the obligations and duties of master servicer and special
servicer with respect to the pooled mortgage loans will initially be performed
by a single entity as described under "--The Initial Master Servicer and the
Initial Special Servicer", the discussion of those duties in this prospectus
supplement is presented to reflect an allocation of responsibilities as if two
separate entities were acting as master servicer and special servicer. In the
event the obligations of master servicer and special servicer are performed by
separate entities, neither entity will be liable for the actions of the other
entity as master servicer or special servicer.
The servicing and administration of the mortgage loans in the trust and
any mortgaged real properties that become REO Properties as a result of
foreclosure or other similar action, will be governed by the pooling and
servicing agreement. The following summaries describe some of the provisions of
the pooling and servicing agreement relating to the servicing and
administration of the mortgage loans and any REO Properties in the trust. You
should also refer to the accompanying prospectus, in particular the section
captioned "Description of the Governing Documents" for additional important
information regarding provisions of the pooling and servicing agreement that
relate to the rights and obligations of the master servicer and the special
servicer.
The pooling and servicing agreement provides that the master servicer and
the special servicer must each service and administer the mortgage loans and
any REO Properties in the trust for which it is responsible, directly or
through sub-servicers, in accordance with--
o any and all applicable laws,
o the express terms of the pooling and servicing agreement and the
respective mortgage loans,
o in the case of the CTL Loans, the express terms of any residual value
policies and/or lease enhancement policies, and
o to the extent consistent with the foregoing, the Servicing Standard.
In general, the master servicer will be responsible for the servicing and
administration of--
o all mortgage loans in the trust as to which no Servicing Transfer Event
has occurred, and
o all worked-out mortgage loans in the trust as to which no new Servicing
Transfer Event has occurred.
The special servicer, on the other hand, will be responsible for the
servicing and administration of each mortgage loan in the trust as to which a
Servicing Transfer Event has occurred and which has not yet become a worked-out
mortgage loan with respect to that Servicing Transfer Event. The special
servicer will also be responsible for the administration of each REO Property
in the trust.
Despite the foregoing, the pooling and servicing agreement will require
the master servicer to continue to collect information and prepare all reports
to the trustee required to be collected or prepared with respect to any
specially serviced assets and, otherwise, to render other incidental services
with respect to any specially serviced assets. Neither the master servicer nor
the special servicer will have responsibility for the performance by the other
of its respective obligations and duties under the pooling and servicing
agreement.
The master servicer will transfer servicing of a pooled mortgage loan to
the special servicer upon the occurrence of a Servicing Transfer Event with
respect to that mortgage loan. The special servicer will return the servicing
of that mortgage loan to the master servicer, and that mortgage loan will be
considered to have been worked-out, if and when all Servicing Transfer Events
with respect to that mortgage loan cease to exist.
Some of the mortgage loans that we intend to include in the trust, are
currently being serviced by third-party servicers that are entitled to and will
become sub-servicers of these loans on behalf of the master servicer. Neither
the trustee nor any other successor master servicer may terminate the
sub-servicing agreement for any of those sub-servicers without cause.
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THE INITIAL MASTER SERVICER AND THE INITIAL SPECIAL SERVICER
ORIX Real Estate Capital Markets, LLC will be acting as the initial master
servicer and the initial special servicer under the pooling and servicing
agreement. ORIX is a Delaware limited liability company. ORIX manages a
servicing portfolio of commercial and multifamily loans encompassing in excess
of 11,000 assets with a total principal balance, as of June 30, 2000, of
approximately $38.5 billion. The collateral for ORIX's servicing portfolio is
located in 50 states, the District of Columbia, Canada, Mexico, Puerto Rico,
the United Kingdom and the Virgin Islands. As of June 30, 2000, ORIX served as
the named special servicer on 86 securitized transactions encompassing in
excess of 17,000 loans, with a total principal balance of approximately $54.5
billion. ORIX's servicing operations are located at 1717 Main Street, Dallas,
Texas 75201.
The information set forth in this prospectus supplement concerning ORIX
Real Estate Capital Markets, LLC has been provided by it. Neither we nor any of
the underwriters makes any representation or warranty as to the accuracy or
completeness of this information.
SERVICING AND OTHER COMPENSATION AND PAYMENT OF EXPENSES
The Master Servicing Fee. The principal compensation to be paid to the
master servicer with respect to its master servicing activities will be the
master servicing fee.
The master servicing fee will be earned with respect to each and every
mortgage loan in the trust, including--
o each specially serviced mortgage loan, if any, and
o each mortgage loan, if any, as to which the corresponding mortgaged real
property has become an REO Property; and
In the case of each mortgage loan, the master servicing fee will--
o be calculated on a 30/360 Basis, except in the case of partial periods of
less than a month, when it will be computed on the basis of the actual
number of days elapsed in the partial period and a 360-day year,
o accrue at the related master servicing fee rate,
o accrue on the Stated Principal Balance of that mortgage loan outstanding
from time to time, and
o be payable monthly from amounts received with respect to or, allocable as
recoveries of, interest on that mortgage loan.
The master servicing fee rate will vary on a loan-by-loan basis and ranges
from 0.08% per annum to 0.13% per annum.
Additional Master Servicing Compensation. As additional master servicing
compensation, the master servicer will be entitled to receive any and all
Prepayment Interest Excesses collected with respect to the entire mortgage
pool.
In addition, the master servicer will be authorized to invest or direct
the investment of funds held in its custodial account, the trustee's collection
account and in any and all escrow and/or reserve accounts maintained by the
master servicer, in Permitted Investments. See "--Custodial Account" below and
"Description of the Offered Certificates--Collection Account" in this
prospectus supplement. In general, the master servicer will be entitled to
retain any interest or other income earned on those funds and, to the extent
the investments are made for its benefit, will be required to cover any losses
of principal from its own funds. The master servicer will not be obligated,
however, to cover any losses resulting from the bankruptcy or insolvency of any
depository institution or trust company holding any of those accounts.
All modification fees, assumption fees, assumption application fees,
extension fees, consent/waiver fees and other comparable transaction fees and
charges, if any, collected with respect to the pooled mortgage loans during any
collection period will be allocated between the master servicer and the special
servicer, as additional compensation, as provided in the pooling and servicing
agreement. Similarly, all late payment charges and Default Interest, if any,
collected with respect to the pooled mortgage loans will be allocated between
the master servicer and the special servicer, as additional compensation, as
provided in the pooling and servicing agreement, but only to the extent that
the late payment charges and Default Interest are, in each case, not otherwise
allocable--
o to pay the master servicer, the special servicer, the trustee or the
fiscal agent, as applicable, any unpaid interest on advances made by that
party with respect to the related mortgage loan,
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o to pay any other outstanding Additional Trust Fund Expenses, other than
special servicing fees, workout fees and liquidation fees, incurred with
respect to the related mortgage loan, or
o to reimburse the trust for any Additional Trust Fund Expenses, including
interest on advances, that were incurred with respect to the related
mortgage loan and that were previously paid from a source of funds other
than late payment charges and Default Interest collected on the related
mortgage loan.
Prepayment Interest Shortfalls. The pooling and servicing agreement
provides that if any Prepayment Interest Shortfalls are incurred in connection
with the voluntary prepayment by borrowers of non-specially serviced mortgage
loans in the mortgage pool during any collection period, the master servicer
must make a non-reimbursable payment with respect to the related payment date
in an amount equal to the lesser of:
o the total amount of those Prepayment Interest Shortfalls, and
o the sum of the following components of the master servicer's total
servicing compensation for that same collection period--
1. all Prepayment Interest Excesses, if any, collected with respect to the
entire mortgage pool during that collection period, and
2. with respect to each and every mortgage loan for which the master
servicer receives master servicing fees during that collection period,
the portion of those fees calculated at an annual rate of 0.03% per
annum.
No other master servicing compensation will be available to cover Prepayment
Interest Shortfalls.
Any payments made by the master servicer with respect to any payment date
to cover Prepayment Interest Shortfalls will be included among the amounts
payable as principal and interest on the series 2000-C4 certificates on that
payment date as described under "Description of the Offered
Certificates--Payments" in this prospectus supplement. If the amount of the
payments made by the master servicer with respect to any payment date to cover
Prepayment Interest Shortfalls is less than the total of all the Prepayment
Interest Shortfalls incurred with respect to the mortgage pool during the
related collection period, then the resulting Net Aggregate Prepayment Interest
Shortfall will be allocated among the respective interest-bearing classes of
the series 2000-C4 certificates, in reduction of the interest payable on those
certificates, as and to the extent described under "Description of the Offered
Certificates--Payments--Payments of Interest" in this prospectus supplement.
Principal Special Servicing Compensation. The principal compensation to be
paid to the special servicer with respect to its special servicing activities
will be--
o the special servicing fee,
o the workout fee, and
o the liquidation fee.
The Special Servicing Fee. The special servicing fee will be earned with
respect to--
o each specially serviced mortgage loan, if any, and
o each mortgage loan, if any, as to which the corresponding mortgaged real
property has become an REO Property;
In the case of each mortgage loan referred to in the prior paragraph, the
special servicing fee will--
o be calculated on a 30/360 Basis, except in the case of partial periods of
less than a month, when it will be computed on the basis of the actual
number of days elapsed in the partial period and a 360-day year,
o accrue at a special servicing fee rate of 0.25% per annum,
o accrue on the Stated Principal Balance of that mortgage loan outstanding
from time to time, and
o be payable monthly from general collections on all the mortgage loans and
any REO Properties in the trust.
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The Workout Fee. The special servicer will, in general, be entitled to
receive a workout fee with respect to each worked-out mortgage loan in the
trust. The workout fee will be payable out of, and will be calculated by
application of a workout fee rate of 1.0% to, each collection of--
o interest, other than Default Interest and Post-ARD Additional Interest,
o principal, and
o prepayment consideration,
received on the subject mortgage loan for so long as it remains a worked-out
mortgage loan,
The workout fee with respect to any worked-out mortgage loan will cease to
be payable if a new Servicing Transfer Event occurs with respect to that loan.
However, a new workout fee would become payable if the mortgage loan again
became a worked-out mortgage loan with respect to that new Servicing Transfer
Event.
If the special servicer is terminated, other than for cause, or resigns,
it will retain the right to receive any and all workout fees payable with
respect to mortgage loans that became worked-out mortgage loans during the
period that it acted as special servicer and remained worked-out mortgage loans
at the time of its termination or resignation. The successor special servicer
will not be entitled to any portion of those workout fees.
Although workout fees are intended to provide the special servicer with an
incentive to better perform its duties, the payment of any workout fee will
reduce amounts payable to the series 2000-C4 certificateholders.
The Liquidation Fee. The special servicer will be entitled to receive a
liquidation fee with respect to each specially serviced mortgage loan in the
trust for which it obtains a full, partial or discounted payoff from the
related borrower. The special servicer will also be entitled to receive a
liquidation fee with respect to any specially serviced mortgage loan or REO
Property in the trust as to which it receives any Liquidation Proceeds,
Condemnation Proceeds or Insurance Proceeds, except as described in the next
paragraph. As to each specially serviced mortgage loan and REO Property in the
trust, the liquidation fee will be payable from, and will be calculated by
application of a liquidation fee rate of 1.0% to, the related payment or
proceeds, exclusive of any portion of that payment or proceeds that represents
a recovery of Default Interest or Post-ARD Additional Interest.
Despite anything to the contrary described in the prior paragraph, no
liquidation fee will be payable based on, or out of, proceeds received in
connection with:
o the repurchase of any mortgage loan in the trust by us or the UBS
Mortgage Loan Seller for a breach of representation or warranty or for
defective or deficient mortgage loan documentation, as described under
"Description of the Mortgage Pool--Cures and Repurchases" in this
prospectus supplement;
o the purchase of any defaulted mortgage loan or REO Property in the trust
by the master servicer, the special servicer or any certificateholder(s)
of the series 2000-C4 controlling class, as described under "--Realization
Upon Defaulted Mortgage Loans; Sale of Defaulted Mortgage Loans and REO
Properties" below; or
o the purchase of all of the mortgage loans and REO Properties in the trust
by us, Lehman Brothers Inc., the master servicer, the special servicer or
any certificateholder(s) of the series 2000-C4 controlling class in
connection with the termination of the trust, as described under
"Description of the Offered Certificates--Termination" in this prospectus
supplement.
Although liquidation fees are intended to provide the special servicer
with an incentive to better perform its duties, the payment of any liquidation
fee will reduce amounts payable to the series 2000-C4 certificateholders.
Additional Special Servicing Compensation. As additional special servicing
compensation, the special servicer will be authorized to invest or direct the
investment of funds held in its REO account in Permitted Investments. See
"--REO Account" below. In general, the special servicer will be entitled to
retain any interest or other income earned on those funds and will be required
to cover any losses of principal from its own funds without any right to
reimbursement. The special servicer will not be obligated, however, to cover
any losses resulting from the bankruptcy or insolvency of any depository
institution or trust company holding the special servicer's REO account.
All modification fees, assumption fees, assumption application fees,
extension fees, consent/waiver fees and other comparable transaction fees and
charges, if any, collected with respect to the pooled mortgage loans during any
collection
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period will be allocated between the master servicer and the special servicer,
as additional compensation, as provided in the pooling and servicing agreement.
Similarly, all late payment charges and Default Interest, if any, collected
with respect to the pooled mortgage loans will be allocated between the master
servicer and the special servicer, as additional compensation, as provided in
the pooling and servicing agreement, but only to the extent that the late
payment charges and Default Interest are, in each case, not otherwise
allocable--
o to pay the master servicer, the special servicer, the trustee or the
fiscal agent, as applicable, any unpaid interest on advances made by that
party with respect to the related mortgage loan,
o to pay any other outstanding Additional Trust Fund Expenses, other than
special servicing fees, workout fees and liquidation fees, incurred with
respect to the related mortgage loan, or
o to reimburse the trust for any Additional Trust Fund Expenses, including
interest on advances, that were incurred with respect to the related
mortgage loan and that were previously paid from a source of funds other
than late payment charges and Default Interest collected on the related
mortgage loan.
Payment of Expenses; Servicing Advances. Each of the master servicer and
the special servicer will be required to pay its overhead and any general and
administrative expenses incurred by it in connection with its servicing
activities under the pooling and servicing agreement. The master servicer and
the special servicer will not be entitled to reimbursement for these expenses
except as expressly provided in the pooling and servicing agreement.
Any and all customary, reasonable and necessary out of pocket costs and
expenses incurred by the master servicer or the special servicer in connection
with the servicing of a pooled mortgage loan, if a default is imminent or after
a default, delinquency or other unanticipated event has occurred, or in
connection with the administration of any REO Property, will be servicing
advances. Servicing advances will be reimbursable from future payments and
other collections, including Insurance Proceeds, Condemnation Proceeds and
Liquidation Proceeds, in connection with the related mortgage loan or REO
Property. In addition, the special servicer may periodically require the master
servicer to reimburse the special servicer for any servicing advances made by
it. Upon reimbursing the special servicer for any servicing advance, the master
servicer will be deemed to have made the advance.
The special servicer may request the master servicer to make servicing
advances with respect to a specially serviced mortgage loan or REO Property, in
lieu of the special servicer's making that advance itself. The special servicer
must make the request a specified number of days in advance of when the
servicing advance is required to be made under the pooling and servicing
agreement. The master servicer, in turn, must make the requested servicing
advance within a specified number of days following the master servicer's
receipt of the request. If the request is timely and properly made, the special
servicer will be relieved of any obligations with respect to a servicing
advance that it requests the master servicer to make, regardless of whether or
not the master servicer actually makes that advance.
If the master servicer or the special servicer is required under the
pooling and servicing agreement to make a servicing advance, but neither does
so within 15 days after the servicing advance is required to be made, then the
trustee will be required:
o if it has actual knowledge of the failure, to give the defaulting party
notice of its failure; and
o if the failure continues for three more business days, to make the
servicing advance.
The pooling and servicing agreement will obligate the fiscal agent to make any
servicing advances that the trustee was obligated, but failed, to make.
Despite the foregoing discussion or anything else to the contrary in this
prospectus supplement, none of the master servicer, the special servicer, the
trustee or the fiscal agent will be obligated to make servicing advances that,
in the reasonable and good faith judgment of the party making the advance,
would not be ultimately recoverable from expected collections on the related
mortgage loan or REO Property. If the master servicer, the special servicer,
the trustee or the fiscal agent makes any servicing advance that it
subsequently determines is not recoverable from expected collections on the
related mortgage loan or REO Property, it may obtain reimbursement for that
advance, together with interest on the advance, out of general collections on
the mortgage loans and any REO Properties on deposit in the master servicer's
custodial account from time to time.
The master servicer will be permitted to pay, and the special servicer may
direct the payment of, some servicing expenses directly out of the master
servicer's custodial account and at times without regard to the relationship
between the expense
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and the funds from which it is being paid. The most significant of those
servicing expenses relate to the remediation of any adverse environmental
circumstance or condition at any of the mortgaged real properties securing a
pooled mortgage loan. In addition, the pooling and servicing agreement will
require the master servicer, at the direction of the special servicer if a
specially serviced asset is involved, to pay directly out of the master
servicer's custodial account any servicing expense that, if advanced by the
master servicer or the special servicer, would not be recoverable from expected
collections on the related mortgage loan or REO Property. This is only to be
done, however, when the master servicer, or the special servicer if a specially
serviced asset is involved, has determined in accordance with the Servicing
Standard that making the payment is in the best interests of the
certificateholders, as a collective whole.
The master servicer, the special servicer, the trustee and the fiscal
agent will be entitled to receive interest on servicing advances made by them.
The interest will accrue on the amount of each servicing advance, and compound
annually, for so long as the servicing advance is outstanding, at a rate per
annum equal to the prime rate as published in the "Money Rates" section of The
Wall Street Journal, as that prime rate may change from time to time. Interest
accrued with respect to any servicing advance will be payable--
o first, out of Default Interest and late payment charges collected on the
related mortgage loan subsequent to the accrual of that interest, and
o then, if and to the extent that the subject advance has been reimbursed
and the Default Interest and late payment charges referred to in clause
first above are insufficient to cover the advance interest, out of any
amounts then on deposit in the master servicer's custodial account.
THE SERIES 2000-C4 CONTROLLING CLASS REPRESENTATIVE
Series 2000-C4 Controlling Class. As of any date of determination, the
controlling class of series 2000-C4 certificateholders will be the holders of
the most subordinate class of series 2000-C4 certificates then outstanding,
other than the class X, R-I, R-II and R-III certificates, that has a total
principal balance that is not less than 25% of that class's original total
principal balance. However, if no class of series 2000-C4 certificates,
exclusive of the class X, R-I, R-II and R-III certificates, has a total
principal balance that satisfies this requirement, then the controlling class
of series 2000-C4 certificateholders will be the holders of the most
subordinate class of series 2000-C4 certificates then outstanding, other than
the class X, R-I, R-II and R-III certificates, that has a total principal
balance greater than zero. The class A-1 and A-2 certificates will be treated
as one class for purposes of determining the controlling class of series
2000-C4 certificates.
Selection of the Series 2000-C4 Controlling Class Representative. The
pooling and servicing agreement permits the holder or holders of series 2000-C4
certificates representing a majority of the voting rights allocated to the
series 2000-C4 controlling class to select a representative from whom the
special servicer will seek advice and approval and take direction under the
circumstances described below in this "--The Series 2000-C4 Controlling Class
Representative" section. In addition, if the series 2000-C4 controlling class
is held in book-entry form and confirmation of the identities of the related
beneficial owners has been provided to the trustee, those beneficial owners
entitled to a majority of the voting rights allocated to the series 2000-C4
controlling class will be entitled to directly select a controlling class
representative.
Rights and Powers of the Series 2000-C4 Controlling Class
Representative. The special servicer will not be permitted to take any of the
following actions as to which the series 2000-C4 controlling class
representative has objected in writing within ten business days of having been
notified in writing of the particular action and having been provided with all
reasonably requested information with respect to the particular action--
o any foreclosure upon or comparable conversion, which may include
acquisitions of an REO Property, of the ownership of properties securing
those specially serviced mortgage loans in the trust as come into and
continue in default;
o any modification, amendment or waiver of a monetary term, including the
timing of payments, or any material non-monetary term of a specially
serviced mortgage loan in the trust;
o any proposed sale of a specially serviced mortgage loan or any related
REO Property in the trust, other than in connection with the termination
of the trust as described under "Description of the Offered Certificates--
Termination" in this prospectus supplement, for less than par plus accrued
interest, other than Default Interest and Post-ARD Additional Interest;
o any acceptance of a discounted payoff with respect to a specially
serviced mortgage loan in the trust;
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o any determination to bring an REO Property, or the mortgaged real
property securing a defaulted mortgage loan, held by the trust into
compliance with applicable environmental laws or to otherwise address
hazardous material located at that property;
o any release of collateral for a specially serviced mortgage loan in the
trust, other than in accordance with the terms of, or upon satisfaction
of, that mortgage loan;
o any acceptance of substitute or additional collateral for a specially
serviced mortgage loan in the trust, other than in accordance with the
terms of that mortgage loan;
o any waiver of a due-on-sale or due-on-encumbrance clause with respect to
a pooled mortgage loan;
o any acceptance of an assumption agreement releasing a borrower from
liability under a pooled mortgage loan; and
o any acceptance of a change in the property manager or, if applicable, the
hotel franchise for any mortgaged real property securing a pooled mortgage
loan, to the extent the special servicer has a right to consent to those
changes.
In addition, the series 2000-C4 controlling class representative may
direct the special servicer to take, or to refrain from taking, any actions
that the series 2000-C4 controlling class representative may consider advisable
or as to which provision is otherwise made in the pooling and servicing
agreement.
Notwithstanding the foregoing, no advice, direction or objection given or
made by the series 2000-C4 controlling class representative, as contemplated by
either of the two preceding paragraphs, may require or cause the special
servicer to violate any other provision of the pooling and servicing agreement
described in this prospectus supplement or the accompanying prospectus,
including the special servicer's obligation to act in accordance with the
Servicing Standard. Furthermore, the special servicer will not be obligated to
seek approval from the series 2000-C4 controlling class representative for any
actions to be taken by the special servicer with respect to any particular
specially serviced mortgage loan in the trust if--
o the special servicer has, as described above, notified the series 2000-C4
controlling class representative in writing of various actions that the
special servicer proposes to take with respect to the workout or
liquidation of that mortgage loan, and
o for 60 days following the first of those notices, the series 2000-C4
controlling class representative has objected to all of those proposed
actions and has failed to suggest any alternative actions that the special
servicer considers to be consistent with the Servicing Standard.
Limitation on Liability of Series 2000-C4 Controlling Class
Representative. The series 2000-C4 controlling class representative will not be
liable to the trust or the series 2000-C4 certificateholders for any action
taken, or for refraining from the taking of any action, in good faith pursuant
to the pooling and servicing agreement, or for errors in judgment; except that
the series 2000-C4 controlling class representative will not be protected
against any liability which would otherwise be imposed by reason of willful
misfeasance, bad faith or negligence in the performance of duties or by reason
of reckless disregard of obligations or duties. Each series 2000-C4
certificateholder acknowledges and agrees, by its acceptance of its series
2000-C4 certificates, that:
o the series 2000-C4 controlling class representative may have special
relationships and interests that conflict with those of the holders of one
or more classes of the series 2000-C4 certificates;
o the series 2000-C4 controlling class representative may act solely in the
interests of the holders of the series 2000-C4 controlling class;
o the series 2000-C4 controlling class representative does not have any
duties to the holders of any class of series 2000-C4 certificates other
than the series 2000-C4 controlling class;
o the series 2000-C4 controlling class representative may take actions that
favor the interests of the holders of the series 2000-C4 controlling class
over the interests of the holders of one or more other classes of series
2000-C4 certificates;
o the series 2000-C4 controlling class representative will not be deemed to
have been negligent or reckless, or to have acted in bad faith or engaged
in willful misconduct, by reason of its having acted solely in the
interests of the holders of the series 2000-C4 controlling class; and
o the series 2000-C4 controlling class representative will have no
liability whatsoever for having acted solely in the interests of the
holders of the series 2000-C4 controlling class, and no series 2000-C4
certificateholder may take any action whatsoever against the series
2000-C4 controlling class representative for having so acted.
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REPLACEMENT OF THE SPECIAL SERVICER
Series 2000-C4 certificateholders entitled to a majority of the voting
rights allocated to the series 2000-C4 controlling class may--
o terminate an existing special servicer without cause, and
o appoint a successor to any special servicer that has resigned or been
terminated.
Any termination of an existing special servicer and/or appointment of a
successor special servicer will be subject to, among other things, receipt by
the trustee of--
1. written confirmation from each of Moody's and S&P that the appointment
will not result in a qualification, downgrade or withdrawal of any of
the ratings then assigned thereby to the respective classes of series
2000-C4 certificates, and
2. the written agreement of the proposed special servicer to be bound by
the terms and conditions of the pooling and servicing agreement,
together with an opinion of counsel regarding, among other things, the
enforceability of the pooling and servicing agreement against the
proposed special servicer.
If the controlling class of series 2000-C4 certificates is held in
book-entry form and confirmation of the identities of the related beneficial
owners has been provided to the trustee, then the beneficial owners entitled to
a majority of the voting rights allocated to the series 2000-C4 controlling
class will be entitled to directly replace an existing special servicer and
appoint a successor.
ENFORCEMENT OF DUE-ON-SALE AND DUE-ON-ENCUMBRANCE PROVISIONS
Subject to the discussion under "--The Series 2000-C4 Controlling Class
Representative" above, the master servicer or the special servicer, as
applicable, will be required to determine, in a manner consistent with the
Servicing Standard, whether to exercise any right the lender under any pooled
mortgage loan may have under either a due-on-encumbrance clause or a
due-on-sale clause to accelerate payment of that mortgage loan. However,
neither the master servicer nor the special servicer may waive its rights or
grant its consent under any due-on-encumbrance clause or, if the principal
balance of the subject pooled mortgage loan is greater than a specified amount,
under any due-on-sale clause, unless the master servicer or the special
servicer, as applicable, has received written confirmation from each applicable
rating agency that this action would not result in the qualification, downgrade
or withdrawal of any of the then-current ratings then assigned by the rating
agency to the series 2000-C4 certificates. In addition, the master servicer may
not waive its rights or grant its consent under any due-on-encumbrance clause
or due-on-sale clause under any mortgage loan without the consent of the
special servicer.
MODIFICATIONS, WAIVERS, AMENDMENTS AND CONSENTS
In the case of any mortgage loan other than a specially serviced mortgage
loan, and subject to the rights of the special servicer described below in this
"--Modifications, Waivers, Amendments and Consents" section, the master
servicer will be responsible for responding to any request by a borrower for
the consent or approval of the mortgagee with respect to a modification, waiver
or amendment which would not, except in limited circumstances involving the
waiver of Default Interest, late payment charges and Post-ARD Additional
Interest--
o affect the amount or timing of any of the payment terms of the mortgage
loan,
o result in the release of the related borrower from any material terms of
the mortgage loan,
o waive any rights under the mortgage loan with respect to any guarantor of
the mortgage loan,
o relate to the release, addition or substitution of any material
collateral for the mortgage loan, or
o relate to any waiver of or granting of consent under a due-on-sale or
due-on-encumbrance clause.
To the extent consistent with the foregoing, the master servicer will also be
responsible for providing or withholding mortgagee consent with respect to
certain routine matters. Notwithstanding the foregoing, the master servicer
may, with the consent of the special servicer and the series 2000-C4
controlling class representative and subject to various conditions, approve the
extension of the maturity date of a mortgage loan for a period not to exceed
180 days.
Except as described above and in other limited matters, the master
servicer may not agree to waive, modify or amend any term of any mortgage loan.
Furthermore, the master servicer may not agree to any modification, waiver or
amendment
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of any term of any mortgage loan that would cause any REMIC created under the
pooling and servicing agreement to fail to qualify as a REMIC under the
Internal Revenue Code or result in the imposition of any tax on "prohibited
transactions" or "contributions" after the startup day under the REMIC
provisions of the Internal Revenue Code.
The pooling and servicing agreement will permit the special servicer to
modify, extend, waive or amend any term of any mortgage loan if that
modification, extension, waiver or amendment:
o is consistent with the Servicing Standard, and
o except under the circumstances described below, will not--
1. affect the amount or timing of any scheduled payments of principal,
interest or other amounts, including prepayment premiums and yield
maintenance charges but excluding Default Interest and other amounts
constituting additional servicing compensation, payable under the
mortgage loan,
2. affect the obligation of the related borrower to pay a prepayment
premium or yield maintenance charge or permit a principal prepayment
during the applicable prepayment lockout period,
3. except as expressly provided by the related mortgage or in connection
with a material adverse environmental condition at the related
mortgaged real property, result in a release of the lien of the related
mortgage instrument on any material portion of that property without a
corresponding principal prepayment, or
4. in the special servicer's judgment, materially impair the security for
the mortgage loan or reduce the likelihood of timely payment of amounts
due on the mortgage loan.
Notwithstanding the second bullet of the preceding paragraph, but subject
to the following paragraph and the discussion under "--The Series 2000-C4
Controlling Class Representative" above, the special servicer may--
o reduce the amounts owing under any specially serviced mortgage loan by
forgiving principal, accrued interest and/or any prepayment premium or
yield maintenance charge,
o reduce the amount of the monthly debt service payment on any specially
serviced mortgage loan, including by way of a reduction in the related
mortgage interest rate,
o forbear in the enforcement of any right granted under any mortgage note
or mortgage relating to a specially serviced mortgage loan,
o accept a principal prepayment on a specially serviced mortgage loan
during any prepayment lockout period, or
o subject to the limitations described in the following paragraph, extend
the maturity date of a mortgage loan;
provided that--
1. the related borrower is in monetary default or material non-monetary
default with respect to the specially serviced mortgage loan or, in the
judgment of the special servicer, that default is reasonably
foreseeable,
2. in the judgment of the special servicer, that modification, extension,
waiver or amendment would increase the recovery to series 2000-C4
certificateholders, as a collective whole, on a present value basis,
and
3. that modification, extension, waiver or amendment does not result in a
tax being imposed on the trust or cause any REMIC created pursuant to
the pooling and servicing agreement to fail to qualify as a REMIC at
any time the series 2000-C4 certificates are outstanding.
In no event, however, will the special servicer be permitted to:
o extend the maturity date of a mortgage loan beyond a date that is two
years prior to the last rated final payment date;
o extend the maturity date of a mortgage loan for more than five years
beyond its original maturity date, or
o if the mortgage loan is secured by a ground lease, but not the related
fee interest, extend the maturity date of that mortgage loan beyond the
date that is 20 years or, to the extent consistent with the Servicing
Standard, giving due consideration to the remaining term of the ground
lease, ten years, prior to the end of the term of that ground lease, plus
any unilateral options to extend.
The master servicer will be permitted, in the case of an ARD Loan, in its
discretion, after the related anticipated repayment date, to waive any or all
Post-ARD Additional Interest accrued on that mortgage loan, if--
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o prior to the related maturity date, the related borrower has requested
the right to prepay the mortgage loan in full, together with all payments
required by the related loan documents in connection with the prepayment
except for that Post-ARD Additional Interest, and
o the Master Servicer has determined that the waiver of that Post-ARD
Additional Interest would result in a greater recovery to the series
2000-C4 certificateholders, as a collective whole, on a present value
basis, than not waiving it.
The master servicer's determination to waive the trust's right to receive that
Post-ARD Additional Interest must be in accordance with the Servicing Standard.
The master servicer will not have any liability to the trust, the series
2000-C4 certificateholders or any other person for that determination if it is
made in accordance with the Servicing Standard. The pooling and servicing
agreement will also limit the master servicer's and the special servicer's
ability to institute an enforcement action solely for the collection of
Post-ARD Additional Interest.
The special servicer and master servicer will each be required to notify
the trustee of any modification, waiver or amendment of any term of any
mortgage loan, and to deliver to the trustee, for deposit in the related
mortgage file, an original counterpart of the agreement relating to
modification, waiver or amendment agreed to by it, promptly following its
execution. Upon reasonable prior written notice to the trustee, copies of each
agreement by which any modification, waiver or amendment of any term of any
mortgage loan is effected are required to be available for review during normal
business hours at the offices of the trustee. See "Description of the Offered
Certificates--Reports to Certificateholders; Available Information" in this
prospectus supplement.
REQUIRED APPRAISALS
Within a specified number of days after the date on which any Appraisal
Trigger Event has occurred with respect to any of the pooled mortgage loans,
the special servicer must obtain, and deliver to the trustee a copy of, an
appraisal of the related mortgaged real property from an independent appraiser
meeting the qualifications imposed in the pooling and servicing agreement,
unless an appraisal had previously been obtained within the prior 12 months and
there has been no subsequent material change in the circumstances surrounding
that property that in the special servicer's judgment materially affects the
property's value. Notwithstanding the foregoing, if the Stated Principal
Balance of the subject mortgage loan is less than $2,000,000, the special
servicer may perform an internal valuation of the mortgaged real property
instead of obtaining an appraisal.
As a result of any appraisal or other valuation, it may be determined that
an Appraisal Reduction Amount exists with respect to the subject mortgage loan.
An Appraisal Reduction Amount is relevant to the determination of the amount of
any advances of delinquent interest required to be made with respect to the
affected mortgage loan. The Appraisal Reduction Amount for any mortgage loan
will be determined following either--
o the occurrence of the Appraisal Trigger Event, if no new appraisal or
estimate is required or obtained, or
o the receipt of a new appraisal or estimate, if one is required and
obtained,
and will be recalculated monthly thereafter.
See "Description of the Offered Certificates--Advances of Delinquent Monthly
Debt Service Payments" in this prospectus supplement.
If an Appraisal Trigger Event occurs with respect to any mortgage loan in
the trust, then the special servicer will have an ongoing obligation to obtain
or perform, as applicable, on or about each anniversary of the occurrence of
that Appraisal Trigger Event, an update of the prior required appraisal or
other valuation. Based upon that update, the special servicer is to redetermine
and report to the trustee and the master servicer the new Appraisal Reduction
Amount, if any, with respect to the mortgage loan. This ongoing obligation will
cease, except in the case of a mortgage loan as to which the Appraisal Trigger
Event was the expiration of five years following the initial extension of its
maturity, if and when--
o the subject mortgage loan has become a worked-out mortgage loan as
contemplated under "--General" above,
o the subject mortgage loan has remained current for at least three
consecutive monthly debt service payments, and
o no other Servicing Transfer Event has occurred with respect to the
subject mortgage loan during the preceding three months.
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The cost of each required appraisal, and any update of that appraisal,
will be advanced by the special servicer or, at its request, by the master
servicer and will be reimbursable to the special servicer or the master
servicer, as the case may be, as a servicing advance.
At any time that an Appraisal Reduction Amount exists with respect to any
mortgage loan in the trust, the series 2000-C4 controlling class representative
will be entitled, at its own expense, to obtain and deliver to the master
servicer, the special servicer and the trustee an appraisal that satisfies the
criteria for a required appraisal. Upon request of the controlling class
representative, the special servicer will be required to recalculate the
Appraisal Reduction Amount with respect to the subject mortgage loan based on
that appraisal and to report the recalculated Appraisal Reduction Amount to the
master servicer.
CUSTODIAL ACCOUNT
General. The master servicer will be required to establish and maintain a
custodial account for purposes of holding payments and other collections that
it receives with respect to the pooled mortgage loans. That custodial account
must be maintained in a manner and with a depository institution that satisfies
rating agency standards for securitizations similar to the one involving the
offered certificates.
The funds held in the master servicer's custodial account may be held as
cash or invested in Permitted Investments. Any interest or other income earned
on funds in the master servicer's custodial account will be paid to the master
servicer as additional compensation subject to the limitations set forth in the
pooling and servicing agreement.
Deposits. Under the pooling and servicing agreement, the master servicer
must deposit or cause to be deposited in its custodial account within one
business day following receipt, in the case of payments and other collections
on the pooled mortgage loans, or as otherwise required under the pooling and
servicing agreement, the following payments and collections received or made by
or on behalf of the master servicer with respect to the mortgage pool
subsequent to the date of initial issuance of the offered certificates, other
than monthly debt service payments due on or before the cut-off date, which
monthly debt service payments belong to the related mortgage loan seller:
o all payments on account of principal on the mortgage loans, including
principal prepayments;
o all payments on account of interest on the mortgage loans, including
Default Interest and Post-ARD Additional Interest;
o all prepayment premiums, yield maintenance charges and late payment
charges collected with respect to the mortgage loans;
o all Insurance Proceeds, Condemnation Proceeds and Liquidation Proceeds
collected on the pooled mortgage loans, except to the extent that any of
those proceeds are to be deposited in the special servicer's REO account;
o any amounts required to be deposited by the master servicer in connection
with losses incurred with respect to Permitted Investments of funds held
in the custodial account;
o all payments required to be paid by the master servicer or the special
servicer with respect to any deductible clause in any blanket insurance
policy or master single interest policy as described under "--Maintenance
of Insurance" below;
o any amount required to be transferred from the special servicer's REO
account; and
o any amounts required to be transferred from any debt service reserve
accounts with respect to the mortgage loans.
Upon receipt of any of the amounts described in the first four bullets of
the prior paragraph with respect to any specially serviced mortgage loan in the
trust, the special servicer is required to remit those amounts within one
business day of receipt to the master servicer for deposit in the master
servicer's custodial account.
Withdrawals. The master servicer may make withdrawals from its custodial
account for any of the following purposes, which are not listed in any order of
priority:
1. to remit to the trustee for deposit in the trustee's collection account
described under "Description of the Offered Certificates--Collection
Account" in this prospectus supplement, on the business day preceding
each payment date, all payments and other collections on the mortgage
loans and any REO Properties in the trust that are then on deposit in
the custodial account, exclusive of any portion of those payments and
other collections that represents one or more of the following--
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(a) monthly debt service payments due on a due date subsequent
to the end of the related collection period,
(b) payments and other collections received after the end of the
related collection period, and
(c) amounts that are payable or reimbursable from the custodial
account to any person other than the series 2000-C4
certificateholders in accordance with any of clauses 3.
through 20. below;
2. to apply amounts held for future distribution on the series 2000-C4
certificates to make advances to cover delinquent monthly debt service
payments, other than balloon payments, as and to the extent described
under "Description of the Offered Certificates--Advances of Delinquent
Monthly Debt Service Payments" in this prospectus supplement;
3. to reimburse the fiscal agent, the trustee, itself or the special
servicer, as applicable, for any unreimbursed advances made by that
party under the pooling and servicing agreement, which reimbursement is
to be made out of collections on the mortgage loan or REO Property as
to which the advance was made;
4. to pay itself earned and unpaid master servicing fees in respect of
each mortgage loan in the trust, which payment is to be made out of
amounts received on or with respect to that mortgage loan that are
allocable as a recovery of interest;
5. to pay the special servicer, out of general collections on the mortgage
loans and any REO Properties in the trust, earned and unpaid special
servicing fees with respect to each mortgage loan in the trust that is
either--
(a) a specially serviced mortgage loan, or
(b) a mortgage loan as to which the related mortgaged real
property has become an REO Property;
6. to pay the special servicer earned and unpaid workout fees and
liquidation fees to which it is entitled, which payment is to be made
from the sources described under "--Servicing and Other Compensation
and Payment of Expenses" above;
7. to reimburse the fiscal agent, the trustee, itself or the special
servicer, as applicable, out of general collections on the mortgage
loans and any REO Properties in the trust, for any unreimbursed advance
made by that party under the pooling and servicing agreement that has
been determined not to be ultimately recoverable as described in clause
3. above;
8. to pay the fiscal agent, the trustee, itself or the special servicer,
as applicable, unpaid interest on any advance made by that party under
the pooling and servicing agreement, which payment is to be made first
out of Default Interest and late payment charges received with respect
to the pooled mortgage loan as to which the advance was made;
9. to pay Additional Trust Fund Expenses, other than interest on advances
covered by clause 8. above, and other than special servicing fees,
workout fees and liquidation fees, which payment is to be made out of
Default Interest and late payment charges received with respect to the
pooled mortgage loan as to which those Additional Trust Fund Expenses
were incurred;
10. in connection with the reimbursement of advances as described in
clause 3. or 7. above, to pay the fiscal agent, the trustee, itself or
the special servicer, as the case may be, out of general collections on
the mortgage loans and any REO Properties in the trust, any interest
accrued and payable on that advance and not otherwise payable under
clause 8. above;
11. to pay itself any items of additional master servicing compensation on
deposit in the custodial account as discussed under "--Servicing and
Other Compensation and Payment of Expenses--Additional Master Servicing
Compensation" above;
12. to pay the special servicer any items of additional special servicing
compensation on deposit in the custodial account as discussed under
"--Servicing and Other Compensation and Payment of Expenses--Additional
Special Servicing Compensation" above;
13. to pay, out of general collections on the mortgage loans and any REO
Properties in the trust, any servicing expenses that would, if
advanced, be nonrecoverable as described in clause 3. above;
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14. to pay, out of general collections on the mortgage loans and any REO
Properties in the trust, for costs and expenses incurred by the trust
in connection with the remediation of adverse environmental conditions
at any mortgaged real property that secures a defaulted mortgage loan
in the trust;
15. to pay the fiscal agent, the trustee, itself, the special servicer, us
or any of their or our respective members, managers, directors,
officers, employees and agents, as the case may be, out of general
collections on the mortgage loans and any REO Properties in the trust,
any of the reimbursements or indemnities to which we or any of those
other persons or entities are entitled as described under "Description
of the Governing Documents--Matters Regarding the Master Servicer, the
Special Servicer, the Manager and Us" and "--Matters Regarding the
Trustee" in the accompanying prospectus;
16. to pay, out of general collections on the mortgage loans and any REO
Properties in the trust, for the cost of an independent appraiser or
other expert in real estate matters as required under the pooling and
servicing agreement;
17. to pay, out of general collections on the mortgage loans and any REO
Properties in the trust, for the cost of certain advice of counsel and
tax accountants, the cost of various opinions of counsel, the cost of
recording the pooling and servicing agreement and the cost of the
trustee's transferring mortgage files to a successor after having been
terminated by series 2000-C4 certificateholders without cause, all as
set forth in the pooling and servicing agreement;
18. with respect to each mortgage loan purchased out of the trust, to pay
to the purchaser all amounts received on that mortgage loan following
the purchase;
19. to pay any other items described in this prospectus supplement as
being payable from the custodial account;
20. to withdraw amounts deposited in the custodial account in error; and
21. to clear and terminate the custodial account upon the termination of
the pooling and servicing agreement.
MAINTENANCE OF INSURANCE
The pooling and servicing agreement will require the master servicer, with
respect to mortgage loans other than specially serviced mortgage loans, and the
special servicer, with respect to specially serviced mortgage loans, to use
reasonable efforts, consistent with the Servicing Standard, to cause to be
maintained for each mortgaged real property all insurance coverage as is
required under the related mortgage loan.
Any holder of a certificate that belongs to the series 2000-C4 controlling
class may request that earthquake insurance be secured for one or more
mortgaged real properties by the related borrower, to the extent that insurance
may reasonably be obtained and to the extent the related mortgage loan requires
the borrower to obtain earthquake insurance at the mortgagee's request.
The special servicer will be required, consistent with the Servicing
Standard, to cause to be maintained for each REO Property no less insurance
coverage than was previously required of the applicable borrower under the
related mortgage loan.
If either the master servicer or the special servicer obtains and
maintains a blanket policy or master single interest policy insuring against
hazard losses on all the mortgage loans and/or REO Properties that it is
required to service and administer, then, to the extent such policy--
o is obtained from an insurer having a claims-paying ability or financial
strength rating that meets, or whose obligations are guaranteed by an
entity having a claims-paying ability or financial strength rating that
meets, the requirements of the pooling and servicing agreement, and
o provides protection equivalent to the individual policies otherwise
required,
the master servicer or the special servicer, as the case may be, will be deemed
to have satisfied its obligation to cause hazard insurance to be maintained on
the related mortgaged real properties and/or REO Properties. That blanket
policy or master single interest policy may contain a customary deductible
clause, except that if there has not been maintained on the related mortgaged
real property or REO Property an individual hazard insurance policy complying
with the requirements described above in this "--Maintenance of Insurance"
section, and there occur one or more losses that would have been covered by
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an individual policy, then the master servicer or special servicer, as
appropriate, must promptly deposit into the master servicer's custodial account
from its own funds the amount of those losses that would have been covered by
an individual policy but are not covered under the blanket policy or master
single interest policy because of that deductible clause.
REALIZATION UPON DEFAULTED MORTGAGE LOANS; SALE OF DEFAULTED MORTGAGE LOANS AND
REO PROPERTIES
The pooling and servicing agreement grants to the master servicer, the
special servicer and any single certificateholder or group of
certificateholders of the series 2000-C4 controlling class, a right to purchase
from the trust defaulted mortgage loans in the priority described in the next
paragraph.
If the special servicer has determined that any defaulted mortgage loan
will become subject to foreclosure or similar proceedings, the special servicer
must give prompt written notice of its determination to the trustee and the
master servicer. The trustee will then be required, within 10 days after
receipt of that notice, to provide a similar notice to all certificateholders
of the series 2000-C4 controlling class. Any single certificateholder or group
of certificateholders of the series 2000-C4 controlling class may, at its or
their option, within 10 business days after receiving the notice from the
trustee, purchase that defaulted mortgage loan from the trust, at a cash price
generally equal to the sum of--
o the outstanding principal balance of the mortgage loan,
o all accrued and unpaid interest on the mortgage loan, other than Default
Interest and Post-ARD Additional Interest,
o all unreimbursed servicing advances with respect to the mortgage loan,
and
o all unpaid interest accrued on advances made by the master servicer, the
special servicer, the trustee and/or the fiscal agent with respect to that
mortgage loan.
If two or more separate certificateholders or groups of certificateholders of
the series 2000-C4 controlling class want to purchase the defaulted mortgage
loan, preference will be given to the certificateholder or group of
certificateholders with the largest interest in the series 2000-C4 controlling
class. If certificateholders of the series 2000-C4 controlling class have not
purchased that defaulted mortgage loan within 10 business days of their having
received the relevant notice, then for a limited period, either the special
servicer or the master servicer, in that order of priority, may at its option
purchase the defaulted mortgage loan from the trust at the same cash price as
was applicable for the certificateholders of the series 2000-C4 controlling
class.
The special servicer may offer to sell, on behalf of the trust, any
defaulted mortgage loan not otherwise purchased as described in the preceding
paragraph, if and when the special servicer determines that a sale would be in
the best economic interests of the series 2000-C4 certificateholders, as a
collective whole. Any offer must be made in a commercially reasonable manner
for a period of not less than 10 days. Subject to the discussion in the next
paragraph and under "--The Series 2000-C4 Controlling Class Representative"
above, the special servicer will be required to accept the highest cash bid
received from any person that is a fair price, determined in accordance with
the pooling and servicing agreement, for the mortgage loan.
The special servicer will not be obligated to accept the highest cash bid
if the special servicer determines, in accordance with the Servicing Standard,
that rejection of the highest cash bid would be in the best interests of the
series 2000-C4 certificateholders, as a collective whole. Furthermore, subject
to the discussion under "--The Series 2000-C4 Controlling Class Representative"
above, the special servicer may accept a lower cash bid from any person or
entity other than itself or an affiliate if it determines, in accordance with
the Servicing Standard, that acceptance of the bid would be in the best
interests of the series 2000-C4 certificateholders, as a collective whole. For
example, the prospective buyer making the lower bid may be more likely to
perform its obligations or the terms, other than the price, offered by the
prospective buyer making the lower bid are more favorable.
The special servicer may purchase a defaulted mortgage loan offered for
sale as described in the preceding two paragraphs, provided that there are at
least two other independent bidders and the special servicer makes the highest
cash bid. Any purchase of a defaulted mortgage loan by the special servicer as
described in the preceding sentence will be subject to the trustee's
confirmation that the price being paid for the mortgage loan is a fair price,
determined in accordance with the pooling and servicing agreement.
Neither the trustee, in its individual capacity, nor any of its affiliates
may bid for or purchase from the trust any defaulted mortgage loan or any REO
Property.
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In connection with the sale of any defaulted mortgage loan on behalf of
the trust, the special servicer may charge prospective bidders, and retain,
fees that approximate the special servicer's actual costs in the preparation
and delivery of information pertaining to the sales or evaluating bids without
obligation to deposit the amounts into its collection account.
If a default on a pooled mortgage loan has occurred or, in the special
servicer's judgment, a payment default is imminent, then, subject to the
discussion under "--The Series 2000-C4 Controlling Class Representative" above,
the special servicer may, on behalf of the trust, take any of the following
actions:
o institute foreclosure proceedings;
o exercise any power of sale contained in the related mortgage instrument;
o obtain a deed in lieu of foreclosure; or
o otherwise acquire title to the corresponding mortgaged real property, by
operation of law or otherwise.
Notwithstanding the foregoing, the special servicer may not, on behalf of
the trust, obtain title to a mortgaged real property by foreclosure, deed in
lieu of foreclosure or otherwise, or take any other action with respect to any
mortgaged real property, if, as a result of that action, the trustee, on behalf
of the series 2000-C4 certificateholders, could, in the judgment of the special
servicer exercised in accordance with the Servicing Standard, be considered to
hold title to, to be a mortgagee-in-possession of, or to be an owner or
operator of, that mortgaged real property within the meaning of CERCLA or any
comparable law, unless:
o the special servicer has previously determined in accordance with the
Servicing Standard, based on a report prepared by a person who regularly
conducts environmental audits, that the mortgaged real property is in
compliance with applicable environmental laws and regulations and there
are no circumstances or conditions present at the mortgaged real property
that have resulted in any contamination for which investigation, testing,
monitoring, containment, clean-up or remediation could be required under
any applicable environmental laws and regulations; or
o in the event that the determination described in the preceding bullet
cannot be made--
1. the special servicer has previously determined in accordance with the
Servicing Standard, on the same basis as described in the preceding
bullet, that it would maximize the recovery to the series 2000-C4
certificateholders as a collective whole on a present value basis to
acquire title to or possession of the mortgaged real property and to
take such remedial, corrective and/or other further actions as are
necessary to bring the mortgaged real property into compliance with
applicable environmental laws and regulations and to appropriately
address any of the circumstances and conditions referred to in the
preceding bullet, and
2. either--
(a) the series 2000-C4 controlling class representative has not
objected to the special servicer's doing so, or
(b) if the series 2000-C4 controlling class representative has
objected, that objection is, in the special servicer's
judgment, contrary to the Servicing Standard.
See "--The Series 2000-C4 Controlling Class Representative--Rights and Powers
of the Series 2000-C4 Controlling Class Representative" above and "Legal
Aspects of Mortgage Loans--Environmental Considerations" in the accompanying
prospectus.
The cost of any environmental testing will be covered by, and reimbursable
as, a servicing advance, and the cost of any remedial, corrective or other
further action contemplated by the second bullet of the preceding paragraph
will generally be payable directly out of the master servicer's custodial
account.
If neither of the conditions set forth in the two bullets of the second
preceding paragraph has been satisfied with respect to any mortgaged real
property securing a defaulted mortgage loan, the special servicer will be
required to take such action as is in accordance with the Servicing Standard,
other than proceeding against the mortgaged real property. In connection with
the foregoing, the special servicer may, on behalf of the trust, but subject to
the discussion under "--The Series 2000-C4 Controlling Class
Representative--Rights and Powers of the Series 2000-C4 Controlling Class
Representative" above, release all or a portion of the mortgaged real property
from the lien of the related mortgage. However, if the affected mortgage loan
has a then outstanding principal balance greater than $1 million, then prior to
the special servicer's effecting that release the following conditions, among
others, must be satisfied:
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o the special servicer must have notified the trustee, among others,
o the trustee must have notified the series 2000-C4 certificateholders,
o the holders of series 2000-C4 certificates entitled to a majority of the
voting rights must not have objected to the release within 30 days of
their having been notified, and
o the series 2000-C4 controlling class representative must not have
objected to the release or, if it did, that objection was, in the special
servicer's judgment, inconsistent with the Servicing Standard.
If Liquidation Proceeds collected with respect to a defaulted mortgage
loan in the trust are less than the outstanding principal balance of the
defaulted mortgage loan, together with accrued interest on and reimbursable
expenses incurred by the special servicer and/or the master servicer in
connection with that mortgage loan, then the trust will realize a loss in the
amount of the shortfall. The special servicer and/or the master servicer will
be entitled to reimbursement out of the Liquidation Proceeds recovered on any
defaulted mortgage loan, prior to the payment of the Liquidation Proceeds to
the series 2000-C4 certificateholders, for--
o any and all amounts that represent unpaid servicing compensation with
respect to the mortgage loan,
o unreimbursed servicing expenses incurred with respect to the mortgage
loan, and
o any unreimbursed advances of delinquent payments made with respect to the
mortgage loan.
In addition, amounts otherwise payable on the series 2000-C4 certificates may
be further reduced by interest payable to the master servicer and/or special
servicer on the servicing expenses and advances.
REO PROPERTIES
If title to any mortgaged real property is acquired by the special
servicer on behalf of the trust, then the special servicer will be required to
sell that property not later than the end of the third calendar year following
the year of acquisition, unless--
o the IRS grants an extension of time to sell the property, or
o the special servicer obtains an opinion of independent counsel generally
to the effect that the holding of the property subsequent to the end of
the third calendar year following the year in which the acquisition
occurred will not result in the imposition of a tax on the trust assets or
cause any of REMIC I, REMIC II or REMIC III to fail to qualify as a REMIC
under the Internal Revenue Code of 1986.
Subject to the foregoing, the special servicer will generally be required
to solicit cash offers for any REO Property held by the trust in a manner that
will be reasonably likely to realize a fair price for the property. The special
servicer may retain an independent contractor to operate and manage the REO
Property. The retention of an independent contractor will not relieve the
special servicer of its obligations with respect to the REO Property.
Regardless of whether the special servicer applies for or is granted an
extension of time to sell the property, the special servicer must act in
accordance with the Servicing Standard to liquidate the property on a timely
basis. If an extension is granted or opinion given, the special servicer must
sell the REO Property within the period specified in the extension or opinion,
as the case may be.
In general, the special servicer or an independent contractor employed by
the special servicer at the expense of the trust will be obligated to operate
and manage any REO Property held by the trust in a manner that:
1. maintains its status as foreclosure property under the REMIC provisions
of the Internal Revenue Code, and
2. would, to the extent commercially reasonable and consistent with the
preceding bullet, maximize the trust's net after-tax proceeds from that
property without impairing the special servicer's ability to sell the
REO Property promptly at a fair price.
The special servicer must review the operation of each REO Property held
by the trust and consult with the trustee, or any person appointed by the
trustee to act as tax administrator, to determine the trust's federal income
tax reporting position with respect to the income it is anticipated that the
trust would derive from the property. The special servicer could determine that
it would not be commercially reasonable to manage and operate the property in a
manner that would avoid the imposition of--
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o a tax on net income from foreclosure property, within the meaning of
Section 857(b)(4)(B) of the Internal Revenue Code, or
o a tax on prohibited transactions under Section 860F of the Internal
Revenue Code.
This determination is most likely to occur in the case of an REO Property that
is a hotel or residential health care facility. To the extent that income the
trust receives from an REO Property is subject to--
o a tax on net income from foreclosure property, that income would be
subject to federal tax at the highest marginal corporate tax rate, which
is currently 35%, or
o a tax on prohibited transactions, that income would be subject to federal
tax at a 100% rate.
The determination as to whether income from an REO Property held by the
trust would be subject to a tax will depend on the specific facts and
circumstances relating to the management and operation of each REO Property.
Generally, income from an REO Property that is directly operated by the special
servicer would be apportioned and classified as service or non-service income.
The service portion of the income could be subject to federal tax either at the
highest marginal corporate tax rate or at the 100% rate. The non-service
portion of the income could be subject to federal tax at the highest marginal
corporate tax rate or, although it appears unlikely, at the 100% rate. Any tax
imposed on the trust's income from an REO Property would reduce the amount
available for payment to the series 2000-C4 certificateholders. See "Federal
Income Tax Consequences" in this prospectus supplement and in the accompanying
prospectus. The reasonable out-of-pocket costs and expenses of obtaining
professional tax advice in connection with the foregoing will be payable out of
the master servicer's custodial account.
The special servicer will be required to segregate and hold all funds
collected and received in connection with any REO Property held by the trust
separate and apart from its own funds and general assets. If an REO Property is
acquired by the trust, the special servicer will be required to establish and
maintain an account for the retention of revenues and other proceeds derived
from the REO Property. That REO account must be maintained in a manner and with
a depository institution that satisfies rating agency standards for
securitizations similar to the one involving the offered certificates. The
special servicer will be required to deposit, or cause to be deposited, in its
REO account, upon receipt, all net income, Insurance Proceeds, Condemnation
Proceeds and Liquidation Proceeds received with respect to each REO Property
held by the trust. The funds held in this REO account may be held as cash or
invested in Permitted Investments. Any interest or other income earned on funds
in the special servicer's REO account will be payable to the special servicer,
subject to the limitations described in the pooling and servicing agreement.
The special servicer will be required to withdraw from its REO account
funds necessary for the proper operation, management, leasing, maintenance and
disposition of any REO Property held by the trust, but only to the extent of
amounts on deposit in the account relating to that particular REO Property.
Promptly following the end of each collection period, the special servicer will
be required to withdraw from the REO account and deposit, or deliver to the
master servicer for deposit, into the master servicer's custodial account the
total of all amounts received with respect to each REO Property held by the
trust during that collection period, net of--
o any withdrawals made out of those amounts as described in the preceding
sentence, and
o any portion of those amounts that may be retained as reserves as
described in the next sentence.
The special servicer may, subject to the limitations described in the pooling
and servicing agreement, retain in its REO account that portion of the proceeds
and collections as may be necessary to maintain a reserve of sufficient funds
for the proper operation, management, leasing, maintenance and disposition of
the related REO Property, including the creation of a reasonable reserve for
repairs, replacements, necessary capital improvements and other related
expenses.
The special servicer must keep and maintain separate records, on a
property-by-property basis, for the purpose of accounting for all deposits to,
and withdrawals from, its REO account.
INSPECTIONS; COLLECTION OF OPERATING INFORMATION
The special servicer will be required to perform or cause to be performed
a physical inspection of a mortgaged real property as soon as practicable after
the related pooled mortgage loan becomes a specially serviced mortgage loan and
annually thereafter for so long as the related pooled mortgage loan remains a
specially serviced mortgage loan, provided that the cost of each of those
inspections will be reimbursable to the special servicer as a servicing
advance. In addition, the special
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servicer must perform or cause to be performed a physical inspection of each of
the REO Properties at least once per calendar year, provided that the cost of
each of those inspections will be reimbursable to the special servicer as a
servicing advance. Beginning in 2001, the master servicer will be required at
its expense to perform or cause to be performed a physical inspection of each
mortgaged real property securing a non-specially serviced mortgage loan--
o at least once every two calendar years in the case of mortgaged real
properties securing pooled mortgage loans that have outstanding principal
balances of $2,000,000 or less, and
o at least once every calendar year in the case of all other mortgaged real
properties.
The master servicer and the special servicer will each be required to
prepare and deliver to the trustee a written report of each of the inspections
performed by it that generally describes the condition of the mortgaged real
property and that specifies the existence of any sale, transfer or abandonment
of the mortgaged real property or any material change in its condition or
value.
The special servicer, in the case of any specially serviced mortgage
loans, and the master servicer, in the case of all other mortgage loans, will
also be required to use reasonable efforts to collect from the related
borrowers and review the quarterly and annual operating statements and related
rent rolls with respect to each of the related mortgaged real properties and
REO Properties. The special servicer will be required to deliver to the master
servicer copies of the operating statements and rent rolls it collects. The
master servicer will be required to prepare, based on reports generated by
itself and the special servicer, and deliver to the trustee, a Comparative
Financial Status Report with respect to each mortgaged real property and REO
Property for the applicable period. See "Description of the Offered
Certificates--Reports to Certificateholders; Available Information" in this
prospectus supplement. Each of the mortgage loans requires the related borrower
to deliver an annual property operating statement. The foregoing
notwithstanding, there can be no assurance that any operating statements
required to be delivered will in fact be delivered, nor are the master servicer
and the special servicer likely to have any practical means of compelling their
delivery in the case of an otherwise performing mortgage loan.
EVIDENCE AS TO COMPLIANCE
On or before April 30 of each year, beginning April 30, 2001, each of the
master servicer and the special servicer must:
o at its expense, cause a firm of independent public accountants, that is a
member of the American Institute of Certified Public Accountants to
furnish a statement to the trustee, among others, to the effect that--
1. the firm has obtained a letter of representation regarding certain
matters from the management of the master servicer or special servicer,
as applicable, which includes an assertion that the master servicer or
special servicer, as applicable, has complied with minimum mortgage
loan servicing standards, to the extent applicable to commercial and
multifamily mortgage loans, identified in the Uniform Single
Attestation Program for Mortgage Bankers established by the Mortgage
Bankers Association of America, with respect to the servicing of
commercial and multifamily mortgage loans during the most recently
completed calendar year, and
2. on the basis of an examination conducted by the firm in accordance with
standards established by the American Institute of Certified Public
Accountants, that representation is fairly stated in all material
respects, subject to those exceptions and other qualifications that may
be appropriate;
except that, in rendering its report the firm may rely, as to matters
relating to the direct servicing of commercial and multifamily mortgage
loans by sub-servicers, upon comparable reports of firms of independent
certified public accountants rendered on the basis of examinations
conducted in accordance with the same standards, rendered within one year
of such report, with respect to those sub-servicers; and
o deliver to the trustee, among others, a statement signed by an officer of
the master servicer or the special servicer, as the case may be, to the
effect that, to the best knowledge of that officer, the master servicer or
special servicer, as the case may be, has fulfilled its material
obligations under the pooling and servicing agreement in all material
respects throughout the preceding calendar year or the portion of that
year during which the series 2000-C4 certificates were outstanding.
Copies of the above-mentioned annual accountants' statement and officer's
certificate of each of the master servicer and the special servicer will be
made available to series 2000-C4 certificateholders, at their expense, upon
written request to the trustee.
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EVENTS OF DEFAULT
Each of the following events, circumstances and conditions will be
considered events of default under the pooling and servicing agreement:
o the master servicer or the special servicer fails to deposit, or to remit
to the appropriate party for deposit, into the master servicer's custodial
account or the special servicer's REO account, as applicable, any amount
required to be so deposited;
o the master servicer fails to remit to the trustee for deposit in the
trustee's collection account any amount required to be so remitted, and
that failure continues unremedied until 11:00 a.m., New York City time, on
the applicable payment date;
o the master servicer or the special servicer fails to timely make any
servicing advance required to be made by it under the pooling and
servicing agreement, and that failure continues unremedied for three
business days following the date on which notice has been given to the
master servicer or the special servicer, as the case may be, by the
trustee;
o the master servicer or the special servicer fails to observe or perform
in any material respect any of its other covenants or agreements under the
pooling and servicing agreement, and that failure continues unremedied for
30 days or, if the responsible party is diligently attempting to remedy
the failure, 60 days after written notice of the failure has been given to
the master servicer or the special servicer, as the case may be, by any
other party to the pooling and servicing agreement or by series 2000-C4
certificateholders entitled to not less than 25% of the voting rights for
the series;
o it is determined that there is a breach by the master servicer or the
special servicer of any of its representations or warranties contained in
the pooling and servicing agreement that materially and adversely affects
the interests of any class of series 2000-C4 certificateholders, and that
breach continues unremedied for 30 days or, if the responsible party is
diligently attempting to cure the breach, 60 days after written notice of
the breach has been given to the master servicer or the special servicer,
as the case may be, by any other party to the pooling and servicing
agreement or by series 2000-C4 certificateholders entitled to not less
than 25% of the voting rights for the series;
o a decree or order of a court having jurisdiction in an involuntary case
for the appointment of a receiver, liquidator, trustee or similar official
in any bankruptcy, insolvency, readjustment of debt, marshalling of assets
and liabilities or similar proceedings is entered against the master
servicer or the special servicer and the decree or order remains in force
for a period of 60 days;
o the master servicer or special servicer consents to the appointment of a
receiver, liquidator, trustee or similar official of or relating to it or
all or substantially all of its property;
o the master servicer or special servicer admits in writing its inability
to pay its debts or takes other actions indicating its insolvency or
inability to pay its obligations;
o one or more ratings assigned by Moody's to the series 2000-C4
certificates are qualified, downgraded or withdrawn, or otherwise made the
subject of a "negative" credit watch, which, Moody's has determined, and
given written notice to that effect, is solely or in material part a
result of the master servicer or special servicer acting in that capacity;
o the trustee receives written notice from Moody's to the effect that the
master servicer or the special servicer, as the case may be, is no longer
approved by Moody's to act in such capacity for pools of mortgage loans
similar to the mortgage pool, backing securities with ratings similar to
those of the series 2000-C4 certificates, and the failure to be so
approved will cause a qualification, downgrade or withdrawal of any rating
assigned by Moody's to any class of the series 2000-C4 certificates; and
o the master servicer or the special servicer is removed from S&P's
approved master servicer list or special servicer list, as the case may
be, and any of the ratings assigned by S&P to the series 2000-C4
certificates is qualified, downgraded or withdrawn in connection with that
removal.
When a single entity acts as master servicer and special servicer, an
event of default in one capacity will be an event of default in the other
capacity.
RIGHTS UPON EVENT OF DEFAULT
If an event of default described above under "--Events of Default" occurs
with respect to the master servicer or the special servicer and remains
unremedied, the trustee will be authorized, and at the direction of the series
2000-C4
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certificateholders entitled to not less than 25% of the voting rights for the
series, the trustee will be required, to terminate all of the rights and
obligations of the defaulting party under the pooling and servicing agreement
and in and to the trust assets other than any rights the defaulting party may
have as a series 2000-C4 certificateholder. Upon any termination, the trustee
must either:
o succeed to all of the responsibilities, duties and liabilities of the
master servicer or special servicer, as the case may be, under the pooling
and servicing agreement; or
o appoint an established mortgage loan servicing institution to act as
successor master servicer or special servicer, as the case may be.
The holders of series 2000-C4 certificates entitled to a majority of the voting
rights for the series may require the trustee to appoint an established
mortgage loan servicing institution to act as successor master servicer or
special servicer, as the case may be, rather than have the trustee act as that
successor.
Notwithstanding the foregoing discussion in this "--Rights Upon Event of
Default" section, if the master servicer is terminated in the circumstances
described above because of the occurrence of either of the events of default
described in the last three bullets under "--Events of Default" above, the
master servicer will have the right for a period of 45 days, at its expense, to
sell its master servicing rights with respect to the mortgage pool to a master
servicer whose appointment the rating agencies have confirmed will not result
in a qualification, downgrade or withdrawal of any of the then-current ratings
of the offered certificates. Any bidder for the master servicing rights must
also be reasonably acceptable to the series 2000-C4 controlling class
representative.
In general, series 2000-C4 certificateholders entitled to at least 662/3%
of the voting rights allocated to each class of series 2000-C4 certificates
affected by any event of default may waive the event of default. However, the
events of default described in the first, second, ninth, tenth and eleventh
bullets under "--Events of Default" above may only be waived by all of the
holders of the affected classes of the series 2000-C4 certificates. Upon any
waiver of an event of default, the event of default will cease to exist and
will be deemed to have been remedied for every purpose under the pooling and
servicing agreement.
No series 2000-C4 certificateholder will have the right under the pooling
and servicing agreement to institute any suit, action or proceeding with
respect to that agreement or any pooled mortgage loan unless--
o that holder previously has given to the trustee written notice of
default,
o except in the case of a default by the trustee, series 2000-C4
certificateholders entitled to not less than 25% of the voting rights for
the 2000-C4 series have made written request to the trustee to institute
that suit, action or proceeding in its own name as trustee under the
pooling and servicing agreement and have offered to the trustee such
reasonable indemnity as it may require, and
o except in the case of a default by the trustee, the trustee for 60 days
has neglected or refused to institute that suit, action or proceeding.
The trustee, however, will be under no obligation to exercise any of the
trusts or powers vested in it by the pooling and servicing agreement or to make
any investigation of matters arising under that agreement or to institute,
conduct or defend any litigation under that agreement or in relation to that
agreement at the request, order or direction of any of the series 2000-C4
certificateholders, unless in the trustee's opinion, those certificateholders
have offered to the trustee reasonable security or indemnity against the costs,
expenses and liabilities which may be incurred as a result of any investigation
or litigation.
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DESCRIPTION OF THE OFFERED CERTIFICATES
GENERAL
The series 2000-C4 certificates will be issued, on or about September 28,
2000, under the pooling and servicing agreement. They will represent the entire
beneficial ownership interest of the trust. The assets of the trust will
include:
o the pooled mortgage loans;
o any and all payments under and proceeds of the pooled mortgage loans
received after the cut-off date, exclusive of payments of principal,
interest and other amounts due on or before that date;
o the loan documents for the pooled mortgage loans;
o any REO Properties acquired by the trust with respect to defaulted
mortgage loans; and
o those funds or assets as from time to time are deposited in the master
servicer's custodial account, the special servicer's REO account, the
trustee's collection account described under "--Collection Account" below
or the trustee's interest reserve account described under
"--Payments--Interest Reserve Account" below.
The series 2000-C4 certificates will include the following classes:
o the A-1, A-2, B, C, D, E, F and G classes, which are the classes of
series 2000-C4 certificates that are offered by this prospectus
supplement, and
o the X, H, J, K, L, M, N, P, R-I, R-II and R-III classes, which are the
classes of series 2000-C4 certificates that--
1. will be retained or privately placed by us, and
2. are not offered by this prospectus supplement.
The class A-1, A-2, B, C, D, E, F, G, H, J, K, L, M, N and P certificates
are the only certificates that will have principal balances. The principal
balance of any of these certificates will represent the total payments of
principal to which the holder of the certificate is entitled over time out of
payments, or advances in lieu of payments, and other collections on the assets
of the trust. Accordingly, on each payment date, the principal balance of each
of these certificates will be permanently reduced by any payments of principal
actually made with respect to the certificate on that payment date. See
"--Payments" below. On any particular payment date, the principal balance of
each of these certificates may also be permanently reduced, without any
corresponding payment, in connection with losses on the underlying mortgage
loans and default-related and otherwise unanticipated expenses of the trust.
See "--Reductions in Certificate Principal Balances in Connection with Realized
Losses and Additional Trust Fund Expenses" below.
The class X certificates will not have principal balances, and the holders
of the class X certificates will not be entitled to receive payments of
principal. However, each class X certificate will have a notional amount for
purposes of calculating the accrual of interest with respect to that
certificate. The total notional amount of all the class X certificates will
equal the total principal balance of all the class A-1, A-2, B, C, D, E, F, G,
H, J, K, L, M, N and P certificates outstanding from time to time.
In general, principal balances will be reported on a class-by-class basis.
In order to determine the principal balance of any of your offered certificates
from time to time, you may multiply the original principal balance of that
certificate as of the date of initial issuance of the offered certificates, as
specified on the face of that certificate, by the then-applicable certificate
factor for the relevant class. The certificate factor for any class of offered
certificates, as of any date of determination, will equal a fraction, expressed
as a percentage, the numerator of which will be the then outstanding total
principal balance of that class, and the denominator of which will be the
original total principal balance of that class. Certificate factors will be
reported monthly in the trustee's payment date statement.
REGISTRATION AND DENOMINATIONS
General. The offered certificates will be issued in book-entry form in
original denominations of $10,000 initial principal balance and in any
additional whole dollar denominations.
Each class of offered certificates will initially be represented by one or
more certificates registered in the name of Cede & Co., as nominee of The
Depository Trust Company. You will not be entitled to receive an offered
certificate issued in fully
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registered, certificated form, except under the limited circumstances described
in the accompanying prospectus under "Description of the
Certificates--Book-Entry Registration". For so long as any class of offered
certificates is held in book-entry form--
o all references to actions by holders of those certificates will refer to
actions taken by DTC upon instructions received from beneficial owners of
those certificates through its participating organizations, and
o all references in this prospectus supplement to payments, notices,
reports, statements and other information to holders of those certificates
will refer to payments, notices, reports and statements to DTC or Cede &
Co., as the registered holder of those certificates, for payment to
beneficial owners of offered certificates through its participating
organizations in accordance with DTC's procedures.
The trustee will initially serve as registrar for purposes of providing
for the registration of the offered certificates and, if and to the extent
physical certificates are issued to the actual beneficial owners of any of the
offered certificates, the registration of transfers and exchanges of those
certificates.
For a discussion of DTC, see "Description of the Certificates--Book-Entry
Registration" in the accompanying prospectus.
COLLECTION ACCOUNT
General. The trustee must establish and maintain an account in which it
will hold funds pending their payment on the series 2000-C4 certificates and
from which it will make those payments. That collection account must be
maintained in a manner and with a depository institution that satisfies rating
agency standards for securitizations similar to the one involving the offered
certificates. Funds held in the trustee's collection account may be invested at
the direction of the master servicer, or as otherwise provided in the pooling
and servicing agreement, in Permitted Investments.
Deposits. On the business day prior to each payment date, the master
servicer will be required to remit to the trustee for deposit in the collection
account the following funds:
o All payments and other collections on the mortgage loans and any REO
Properties in the trust that are then on deposit in the master servicer's
custodial account, exclusive of any portion of those payments and other
collections that represents one or more of the following:
1. monthly debt service payments due on a due date subsequent to the end
of the related collection period;
2. payments and other collections received after the end of the related
collection period;
3. amounts that are payable or reimbursable from the master servicer's
custodial account to any person other than the series 2000-C4
certificateholders, including--
o amounts payable to the master servicer or the special servicer as
compensation, including master servicing fees, special servicing
fees, workout fees, liquidation fees, assumption fees, assumption
application fees, extension fees, consent/waiver fees,
modification fees and, to the extent not otherwise applied to
cover or reimburse the trust for interest on advances or other
Additional Trust Fund Expenses with respect to the related pooled
mortgage loan, Default Interest and late payment charges,
o amounts payable in reimbursement of outstanding advances,
together with interest on those advances, and
o amounts payable with respect to other expenses of the trust; and
4. amounts deposited in the master servicer's custodial account in error.
o Any advances of delinquent monthly debt service payments made with
respect to that payment date.
o Any payments made by the master servicer to cover Prepayment Interest
Shortfalls incurred during the related collection period.
See "--Advances of Delinquent Monthly Debt Service Payments" below and
"Servicing of the Underlying Mortgage Loans--Custodial Account" and
"--Servicing and Other Compensation and Payment of Expenses" in this prospectus
supplement.
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With respect to each payment date that occurs during March, commencing in
March 2001, the trustee will be required to transfer from its interest reserve
account, which we describe under "--Interest Reserve Account" below, to its
collection account the interest reserve amounts that are then being held in
that interest reserve account with respect to those pooled mortgage loans that
accrue interest on an Actual/360 Basis.
Withdrawals. The trustee may from time to time make withdrawals from its
collection account for any of the following purposes:
o to pay itself a monthly fee which is described under "--The Trustee"
below;
o to indemnify itself and various related persons as described under
"Description of the Governing Documents--Matters Regarding the Trustee" in
the accompanying prospectus, and to make comparable indemnifications with
respect to the fiscal agent;
o to pay for various opinions of counsel required to be obtained in
connection with any amendments to the pooling and servicing agreement and
the administration of the trust;
o to pay any federal, state and local taxes imposed on the trust, its
assets and/or transactions, together with all incidental costs and
expenses, that are required to be borne by the trust as described under
"Federal Income Tax Consequences--REMICs--Prohibited Transactions Tax and
Other Taxes" in the accompanying prospectus and "Servicing of the
Underlying Mortgage Loans--REO Properties" in this prospectus supplement;
o to pay to the master servicer interest and other income earned on funds
in the collection account, subject to the limitations provided in the
pooling and servicing agreement;
o with respect to each payment date during February of 2001 or any year
thereafter or during January of 2001 or any year thereafter that is not a
leap year, to transfer to the trustee's interest reserve account the
interest reserve amounts required to be so transferred in that month with
respect to those pooled mortgage loans that accrue interest on an
Actual/360 Basis; and
o to pay to the person entitled thereto any amounts deposited in the
collection account in error.
On each payment date, all amounts on deposit in the trustee's collection
account, exclusive of any portion of those amounts that are to be withdrawn for
the purposes contemplated in the foregoing paragraph, will be withdrawn and
applied to make payments on the series 2000-C4 certificates. For any payment
date, those funds will consist of three separate components--
o the portion of those funds that represent prepayment consideration
collected on the pooled mortgage loans as a result of voluntary or
involuntary prepayments that occurred during the related collection
period, which will be paid to the holders of the series 2000-C4
certificates that are senior to the class J certificates, as described
under "--Payments--Payments of Prepayment Premiums and Yield Maintenance
Charges" below,
o the portion of those funds that represent Post-ARD Additional Interest
collected on the ARD Loans in the trust during the related collection
period, which will be paid to the holders of the class P certificates as
described under "--Payments--Payments of Post-ARD Additional Interest"
below, and
o the remaining portion of those funds, which--
1. we refer to as the Available P&I Funds, and
2. will be paid to the holders of all the series 2000-C4 certificates, as
described under "--Payments--Priority of Payments" below.
S-81
<PAGE>
INTEREST RESERVE ACCOUNT
The trustee must maintain an account in which it will hold the interest
reserve amounts described in the next paragraph with respect to those pooled
mortgage loans that accrue interest on an Actual/360 Basis. That interest
reserve account must be maintained in a manner and with a depository that
satisfies rating agency standards for similar securitizations as the one
involving the offered certificates. Funds held in the trustee's interest
reserve account will remain uninvested.
During January, except in a leap year, and February of each calendar year,
beginning in 2001, the trustee will, on or before the payment date in that
month, withdraw from its collection account and deposit in its interest reserve
account the interest reserve amounts with respect to those underlying mortgage
loans that accrue interest on an Actual/360 Basis and for which the monthly
debt service payment due in that month was either received or advanced. That
interest reserve amount for each of those mortgage loans will equal one day's
interest accrued at the related mortgage interest rate on the Stated Principal
Balance of that loan as of the end of the related collection period, exclusive,
however, of Post-ARD Additional Interest.
During March of each calendar year, beginning in 2001, the trustee will,
on or before the payment date in that month, withdraw from its interest reserve
account and deposit in its collection account any and all interest reserve
amounts then on deposit in the interest reserve account with respect to those
pooled mortgage loans that accrue interest on an Actual/360 Basis. All interest
reserve amounts that are so transferred from the interest reserve account to
the collection account will be included in the Available P&I Funds for the
payment date during the month of transfer.
PAYMENTS
General. On each payment date, the trustee will, subject to the available
funds, make all payments required to be made on the series 2000-C4 certificates
on that date to the holders of record as of the close of business on the last
business day of the calendar month preceding the month in which those payments
are to occur. The final payment of principal and/or interest on any offered
certificate, however, will be made only upon presentation and surrender of that
certificate at the location to be specified in a notice of the pendency of that
final payment.
In order for a series 2000-C4 certificateholder to receive payments by
wire transfer on and after any particular payment date, that certificateholder
must provide the trustee with written wiring instructions no less than five
business days prior to the record date for that payment date occurs. Otherwise,
that certificateholder will receive its payments by check mailed to it.
Cede & Co. will be the registered holder of your offered certificates, and
you will receive payments on your offered certificates through DTC and its
participating organizations, until physical certificates are issued to the
actual beneficial owners. See "--Registration and Denominations" above.
Payments of Interest. All of the classes of the series 2000-C4
certificates will bear interest, except for the R-I, R-II and R-III classes.
With respect to each interest-bearing class of the series 2000-C4
certificates, that interest will accrue during each interest accrual period
based upon--
o the pass-through rate applicable for that class for that interest
accrual period,
o the total principal balance or notional amount, as the case may be, of
that class outstanding immediately prior to the related payment date, and
o the assumption that each year consists of twelve 30-day months.
On each payment date, subject to the Available P&I Funds for that date and
the priorities of payment described under "--Payments--Priority of Payments"
below, the holders of each interest-bearing class of the series 2000-C4
certificates will be entitled to receive--
o the total amount of interest accrued during the related interest accrual
period with respect to that class of certificates, reduced by
o the portion of any Net Aggregate Prepayment Interest Shortfall for that
payment date that is allocable to that class of certificates.
S-82
<PAGE>
If the holders of any interest-bearing class of the series 2000-C4
certificates do not receive all of the interest to which they are entitled on
any payment date, then they will continue to be entitled to receive the unpaid
portion of that interest on future payment dates, without further interest
accrued on the unpaid portion, subject to the Available P&I Funds for those
future payment dates and the priorities of payment described under
"--Payments--Priority of Payments" below.
The portion of any Net Aggregate Prepayment Interest Shortfall for any
payment date that is allocable to any particular interest bearing class of the
series 2000-C4 certificates will equal the product of--
o the total amount of interest accrued during the related interest accrual
period with respect to that class of certificates, multiplied by
o a fraction, the numerator of which is the total amount of interest
accrued during the related interest accrual period with respect to that
class of certificates, and the denominator of which is the total amount
of interest accrued during the related interest accrual period with
respect to all of the interest-bearing classes of the series 2000-C4
certificates.
Calculation of Pass-Through Rates. The pass-through rate for each
interest-bearing class of the series 2000-C4 certificates, other than the class
X certificates, will be fixed at the rate per annum set forth as the initial
pass-through rate with respect to that class in the table on page S-6.
The pass-through rate applicable to the class X certificates for each
interest accrual period, including the initial interest accrual period, will
equal the excess, if any, of--
o the Weighted Average Pool Pass-Through Rate for that interest accrual
period, over
o the weighted average of the fixed pass-through rates for each of the
other interest-bearing classes of the series 2000-C4 certificates,
weighted on the basis of the relative total principal balances of those
other classes of series 2000-C4 certificates outstanding immediately
prior to the related payment date.
The calculation of the Weighted Average Pool Pass-Through Rate will be
unaffected by any change in the mortgage interest rate for any mortgage loan
from what it was on the date of initial issuance of the offered certificates,
including in connection with any bankruptcy or insolvency of the related
borrower or any modification of that mortgage loan agreed to by the master
servicer or the special servicer.
The class R-I, R-II and R-III certificates will not be interest-bearing
and, therefore, will not have pass-through rates.
Payments of Principal. Subject to the Available P&I Funds and the priority
of payments described under "--Payments--
Priority of Payments" below, the total amount of principal payable with respect
to each class of the series 2000-C4 certificates, other than the class X, R-I,
R-II and R-III certificates, on each payment date will equal that class's
allocable share of the Total Principal Payment Amount for that payment date.
In general, the portion of the Total Principal Payment Amount that will be
allocated to the class A-1 and A-2 certificates on each payment date will
equal:
o in the case of the class A-1 certificates, the lesser of--
1. the entire Total Principal Payment Amount for that payment date, and
2. the total principal balance of the class A-1 certificates immediately
prior to that payment date; and
o in the case of the class A-2 certificates, the lesser of--
1. the entire Total Principal Payment Amount for that payment date,
reduced by any portion of that amount allocable to the class A-1
certificates as described in the preceding bullet, and
2. the total principal balance of the class A-2 certificates immediately
prior to that payment date.
However, on each payment date coinciding with and following the Class A
Principal Payment Cross-Over Date, and in any event on the final payment date,
assuming the A-1 and A-2 classes are both outstanding at that time, the Total
Principal Payment Amount will be allocable between the A-1 and A-2 classes on a
pro rata basis in accordance with their respective total principal balances
immediately prior to that payment date, in each case up to that total principal
balance.
WHILE THE CLASS A-1 AND A-2 CERTIFICATES ARE OUTSTANDING, NO PORTION OF
THE TOTAL PRINCIPAL PAYMENT AMOUNT FOR ANY PAYMENT DATE WILL BE ALLOCATED TO
ANY OTHER CLASS OF SERIES 2000-C4 CERTIFICATES.
S-83
<PAGE>
Following the retirement of the class A-1 and A-2 certificates, the Total
Principal Payment Amount for each payment date will be allocated to the
respective classes of series 2000-C4 certificates identified in the table below
and in the order of priority set forth in that table, in each case up to the
lesser of--
o the portion of that Total Principal Payment Amount that remains
unallocated, and
o the total principal balance of the particular class immediately prior to
that payment date.
<TABLE>
<CAPTION>
ORDER OF ALLOCATION CLASS
--------------------- ------
<S> <C>
1st ............... B
2nd ............... C
3rd ............... D
4th ............... E
5th ............... F
6th ............... G
7th ............... H
8th ............... J
9th ............... K
10th .............. L
11th .............. M
12th .............. N
13th .............. P
</TABLE>
IN NO EVENT WILL THE HOLDERS OF ANY CLASS OF SERIES 2000-C4 CERTIFICATES
LISTED IN THE FOREGOING TABLE BE ENTITLED TO RECEIVE ANY PAYMENTS OF PRINCIPAL
UNTIL THE TOTAL PRINCIPAL BALANCE OF THE CLASS A-1 AND A-2 CERTIFICATES IS
REDUCED TO ZERO. FURTHERMORE, IN NO EVENT WILL THE HOLDERS OF ANY CLASS OF
SERIES 2000-C4 CERTIFICATES LISTED IN THE FOREGOING TABLE BE ENTITLED TO
RECEIVE ANY PAYMENTS OF PRINCIPAL UNTIL THE TOTAL PRINCIPAL BALANCE OF ALL
OTHER CLASSES OF SERIES 2000-C4 CERTIFICATES, IF ANY, LISTED ABOVE IT IN THE
FOREGOING TABLE IS REDUCED TO ZERO.
Reimbursement Amounts. As discussed under "--Reductions of Certificate
Principal Balances in Connection with Realized Losses and Additional Trust Fund
Expenses" below, the total principal balance of any class of series 2000-C4
certificates, other than the class X, R-I, R-II and R-III certificates, may be
reduced without a corresponding payment of principal. If that occurs with
respect to any class of series 2000-C4 certificates, then, subject to Available
P&I Funds and the priority of payment described under "--Payments--Priority of
Payments" below, the holders of that class will be entitled to be reimbursed
for the amount of that reduction, without interest. References to the "loss
reimbursement amount" under "--Payments--Priority of Payments" below mean, in
the case of any class of series 2000-C4 certificates, other than the class X,
R-I, R-II and R-III certificates, for any payment date, the total amount to
which the holders of that class are entitled as reimbursement for all
previously unreimbursed reductions, if any, made in the total principal balance
of that class on all prior payment dates as discussed under "--Reductions of
Certificate Principal Balances in Connection with Realized Losses and
Additional Trust Fund Expenses" below.
Priority of Payments. On each payment date, the trustee will apply the
Available P&I Funds for that date to make the following payments in the
following order of priority, in each case to the extent of the remaining
Available P&I Funds:
<TABLE>
<CAPTION>
ORDER OF RECIPIENT CLASS
PAYMENT OR CLASSES TYPE AND AMOUNT OF PAYMENT
------- ---------- --------------------------
<S> <C> <C>
1 A-1, A-2 and X Interest up to the total interest payable on those classes, pro rata based on the
respective amounts of that interest payable on each of those classes
2 A-1 and A-2 Principal up to the total principal payable on those classes, allocable as
between those classes as described immediately following this table
3 A-1 and A-2 Reimbursement up to the total loss reimbursement amount for those classes,
pro rata based on the loss reimbursement amount for each of those classes
--------------------------------------------------------------------------------------------------------------
</TABLE>
S-84
<PAGE>
<TABLE>
<CAPTION>
ORDER OF RECIPIENT CLASS
PAYMENT OR CLASSES TYPE AND AMOUNT OF PAYMENT
------- ---------- --------------------------
<S> <C> <C>
4 B Interest up to the total interest payable on that class
5 B Principal up to the total principal payable on that class
6 B Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
7 C Interest up to the total interest payable on that class
8 C Principal up to the total principal payable on that class
9 C Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
10 D Interest up to the total interest payable on that class
11 D Principal up to the total principal payable on that class
12 D Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
13 E Interest up to the total interest payable on that class
14 E Principal up to the total principal payable on that class
15 E Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
16 F Interest up to the total interest payable on that class
17 F Principal up to the total principal payable on that class
18 F Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
19 G Interest up to the total interest payable on that class
20 G Principal up to the total principal payable on that class
21 G Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
22 H Interest up to the total interest payable on that class
23 H Principal up to the total principal payable on that class
24 H Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
25 J Interest up to the total interest payable on that class
26 J Principal up to the total principal payable on that class
27 J Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
28 K Interest up to the total interest payable on that class
29 K Principal up to the total principal payable on that class
30 K Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
31 L Interest up to the total interest payable on that class
32 L Principal up to the total principal payable on that class
33 L Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
34 M Interest up to the total interest payable on that class
35 M Principal up to the total principal payable on that class
36 M Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
37 N Interest up to the total interest payable on that class
38 N Principal up to the total principal payable on that class
39 N Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
40 P Interest up to the total interest payable on that class
41 P Principal up to the total principal payable on that class
42 P Reimbursement up to the loss reimbursement amount for that class
-------------------------------------------------------------------------------------------------
43 R-I, R-II and R-III Any remaining Available P&I Funds
</TABLE>
S-85
<PAGE>
In general, no payments of principal will be made with respect to the
class A-2 certificates until the total principal balance of the class A-1
certificates is reduced to zero. However, on each payment date coinciding with
or following the Class A Principal Payment Cross-Over Date, and in any event on
the final payment date, assuming the A-1 and A-2 classes are both outstanding
at that time, payments of principal on the A-1 and A-2 classes will be made on
a pro rata basis in accordance with the respective total principal balances of
those classes then outstanding.
Payments of Prepayment Premiums and Yield Maintenance Charges. If any
prepayment consideration is collected during any particular collection period
with respect to any mortgage loan in the trust, regardless of whether that
prepayment consideration is calculated as a percentage of the amount prepaid or
in accordance with a yield maintenance formula, then on the payment date
corresponding to that collection period, the trustee will pay a portion of that
prepayment consideration to the holders of each class of series 2000-C4
certificates, if any, that--
o is senior to the class J certificates, and
o is entitled to payments of principal on that payment date,
up to an amount equal to the product of--
o the full amount of that prepayment consideration, net of workout fees
and liquidation fees payable from it, multiplied by
o a fraction, which in no event may be greater than 1.0 or less than 0.0,
the numerator of which is equal to the excess, if any, of the
pass-through rate for that class of certificates over the relevant
discount rate, and the denominator of which is equal to the excess, if
any, of the mortgage interest rate of the prepaid mortgage loan over the
relevant discount rate, and further multiplied by
o a fraction, the numerator of which is equal to the amount of principal
payable to that class of certificates on that payment date, and the
denominator of which is the Total Principal Payment Amount for that
payment date.
The trustee will thereafter pay any remaining portion of that net prepayment
consideration to the holders of the class X certificates.
The discount rate applicable to any class of offered certificates with
respect to any prepaid mortgage loan will equal the yield, when compounded
monthly, on the U.S. Treasury primary issue, with a maturity date closest to
the maturity date or anticipated repayment date, as applicable, for the prepaid
mortgage loan. In the event that there are two U.S. Treasury issues--
o with the same coupon, the issue with the lower yield will be utilized,
or
o with maturity dates equally close to the maturity date for the prepaid
mortgage loan, the issue with the earliest maturity date will be
utilized.
Neither we nor the underwriters make any representation as to--
o the enforceability of the provision of any promissory note evidencing
one of the mortgage loans requiring the payment of a prepayment premium
or yield maintenance charge, or
o the collectability of any prepayment premium or yield maintenance
charge.
See "Description of the Mortgage Pool--Terms and Conditions of the Underlying
Mortgage Loans--Prepayment Provisions" in this prospectus supplement.
Payments of Additional Interest. The class P certificates will entitle the
holders to all amounts, if any, applied as Post-ARD Additional Interest
collected on the ARD Loans in the trust.
Treatment of REO Properties. Notwithstanding that any mortgaged real
property may be acquired as part of the trust assets through foreclosure, deed
in lieu of foreclosure or otherwise, the related mortgage loan will be treated
as having remained outstanding, until the REO Property is liquidated, for
purposes of determining--
o payments on the series 2000-C4 certificates,
o allocations of Realized Losses and Additional Trust Fund Expenses to the
series 2000-C4 certificates, and
o the amount of all fees payable to the master servicer, the special
servicer and the trustee under the pooling and servicing agreement.
S-86
<PAGE>
In connection with the foregoing, that mortgage loan will be taken into account
when determining the Weighted Average Pool Pass-Through Rate and the Total
Principal Payment Amount for each payment date.
Operating revenues and other proceeds derived from an REO Property will be
applied--
o first, to pay, or to reimburse the master servicer, the special servicer
and/or the trustee for the payment of, some of the costs and expenses
incurred in connection with the operation and disposition of the REO
Property, and
o thereafter, as collections of principal, interest and other amounts due
on the related mortgage loan.
To the extent described under "--Advances of Delinquent Monthly Debt
Service Payments" below, the master servicer, the trustee and the fiscal agent
will be required to advance delinquent monthly debt service payments with
respect to each pooled mortgage loan as to which the corresponding mortgaged
real property has become an REO Property, in all cases as if the mortgage loan
had remained outstanding.
REDUCTIONS OF CERTIFICATE PRINCIPAL BALANCES IN CONNECTION WITH REALIZED LOSSES
AND ADDITIONAL TRUST FUND EXPENSES
As a result of Realized Losses and Additional Trust Fund Expenses, the
total Stated Principal Balance of the mortgage pool may decline below the total
principal balance of the series 2000-C4 certificates. If this occurs following
the payments made to the certificateholders on any payment date, then the
respective total principal balances of the following classes of the series
2000-C4 certificates are to be successively reduced in the following order,
until the total principal balance of those classes of certificates equals the
total Stated Principal Balance of the mortgage pool that will be outstanding
immediately following that payment date.
<TABLE>
<CAPTION>
ORDER OF ALLOCATION CLASS
--------------------- ----------------------
<S> <C>
1st ............... P
2nd ............... N
3rd ............... M
4th ............... L
5th ............... K
6th ............... J
7th ............... H
8th ............... G
9th ............... F
10th .............. E
11th .............. D
12th .............. C
13th .............. B
14th .............. A-1 and A-2, pro rata
based on total
principal balances
</TABLE>
The reductions in the total principal balances of the respective classes
of series 2000-C4 certificates with principal balances, as described in the
previous paragraph, will represent an allocation of the Realized Losses and/or
Additional Trust Fund Expenses that caused the particular mismatch in principal
balances between the pooled mortgage loans and those classes of series 2000-C4
certificates.
The Realized Loss with respect to a liquidated mortgage loan, or related
REO Property, is an amount generally equal to the excess, if any, of:
o the outstanding principal balance of the mortgage loan as of the date of
liquidation, together with--
1. all accrued and unpaid interest on the mortgage loan to but not
including the due date in the collection period in which the
liquidation occurred, exclusive, however, of any portion of that
interest that represents Default Interest or Post-ARD Additional
Interest, and
2. all related unreimbursed servicing advances and unpaid liquidation
expenses, over
o the total amount of Liquidation Proceeds, if any, recovered in
connection with the liquidation.
S-87
<PAGE>
If any portion of the debt due under a mortgage loan is forgiven, whether in
connection with a modification, waiver or amendment granted or agreed to by the
master servicer or the special servicer or in connection with the bankruptcy,
insolvency or similar proceeding involving the related borrower, the amount
forgiven, other than Default Interest and Post-ARD Additional Interest, also
will be treated as a Realized Loss.
Some examples of Additional Trust Fund Expenses are:
o any special servicing fees, workout fees and liquidation fees paid to
the special servicer;
o any interest paid to the master servicer, the special servicer, the
trustee and/or the fiscal agent with respect to unreimbursed advances,
which interest payment is not covered out of late payment charges and
Default Interest actually collected on the related mortgage loan in the
trust;
o the cost of various opinions of counsel required or permitted to be
obtained in connection with the servicing of the pooled mortgage loans
and the administration of the other trust assets;
o any unanticipated, non-mortgage loan specific expenses of the trust,
including--
1. any reimbursements and indemnifications to the trustee and the fiscal
agent described under "Description of the Governing Documents--Matters
Regarding the Trustee" in the accompanying prospectus, the fiscal agent
having the same rights to indemnity and reimbursement as described with
respect to the trustee,
2. any reimbursements and indemnification to the master servicer, the
special servicer and us described under "Description of the Governing
Documents--Matters Regarding the Master Servicer, the Special Servicer,
the Manager and Us" in the accompanying prospectus, and
3. any federal, state and local taxes, and tax-related expenses, payable
out of the trust assets, as described under "Federal Income Tax
Consequences--REMICs--Prohibited Transactions Tax and Other Taxes" in
the accompanying prospectus;
o rating agency fees, other than on-going surveillance fees, that cannot
be recovered from the borrower; and
o any amounts expended on behalf of the trust to remediate an adverse
environmental condition at any mortgaged real property securing a
defaulted mortgage loan as described under "Servicing of the Underlying
Mortgage Loans--Realization Upon Defaulted Mortgage Loans" in this
prospectus supplement.
ADVANCES OF DELINQUENT MONTHLY DEBT SERVICE PAYMENTS
The master servicer will be required to make, for each payment date, a
total amount of advances of principal and/or interest generally equal to all
monthly debt service payments other than balloon payments, and assumed monthly
debt service payments, in each case net of related master servicing fees and
workout fees, that--
o were due or deemed due, as the case may be, with respect to the pooled
mortgage loans during the related collection period, and
o were not paid by or on behalf of the respective borrowers or otherwise
collected as of the close of business on the last day of the related
collection period.
Notwithstanding the foregoing, if it is determined that an Appraisal
Reduction Amount exists with respect to any mortgage loan in the trust, then
the master servicer will reduce the interest portion, but not the principal
portion, of each P&I advance that it must make with respect to that mortgage
loan during the period that the Appraisal Reduction Amount exists. The interest
portion of any P&I advance required to be made with respect to any mortgage
loan as to which there exists an Appraisal Reduction Amount, will equal the
product of:
o the amount of the interest portion of that P&I advance that would
otherwise be required to be made for the subject payment date without
regard to this sentence and the prior sentence, multiplied by
o a fraction, the numerator of which is equal to the Stated Principal
Balance of the mortgage loan, net of the Appraisal Reduction Amount, and
the denominator of which is equal to the Stated Principal Balance of the
mortgage loan.
With respect to any payment date, the master servicer will be required to
make P&I advances either out of its own funds or, subject to replacement as and
to the extent provided in the pooling and servicing agreement, funds held in
the master servicer's custodial account that are not required to be paid on the
series 2000-C4 certificates on that payment date.
S-88
<PAGE>
The trustee will be required to make any P&I advance that the master
servicer is required, but fails, to make. If the trustee fails to make a
required P&I advance, then the fiscal agent will be required to make the
advance. See "--The Trustee" and "--The Fiscal Agent" below.
The master servicer, the trustee and the fiscal agent will each be
entitled to recover any P&I advance made by it out of its own funds from
collections on the mortgage loan as to which the advance was made. None of the
master servicer, the trustee or the fiscal agent will be obligated to make any
P&I advance that, in its judgment, would not ultimately be recoverable out of
collections on the related mortgage loan. If the master servicer, the trustee
or the fiscal agent makes any P&I advance that it subsequently determines, in
its judgment, will not be recoverable out of collections on the related
mortgage loan, it may obtain reimbursement for that advance, together with
interest accrued on the advance as described in the next paragraph, out of
general collections on the mortgage loans and any REO Properties in the trust
on deposit in the master servicer's custodial account from time to time. The
trustee and the fiscal agent will be entitled to rely on the master servicer's
determination that an advance, if made, would not be ultimately recoverable
from collections on the related mortgage loan. See "Description of the
Certificates--Advances" in the accompanying prospectus and "Servicing of the
Underlying Mortgage Loans--Custodial Account" in this prospectus supplement.
The master servicer, the trustee and the fiscal agent will each be
entitled to receive interest on P&I advances made thereby out of its own funds.
That interest will accrue on the amount of each P&I advance, and compound
annually, for so long as that advance is outstanding at an annual rate equal to
the prime rate as published in the "Money Rates" section of The Wall Street
Journal, as that prime rate may change from time to time. Interest accrued with
respect to any P&I advance will be payable--
o first, out of Default Interest and late payment charges collected on the
related mortgage loan subsequent to the accrual of that interest, and
o then, if and to the extent that the subject advance has been reimbursed
and the Default Interest and late payment charges referred to in clause
first are insufficient to cover the advance interest, out of any amounts
then on deposit in the master servicer's custodial account.
Any delay between a sub-servicer's receipt of a late collection of a
monthly debt service payment as to which a P&I advance was made and the
forwarding of that late collection to the master servicer, will increase the
amount of interest accrued and payable to the master servicer or the trustee,
as the case may be, on that P&I advance. To the extent not offset by Default
Interest and/or late payment charges accrued and actually collected, interest
accrued on outstanding P&I advances will result in a reduction in amounts
payable on one or more classes of the certificates.
A monthly debt service payment will be assumed to be due with respect to:
o each pooled mortgage loan that is delinquent with respect to its balloon
payment beyond the end of the collection period in which its maturity
date occurs and as to which no arrangements have been agreed to for the
collection of the delinquent amounts, including an extension of maturity;
and
o each pooled mortgage loan as to which the corresponding mortgaged real
property has become an REO Property.
The assumed monthly debt service payment deemed due on any mortgage loan
described in the prior sentence that is delinquent as to its balloon payment,
will equal, for its stated maturity date and for each successive due date that
it remains outstanding and part of the trust, the monthly debt service payment
that would have been due on the mortgage loan on the relevant date if the
related balloon payment had not come due and the mortgage loan had, instead,
continued to amortize and accrue interest according to its terms in effect
prior to that stated maturity date. The assumed monthly debt service payment
deemed due on any mortgage loan described in the second preceding sentence as
to which the related mortgaged real property has become an REO Property, will
equal, for each due date that the REO Property remains part of the trust, the
monthly debt service payment or, in the case of a mortgage loan delinquent with
respect to its balloon payment, the assumed monthly debt service payment due or
deemed due on the last due date prior to the acquisition of that REO Property.
Assumed monthly debt service payments for ARD Loans do not include Post-ARD
Additional Interest or accelerated amortization payments.
REPORTS TO CERTIFICATEHOLDERS; AVAILABLE INFORMATION
Certificateholder Reports. Based solely on information provided in monthly
reports prepared by the master servicer and the special servicer and delivered
to the trustee, the trustee will be required to provide or otherwise make
available as
S-89
<PAGE>
described under "--Information Available Electronically" below, on each payment
date, to each registered holder of an offered certificate and, upon request, to
each beneficial owner of an offered certificate held in book-entry form that is
identified to the reasonable satisfaction of the trustee:
o A Payment Date Statement setting forth, among other things:
1. the amount of payments, if any, made on that payment date to the
holders of each class of series 2000-C4 certificates with principal
balances that were applied to reduce those principal balances;
2. the amount of payments, if any, made on that payment date to the
holders of each class of series 2000-C4 certificates, other than the
class R-I, class R-II and class R-III, allocated to interest payable on
those classes of certificates, prepayment consideration and Post-ARD
Additional Interest, respectively;
3. the Available P&I Funds for that payment date;
4. the total amount of P&I advances made in respect of the mortgage pool
for the immediately preceding payment date;
5. the total amount of--
(a) unreimbursed P&I advances in respect of the mortgage pool,
and the total amount of interest accrued and payable on
those unreimbursed P&I advances, as of the close of
business on the last day of the related collection period;
and
(b) unreimbursed servicing advances in respect of the mortgage
pool, and the total amount of interest accrued and payable
on the unreimbursed servicing advances, outstanding as of
the close of business on the last day of the related
collection period;
6. the total unpaid principal balance of the mortgage pool outstanding as
of the close of business on the last day of the related collection
period;
7. the number, total unpaid principal balance, weighted average remaining
term to maturity and weighted average mortgage interest rate of the
mortgage loans, other than mortgage loans in respect of which the
related mortgaged real property has become REO Property, as of the
close of business on the last day of the related collection period;
8. the number and total unpaid principal balance as of the close of
business on the last day of the related collection period, and the
total Stated Principal Balance immediately after that payment date, of
mortgage loans--
(a) delinquent 30-59 days,
(b) delinquent 60-89 days,
(c) delinquent 90 or more days,
(d) as to which foreclosure proceedings have been commenced, and
(e) as to which, to the knowledge of the master servicer,
bankruptcy proceedings have commenced in respect of the
related borrower;
9. with respect to any mortgage loan as to which a liquidation event
occurred during the related collection period, other than a payment in
full--
(a) its loan number,
(b) the nature of the liquidation event and, in the case of a
determination by the special servicer with respect to any
defaulted mortgage loan or REO Property that there has been
a recovery of all Insurance Proceeds, Condemnation
Proceeds, Liquidation Proceeds and other payments or
recoveries that the special servicer has determined in
accordance with the Servicing Standard, will be ultimately
recoverable, a brief description of the basis for that
final recovery determination,
(c) the total of all Liquidation Proceeds and other amounts
received in connection with the liquidation event,
separately identifying the portion thereof allocable to
payments on the series 2000-C4 certificates, and
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(d) the amount of any Realized Loss in connection with the
liquidation event;
10. with respect to any REO Property included in the trust assets as of
the close of business on the related determination date, the loan
number of the related mortgage loan, the book value of the REO
Property and, if available, the appraised value of the REO Property as
expressed in the most recent appraisal of that mortgage loan and the
date of such appraisal;
11. with respect to any mortgage loan as to which the related mortgaged
real property became an REO Property during the related collection
period, the loan number of the mortgage loan and the Stated Principal
Balance of the mortgage loan as of the acquisition date of that REO
Property;
12. with respect to any REO Property included in the trust as to which a
final recovery determination, similar to that described in clause 9.
above, was made during the related collection period--
(a) the loan number of the related mortgage loan,
(b) a brief description of the basis for the final recovery
determination,
(c) the total of all Liquidation Proceeds and other amounts
received in connection with that final recovery
determination, separately identifying the portion thereof
allocable to payments on the series 2000-C4 certificates,
(d) the amount of any Realized Loss in respect of the REO
Property in connection with the final recovery
determination, and
(e) if available, the appraised value of the REO Property as
expressed in the most recent appraisal of the REO Property
and the date of such appraisal;
13. the accrued interest in respect of each interest-bearing class of
series 2000-C4 certificates for the related interest accrual period,
and the portion of that interest payable in respect of that class of
series 2000-C4 certificates on the subject payment date;
14. any unpaid interest in respect of each interest-bearing class of
series 2000-C4 certificates, after giving effect to the payments made
on that payment date;
15. the pass-through rate for the class X certificates for the related
interest accrual period;
16. the Total Principal Payment Amount for that payment date, in each
case separately identifying the respective components thereof;
17. the total of all Realized Losses incurred during the related
collection period and from the date of initial issuance of the series
2000-C4 certificates, and all Additional Trust Fund Expenses, with a
description of those amounts, incurred during the related collection
period and from the date of initial issuance of the series 2000-C4
certificates;
18. the principal balance of each class of series 2000-C4 certificates
with a principal balance and the notional amount of the class X
certificates immediately before and immediately after that payment
date, separately identifying any reduction due to the allocation of
Realized Losses and Additional Trust Fund Expenses on that payment
date;
19. the total amount of interest on advances in respect of the mortgage
pool paid to the master servicer, the special servicer, the trustee or
the fiscal agent during the related collection period;
20. the loan number for each mortgage loan as to which an Appraisal
Trigger Event exists and any related Appraisal Reduction Amount as of
the last day of the related collection period;
21. the original and then current credit support levels for each class of
series 2000-C4 certificates, other than the class R-I, R-II and R-III
certificates;
22. the original and then current ratings, if any, for each class of
series 2000-C4 certificates, other than the class R-I, R-II and R-III
certificates;
23. the total amount of prepayment premiums and yield maintenance charges
collected--
(a) during the related collection period, and
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(b) since the date of initial issuance of the series 2000-C4
certificates;
24. the total amount of servicing compensation in respect of the mortgage
pool paid to the master servicer, the special servicer and, if payable
directly out of the trust assets without a reduction in the servicing
compensation otherwise payable to the master servicer or the special
servicer, to each sub-servicer, during the related collection period;
and
25. the amounts, if any, actually paid on the class R-I, R-II and R-III
certificates on the subject payment date; and
26. such other information as the trustee is required by the Internal
Revenue Code or other applicable law to furnish to enable
certificateholders to prepare their tax returns.
o A CMSA Loan Periodic Update File, a CMSA Financial File and a CMSA
Property File setting forth information with respect to the pooled
mortgage loans and the corresponding mortgaged real properties,
respectively.
o A Mortgage Pool Data Update Report, which is to contain substantially
the categories of information regarding the pooled mortgage loans set
forth on Annexes A-1 and A-2 to this prospectus supplement, with that
information to be presented in tabular format substantially similar to
the format utilized on those annexes. The Mortgage Pool Data Update
Report may be included as part of the Payment Date Statement.
The master servicer or the special servicer, as specified in the pooling
and servicing agreement, is required to deliver to the trustee monthly, and the
trustee is required to make available as described below under "--Information
Available Electronically," a copy of each of the following reports with respect
to the pooled mortgage loans and the corresponding mortgaged properties:
o A Delinquent Loan Status Report containing substantially the information
set forth in Annex D to this prospectus supplement.
o An Historical Loan Modification Report containing substantially the
information set forth in Annex E to this prospectus supplement.
o An Historical Liquidation Report containing substantially the
information set forth in Annex F to this prospectus supplement.
o An REO Status Report containing substantially the information set forth
in Annex G to this prospectus supplement.
o A Servicer Watch List containing substantially the information set forth
in Annex H to this prospectus supplement.
o A Loan Payment Notification Report containing substantially the
information set forth in Annex K to this prospectus supplement.
o A Comparative Financial Status Report containing substantially the
information set forth in Annex L to this prospectus supplement.
In addition, upon the request of any holder of a series 2000-C4
certificate or, to the extent identified to the reasonable satisfaction of the
trustee, beneficial owner of an offered certificate, the trustee will be
required to request from the master servicer, and, upon receipt, make available
to the requesting party, during normal business hours at the offices of the
trustee, copies of the following reports required to be prepared and maintained
by the master servicer and/or special servicer:
o with respect to any mortgaged real property or REO Property, an
Operating Statement Analysis Report containing substantially the
information set forth in Annex I to this prospectus supplement; and
o with respect to any mortgaged real property or REO Property, an NOI
Adjustment Worksheet containing substantially the content set forth in
Annex J to this prospectus supplement.
Within a reasonable period of time after the end of each calendar year,
the trustee is required to send to each person who at any time during the
calendar year was a series 2000-C4 certificateholder of record, a report
summarizing on an annual basis, if appropriate, certain items of the monthly
Payment Date Statements relating to amounts distributed to the
certificateholder and such other information as may be required to enable the
certificateholder to prepare its federal income tax returns. That information
is required to include the amount of original issue discount accrued on each
class of certificates and information regarding the expenses of the trust. The
foregoing requirements will be deemed to have been satisfied to the extent that
the information is provided from time to time pursuant to the applicable
requirements of the Internal Revenue Code.
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Absent manifest error of which it is aware, none of the master servicer,
the special servicer or the trustee will be responsible for the accuracy or
completeness of any information supplied to it by a borrower or third party
that is included in any reports, statements, materials or information prepared
or provided by the master servicer, the special servicer or the trustee, as
applicable.
Book-Entry Certificates. If you hold your offered certificates in
book-entry form through DTC, you may obtain direct access to the monthly
reports of the trustee as if you were a certificateholder, provided that you
deliver a written certification to the trustee confirming your beneficial
ownership in the offered certificates. Otherwise, until definitive certificates
are issued with respect to your offered certificates, the information contained
in those monthly reports will be available to you only to the extent that it is
made available through DTC and the DTC participants or is available on the
trustee's internet website. Conveyance of notices and other communications by
DTC to the DTC participants, and by the DTC participants to beneficial owners
of the offered certificates, will be governed by arrangements among them,
subject to any statutory or regulatory requirements as may be in effect from
time to time. We, the master servicer, the special servicer, the trustee, the
fiscal agent and the series 2000-C4 certificate registrar are required to
recognize as certificateholders only those persons in whose names the series
2000-C4 certificates are registered on the books and records of the certificate
registrar.
Information Available Electronically. The trustee will make available each
month, for the relevant reporting periods, to the series 2000-C4
certificateholders and beneficial owners of series 2000-C4 certificates
identified to the reasonable satisfaction of the trustee, the Payment Date
Statement, any Mortgage Pool Data Update Report, the CMSA Loan Periodic Update
Files, the CMSA Property Files, the CMSA Financial Files, any Delinquent Loan
Status Report, any Historical Loan Modification Report, any Historical
Liquidation Report, any REO Status Report, any Servicer Watch List, any Loan
Payment Notification Report and the Comparative Financial Status Report via the
trustee's internet website. All the foregoing reports will be accessible only
with a password provided by the trustee after its receipt from the person(s)
seeking access of a certification in the form attached to the pooling and
servicing agreement. The trustee's internet website will initially be located
at www.lnbabs.com.
The master servicer also may make some or all of the reports identified in
the preceding paragraph available via its internet website, "www.orecm.com",
accessible via password and user name.
Neither the trustee nor the master servicer will make any representations
or warranties as to the accuracy or completeness of, and may disclaim
responsibility for, any information made available by the trustee or master
servicer, as the case may be, for which it is not the original source.
The trustee and the master servicer may require the acceptance of a
disclaimer in connection with providing access to their respective internet
websites. Neither the trustee nor the master servicer will be liable for the
dissemination of information made in accordance with the pooling and servicing
agreement.
Other Information. The pooling and servicing agreement will obligate the
trustee to make available at its offices, during normal business hours, upon
reasonable advance written notice, for review by any holder or beneficial owner
of an offered certificate or any person identified to the trustee as a
prospective transferee of an offered certificate or any interest in that
offered certificate, originals or copies of, among other things, the following
items:
o this prospectus supplement, the accompanying prospectus and any other
disclosure documents relating to the non-offered classes of the series
2000-C4 certificates, in the form most recently provided by us or on our
behalf to the trustee;
o the pooling and servicing agreement, each sub-servicing agreement
delivered to the trustee since the date of initial issuance of the
offered certificates, and any amendments to those agreements;
o all monthly reports of the trustee delivered, or otherwise
electronically made available, to series 2000-C4 certificateholders since
the date of initial issuance of the offered certificates;
o all officer's certificates delivered to the trustee by the master
servicer and/or the special servicer since the date of initial issuance
of the offered certificates, as described under "Servicing of the
Underlying Mortgage Loans--Evidence as to Compliance" in this prospectus
supplement;
o all accountant's reports delivered to the trustee with respect to the
master servicer and/or the special servicer since the date of initial
issuance of the offered certificates, as described under "Servicing of
the Underlying Mortgage Loans--Evidence as to Compliance" in this
prospectus supplement;
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o the most recent inspection report with respect to each mortgaged real
property for a pooled mortgage loan prepared by the master servicer or
the special servicer and delivered to the trustee as described under
"Servicing of the Underlying Mortgage Loans--Inspections; Collection of
Operating Information" in this prospectus supplement;
o the most recent appraisal, if any, with respect to each mortgaged real
property for a pooled mortgage loan obtained by the master servicer or
the special servicer and delivered to the trustee;
o the mortgage files for the pooled loans, including all documents, such
as modifications, waivers and amendments of the pooled mortgage loans,
that are to be added to the mortgage files from time to time; and
o upon request, the most recent quarterly and annual operating statement
and rent roll for each mortgaged real property for a pooled mortgage loan
and financial statements of the related borrower collected by the master
servicer or the special servicer and delivered to the trustee as
described under "Servicing of the Underlying Mortgage Loans--Inspections;
Collection of Operating Information" in this prospectus supplement.
Copies of any and all of the foregoing items will be available from the
trustee upon request. However, the trustee will be permitted to require payment
of a sum sufficient to cover the reasonable costs and expenses of providing the
copies.
In connection with providing access to or copies of the items described
above, the trustee may require:
o in the case of a beneficial owner of an offered certificate held in
book-entry form, a written confirmation executed by the requesting person
or entity, in a form reasonably acceptable to the trustee, generally to
the effect that the person or entity is a beneficial owner of offered
certificates and will keep the information confidential; and
o in the case of a prospective purchaser of an offered certificate or any
interest in that offered certificate, confirmation executed by the
requesting person or entity, in a form reasonably acceptable to the
trustee, generally to the effect that the person or entity is a
prospective purchaser of offered certificates or an interest in offered
certificates, is requesting the information for use in evaluating a
possible investment in the offered certificates and will otherwise keep
the information confidential.
Registered holders of the offered certificates will be deemed to have agreed to
keep the information described above confidential by the acceptance of their
certificates.
VOTING RIGHTS
The voting rights for the series 2000-C4 certificates will be allocated as
follows:
o 99% of the voting rights will be allocated among the holders of the
various classes of series 2000-C4 certificates that have principal
balances, pro rata in accordance with those principal balances; and
o 1% of the voting rights will be allocated to the holders of the class X
certificates.
Voting rights allocated to a class of series 2000-C4 certificateholders will be
allocated among those certificateholders in proportion to their respective
percentage interests in that class.
TERMINATION
The obligations created by the pooling and servicing agreement will
terminate following the earliest of--
1. the final payment or advance on, other liquidation of, the last
mortgage loan or related REO Property remaining in the trust, and
2. the purchase of all of the mortgage loans and REO Properties remaining
in the trust by any single certificateholder or group of
certificateholders of the series 2000-C4 controlling class, us, Lehman
Brothers Inc., the special servicer or the master servicer, in that
order of preference.
Written notice of termination of the pooling and servicing agreement will
be given to each series 2000-C4 certificateholder. The final payment with
respect to each series 2000-C4 certificate will be made only upon surrender and
cancellation of that certificate at the office of the series 2000-C4
certificate registrar or at any other location specified in the notice of
termination.
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Any purchase by us, Lehman Brothers Inc., the special servicer, any single
holder or group of holders of the controlling class or the master servicer of
all the mortgage loans and REO Properties remaining in the trust is required to
be made at a price equal to:
o the sum of--
1. the total principal balance of all the mortgage loans then included in
the trust, other than any mortgage loans as to which the mortgaged
real properties have become REO Properties, together with (a)
interest, other than Default Interest and Post-ARD Additional
Interest, on those mortgage loans, (b) unreimbursed servicing advances
for those mortgage loans and (c) unpaid interest on advances made with
respect to those mortgage loans, and
2. the appraised value of all REO Properties then included in the trust,
minus
o solely in the case of a purchase by the master servicer or the special
servicer, the total of all amounts payable or reimbursable to the
purchaser under the pooling and servicing agreement.
The purchase will result in early retirement of the outstanding series 2000-C4
certificates. However, the right of us, Lehman Brothers Inc., the special
servicer, any single holder or group of holders of the series 2000-C4
controlling class or the master servicer to make the purchase is subject to the
requirement that the total Stated Principal Balance of the mortgage pool be
less than 1.0% of the initial mortgage pool balance. The termination price,
exclusive of any portion of the termination price payable or reimbursable to
any person other than the series 2000-C4 certificateholders, will constitute
part of the Available P&I Funds for the final payment date. Any person or
entity making the purchase will be responsible for reimbursing the parties to
the pooling and servicing agreement for all reasonable out-of-pocket costs and
expenses incurred by the parties in connection with the purchase.
THE TRUSTEE
LaSalle Bank National Association, a national banking association, will
act as trustee on behalf of the series 2000-C4 certificateholders. As of the
date of initial issuance of the offered certificates, the office of the trustee
primarily responsible for administration of the trust assets, its corporate
trust office, is located at 135 South LaSalle Street, Suite 1625, Chicago,
Illinois 60603, Attention: Asset-Backed Securities Trust Services--LB-UBS
Commercial Mortgage Trust Series 2000-C4.
The trustee is at all times required to be a corporation, bank, trust
company or association organized and doing business under the laws of the U.S.
or any State of the U.S. or the District of Columbia. In addition, the trustee
must at all times--
o be authorized under those laws to exercise trust powers,
o have a combined capital and surplus of at least $50,000,000, and
o be subject to supervision or examination by federal or state banking
authority.
If the corporation, bank, trust company or association publishes reports of
condition at least annually, in accordance with law or to the requirements of
the supervising or examining authority, then the combined capital and surplus
of the corporation, bank, trust company or association will be deemed to be its
combined capital and surplus as described in its most recent published report
of condition.
We, the master servicer, the special servicer and our and their respective
affiliates, may from time to time enter into normal banking and trustee
relationships with the trustee and its affiliates. The trustee and any of its
respective affiliates may hold series 2000-C4 certificates in their own names.
In addition, for purposes of meeting the legal requirements of some local
jurisdictions, the master servicer and the trustee acting jointly will have the
power to appoint a co-trustee or separate trustee of all or any part of the
trust assets. All rights, powers, duties and obligations conferred or imposed
upon the trustee will be conferred or imposed upon the trustee and the separate
trustee or co-trustee jointly, or in any jurisdiction in which the trustee
shall be incompetent or unqualified to perform some acts, singly upon the
separate trustee or co-trustee who shall exercise and perform its rights,
powers, duties and obligations solely at the direction of the trustee.
The trustee will be entitled to a monthly fee for its services, which fee
will--
o accrue at the annual rate stated in the pooling and servicing agreement,
o accrue on the total Stated Principal Balance of the mortgage pool
outstanding from time to time, and
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o be calculated on a 30/360 Basis.
The trustee fee is payable out of general collections on the mortgage loans and
any REO Properties in the trust.
See also "Description of the Governing Documents--The Trustee", "--Duties
of the Trustee", "--Matters Regarding the Trustee" and "--Resignation and
Removal of the Trustee" in the accompanying prospectus.
THE FISCAL AGENT
ABN AMRO Bank N.V., a Netherlands banking corporation, will act as fiscal
agent pursuant to the pooling and servicing agreement. The fiscal agent's
office is located at 135 South LaSalle Street, Suite 1625, Chicago, Illinois
60603. The duties and obligations of the fiscal agent consist only of making
P&I Advances as described under "--Advances of Delinquent Monthly Debt Service
Payments" above and servicing advances as described under "Servicing of the
Underlying Mortgage Loans--Servicing and Other Compensation and Payment of
Expenses" in this prospectus supplement. The fiscal agent will not be liable
except for the performance of those duties and obligations. The fiscal agent
will be entitled to reimbursement for each advance made by it, with interest,
in the same manner and to the same extent as the trustee and the master
servicer. The fiscal agent will be entitled to various rights, protections and
indemnities similar to those afforded to the trustee. The trustee will be
responsible for payment of the compensation of the fiscal agent.
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YIELD AND MATURITY CONSIDERATIONS
YIELD CONSIDERATIONS
General. The yield on any offered certificate will depend on:
o the price at which the certificate is purchased by an investor, and
o the rate, timing and amount of payments on the certificate.
The rate, timing and amount of payments on any offered certificate will in
turn depend on, among other things,
o the pass-through rate for the certificate, which will be fixed,
o the rate and timing of principal payments, including principal
prepayments, and other principal collections on the underlying mortgage
loans and the extent to which those amounts are to be applied in reduction
of the principal balance of the certificate,
o the rate, timing and severity of Realized Losses and Additional Trust
Fund Expenses and the extent to which those losses and expenses result in
the reduction of the principal balance of the certificate, and
o the timing and severity of any Net Aggregate Prepayment Interest
Shortfalls and the extent to which those shortfalls result in the
reduction of the interest payments on the certificate.
See "Description of the Offered Certificates--Payments--Calculation of
Pass-Through Rates" and "Description of the Mortgage Pool" in this prospectus
supplement and "--Rate and Timing of Principal Payments" below.
Rate and Timing of Principal Payments. The yield to maturity on any
offered certificates purchased at a discount or a premium will be affected by
the rate and timing of principal payments made or otherwise resulting in a
reduction of the total principal balances of the offered certificates. In turn,
the rate and timing of principal payments that are paid or otherwise result in
reduction of the principal balance of any offered certificate will be directly
related to the rate and timing of principal payments on or with respect to the
underlying mortgage loans. Finally, the rate and timing of principal payments
on or with respect to the underlying mortgage loans will be affected by their
amortization schedules, the dates on which balloon payments are due and the
rate and timing of principal prepayments and other unscheduled collections on
them, including for this purpose, collections made in connection with
liquidations of mortgage loans due to defaults, casualties or condemnations
affecting the mortgaged real properties, or purchases or other removals of
underlying mortgage loans from the trust.
Prepayments and other early liquidations of the underlying mortgage loans
will result in payments on the series 2000-C4 certificates of amounts that
would otherwise be paid over the remaining terms of the mortgage loans. This
will tend to shorten the weighted average lives of those series 2000-C4
certificates with principal balances. Defaults on the underlying mortgage
loans, particularly at or near their maturity dates, may result in significant
delays in payments of principal on the mortgage loans and, accordingly, on the
series 2000-C4 certificates, while work-outs are negotiated or foreclosures are
completed. These delays will tend to lengthen the weighted average lives of the
series 2000-C4 certificates with principal balances. See "Servicing of the
Underlying Mortgage Loans--Modifications, Waivers, Amendments and Consents" in
this prospectus supplement. In addition, the ability of a borrower under an ARD
Loan, to repay that loan on the related anticipated repayment date will
generally depend on its ability to either refinance the mortgage loan or sell
the corresponding mortgaged real property. Also, a borrower under an ARD Loan
may have little incentive to repay its mortgage loan on the related anticipated
repayment date if then prevailing interest rates are relatively high.
Accordingly, there can be no assurance that any ARD Loan in the trust will be
paid in full on its anticipated repayment date.
The extent to which the yield to maturity on any offered certificate may
vary from the anticipated yield will depend upon the degree to which the
certificate is purchased at a discount or premium and when, and to what degree,
payments of principal on the underlying mortgage loans are in turn paid or
otherwise result in a reduction of the principal balance of the certificate. If
you purchase your offered certificates at a discount, you should consider the
risk that a slower than anticipated rate of principal payments on the
underlying mortgage loans could result in an actual yield to you that is lower
than your anticipated yield. If you purchase your offered certificates at a
premium, you should consider the risk that a faster than anticipated rate of
principal payments on the underlying mortgage loans could result in an actual
yield to you that is lower than your anticipated yield.
Because the rate of principal payments on or with respect to the
underlying mortgage loans will depend on future events and a variety of
factors, no assurance can be given as to that rate or the rate of principal
prepayments in particular. We are
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not aware of any relevant publicly available or authoritative statistics with
respect to the historical prepayment experience of a large group of real estate
loans comparable to those in the mortgage pool.
Even if they are collected and payable on your offered certificates,
prepayment premiums and yield maintenance charges may not be sufficient to
offset fully any loss in yield on your offered certificates attributable to the
related prepayments of the underlying mortgage loans.
Delinquencies and Defaults on the Mortgage Loans. The rate and timing of
delinquencies and defaults on the underlying mortgage loans will affect the
amount of payments on your offered certificates, the yield to maturity of your
offered certificates, the rate of principal payments on your offered
certificates and the weighted average life of your offered certificates.
Delinquencies on the underlying mortgage loans, unless covered by monthly debt
service advances, may result in shortfalls in payments of interest and/or
principal on your offered certificates for the current month.
If--
o you calculate the anticipated yield to maturity for your offered
certificates based on an assumed rate of default and amount of losses on
the underlying mortgage loans that is lower than the default rate and
amount of losses actually experienced, and
o the additional losses result in a reduction of the total payments on or
the total principal balance of your offered certificates,
then your actual yield to maturity will be lower than you calculated and could,
under some scenarios, be negative.
The timing of any loss on a liquidated mortgage loan that results in a
reduction of the total payments on or the total principal balance of your
offered certificates will also affect your actual yield to maturity, even if
the rate of defaults and severity of losses are consistent with your
expectations. In general, the earlier your loss occurs, the greater the effect
on your yield to maturity.
Even if losses on the underlying mortgage loans do not result in a
reduction of the total payments on or the total principal balance of your
offered certificates, the losses may still affect the timing of payments on,
and the weighted average life and yield to maturity of, your offered
certificates.
Relevant Factors. The following factors, among others, will affect the
rate and timing of principal payments and defaults and the severity of losses
on or with respect to the mortgage loans in the trust:
o prevailing interest rates;
o the terms of the mortgage loans, including--
1. provisions that require the payment of prepayment premiums and yield
maintenance charges,
2. provisions that impose prepayment lock-out periods, and
3. amortization terms that require balloon payments;
o the demographics and relative economic vitality of the areas in which the
related mortgaged real properties are located;
o the general supply and demand for commercial and multifamily rental space
of the type available at the related mortgaged real properties in the
areas in which those properties are located;
o the quality of management of the mortgaged real properties;
o the servicing of the mortgage loans;
o possible changes in tax laws; and
o other opportunities for investment.
See "Risk Factors--Risks Related to the Underlying Mortgage Loans",
"Description of the Mortgage Pool" and "Servicing of the Underlying Mortgage
Loans" in this prospectus supplement and "Description of the Governing
Documents" and "Yield and Maturity Considerations--Yield and Prepayment
Considerations" in the accompanying prospectus.
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The rate of prepayment on the mortgage loans in the trust is likely to be
affected by prevailing market interest rates for real estate loans of a
comparable type, term and risk level. When the prevailing market interest rate
is below the annual rate at which a mortgage loan accrues interest, the related
borrower may have an increased incentive to refinance the mortgage loan.
Conversely, to the extent prevailing market interest rates exceed the annual
rate at which a mortgage loan accrues interest, the related borrower may be
less likely to voluntarily prepay the mortgage loan. Assuming prevailing market
interest rates exceed the revised mortgage interest rate at which an ARD Loan
accrues interest following its anticipated repayment date, the primary
incentive for the related borrower to prepay the mortgage loan on or before its
anticipated repayment date is to give the borrower access to excess cash flow,
all of which, net of the minimum required debt service, approved property
expenses and any required reserves, must be applied to pay down principal of
the mortgage loan. Accordingly, there can be no assurance that any ARD Loan in
the trust will be prepaid on or before its anticipated repayment date or on any
other date prior to maturity.
Depending on prevailing market interest rates, the outlook for market
interest rates and economic conditions generally, some underlying borrowers may
sell their mortgaged real properties in order to realize their equity in those
properties, to meet cash flow needs or to make other investments. In addition,
some underlying borrowers may be motivated by federal and state tax laws, which
are subject to change, to sell their mortgaged real properties prior to the
exhaustion of tax depreciation benefits.
A number of the underlying borrowers are partnerships. The bankruptcy of
the general partner in a partnership may result in the dissolution of the
partnership. The dissolution of a borrower partnership, the winding-up of its
affairs and the distribution of its assets could result in an acceleration of
its payment obligations under the related mortgage loan.
We make no representation or warranty regarding:
o the particular factors that will affect the rate and timing of
prepayments and defaults on the underlying mortgage loans;
o the relative importance of those factors;
o the percentage of the total principal balance of the underlying mortgage
loans that will be prepaid or as to which a default will have occurred as
of any particular date; or
o the overall rate of prepayment or default on the underlying mortgage
loans.
Unpaid Interest. If the portion of the Available P&I Funds payable with
respect to interest on any class of offered certificates on any payment date is
less than the total amount of interest then payable for the class, the
shortfall will be payable to the holders of those certificates on subsequent
payment dates, subject to the Available P&I Funds on those subsequent payment
dates and the priority of payments described under "Description of the Offered
Certificates--Payments--Priority of Payments" in this prospectus supplement.
That shortfall will not bear interest, however, and will therefore negatively
affect the yield to maturity of that class of offered certificates for so long
as it is outstanding.
Delay in Payments. Because monthly payments will not be made on the
certificates until several days after the due dates for the mortgage loans
during the related collection period, your effective yield will be lower than
the yield that would otherwise be produced by your pass-through rate and
purchase price, assuming that purchase price did not account for a delay.
YIELD SENSITIVITY
The tables on Annex C-1 hereto show the pre-tax corporate bond equivalent,
the yield to maturity, the weighted average life, the modified duration and the
first and final payment dates on which principal is to be paid with respect to
each class of offered certificates. We prepared those tables using the Modeling
Assumptions. Where applicable, they also show the specified assumed purchase
prices, which prices do not include accrued interest. Assumed purchase prices
are expressed in 32nds as a percentage of the initial total principal balance
of each class of offered certificates. For example, 99.20 means 9920/32%.
We calculated the yields set forth in the tables on Annex C-1 by--
o determining the monthly discount rates which, when applied to the assumed
stream of cash flows to be paid on each class of offered certificates,
would cause the discounted present value of that assumed stream of cash
flows to equal the assumed purchase prices, plus accrued interest from and
including the cut-off date to but excluding the assumed settlement date
specified as part of the offered certificates, and
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o converting those monthly rates to semi-annual corporate bond equivalent
rates.
That calculation does not take into account variations that may occur in
the interest rates at which investors may be able to reinvest funds received by
them as payments on the offered certificates and, consequently, does not
purport to reflect the return on any investment in the offered certificates
when those reinvestment rates are considered.
For purposes of the tables on Annex C-1, modified duration has been
calculated using the modified Macaulay Duration as specified in the "PSA
Standard Formulas". The Macaulay Duration is calculated as the present value
weighted average time to receive future payments of principal and interest, and
the PSA Standard Formula modified duration is calculated by dividing the
Macaulay Duration by the appropriate semi-annual compounding factor. The
duration of a security may be calculated according to various methodologies.
Accordingly, no representation is made by us or any other person that the
modified duration approach used in this prospectus supplement is appropriate.
Duration, like yield, will be affected by the prepayment rate of the underlying
mortgage loans and extensions with respect to balloon payments that actually
occur during the life of the offered certificates and by the actual performance
of the underlying mortgage loans, all of which may differ, and may differ
significantly, from the assumptions used in preparing the tables on Annex C-1.
Prepayments on mortgage loans may be measured by a prepayment standard or
model. The model used in this prospectus supplement is the Constant Prepayment
Rate or CPR model. The CPR model represents an assumed constant annual rate of
prepayment each month, expressed as a per annum percentage of the then
outstanding principal balance of the subject mortgage loan(s).
The characteristics of the mortgage loans in the trust will differ in some
respects from those assumed in preparing the tables on Annex C-1. Those tables
are presented for illustrative purposes only. Neither the mortgage pool nor any
pooled mortgage loan will prepay at any constant rate, and it is unlikely that
the pooled mortgage loans will prepay in a manner consistent with any
designated scenario for the tables on Annex C-1. In addition, there can be no
assurance that--
o the pooled mortgage loans will prepay at any particular rate,
o the pooled mortgage loans will not prepay, involuntarily or otherwise,
during lockout/defeasance periods, yield maintenance periods and/or
declining premium periods,
o the ARD Loans in the trust will be paid in full on their respective
anticipated repayment dates,
o the actual pre-tax yields on, or any other payment characteristics of,
any class of offered certificates will correspond to any of the
information shown in the tables on Annex C-1, or
o the total purchase prices of the offered certificates will be as assumed.
You must make your own decision as to the appropriate assumptions,
including prepayment assumptions, to be used in deciding whether to purchase
the offered certificates.
WEIGHTED AVERAGE LIVES OF THE OFFERED CERTIFICATES
The weighted average life of any offered certificate refers to the average
amount of time that will elapse from the date of its issuance until each dollar
to be applied in reduction of the principal balance of that certificate is
distributed to the investor. For purposes of this prospectus supplement, the
weighted average life of any offered certificate is determined as follows:
o multiply the amount of each principal payment on the certificate by the
number of years from the assumed settlement date to the related payment
date;
o sum the results; and
o divide the sum by the total amount of the reductions in the principal
balance of the certificate.
Accordingly, the weighted average life of any offered certificate will be
influenced by, among other things, the rate at which principal of the
underlying mortgage loans is paid or otherwise collected or advanced and the
extent to which those payments, collections and/or advances of principal are in
turn applied in reduction of the principal balance of the class of principal to
which the certificate belongs.
As described in this prospectus supplement, the Total Principal Payment
Amount for each payment date will be payable first with respect to the class
A-1 and/or class A-2 certificates until the total principal balances of those
classes are reduced
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to zero, and will thereafter be distributable entirely with respect to the
other classes of certificates with principal balances, sequentially based upon
their relative seniority, in each case until the related principal balance is
reduced to zero. As a consequence of the foregoing, the weighted average lives
of the class A-1 and class A-2 certificates may be shorter, and the weighted
average lives of the other classes of series 2000-C4 certificates with
principal balances may be longer, than would otherwise be the case if the
principal payment amount for each payment date was being paid on a pro rata
basis among the respective classes of certificates with principal balances.
The tables set forth in Annex C-2 show with respect to each class of
offered certificates--
o the weighted average life of that class, and
o the percentage of the initial total principal balance of that class that
would be outstanding after each of the specified dates,
based upon each of the indicated levels of CPR and the Modeling Assumptions.
We make no representation that--
o the mortgage loans in the trust will prepay in accordance with the
assumptions set forth in this prospectus supplement at any of the CPRs
shown or at any other particular prepayment rate,
o all the mortgage loans in the trust will prepay in accordance with the
assumptions set forth in this prospectus supplement at the same rate, or
o mortgage loans in the trust that are in a lockout/defeasance period, a
yield maintenance period or declining premium period will not prepay as a
result of involuntary liquidations upon default or otherwise.
USE OF PROCEEDS
Substantially all of the proceeds from the sale of the offered
certificates will be used by us to--
o purchase the mortgage loans that we will include in the trust, and
o pay expenses incurred in connection with the issuance of the series
2000-C4 certificates.
FEDERAL INCOME TAX CONSEQUENCES
GENERAL
Upon the issuance of the offered certificates, Sidley & Austin, our
counsel, will deliver its opinion generally to the effect that, assuming
compliance with the pooling and servicing agreement, and subject to any other
assumptions set forth in the opinion, REMIC I, REMIC II and REMIC III,
respectively, will each qualify as a REMIC under the Internal Revenue Code of
1986.
The assets of REMIC I will generally include--
o the pooled mortgage loans,
o any REO Properties acquired on behalf of the series 2000-C4
certificateholders,
o the master servicer's custodial account,
o the special servicer's REO account, and
o the trustee's collection account and interest reserve account,
but will exclude any collections of Post-ARD Additional Interest on the ARD
Loans.
For federal income tax purposes,
o the separate non-certificated regular interests in REMIC I will be the
regular interests in REMIC I and will be the assets of REMIC II,
o the class R-I certificates will evidence the sole class of residual
interests in REMIC I,
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o the separate non-certificated regular interests in REMIC II will be the
regular interests in REMIC II and will be the assets of REMIC III,
o the class R-II certificates will evidence the sole class of residual
interests in REMIC II,
o the class A-1, A-2, X, B, C, D, E, F, G, H, J, K, L, M, N and P
certificates will evidence the regular interests in, and will generally be
treated as debt obligations of, REMIC III, and
o the class R-III certificates will evidence the sole class of residual
interests in REMIC III.
DISCOUNT AND PREMIUM; PREPAYMENT CONSIDERATION
No class of offered certificates will be issued with more than a de
minimis amount of original issue discount. When determining the rate of accrual
of market discount and premium, if any, for federal income tax purposes, the
prepayment assumption used will be that subsequent to the date of any
determination:
o the ARD Loans in the trust will be paid in full on their respective
anticipated repayment dates,
o no mortgage loan in the trust will otherwise be prepaid prior to
maturity, and
o there will be no extension of maturity for any mortgage loan in the
trust.
However, no representation is made as to the actual rate at which the pooled
mortgage loans will prepay, if at all. See "Federal Income Tax
Consequences--REMICs--Taxation of Owners of REMIC Regular Certificates" in the
accompanying prospectus.
The IRS has issued regulations under Sections 1271 to 1275 of the Internal
Revenue Code generally addressing the treatment of debt instruments issued with
original issue discount. Section 1272(a)(6) of the Internal Revenue Code
provides for special rules applicable to the accrual of original issue discount
on, among other things, REMIC regular certificates. The Treasury Department has
not issued regulations under that section. You should be aware, however, that
the regulations issued under Sections 1271 to 1275 of the Internal Revenue Code
and Section 1272(a)(6) of the Internal Revenue Code do not adequately address
all issues relevant to, or are not applicable to, prepayable securities such as
the offered certificates. We recommend that you consult with your own tax
advisor concerning the tax treatment of your offered certificates.
Some classes of the offered certificates may be treated for federal income
tax purposes as having been issued at a premium. Whether any holder of these
classes of offered certificates will be treated as holding a certificate with
amortizable bond premium will depend on the certificateholder's purchase price
and the payments remaining to be made on the certificate at the time of its
acquisition by the certificateholder. If you acquire an interest in any class
of offered certificates issued at a premium, you should consider consulting
your own tax advisor regarding the possibility of making an election to
amortize the premium. See "Federal Income Tax Consequences--REMICs--Taxation of
Owners of REMIC Regular Certificates--Premium" in the accompanying prospectus.
Prepayment premiums and yield maintenance charges actually collected on
the underlying mortgage loans will be paid on the offered certificates as and
to the extent described in this prospectus supplement. It is not entirely clear
under the Code when the amount of a prepayment premium or yield maintenance
charge should be taxed to the holder of a class of offered certificates
entitled to that amount. For federal income tax reporting purposes, the tax
administrator will report prepayment premiums or yield maintenance charges as
income to the holders of a class of offered certificates entitled thereto only
after the master servicer's actual receipt of those amounts. The IRS may
nevertheless seek to require that an assumed amount of prepayment premiums and
yield maintenance charges be included in payments projected to be made on the
offered certificates and that the taxable income be reported based on the
projected constant yield to maturity of the offered certificates. Therefore,
the projected prepayment premiums and yield maintenance charges would be
included prior to their actual receipt by holders of the offered certificates.
If the projected prepayment premiums and yield maintenance charges were not
actually received, presumably the holder of an offered certificate would be
allowed to claim a deduction or reduction in gross income at the time the
unpaid prepayment premiums and yield maintenance charges had been projected to
be received. Moreover, it appears that prepayment premiums and yield
maintenance charges are to be treated as ordinary income rather than capital
gain. However, the correct characterization of the income is not entirely
clear. We recommend you consult your own tax advisors concerning the treatment
of prepayment premiums and yield maintenance charges.
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CHARACTERIZATION OF INVESTMENTS IN OFFERED CERTIFICATES
Except to the extent noted below, the offered certificates will be "real
estate assets" within the meaning of Section 856(c)(5)(B) of the Internal
Revenue Code in the same proportion that the assets of the trust would be so
treated. In addition, interest, including original issue discount, if any, on
the offered certificates will be interest described in Section 856(c)(3)(B) of
the Internal Revenue Code to the extent that those certificates are treated as
"real estate assets" within the meaning of Section 856(c)(5)(B) of the Internal
Revenue Code.
Most of the mortgage loans to be included in the trust are not secured by
real estate used for residential or other purposes prescribed in Section
7701(a)(19)(C) of the Internal Revenue Code. Consequently, the offered
certificates will be treated as assets qualifying under that section to only a
limited extent. Accordingly, investment in the offered certificates may not be
suitable for a thrift institution seeking to be treated as a "domestic building
and loan association" under Section 7701(a)(19)(C) of the Internal Revenue
Code. The offered certificates will be treated as "qualified mortgages" for
another REMIC under Section 860G(a)(3)(C) of the Internal Revenue Code and
"permitted assets" for a "financial asset securitization investment trust"
under Section 860L(c) of the Internal Revenue Code.
To the extent an offered certificate represents ownership of an interest
in a mortgage loan that is secured in part by the related borrower's interest
in a bank account, that mortgage loan is not secured solely by real estate.
Therefore:
o a portion of that certificate may not represent ownership of "loans
secured by an interest in real property" or other assets described in
Section 7701(a)(19)(C) of the Internal Revenue Code;
o a portion of that certificate may not represent ownership of "real estate
assets" under Section 856(c)(5)(B) of the Internal Revenue Code; and
o the interest on that certificate may not constitute "interest on
obligations secured by mortgages on real property" within the meaning of
Section 856(c)(3)(B) of the Internal Revenue Code.
In addition, most of the mortgage loans that we intend to include in the
trust contain defeasance provisions under which the lender may release its lien
on the collateral securing the mortgage loan in return for the borrower's
pledge of substitute collateral in the form of government securities.
Generally, under the Treasury regulations, if a REMIC releases its lien on real
property that secures a qualified mortgage, that mortgage ceases to be a
qualified mortgage on the date the lien is released unless certain conditions
are satisfied. In order for the mortgage loan to remain a qualified mortgage,
the Treasury regulations require that--
(1) the borrower pledges substitute collateral that consist solely of
certain government securities;
(2) the mortgage loan documents allow that substitution;
(3) the lien is released to facilitate the disposition of the property or
any other customary commercial transaction, and not as part of an
arrangement to collateralize a REMIC offering with obligations that are
not real estate mortgages; and
(4) the release is not within two years of the startup day of the REMIC.
Following the defeasance of a mortgage loan, regardless of whether the
foregoing conditions were satisfied, that mortgage loan would not be treated as
a "loan secured by an interest in real property" or a "real estate asset" and
interest on that loan would not constitute "interest on obligations secured by
real property" for purposes of Sections 7701(a)(19)(C), 856(c)(5)(B) and
856(c)(3)(B) of the Internal Revenue Code, respectively.
See "Description of the Mortgage Pool" in this prospectus supplement and
"Federal Income Tax Consequences--
REMICs--Characterization of Investments in REMIC Certificates" in the
accompanying prospectus.
For further information regarding the federal income tax consequences of
investing in the offered certificates, see "Federal Income Tax
Consequences--REMICs" in the accompanying prospectus.
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ERISA CONSIDERATIONS
The Employee Retirement Income Security Act of 1974, as amended, and the
Internal Revenue Code impose various requirements on--
o ERISA Plans, and
o persons that are fiduciaries with respect to ERISA Plans,
in connection with the investment of the assets of an ERISA Plan. For purposes
of this discussion, ERISA Plans may include individual retirement accounts and
annuities, Keogh plans and collective investment funds and separate accounts,
including, as applicable, insurance company general accounts, in which other
ERISA Plans are invested.
A fiduciary of any ERISA Plan should carefully review with its legal
advisors whether the purchase or holding of offered certificates could be or
give rise to a transaction that is prohibited or is not otherwise permitted
either under ERISA or Section 4975 of the Internal Revenue Code or whether
there exists any statutory or administrative exemption applicable thereto. Some
fiduciary and prohibited transaction issues arise only if the assets of the
trust are "plan assets" for purposes of Part 4 of Title I of ERISA and Section
4975 of the Internal Revenue Code. Whether the assets of the trust will be plan
assets at any time will depend on a number of factors, including the portion of
any class of series 2000-C4 certificates that is held by benefit plan investors
within the meaning of U.S. Department of Labor Regulation Section 2510.3-101.
The U.S. Department of Labor has issued individual prohibited transaction
exemptions, identified as Prohibited Transaction Exemption 91-14 and Prohibited
Transaction Exemption 91-22, to predecessors of Lehman Brothers Inc. and UBS
Warburg LLC, respectively, and a similar prohibited transaction exemption,
identified as Prohibited Transaction Exemption 97-34, to Deutsche Bank
Securities Inc. Subject to the satisfaction of conditions set forth in the
Underwriters' Exemptions, they generally exempt from the application of the
prohibited transaction provisions of Sections 406(a) and (b) and 407(a) of
ERISA, and the excise taxes imposed on these prohibited transactions under
Sections 4975(a) and (b) of the Internal Revenue Code, specified transactions
relating to, among other things, the servicing and operation of pools of real
estate loans, such as the mortgage pool, and the purchase, sale and holding of
mortgage pass-through certificates, such as the class A-1 and A-2 certificates,
that are underwritten by an Exemption-Favored Party.
Each of the Underwriters' Exemptions sets forth six general conditions
which must be satisfied for a transaction involving the purchase, sale and
holding of a class A-1 or A-2 certificate to be eligible for exemptive relief
under that exemption. The conditions are as follows:
o first, the acquisition of the certificate by a plan must be on terms that
are at least as favorable to the ERISA Plan as they would be in an
arm's-length transaction with an unrelated party;
o second, the rights and interests evidenced by that certificate must not
be subordinated to the rights and interests evidenced by the other series
2000-C4 certificates;
o third, at the time of its acquisition by the plan, that certificate must
be rated in one of the three highest generic rating categories by Moody's,
S&P or Fitch, Inc.;
o fourth, the trustee cannot be an affiliate of any other member of the
Restricted Group;
o fifth, the following must be true--
1. the sum of all payments made to and retained by Exemption-Favored
Parties must represent not more than reasonable compensation for
underwriting the relevant class of certificates,
2. the sum of all payments made to and retained by us in connection with
the assignment of mortgage loans to the trust must represent not more
than the fair market value of the obligations, and
3. the sum of all payments made to and retained by the master servicer,
the special servicer and any sub-servicer must represent not more than
reasonable compensation for that person's services under the pooling
and servicing agreement and reimbursement of that person's reasonable
expenses in connection therewith; and
o sixth, the investing ERISA Plan must be an accredited investor as defined
in Rule 501(a)(1) of Regulation D under the Securities Act of 1933, as
amended.
Because the class A-1 and A-2 certificates are not subordinated to any
other class of certificates, the second general condition set forth above is
satisfied with respect to the class A-1 and A-2 certificates. It is a condition
of their issuance that
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the class A-1 and A-2 certificates be rated not lower than "Aaa" by Moody's and
"AAA" by S&P. In addition, the initial trustee is not an affiliate of any other
member of the Restricted Group. Accordingly, as of the date of initial issuance
of the certificates, the third and fourth general conditions set forth above
will be satisfied with respect to the class A-1 and A-2 certificates. A
fiduciary of an ERISA Plan contemplating the purchase of a class A-1 or A-2
certificate in the secondary market must make its own determination that, at
the time of the purchase, the certificate continues to satisfy the third and
fourth general conditions set forth above. A fiduciary of an ERISA Plan
contemplating the purchase of a class A-1 or A-2 certificate, whether in the
initial issuance of the certificate or in the secondary market, must make its
own determination that the first and fifth general conditions set forth above
will be satisfied with respect to the certificate as of the date of the
purchase. An ERISA Plan's authorizing fiduciary will be deemed to make a
representation regarding satisfaction of the sixth general condition set forth
above in connection with the purchase of a class A-1 or A-2 certificate.
Each of the Underwriters' Exemptions also requires that the trust meet the
following requirements:
o the trust assets must consist solely of assets of the type that have been
included in other investment pools;
o certificates evidencing interests in those other investment pools must
have been rated in one of the three highest generic categories of Moody's,
S&P or Fitch for at least one year prior to the ERISA Plan's acquisition
of a class A-1 or A-2 certificate; and
o certificates evidencing interests in those other investment pools must
have been purchased by investors other than ERISA Plans for at least one
year prior to any ERISA Plan's acquisition of a class A-1 or A-2
certificate.
We believe that these requirements have been satisfied as of the date of
this prospectus supplement.
If the general conditions of the Underwriters' Exemptions are satisfied,
they may provide an exemption from the restrictions imposed by Sections 406(a)
and 407(a) of ERISA, as well as the excise taxes imposed by Sections 4975(a)
and (b) of the Internal Revenue Code by reason of Sections 4975(c)(1)(A)
through (D) of the Internal Revenue Code, in connection with--
o the direct or indirect sale, exchange or transfer of class A-1 or A-2
certificates acquired by an ERISA Plan upon initial issuance from us or an
Exemption-Favored Party when we are, or either mortgage loan seller, the
trustee, the master servicer, the special servicer or any sub-servicer,
provider of credit support, Exemption-Favored Party or mortgagor is, a
Party in Interest with respect to the investing ERISA Plan,
o the direct or indirect acquisition or disposition in the secondary market
of class A-1 or A-2 certificates by an ERISA Plan, and
o the continued holding of class A-1 or A-2 certificates by an ERISA Plan.
However, no exemption is provided from the restrictions of Sections
406(a)(1)(E), 406(a)(2) and 407 of ERISA for the acquisition or holding of a
class A-1 or A-2 certificate on behalf of an ERISA Plan sponsored by any member
of the Restricted Group, by any person who has discretionary authority or
renders investment advice with respect to the assets of that ERISA Plan.
Moreover, if the general conditions of the Underwriters' Exemptions, as
well as other conditions set forth in the Underwriters' Exemptions, are
satisfied, they may also provide an exemption from the restrictions imposed by
Sections 406(b)(1) and (b)(2) of ERISA and the taxes imposed by Section
4975(c)(1)(E) of the Internal Revenue Code in connection with:
o the direct or indirect sale, exchange or transfer of class A-1 or A-2
certificates in the initial issuance of those certificates between us or
an Exemption-Favored Party and an ERISA Plan when the person who has
discretionary authority or renders investment advice with respect to the
investment of the assets of the ERISA Plan in those certificates is a
borrower, or an affiliate of a borrower, with respect to 5.0% or less of
the fair market value of the underlying mortgage loans;
o the direct or indirect acquisition or disposition in the secondary market
of class A-1 or A-2 certificates by an ERISA Plan; and
o the continued holding of class A-1 or A-2 certificates by an ERISA Plan.
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Further, if the general conditions of the Underwriters' Exemptions, as
well as other conditions set forth in the Underwriters' Exemptions are
satisfied, they may provide an exemption from the restrictions imposed by
Sections 406(a), 406(b) and 407(a) of ERISA, and the taxes imposed by Sections
4975(a) and (b) of the Internal Revenue Code by reason of Section 4975(c) of
the Internal Revenue Code, for transactions in connection with the servicing,
management and operation of the trust assets.
Lastly, if the general conditions of the Underwriters' Exemptions are
satisfied, they also may provide an exemption from the restrictions imposed by
Sections 406(a) and 407(a) of ERISA, and the taxes imposed by Section 4975(a)
and (b) of the Internal Revenue Code, by reason of Sections 4975(c)(1)(A)
through (D) of the Internal Revenue Code, if the restrictions are deemed to
otherwise apply merely because a person is deemed to be a Party in Interest
with respect to an investing plan by virtue of--
o providing services to the ERISA Plan, or
o having a specified relationship to this person,
o solely as a result of the ERISA Plan's ownership of class A-1 or A-2
certificates.
Before purchasing a class A-1 or A-2 certificate, a fiduciary of an ERISA
Plan should itself confirm that:
o the class A-1 or A-2 certificates are "certificates" for purposes of the
Underwriters' Exemptions, and
o the general and other conditions set forth in the Underwriters'
Exemptions and the other requirements set forth in the Underwriters'
Exemptions would be satisfied at the time of the purchase.
In addition to determining the availability of the exemptive relief
provided in the Underwriters' Exemptions, a fiduciary of an ERISA Plan
considering an investment in class A-1 or A-2 certificates should consider the
availability of any other prohibited transaction class exemptions. See "ERISA
Considerations" in the accompanying prospectus. There can be no assurance that
any exemption described in the accompanying prospectus will apply with respect
to any particular investment by an ERISA Plan in class A-1 or A-2 certificates
or, even if it were deemed to apply, that it would apply to all prohibited
transactions that may occur in connection with the investment. A purchaser of
class A-1 or A-2 certificates should be aware, however, that even if the
conditions specified in one or more class exemptions are satisfied, the scope
of relief provided by a class exemption may not cover all acts which might be
construed as prohibited transactions.
The characteristics of the class B, C, D, E, F and G certificates do not
meet the requirements of the Underwriters' Exemptions. Accordingly, those
offered certificates may not be acquired by, on behalf of or with the assets of
an ERISA Plan, except in the case of an insurance company using funds in its
general account, which may be able to rely on Section III of Prohibited
Transaction Class Exemption 95-60, which we discuss below.
So long as the applicable conditions are satisfied, Section III of PTCE
95-60 exempts from the application of the prohibited transaction provisions of
Sections 406(a), 406(b) and 407(a) of ERISA and Section 4975 of the Internal
Revenue Code transactions in connection with the servicing, management and
operation of the trust under circumstances where an insurance company general
account has an interest in the trust as a result of its acquisition of series
2000-C4 certificates. If these conditions are met, insurance company general
accounts would be allowed to purchase the classes of offered certificates, such
as the class B, C, D, E, F and G certificates, that do not meet requirements of
the Underwriters' Exemptions solely because they--
o are subordinated to other classes of the certificates or
o have not received a rating at the time of the purchase in one of the
three highest rating categories from Moody's, S&P or Fitch.
All other conditions of the Underwriters' Exemptions would have to be satisfied
in order for PTCE 95-60 to be available. Before purchasing any class B, C, D,
E, F or G certificates, an insurance company general account seeking to rely on
Section III of PTCE 95-60 should itself confirm that all applicable conditions
and other requirements have been satisfied.
The Department of Labor has proposed amendments to the Underwriters'
Exemptions that, if finalized in current form, generally will be retroactively
effective as of August 23, 2000. Among other changes, it is anticipated that
the amended Underwriters' Exemptions would permit ERISA Plans to purchase
offered certificates such as the class B, C, D, E, F and G certificates,
provided that--
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o they are rated in any of the four highest ratings categories of Moody's
and S&P, and
o all other requirements of the Underwriters' Exemptions are met. It is not
certain if and when the proposed amendments will be issued in final form,
and it is not certain that, if finalized, the proposed amendments will
contain the same relief as is currently proposed. Fiduciaries of ERISA
Plans should, and other potential investors who may be analyzing the
potential liquidity of their investment may wish to, consult with their
advisors regarding the proposed amendments.
A governmental plan as defined in Section 3(32) of ERISA is not subject to
Title I of ERISA or Section 4975 of the Internal Revenue Code. However, a
governmental plan may be subject to a federal, state or local law which is, to
a material extent, similar to the foregoing provisions of ERISA or the Internal
Revenue Code. A fiduciary of a governmental plan should make its own
determination as to the need for and the availability of any exemptive relief
under any similar law.
Any fiduciary of an ERISA Plan considering whether to purchase an offered
certificate on behalf of that ERISA Plan should consult with its counsel
regarding the applicability of the fiduciary responsibility and prohibited
transaction provisions of ERISA and the Internal Revenue Code to the
investment.
The sale of offered certificates to an ERISA Plan is in no way a
representation or warranty by us or the underwriters that the investment meets
all relevant legal requirements with respect to investments by ERISA Plans
generally or by any particular ERISA Plan, or that the investment is
appropriate for ERISA Plans generally or for any particular ERISA Plan.
LEGAL INVESTMENT
Upon issuance, the offered certificates will not be mortgage related
securities for purposes of the Secondary Mortgage Market Enhancement Act of
1984, as amended. As a result, the appropriate characterization of the offered
certificates under various legal investment restrictions, and thus the ability
of investors subject to these restrictions to purchase the offered
certificates, is subject to significant interpretive uncertainties.
Neither we nor any of the underwriters make any representation as to the
ability of particular investors to purchase the offered certificates under
applicable legal investment or other restrictions. All institutions whose
investment activities are subject to legal investment laws and regulations,
regulatory capital requirements or review by regulatory authorities should
consult with their own legal advisors in determining whether and to what extent
the offered certificates--
o are legal investments for them, or
o are subject to investment, capital or other restrictions.
The foregoing does not take into consideration the applicability of
statutes, rules, regulations, orders, guidelines or agreements generally
governing investments made by a particular investor, including, but not limited
to, prudent investor provisions, percentage-of-assets limits and provisions
which may restrict or prohibit investment in securities which are not interest
bearing or income paying.
There may be other restrictions on the ability of investors, including
depository institutions, either to purchase offered certificates or to purchase
offered certificates representing more than a specified percentage of the
investor's assets. Investors should consult their own legal advisors in
determining whether and to what extent the offered certificates are legal
investments for the investors.
See "Legal Investment" in the accompanying prospectus.
METHOD OF DISTRIBUTION
Subject to the terms and conditions of an underwriting agreement between
us and the underwriters, the underwriters have agreed, severally and not
jointly, to purchase from us, and we have agreed to sell to them, their
respective allocations of the offered certificates as set forth on the table
below. Proceeds to us from the sale of the offered certificates, before
deducting expenses payable by us, will be approximately 100.20027% of the total
principal balance of the offered certificates, plus accrued interest on all the
offered certificates from September 11, 2000. It is expected that delivery of
the offered certificates will be made to the underwriters in book-entry form
through the same day funds settlement system of DTC on or about September 28,
2000, against payment for them in immediately available funds.
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<TABLE>
<CAPTION>
ALLOCATION OF OFFERED CERTIFICATES BETWEEN
UNDERWRITERS
-------------------------------------------------
UNDERWRITER CLASS A-1 CLASS A-2 CLASS B CLASS C
----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C>
Lehman Brothers Inc. .................. 100.00% 100.00% 100.00% 100.00%
UBS Warburg LLC ....................... 0.00% 0.00% 0.00% 0.00%
Deutsche Bank Securities Inc. ......... 0.00% 0.00% 0.00% 0.00%
Total ................................. 100.00% 100.00% 100.00% 100.00%
<CAPTION>
ALLOCATION OF OFFERED CERTIFICATES BETWEEN
UNDERWRITERS
---------------------------------------------------
UNDERWRITER CLASS D CLASS E CLASS F CLASS G
----------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Lehman Brothers Inc. .................. 100.00% 100.00% 100.00% 100.00%
UBS Warburg LLC ....................... 0.00% 0.00% 0.00% 0.00%
Deutsche Bank Securities Inc. ......... 0.00% 0.00% 0.00% 0.00%
Total ................................. 100.00% 100.00% 100.00% 100.00%
</TABLE>
The underwriting agreement provides that the obligations of the
underwriters to pay for and accept delivery of the offered certificates is
subject to, among other things:
o the receipt of various legal opinions; and
o the satisfaction of various conditions, including that--
1. no stop order suspending the effectiveness of our registration
statement is in effect, and
2. no proceedings for the purpose of obtaining a stop order are pending
before or threatened by the SEC.
The underwriters currently intend to sell the offered certificates from
time to time in one or more negotiated transactions or otherwise at varying
prices to be determined at the time of sale. The underwriters may accomplish
these transactions by selling the offered certificates to or through dealers,
and the dealers may receive compensation in the form of underwriting discounts,
concessions or commissions from the underwriters. The underwriters may be
deemed to have received compensation from us, in connection with the sale of
the offered certificates, in the form of underwriting compensation. The
underwriters and any dealers that participate with the underwriters in the
distribution of the offered certificates may be deemed to be statutory
underwriters and any profit on the resale of the offered certificates
positioned by them may be deemed to be underwriting discounts and commissions
under the Securities Act of 1933, as amended.
The underwriting agreement provides that we will indemnify the
underwriters, and that under limited circumstances the underwriters will
indemnify us, against various civil liabilities under the Securities Act of
1933, as amended, relating to the disclosure in this prospectus supplement, the
accompanying prospectus or our registration statement.
We have also been advised by the underwriters that they presently intend
to make a market in the offered certificates. The underwriters have no
obligation to do so, however, and any market making may be discontinued at any
time. There can be no assurance that an active public market for the offered
certificates will develop. See "Risk Factors--Lack of Liquidity Will Impair
Your Ability to Sell Your Offered Certificates and May Have an Adverse Effect
on the Market Value of Your Offered Certificates" in the accompanying
prospectus.
With respect to this offering--
o Lehman Brothers Inc. is acting as lead manager and sole bookrunner,
o UBS Warburg LLC is acting as a co-lead manager, and
o Deutsche Bank Securities Inc. is acting as a co-manager.
LEGAL MATTERS
Particular legal matters relating to the certificates will be passed upon for
us and the underwriters by Sidley & Austin, New York, New York.
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RATINGS
It is a condition to their issuance that the respective classes of offered
certificates be rated as follows:
<TABLE>
<CAPTION>
CLASS MOODY'S S&P
----- --------- ------
<S> <C> <C>
Class A-1 .................... Aaa AAA
Class A-2 .................... Aaa AAA
Class B ...................... Aa2 AA
Class C ...................... A2 A
Class D ...................... A3 A-
Class E ...................... Baa1 BBB+
Class F ...................... Baa2 BBB
Class G ...................... Baa3 BBB--
</TABLE>
The ratings on the offered certificates address the likelihood of the
timely receipt by the holders of all payments of interest to which they are
entitled on each payment date and the ultimate receipt by the holders of all
payments of principal to which those holders are entitled on or before the
related rated final payment date. The ratings take into consideration the
credit quality of the mortgage pool, structural and legal aspects associated
with the offered certificates, and the extent to which the payment stream from
the mortgage pool is adequate to make payments of interest and principal
required under the offered certificates.
The ratings on the respective classes of offered certificates do not
represent any assessment of--
o the tax attributes of the offered certificates or of the trust,
o whether or to what extent prepayments of principal may be received on the
underlying mortgage loans,
o the likelihood or frequency of prepayments of principal on the underlying
mortgage loans,
o the degree to which the amount or frequency of prepayments of principal
on the underlying mortgage loans might differ from those originally
anticipated,
o whether or to what extent the interest payable on any class of offered
certificates may be reduced in connection with Net Aggregate Prepayment
Interest Shortfalls,
o whether and to what extent prepayment premiums, yield maintenance
charges, Default Interest or Post-ARD Additional Interest will be
received, and
o the yield to maturity that investors may experience.
There can be no assurance as to whether any rating agency not requested to
rate the offered certificates will nonetheless issue a rating to any class of
offered certificates and, if so, what the rating would be. A rating assigned to
any class of offered certificates by a rating agency that has not been
requested by us to do so may be lower than the rating assigned thereto by
Moody's or S&P.
The ratings on the offered certificates should be evaluated independently
from similar ratings on other types of securities. A security rating is not a
recommendation to buy, sell or hold securities and may be subject to revision
or withdrawal at any time by the assigning rating organization. Each security
rating should be evaluated independently of any other security rating. See
"Rating" in the accompanying prospectus.
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GLOSSARY
The following capitalized terms will have the respective meanings assigned
to them in this "Glossary" section whenever they are used in this prospectus
supplement, including in Annexes A-1, A-2 and A-3 to this prospectus
supplement.
"30/360 BASIS" means the accrual of interest based on a 360-day year
consisting of twelve 30-day months.
"ACTUAL/360 BASIS" means the accrual of interest based on the actual
number of days elapsed during each one-month accrual period in a year assumed
to consist of 360 days.
"ADDITIONAL TRUST FUND EXPENSE" means an expense of the trust that--
o arises out of a default on a mortgage loan or an otherwise unanticipated
event,
o is not included in the calculation of a Realized Loss, and
o is not covered by a servicing advance or a corresponding collection from
the related borrower.
We provide some examples of Additional Trust Fund Expenses under
"Description of the Offered Certificates--
Reductions of Certificate Principal Balances in Connection with Realized Losses
and Additional Trust Fund Expenses" in this prospectus supplement.
"ADMINISTRATIVE COST RATE" means, with respect to each mortgage loan in
the trust, the sum of the master servicing fee rate for that mortgage loan and
the per annum rate at which the monthly fee of the trustee is calculated.
"APPRAISAL REDUCTION AMOUNT" means, for any mortgage loan in the trust as
to which an Appraisal Trigger Event has occurred, an amount that will equal the
excess, if any, of "x" over "y" where--
o "x" is equal to the sum of:
1. the Stated Principal Balance of the mortgage loan;
2. to the extent not previously advanced by or on behalf of the master
servicer, the trustee or the fiscal agent, all unpaid interest, other
than any Default Interest and Post-ARD Additional Interest, accrued on
the mortgage loan through the most recent due date prior to the date of
determination;
3. all accrued but unpaid special servicing fees, liquidation fees and
workout fees with respect to the mortgage loan;
4. all related unreimbursed advances made by or on behalf of the master
servicer, the special servicer, the trustee or the fiscal agent with
respect to the mortgage loan, together with interest on those advances;
5. any other unpaid Additional Trust Fund Expenses in respect of the
mortgage loan; and
6. all currently due and unpaid real estate taxes and assessments,
insurance premiums and, if applicable, ground rents and any unfunded
improvement and other applicable reserves, with respect to the related
mortgaged real property, net of any escrow reserves held by the master
servicer or the special servicer which covers any such item; and
o "y" is equal to the sum of:
1. the excess, if any, of--
(a) 90% of the resulting appraised or estimated value of the
related mortgaged real property or REO Property, over
(b) the amount of any obligations secured by liens on the
property that are prior to the lien of the mortgage loan and
estimated liquidation expenses;
2. the amount of escrow payments and reserve funds held by the master
servicer with respect to the mortgage loan that--
(a) are not required to be applied to pay real estate taxes and
assessments, insurance premiums or ground rents,
(b) may be used to reduce the principal balance of the mortgage
loan, and
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(c) are not scheduled to be applied within the next 12 months;
and
3. the amount of any letter of credit that constitutes additional security
for the mortgage loan that may be used to reduce the principal balance
of the mortgage loan.
If, however--
o the appraisal or other valuation estimate referred to in the second
bullet of this definition is not obtained or performed within a specified
number of days after the Appraisal Triggger Event referred to in the first
sentence of this definition, and
o either--
1. no comparable appraisal or other valuation, or update of a comparable
appraisal or other valuation, had been obtained or performed during the
12-month period prior to that Appraisal Trigger Event, or
2. there has been a material change in the circumstances surrounding the
related mortgaged real property subsequent to any earlier appraisal or
other valuation, or any earlier update of an appraisal or other
valuation, that, in the special servicer's judgment, materially affects
the value of the property,
then until the required appraisal or other valuation is obtained or
performed, the Appraisal Reduction Amount for the subject mortgage loan
will equal 25% of the Stated Principal Balance of that mortgage loan.
After receipt of the required appraisal or other valuation, the special
servicer will determine the Appraisal Reduction Amount, if any, for the
subject mortgage loan as described in the first sentence of this definition.
For purposes of this definition, each mortgage loan that is part of a group
of cross-collateralized mortgage loans will be treated separately for
purposes of calculating any Appraisal Reduction Amount.
"APPRAISAL TRIGGER EVENT" means, with respect to any mortgage loan in the
trust, any of the following events:
o the mortgage loan has been modified by the special servicer in a manner
that--
1. affects that amount or timing of any payment of principal or interest
due on it, other than, or in addition to, bringing monthly debt service
payments current with respect to the mortgage loan,
2. except as expressly contemplated by the related loan documents, results
in a release of the lien of the mortgage instrument on any material
portion of the related mortgaged real property without a corresponding
principal prepayment in an amount, or the delivery by the related
borrower of substitute real property collateral with a fair market
value, that is not less than the fair market value of the property to
be released, or
3. in the judgment of the special servicer, otherwise materially impairs
the security for the mortgage loan or reduces the likelihood of timely
payment of amounts due on the mortgage loan;
o the mortgage loan is 60 days or more delinquent in respect of any monthly
debt service payment, including any balloon payment;
o a receiver is appointed and continues in that capacity in respect of the
mortgaged real property securing the mortgage loan;
o the related borrower becomes the subject of bankruptcy, insolvency or
similar proceedings;
o the mortgaged real property securing the mortgage loan becomes an REO
Property; or
o the mortgage loan remains outstanding five years after any extension of
its maturity.
"ARD LOAN" means any mortgage loan in the trust having the characteristics
described in the first paragraph under "Description of the Mortgage Pool--Terms
and Conditions of the Underlying Mortgage Loans--ARD Loans" in this prospectus
supplement.
"AVAILABLE P&I FUNDS" means the total amount available to make payments of
interest and principal on the series 2000-C4 certificates on each payment date.
The Available P&I Funds for any payment date will include:
o all payments and other collections on the mortgage loans and any REO
Properties in the trust that are on deposit in the trustee's collection
account as of a specified time on that payment date, exclusive of any
portion that represents one or more of the following--
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(a) monthly debt service payments due on a due date subsequent to
the end of the related collection period and all unscheduled
payments made after the end of the related collection period,
(b) prepayment premiums, yield maintenance charges and Post-ARD
Additional Interest,
(c) all amounts that are payable or reimbursable to any person
other than the series 2000-C4 certificateholders as described
under "Description of the Offered Certificates--Collection
Account--Withdrawals" in this prospectus supplement,
(d) if that payment date occurs during February of 2001 or any year
thereafter or during January of 2001 or any year thereafter
that is not a leap year, the interest reserve amounts with
respect to the pooled mortgage loans accruing interest on an
Actual/360 Basis that are to be transferred from the trustee's
collection account to the trustee's interest reserve account
during that month and held for future distribution, and
(e) amounts deposited in the trustee's collection account in error,
o any monthly debt service advances made by the master servicer or the
trustee with respect to that payment date;
o any payments made by the master servicer to cover Prepayment Interest
Shortfalls incurred during the related collection period, as described
under "Servicing of the Underlying Mortgage Loans--Servicing and Other
Compensation and Payment of Expenses" in this prospectus supplement; and
o if that payment date occurs during March of 2001 or any year thereafter,
the interest reserve amounts with respect to the mortgage loans accruing
interest on an Actual/360 Basis that are transferred from the trustee's
interest reserve account to the trustee's collection account during that
month.
"BOND-TYPE LEASE" means a net lease that:
o imposes limited or no duties on the landlord other than delivery of the
leased premises to the subject tenant;
o requires the subject tenant to maintain the leased premises in good order
and repair; and
o does not grant the subject tenant any termination rights or rent
abatement rights in connection with--
1. casualties at or condemnations of the subject property, or
2. any default on the part of the landlord of its obligations under that
lease.
A Bond-Type Lease may, however, grant the tenant a right to acquire the leased
premises and thereby effectively terminate the lease.
"CAPITAL IMP. RESERVE" means, with respect to any mortgage loan in the
trust, funded reserves escrowed for repairs, replacements and corrections of
issues outlined in the engineering reports.
"CBE" means corporate bond equivalent.
"CERCLA" means the Federal Comprehensive Environmental, Response,
Compensation and Liability Act of 1980, as amended.
"CLASS A PRINCIPAL PAYMENT CROSS-OVER DATE" means the first payment date
as of the commencement of business on which--
o both the class A-1 certificates and the class A-2 certificates remain
outstanding, and
o the total principal balance of the class B, C, D, E, F, G, H, J, K, L, M,
N and P certificates have previously been reduced to zero as described
under "Description of the Offered Certificates--Reductions of Certificate
Principal Balances in Connection with Realized Losses and Additional Trust
Fund Expenses" in this prospectus supplement.
"CONDEMNATION PROCEEDS" means all proceeds and other amounts received in
connection with the condemnation or the taking by right of eminent domain of a
mortgaged real property or an REO Property, other than any such proceeds
applied to the restoration of the property or otherwise released to the related
borrower or another appropriate person.
"CPR" means an assumed constant rate of prepayment each month, which is
expressed on a per annum basis, relative to the then outstanding principal
balance of a pool of mortgage loans for the life of those loans. The CPR model
is the prepayment model that we use in this prospectus supplement.
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"CREDIT TENANT" means a tenant that leases all or substantially all of a
mortgaged real property securing any of the mortgage loans in the trust, which
tenant possesses or has a parent company that possesses, or which tenant's
lease obligations are guaranteed by an affiliate that possesses, a public
senior unsecured long-term debt or similar rating of investment grade from a
nationally recognized statistical rating organization.
"CREDIT TENANT LEASE" means a Bond-Type Lease, a Triple-Net Lease or a
Double-Net Lease with a Credit Tenant, which lease covers all or substantially
all of a mortgaged real property securing any of the mortgage loans in the
trust.
"CTL LOAN" means a mortgage loan in the trust that is secured by a
mortgaged real property that is the subject of a Credit Tenant Lease.
"CUT-OFF DATE DEBT SERVICE COVERAGE RATIO", "DSCR @NET CASH FLOW",
"CUT-OFF DATE DSCR" or "U/W NCF DSCR" means, with respect to any mortgage loan
in the trust, other than a CTL Loan, the ratio of--
o Net Cash Flow for the related mortgaged real property, to
o the annualized amount of debt service that will be payable under that
mortgage loan commencing after the cut-off date or, if the mortgage loan
is in an initial interest-only period, after the commencement of
amortization.
Debt service coverage ratios are not presented in this prospectus
supplement for CTL Loans because those mortgage loans were, in large part,
underwritten based upon the Credit Tenant. Accordingly, those ratios would be
expected to be lower than for the other mortgage loans in the trust.
"CUT-OFF DATE LOAN-TO-VALUE RATIO" or "CUT-OFF DATE LTV" means, with
respect to any mortgage loan in the trust, other than a CTL Loan, the ratio,
expressed as a percentage, of--
o the cut-off date principal balance of that mortgage loan, as shown on
Annex A-1 to this prospectus supplement, to
o the appraised value of the related mortgaged real property, as shown on
Annex A-1 to this prospectus supplement.
Cut-off Date Loan-to-Value Ratios are not presented in this prospectus
supplement for CTL Loans because those mortgage loans were, in large part,
underwritten based upon the Credit Tenant. In connection therewith, those
ratios would be expected to be higher than for other mortgage loans.
"D(X)" means the related mortgage loan, for a period of x months,
prohibits voluntary prepayments, but permits the related borrower to defease
that mortgage loan in order to obtain a release of one or more mortgaged real
properties.
"DEFAULT INTEREST" means any interest that--
o accrues on a defaulted mortgage loan solely by reason of the subject
default, and
o is in excess of all interest at the related mortgage interest rate and
any Post-ARD Additional Interest accrued on the mortgage loan.
"DOUBLE-NET LEASE" means a net lease that grants the subject tenant
various termination rights and rent abatement rights in connection with--
o specified casualty and condemnation events with respect to the subject
property, and
o a default on the part of the landlord to perform required maintenance,
repairs or replacements with respect to the subject property.
A Double-Net Lease may also grant the subject tenant termination rights
and rent abatement rights in connection with other defaults on the part of the
landlord under that lease.
"ERISA PLAN" means any employee benefit plan, or other retirement plan,
arrangement or account, that is subject to the fiduciary responsibility
provisions of the Employee Retirement Income Security Act of 1974, as amended,
and Section 4975 of the Internal Revenue Code of 1986.
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"EXEMPTION-FAVORED PARTY" means any of--
o Lehman Brothers Inc.,
o UBS Warburg LLC,
o Deutsche Bank Securities Inc.,
o any person directly or indirectly, through one or more intermediaries,
controlling, controlled by or under common control with Lehman Brothers
Inc., UBS Warburg LLC or Deutsche Bank Securities Inc., and
o any member of the underwriting syndicate or selling group of which a
person described in the prior four bullets is a manager or co-manager with
respect to those mortgage pass-through certificates.
"GAAP" means generally accepted accounting principles in the United States
of America.
"INSURANCE PROCEEDS" means all proceeds and other amounts received under
any hazard, flood, title or other insurance policy that provides coverage with
respect to a mortgaged real property or the related pooled mortgage loan,
together with any comparable amounts received with respect to an REO Property,
other than any such proceeds applied to the restoration of the property or
otherwise released to the related borrower or another appropriate person.
"IRS" means the Internal Revenue Service.
"LEHMAN MORTGAGE LOAN" means each mortgage loan in the trust that was
directly or indirectly originated by the Lehman Mortgage Loan Seller.
"LEHMAN MORTGAGE LOAN SELLER" means, individually and collectively, all
our affiliates who directly or indirectly originated the Lehman Mortgage Loans.
"LIQUIDATION PROCEEDS" means all cash proceeds received and retained by
the trust in connection with--
o the liquidation of defaulted mortgage loans by foreclosure or otherwise,
o the repurchase of any mortgage loan by us or the UBS Mortgage Loan
Seller, as described under "Description of the Mortgage Pool--Cures and
Repurchases" in this prospectus supplement,
o the purchase of any defaulted mortgage loan by any party as described
under "Servicing of the Underlying Mortgage Loans--Realization Upon
Defaulted Mortgage Loans; Sale of Defaulted Mortgage Loans and REO
Properties" in this prospectus supplement;
o the purchase of all remaining mortgage loans and REO Properties in the
trust by us, the master servicer, the special servicer, Lehman Brothers
Inc. or any certificateholder of the series 2000-C4 controlling class, as
described under "Description of the Offered Certificates--Termination" in
this prospectus supplement; and
o the sale of an REO Property.
"LOAN PER SQ. FT." means, with respect to each pooled mortgage loan
secured by a lien on a mortgaged real property that constitutes a retail,
industrial/warehouse, self storage or office property, the cut-off date
principal balance of that mortgage loan, as shown on Annex A-1 to this
prospectus supplement, divided by the net rentable square foot area of the
related mortgaged real property.
"LOAN PER UNIT", "LOAN PER PAD" or "LOAN PER ROOM" means, with respect to
each pooled mortgage loan secured by a lien on a mortgaged real property that
constitutes a multifamily rental apartment, a mobile home park or a hospitality
property, the cut-off date principal balance of that mortgage loan, as shown on
Annex A-1 to this prospectus supplement, divided by the number of dwelling
units, pads or guest rooms, respectively, at or on the related mortgaged real
property.
"L(X)" means, with respect to any mortgage loan in the trust, a period of
x months during which prepayments of principal are prohibited.
"MATURITY DATE LOAN-TO-VALUE RATIO" or "SCHEDULED MATURITY/ARD LTV",
means, with respect to any mortgage loan in the trust, other than a CTL Loan,
the ratio, expressed as a percentage, of--
o the expected balance of that mortgage loan immediately prior to its
maturity date or, in the case of an ARD Loan, its anticipated repayment
date, assuming no prepayments of principal or defaults, to
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o the appraised value of the related mortgaged real property, as shown on
Annex A-1 to this prospectus supplement.
Maturity Date Loan-to-Value Ratios are not presented in this prospectus
supplement with respect to the CTL Loans.
"MODELING ASSUMPTIONS" means, collectively, the following assumptions
regarding the series 2000-C4 certificates and the mortgage loans in the trust:
o the mortgage loans have the characteristics set forth on Annex A-1 and
the initial mortgage pool balance is approximately $999,060,409;
o the initial total principal balance or notional amount, as the case may
be, of each class of series 2000-C4 certificates is as described in this
prospectus supplement;
o the pass-through rate for each class of series 2000-C4 certificates is as
described in this prospectus supplement;
o there are no delinquencies or losses with respect to the mortgage loans;
o there are no modifications, extensions, waivers or amendments affecting
the monthly debt service payments by borrowers on the mortgage loans;
o there are no Appraisal Reduction Amounts with respect to the mortgage
loans;
o there are no casualties or condemnations affecting the corresponding
mortgaged real properties;
o each of the mortgage loans provides for monthly debt service payments to
be due on the first day of each month in the case of the Lehman Mortgage
Loans and the 6th or 11th, as applicable, day of each month in the case of
the UBS Mortgage Loans, which monthly debt service payments are timely
received, and each of the mortgage loans accrues interest on the
respective basis described in this prospectus supplement, which is either
a 30/360 Basis or an actual/360 Basis;
o all prepayments on the mortgage loans are assumed to be accompanied by a
full month's interest;
o there are no breaches of our representations and warranties or those of
the UBS Mortgage Loan Seller regarding the mortgage loans;
o no voluntary or involuntary prepayments are received as to any mortgage
loan during that mortgage loan's lockout period, defeasance period, yield
maintenance period or declining premium period, in each case if any;
o each ARD Loan is paid in full on its anticipated repayment date;
o except as otherwise assumed in the immediately preceding two bullets,
prepayments are made on each of the mortgage loans at the indicated CPRs
set forth in the subject tables or other relevant part of this prospectus
supplement, without regard to any limitations in those mortgage loans on
partial voluntary principal prepayments;
o no person or entity entitled thereto exercises its right of optional
termination described in this prospectus supplement under "Description of
the Offered Certificates--Termination";
o no mortgage loan is required to be repurchased by us or the UBS Mortgage
Loan Seller;
o no Prepayment Interest Shortfalls are incurred and no prepayment premiums
or yield maintenance charges are collected;
o there are no Additional Trust Fund Expenses;
o payments on the offered certificates are made on the 15th day of each
month, commencing in October 2000; and
o the offered certificates are settled on September 28, 2000.
For purposes of the Modeling Assumptions, a "yield maintenance period" is
any period during which a mortgage loan provides that voluntary prepayments be
accompanied by a yield maintenance charge, and a "declining premium period" is
any period during which a mortgage loan provides that voluntary prepayments be
accompanied by a prepayment premium calculated as a declining percentage of the
principal amount prepaid.
"NAP" means that, with respect to a particular category of data, the data
is not applicable.
"NAV" means that, with respect to a particular category of data, the data
is not available.
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"NET AGGREGATE PREPAYMENT INTEREST SHORTFALL" means, with respect to any
payment date, the excess, if any, of--
o the Prepayment Interest Shortfalls incurred with respect to the entire
mortgage pool during the related collection period, over
o the total payments made by the master servicer to cover those Prepayment
Interest Shortfalls.
"NET CASH FLOW" or "U/W NET CASH FLOW" means for any mortgaged real
property securing a mortgage loan in the trust:
o the revenue derived from the use and operation of that property; less
o the total of the following items--
(a) allowances for vacancies and credit losses,
(b) operating expenses, such as utilities, administrative expenses,
repairs and maintenance, management fees and advertising,
(c) fixed expenses, such as insurance, real estate taxes and ground
lease payments, if applicable, and
(d) replacement reserves, tenant improvement costs and leasing
commissions.
Net Cash Flow does not reflect interest expenses and non-cash items, such
as depreciation and amortization, and generally does not reflect capital
expenditures.
In determining the Net Cash Flow for any mortgaged real property securing
a mortgage loan in the trust, the related originator relied on one or more of
the following items supplied by the related borrower. In general, except in the
case of the Westfield Shoppingtown South Shore Mortgage Loan and the Westfield
Shoppingtown Plaza Camino Real Mortgage Loan, as to which some of the
below-described items were audited or were reviewed by an auditor under a set
of agreed-upon procedures, these items were not audited or otherwise confirmed
by an independent party.
o Rolling 12-month operating statements.
o Applicable year-to-date financial statements, if available.
o Except in the case of hospitality properties, rent rolls that were
current as of the date not earlier than six months prior to the respective
date of origination.
In determining the "revenue" component of Net Cash Flow for each mortgaged
real property, other than a hospitality property, the related originator
generally relied on the most recent rent roll supplied by the related borrower.
Where the actual vacancy shown on that rent roll and the market vacancy was
less than 5.0%, the originator generally assumed a minimum of 5.0% vacancy in
determining revenue from rents, except that, in the case of certain anchored
shopping centers and certain single tenant properties, including all the
mortgaged real properties with Credit Tenants, space occupied by those anchor
or single tenants may have been disregarded in performing the vacancy
adjustment due to the length of the related leases or creditworthiness of those
tenants, in accordance with the originator's underwriting standards.
In determining rental revenue for multifamily rental, self storage and
manufactured housing properties, the related originator either reviewed rental
revenue shown on the certified rolling 12-month operating statements or
annualized the rental revenue and reimbursement of expenses shown on rent rolls
or recent partial year operating statements with respect to the prior one- to
twelve-month periods.
For the other mortgaged real properties, other than hospitality
properties, the related originator generally annualized rental revenue shown on
the most recent certified rent roll, after applying the vacancy factor, without
further regard to the terms, including expiration dates, of the leases shown on
that rent roll. In the case of hospitality properties, gross receipts were
determined on the basis of historical operating levels shown on the
borrower-supplied 12-month trailing operating statements.
In general, any non-recurring revenue items and non-property related
revenue were eliminated from the calculation.
In determining the "expense" component of Net Cash Flow for each mortgaged
real property, the related originator generally relied on full-year or
year-to-date financial statements, rolling 12-month operating statements and/or
year-to-date financial statements supplied by the related borrower, except
that--
o If tax or insurance expense information more current than that reflected
in the financial statements was available, the newer information was used.
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o Property management fees were generally assumed to be 3% to 5% of
effective gross revenue, except with respect to hospitality properties,
where 4% of gross receipts was assumed.
o In general, assumptions were made with respect to the average amount of
reserves for leasing commissions, tenant improvement expenses and capital
expenditures.
o Expenses were generally assumed to include annual replacement reserves
equal to:
(a) in the case of retail, office and industrial/warehouse
properties, generally not less than $0.10 per square foot and
not more than $0.30 per square foot of net rentable commercial
area, except in the case of net leases to Credit Tenants where
no reserves may be underwritten;
(b) in the case of multifamily rental apartments, generally not
less than $200.00 or more than $350.00 per residential unit per
year, depending on the condition of the property;
(c) in the case of hospitality properties, 5% of the gross revenues
received by the property owner on an ongoing basis;
(d) in the case of mobile home parks, generally not less than
$50.00 per pad per year and not more than $55.00 per pad per
year.
(e) in the case of self storage facilities, not less than $0.15 per
square foot per year.
In some instances, the related originator recharacterized as capital
expenditures those items reported by borrowers as operating expenses, thereby
increasing "Net Cash Flow", where the originator determined appropriate.
"O(Z)" means, with respect to any Mortgage Loan, a period of z months
during which prepayments of principal are permitted without the payment of any
prepayment premium or yield maintenance charge and no defeasance can be
required.
"OCCUPANCY PERCENTAGE" or "OCCUPANCY RATE" means:
o in the case of multifamily rental properties, senior housing properties
and manufactured housing communities, the percentage of rental units or
pads, as applicable, that are rented as of the date of determination,
o in the case of office, retail and industrial/warehouse properties, the
percentage of the net rentable square footage rented as of the date of
determination,
o in the case of hospitality properties, the percentage of available rooms
occupied for the trailing twelve-month period ending on the date of
determination, and
o in the case of self storage facilities, either the percentage of the net
rentable square footage rented as of the date of determination or the
percentage of units rented as of the date of determination, depending on
borrower reporting.
"ORIGINAL AMORTIZATION TERM" means, with respect to each mortgage loan in
the trust, other than the one mortgage loan that provides for interest-only
payments up until its anticipated repayment date, the number of months from
origination to the month in which that mortgage loan would fully amortize in
accordance with its amortization schedule, without regard to any balloon
payment that may be due, and assuming no prepayments of principal and no
defaults.
"ORIGINAL INTEREST-ONLY PERIOD" means, with respect to any mortgage loan
in the trust, the period, if any, following the related origination date during
which scheduled payments of interest only are required.
"ORIGINAL TERM TO MATURITY" means, with respect to each mortgage loan in
the trust, the number of months from origination to maturity or, in the case of
an ARD Loan, to the anticipated repayment date.
"P&I" means principal and interest.
"PARTY IN INTEREST" means any person that is a "party in interest" within
the meaning of the Employee Retirement Income Security Act of 1974, as amended,
or a "disqualified person" within the meaning of the Internal Revenue Code of
1986.
"PERMITTED ENCUMBRANCES" means, with respect to any mortgaged real
property securing a mortgage loan in the trust, any and all of the following:
o the lien of current real property taxes, ground rents, water charges,
sewer rents and assessments not yet due and 30 days' delinquent,
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o covenants, conditions and restrictions, rights of way, easements and
other matters that are of public record as of the date of recording of the
related mortgage instrument, the exceptions appearing of record being
customarily acceptable to mortgage lending institutions generally or
specifically reflected in the appraisal of that property made in
connection with the origination of that mortgage loan, and
o other matters to which like properties are commonly subject, none of
which materially and adversely affect the value or marketability of that
property.
"PERMITTED INVESTMENTS" means U.S. government securities and other
investment grade obligations specified in the pooling and servicing agreement.
"POST-ARD ADDITIONAL INTEREST" means, with respect to any ARD Loan, the
additional interest accrued with respect to that mortgage loan as a result of
the marginal increase in the related mortgage interest rate upon passage of the
related anticipated repayment date, as that additional interest may compound in
accordance with the terms of that mortgage loan.
"PREPAYMENT INTEREST EXCESS" means, with respect to any full or partial
prepayment of a pooled mortgage loan made by the related borrower during any
collection period after the due date for that loan, the amount of any interest
collected on that prepayment for the period from and after that due date to the
date of prepayment, less the amount of related master servicing fees payable
from that interest collection, and exclusive of any Default Interest and
Post-ARD Additional Interest included in that interest collection.
"PREPAYMENT INTEREST SHORTFALL" means, with respect to any full or partial
prepayment of a pooled mortgage loan made by the related borrower during any
collection period prior to the due date for that loan, the amount of any
uncollected interest that would have accrued on that prepayment prior to that
due date, less the amount of related master servicing fees that would have been
payable from that uncollected interest, and exclusive of any portion of that
uncollected interest that would have represented Default Interest or Post-ARD
Additional Interest.
"REALIZED LOSSES" mean losses on or with respect of the pooled mortgage
loans arising from the inability of the master servicer and/or the special
servicer to collect all amounts due and owing under the mortgage loans,
including by reason of the fraud or bankruptcy of a borrower or, to the extent
not covered by insurance, a casualty of any nature at a mortgaged real
property. We discuss the calculation of Realized Losses under "Description of
the Offered Certificates--Reductions of Certificate Principal Balances in
Connection with Realized Losses and Additional Trust Fund Expenses" in this
prospectus supplement.
"REMAINING AMORTIZATION TERM" means, with respect to each mortgage loan in
the trust, the number of months remaining from the cut-off date to the month in
which that mortgage loan would fully amortize in accordance with its
amortization schedule, without regard to any balloon payment that may be due
and assuming no prepayments of principal and no defaults.
"REMAINING INTEREST-ONLY PERIOD" means, with respect to any mortgage loan
in the trust, the period, if any, following the cut-off date during which
scheduled payments of interest only are required.
"REMAINING TERM TO MATURITY" means, with respect to each mortgage loan in
the trust, the number of months remaining to maturity or, in the case of an ARD
Loan, to the anticipated repayment date.
"REMIC" means a real estate mortgage investment conduit as defined in
Section 860D of the Internal Revenue Code of 1986.
"REO PROPERTY" means any mortgaged real property that is acquired by the
trust through foreclosure, deed-in-lieu of foreclosure or otherwise following a
default on the corresponding pooled mortgage loan.
"REPLACEMENT RESERVE" means, with respect to any mortgage loan in the
trust, funded reserves escrowed for ongoing items such as repairs and
replacements, including, in the case of hospitality properties, reserves for
furniture, fixtures and equipment. In some cases, however, the reserve will be
subject to a maximum amount, and once that maximum amount is reached, the
reserve will not thereafter be funded, except to the extent it is drawn upon.
"RESTRICTED GROUP" means, collectively--
1. the trustee,
2. the Exemption-Favored Parties,
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3. us,
4. the master servicer,
5. the special servicer,
6. any sub-servicers,
7. the mortgage loan sellers,
8. each borrower, if any, with respect to mortgage loans constituting more
than 5.0% of the total unamortized principal balance of the mortgage
pool as of the date of initial issuance of the offered certificates,
and
9. any and all affiliates of any of the aforementioned persons.
"SEC" means the Securities and Exchange Commission.
"SERVICING STANDARD" means, with respect to either the master servicer or
the special servicer, to service and administer the pooled mortgage loans and
any REO Properties owned by the trust for which that party is responsible:
o with the same care, skill, prudence and diligence as used in its general
mortgage servicing and asset management activities with respect to
comparable loans and real properties that either--
1. are part of other third party portfolios, giving due consideration to
customary and usual standards of practice of prudent institutional
commercial lenders servicing their own loans, or
2. are held as part of its own portfolio,
whichever is a higher standard;
o with a view to--
1. the timely collection of all monthly debt service payments, including
balloon payments, under those mortgage loans, and
2. in the case of the special servicer, if a mortgage loan comes into and
continues in default and if, in the judgment of the special servicer,
no satisfactory arrangements can be made for the collection of the
delinquent payments, the maximization of the recovery on that defaulted
mortgage loan to the series 2000-C4 certificateholders, as a collective
whole, on a present value basis; and
o without regard to--
1. any known relationship that the master servicer or the special
servicer, as the case may be, or any of its affiliates may have with
any of the underlying borrowers,
2. the ownership of any series 2000-C4 certificate by the master servicer
or the special servicer, as the case may be, or by any of its
affiliates,
3. the obligation of the master servicer or the special servicer, as the
case may be, to make advances,
4. the right of the master servicer or the special servicer, as the case
may be, or any of its affiliates to receive reimbursement of costs, or
any compensation payable to it under the pooling and servicing
agreement generally or with respect to any particular transaction, and
5. the ownership, servicing or management of other loans or properties not
covered by the pooling and servicing agreement.
"SERVICING TRANSFER EVENT" means, with respect to any mortgage loan in the
trust, any of the following events:
1. the related borrower fails to make when due any monthly debt service
payment, including a balloon payment, and either the failure actually
continues, or the master servicer believes it will continue,
unremedied--
(a) for 60 days beyond the date the subject payment was due, or
(b) in the case of a defaulted balloon mortgage loan that is
delinquent in respect of its balloon payment, but as to
which the borrower has delivered a refinancing commitment
acceptable to the special servicer within 60 days of the
date the subject payment was due, for such longer period,
not to exceed 120 days beyond the related maturity date,
during which the refinancing would occur;
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2. the master servicer determines that a default in the making of a
monthly debt service payment, including a balloon payment, is likely to
occur within 30 days and the default is likely to remain unremedied for
at least the period contemplated by clause 1. of this definition;
3. a default, other than as described in clause 1. of this definition,
occurs under the mortgage loan that materially impairs the value of the
corresponding mortgaged real property as security for the mortgage loan
or otherwise materially adversely affects the interests of series
2000-C4 certificateholders, and the default continues unremedied for
the applicable cure period under the terms of the mortgage loan or, if
no cure period is specified, for 30 days;
4. various events of bankruptcy, insolvency, readjustment of debt,
marshalling of assets and liabilities, or similar proceedings occur
with respect to the related borrower or the corresponding mortgaged
real property, or the related borrower takes various actions indicating
its bankruptcy, insolvency or inability to pay its obligations; or
5. the master servicer receives notice of the commencement of foreclosure
or similar proceedings with respect to the corresponding mortgaged real
property.
A Servicing Transfer Event will cease to exist, if and when:
o with respect to the circumstances described in clause 1. of this
definition, the related borrower makes three consecutive full and timely
monthly debt service payments under the terms of the mortgage loan, as
those terms may be changed or modified in connection with a bankruptcy or
similar proceeding involving the related borrower or by reason of a
modification, extension, waiver or amendment granted or agreed to by the
master servicer or the special servicer;
o with respect to the circumstances described in clauses 2. and 4. of this
definition, those circumstances cease to exist in the good faith,
reasonable judgment of the special servicer, but, with respect to any
bankruptcy or insolvency proceedings contemplated by clause 4., no later
than the entry of an order or decree dismissing the proceeding;
o with respect to the circumstances described in clause 3. of this
definition, the default is cured in the judgment of the special servicer;
and
o with respect to the circumstances described in clause 5. of this
definition, the proceedings are terminated.
"SHADOW" means, with respect to any mortgaged real property used for
retail purposes, a store or other business that materially affects the draw of
customers to that property, but which may be located at a nearby property or on
a portion of that property that does not constitute security for the related
mortgage loan in the trust.
"STATED PRINCIPAL BALANCE" means, for each mortgage loan in the trust, an
amount that:
o will initially equal its cut-off date principal balance; and
o will be permanently reduced on each payment date, to not less than zero,
by--
1. that portion, if any, of the Total Principal Payment Amount for that
payment date that is attributable to that mortgage loan, and
2. the principal portion of any Realized Loss incurred with respect to
that mortgage loan during the related collection period.
However, the "Stated Principal Balance" of a mortgage loan will, in all
cases, be zero as of the payment date following the collection period in which
it is determined that all amounts ultimately collectible with respect to the
mortgage loan or any related REO Property have been received.
"TI/LC RESERVE" means, with respect to any mortgage loan in the trust,
funded reserves escrowed for tenant improvement allowances and leasing
commissions. In certain cases, however, the reserve will be subject to a
maximum amount, and once that maximum amount is reached, the reserve will not
thereafter be funded, except to the extent it is drawn upon.
"TOTAL PRINCIPAL PAYMENT AMOUNT" means, for any payment date, an amount
equal to the total, without duplication, of the following:
o all payments of principal, including voluntary principal prepayments,
received on the pooled mortgage loans during
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the related collection period, in each case exclusive of any portion of
the particular payment that represents a late collection of principal for
which an advance was previously made for a prior payment date or that
represents a monthly payment of principal due on or before the cut-off
date or on a due date subsequent to the end of the related collection
period;
o all monthly payments of principal received on the pooled mortgage loans
prior to, but that are due during, the related collection period;
o all other collections, including Liquidation Proceeds, Condemnation
Proceeds and Insurance Proceeds, that were received on or with respect to
any of the pooled mortgage loans or any related REO Properties during the
related collection period and that were identified and applied by the
master servicer as recoveries of principal of the subject mortgage loan
or, in the case of an REO Property, of the related mortgage loan, in each
case net of any portion of the particular collection that represents a
late collection of principal due on or before the cut-off date or for
which an advance of principal was previously made for a prior payment
date; and
o all advances of principal made with respect to the mortgage loans for
that payment date.
"TRIPLE-NET LEASE" means a net lease that:
o imposes limited or no obligations on the landlord other than delivery of
the leased premises;
o requires the subject tenant to maintain the leased premises in good order
and repair; and
o grants the subject tenant various termination rights and rent abatement
rights in connection with specified casualty and condemnation events with
respect to the subject property.
A Triple-Net Lease may also grant the subject tenant termination rights
and rent abatement rights in connection with a default on the part of the
landlord of its limited obligations under that lease.
"UBS MORTGAGE LOAN" means each mortgage loan in the trust that was
directly or indirectly originated or acquired by the UBS Mortgage Loan Seller.
"UBS MORTGAGE LOAN SELLER" means UBS Principal Finance LLC.
"UNDERWRITERS' EXEMPTIONS" mean, collectively, Prohibited Transaction
Exemption 91-14, Prohibited Transaction Exemption 91-22 and Prohibited
Transaction Exemption 97-34, as described under "ERISA Considerations" in this
prospectus supplement.
"UNDERWRITING RESERVES" means, with respect to any mortgage loan in the
trust, estimated annual capital costs, as used by the related originator in
determining Net Cash Flow.
"UNITED STATES PERSON" means--
o a citizen or resident of the United States,
o a domestic partnership,
o a domestic corporation,
o any estate, other than a foreign estate within the meaning of paragraph
(31) of Section 7701(a) of the Internal Revenue Code, and
o any trust if--
1. a court within the United States is able to exercise primary
supervision over the administration of the trust, and
2. one or more United States Persons have the authority to control all
substantial decisions of the trust.
"WEIGHTED AVERAGE POOL PASS-THROUGH RATE" means, for each interest accrual
period, the weighted average of the following annual rates with respect to all
of the mortgage loans in the trust, weighted on the basis of the mortgage
loans' respective Stated Principal Balances immediately prior to that payment
date:
o in the case of each mortgage loan that accrues interest on a 30/360
Basis, an annual rate equal to--
1. the mortgage interest rate in effect for that mortgage loan as of the
cut-off date, minus
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2. the related Administrative Cost Rate; and
o in the case of each mortgage loan that accrues interest on an Actual/360
Basis, an annual rate generally equal to--
1. the product of (a) twelve (12), times (b) a fraction, expressed as a
percentage, the numerator of which, subject to adjustment as described
below in this definition, is the total amount of interest that accrued
or would have accrued, as applicable, with respect to that mortgage
loan on an Actual/360 Basis during that interest accrual period, based
on its Stated Principal Balance immediately preceding the related
payment date and its mortgage interest rate in effect as of the cut-off
date, and the denominator of which is the Stated Principal Balance of
the mortgage loan immediately prior to the related payment date, minus
2. the related Administrative Cost Rate.
Notwithstanding the foregoing, if the related payment date occurs during
January, except during a leap year, or February, then, in the case of any
particular mortgage loan that accrues interest on an Actual/360 Basis, the
amount of interest that comprises the numerator of the fraction described in
clause 1(b) of the second bullet above will be decreased to reflect any
interest reserve amount with respect to that mortgage loan that is transferred
from the trustee's collection account to the trustee's interest reserve account
during that month. Furthermore, if the related payment date occurs during
March, then, in the case of any particular mortgage loan that accrues interest
on an Actual/360 Basis, the amount of interest that comprises the numerator of
the fraction described in clause 1(b) of the second bullet above will be
increased to reflect any interest reserve amounts with respect to that mortgage
loan that are transferred from the trustee's interest reserve account to the
trustee's collection account during that month.
"WESTFIELD SHOPPINGTOWN PLAZA CAMINO REAL MORTGAGE LOAN" means the pooled
mortgage loan secured by the Westfield Shoppingtown Plaza Camino Real Mortgaged
Property.
"WESTFIELD SHOPPINGTOWN PLAZA CAMINO REAL MORTGAGED PROPERTY" means the
mortgaged real property identified on Annex A-1 as the Westfield Shoppingtown
Plaza Camino Real.
"WESTFIELD SHOPPINGTOWN SOUTH SHORE MORTGAGE LOAN" means the pooled
mortgage loan secured by the Westfield Shoppingtown South Shore Mortgaged
Property.
"WESTFIELD SHOPPINGTOWN SOUTH SHORE MORTGAGED PROPERTY" means the
mortgaged real property identified on Annex A-1 as Westfield Shoppingtown South
Shore.
"YEAR BUILT/RENOVATED" means the year that a mortgaged real property was
originally constructed or, if applicable, most recently renovated in a
substantial manner. With respect to any mortgaged real property that was
constructed in phases, "Year Built/Renovated" refers to the year that the first
phase was originally constructed.
"YM1% OR YM(Y)" means, with respect to any mortgage loan in the trust, a
period of y months during which prepayments of principal are permitted, but
must be accompanied by a yield maintenance charge equal to the greater of an
amount calculated pursuant to a yield maintenance formula and/or 1.0% of the
principal amount prepaid.
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ANNEX A-1
CERTAIN CHARACTERISTICS OF THE UNDERLYING MORTGAGE LOANS
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
S-26
<PAGE>
AMORTIZATION TYPES
(ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
AMORTIZATION TYPES OF LOANS BALANCE BALANCE BALANCE
----------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Balloon ............... 137 $668,777,084 66.94% $ 4,881,585
ARD ................... 22 309,248,301 30.95 14,056,741
Fully Amortizing ...... 8 21,035,024 2.11 2,629,378
--- ------------ ------
TOTAL/AVG./WTD. AVG.: . 167 $999,060,409 100.00% $ 5,982,398
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
AMORTIZATION TYPES BALANCE LTV(1) DSCR(1) RATE(2) RATE
----------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Balloon ............... $40,942,051 71.9% 1.29x 96.26% 8.470%
ARD ................... 85,932,282 58.5 1.65 95.78 8.335
Fully Amortizing ...... 4,297,077 NAP NAP 100.00 8.349
TOTAL/AVG./WTD. AVG.: . $85,932,282 67.7% 1.40X 96.19% 8.425%
</TABLE>
-------
(1) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(2) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-1
<PAGE>
CUT-OFF DATE LOAN-TO-VALUE RATIOS
(ALL MORTGAGE LOANS OTHER THAN CTL LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
CUT-OFF DATE LOAN-TO-VALUE RATIOS (%) OF LOANS BALANCE BALANCE BALANCE
------------------------------------------ ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
25.01 - 30.00 ............................ 1 $ 36,000,000 3.68% $36,000,000
35.01 - 40.00 ............................ 3 13,079,472 1.34 4,359,824
45.01 - 50.00 ............................ 2 108,371,282 11.08 54,185,641
50.01 - 55.00 ............................ 1 2,388,461 0.24 2,388,461
55.01 - 60.00 ............................ 9 16,001,874 1.64 1,777,986
60.01 - 65.00 ............................ 13 67,456,644 6.90 5,188,973
65.01 - 70.00 ............................ 22 114,813,261 11.74 5,218,785
70.01 - 75.00 ............................ 60 354,713,880 36.27 5,911,898
75.01 - 80.00 ............................ 48 265,200,512 27.12 5,525,011
-- ------------ ------
TOTAL/AVG./WTD. AVG.: .................... 159 $978,025,385 100.00% $ 6,151,103
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
CUT-OFF DATE LOAN-TO-VALUE RATIOS (%) BALANCE LTV DSCR RATE(1) RATE
------------------------------------------ -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
25.01 - 30.00 ............................ $36,000,000 25.4% 3.47x 96.15% 7.650%
35.01 - 40.00 ............................ 8,484,450 36.8 1.46 94.04 8.529
45.01 - 50.00 ............................ 85,932,282 48.7 1.62 95.00 8.248
50.01 - 55.00 ............................ 2,388,461 53.7 1.92 87.19 8.190
55.01 - 60.00 ............................ 2,821,690 57.4 1.47 98.80 8.735
60.01 - 65.00 ............................ 18,186,494 63.1 1.32 94.37 8.659
65.01 - 70.00 ............................ 15,256,575 67.5 1.34 96.00 8.539
70.01 - 75.00 ............................ 40,942,051 72.8 1.28 96.30 8.528
75.01 - 80.00 ............................ 26,917,209 77.9 1.24 96.75 8.342
TOTAL/AVG./WTD. AVG.: .................... $85,932,282 67.7% 1.40X 96.10% 8.427%
</TABLE>
Weighted Average Cut-off Date LTV Ratio for Mortgage Loans other than CTL
Loans: 67.69%
-------
(1) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-2
<PAGE>
ORIGINAL TERM TO MATURITY(1)
(ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
ORIGINAL TERMS TO MATURITY (MONTHS) OF LOANS BALANCE BALANCE BALANCE
-------------------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
49 - 60 ............................ 4 $ 16,350,360 1.64% $4,087,590
73 - 84 ............................ 8 38,119,805 3.82 4,764,976
86 - 96 ............................ 1 1,386,415 0.14 1,386,415
109 - 120 ............................ 137 881,010,461 88.18 6,430,733
121 - 132 ............................ 1 1,898,619 0.19 1,898,619
133 - 144 ............................ 1 2,821,690 0.28 2,821,690
169 - 180 ............................ 7 36,438,034 3.65 5,205,433
217 - 228 ............................ 2 3,343,147 0.33 1,671,573
229 - 240 ............................ 6 17,691,877 1.77 2,948,646
--- ------------ ------
TOTAL/AVG./WTD. AVG.: ................ 167 $999,060,409 100.00% $5,982,398
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
ORIGINAL TERMS TO MATURITY (MONTHS) BALANCE LTV(2) DSCR(2) RATE(3) RATE
-------------------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
49 - 60 ............................ $ 9,692,949 72.1% 1.25x 95.63% 8.397%
73 - 84 ............................ 7,473,421 76.0 1.22 97.30 8.438
86 - 96 ............................ 1,386,415 58.6 1.25 100.00 8.440
109 - 120 ............................ 85,932,282 67.2 1.42 95.96 8.414
121 - 132 ............................ 1,898,619 65.5 1.31 100.00 8.550
133 - 144 ............................ 2,821,690 56.4 1.25 100.00 8.640
169 - 180 ............................ 8,436,029 70.9 1.28 98.07 8.714
217 - 228 ............................ 1,991,915 NAP NAP 100.00 8.485
229 - 240 ............................ 4,297,077 NAP NAP 100.00 8.323
TOTAL/AVG./WTD. AVG.: ................ $85,932,282 67.7% 1.40X 96.19% 8.425%
</TABLE>
Weighted Average Original Term to Maturity: 122 months
-------
(1) ARD Loans are assumed to mature on their respective anticipated repayment
dates.
(2) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(3) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-3
<PAGE>
REMAINING TERM TO MATURITY(1)
(ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
REMAINING TERMS TO MATURITY (MONTHS) OF LOANS BALANCE BALANCE BALANCE
--------------------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
37 - 48 ............................. 2 $ 4,764,754 0.48% $2,382,377
49 - 60 ............................. 2 11,585,606 1.16 5,792,803
61 - 72 ............................. 1 3,264,397 0.33 3,264,397
73 - 84 ............................. 7 34,855,408 3.49 4,979,344
85 - 96 ............................. 1 1,386,415 0.14 1,386,415
97 - 108 ............................. 5 36,752,718 3.68 7,350,544
109 - 120 ............................. 133 846,156,362 84.70 6,362,078
133 - 144 ............................. 1 2,821,690 0.28 2,821,690
169 - 180 ............................. 7 36,438,034 3.65 5,205,433
217 - 228 ............................. 3 4,622,891 0.46 1,540,964
229 - 240 ............................. 5 16,412,133 1.64 3,282,427
--- ------------ ------
TOTAL/AVG./WTD. AVG.: ................. 167 $999,060,409 100.00% $5,982,398
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
REMAINING TERMS TO MATURITY (MONTHS) BALANCE LTV(2) DSCR(2) RATE(3) RATE
--------------------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
37 - 48 ............................. $ 2,978,384 71.3% 1.24x 90.16% 7.992%
49 - 60 ............................. 9,692,949 72.4 1.25 97.87 8.563
61 - 72 ............................. 3,264,397 77.7 1.26 96.77 7.390
73 - 84 ............................. 7,473,421 75.8 1.21 97.35 8.537
85 - 96 ............................. 1,386,415 58.6 1.25 100.00 8.440
97 - 108 ............................. 15,256,575 72.1 1.35 98.35 8.028
109 - 120 ............................. 85,932,282 66.9 1.42 95.86 8.431
133 - 144 ............................. 2,821,690 56.4 1.25 100.00 8.640
169 - 180 ............................. 8,436,029 70.9 1.28 98.07 8.714
217 - 228 ............................. 1,991,915 NAP NAP 100.00 8.440
229 - 240 ............................. 4,297,077 NAP NAP 100.00 8.323
TOTAL/AVG./WTD. AVG.: ................. $85,932,282 67.7% 1.40X 96.19% 8.425%
</TABLE>
Weighted Average Remaining Term to Maturity: 117 months
-------
(1) ARD Loans are assumed to mature on their respective anticipated repayment
dates.
(2) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(3) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-4
<PAGE>
MORTGAGE LOANS BY PROPERTY TYPE
(ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
PROPERTY TYPE OF LOANS BALANCE BALANCE BALANCE
--------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Retail .................... 40 $393,941,831 39.43% $9,848,546
Multifamily ............... 54 247,616,446 24.78 4,585,490
Office .................... 27 199,131,368 19.93 7,375,236
Industrial/Warehouse ...... 12 52,807,191 5.29 4,400,599
Hotel ..................... 12 45,297,374 4.53 3,774,781
CTL ....................... 8 21,035,024 2.11 2,629,378
Mobile Home Park .......... 7 14,673,676 1.47 2,096,239
Mixed Use ................. 3 13,351,431 1.34 4,450,477
Self Storage .............. 3 8,072,061 0.81 2,690,687
Health Care ............... 1 3,134,007 0.31 3,134,007
-- ------------ ------
TOTAL/AVG./WTD. AVG.: ..... 167 $999,060,409 100.00% $5,982,398
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
PROPERTY TYPE BALANCE LTV(1) DSCR(1) RATE(2) RATE
--------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Retail .................... $85,932,282 63.1% 1.56x 95.94% 8.324%
Multifamily ............... 26,917,209 75.6 1.25 95.97 8.347
Office .................... 26,956,282 68.1 1.30 97.33 8.574
Industrial/Warehouse ...... 9,692,949 64.9 1.31 96.69 8.393
Hotel ..................... 6,923,789 62.8 1.46 NAP 8.914
CTL ....................... 4,297,077 NAP NAP 100.00 8.349
Mobile Home Park .......... 3,600,000 69.8 1.37 88.65 8.297
Mixed Use ................. 6,565,880 72.4 1.34 99.33 8.742
Self Storage .............. 3,782,903 66.1 1.34 84.26 8.870
Health Care ............... 3,134,007 74.6 2.09 92.00 10.000
TOTAL/AVG./WTD. AVG.: ..... $85,932,282 67.7% 1.40X 96.19% 8.425%
</TABLE>
-------
(1) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(2) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-5
<PAGE>
CUT-OFF DATE BALANCES
(ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
CUT-OFF DATE BALANCES ($) OF LOANS BALANCE BALANCE BALANCE
----------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
1. - 2,000,000. ... 47 $ 64,998,165 6.51% $ 1,382,940
2,000,001. - 4,000,000. .. 44 127,566,751 12.77 2,899,244
4,000,001. - 6,000,000. .. 24 121,104,917 12.12 5,046,038
6,000,001. - 8,000,000. .. 21 144,363,083 14.45 6,874,433
8,000,001. - 10,000,000. .. 9 80,979,601 8.11 8,997,733
10,000,001. - 15,000,000. .. 11 133,701,863 13.38 12,154,715
15,000,001. - 20,000,000. .. 4 65,159,205 6.52 16,289,801
20,000,001. - 25,000,000. .. 2 44,439,000 4.45 22,219,500
25,000,001. - 50,000,000. .. 4 130,815,542 13.09 32,703,886
50,000,001. - 100,000,000. .. 1 85,932,282 8.60 85,932,282
-- ------------ ------
TOTAL/AVG./WTD. AVG.: ....... 167 $999,060,409 100.00% $ 5,982,398
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
CUT-OFF DATE BALANCES ($) BALANCE LTV(1) DSCR(1) RATE(2) RATE
----------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
1. - 2,000,000. ... $ 1,996,531 69.0% 1.34x 95.93% 8.590%
2,000,001. - 4,000,000. .. 3,822,266 70.2 1.35 95.25 8.510
4,000,001. - 6,000,000. .. 5,985,290 72.8 1.31 95.81 8.526
6,000,001. - 8,000,000. .. 7,761,450 73.5 1.28 97.11 8.480
8,000,001. - 10,000,000. .. 9,737,761 69.9 1.25 95.35 8.481
10,000,001. - 15,000,000. .. 14,312,657 72.2 1.24 96.60 8.502
15,000,001. - 20,000,000. .. 18,186,494 70.5 1.31 99.69 8.265
20,000,001. - 25,000,000. .. 22,439,000 64.0 1.37 97.94 8.436
25,000,001. - 50,000,000. .. 40,942,051 60.3 1.87 95.92 8.236
50,000,001. - 100,000,000. .. 85,932,282 48.4 1.65 93.70 8.177
TOTAL/AVG./WTD. AVG.: ....... $85,932,282 67.7% 1.40X 96.19% 8.425%
</TABLE>
Average Cut-off Date Balance: $5,982,398.
-------
(1) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(2) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-6
<PAGE>
U/W NCF DSCR
(ALL MORTGAGE LOANS OTHER THAN CREDIT LEASE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
U/W NCF DSCR (X) OF LOANS BALANCE BALANCE BALANCE
----------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
= (less than) 1.2000 ........ 1 $ 22,000,000 2.25% $22,000,000
1.2001 - 1.2499 ............. 44 316,051,927 32.32 7,182,998
1.2500 - 1.2999 ............. 51 239,007,442 24.44 4,686,420
1.3000 - 1.3499 ............. 23 131,860,314 13.48 5,733,057
1.3500 - 1.3999 ............. 13 43,666,280 4.46 3,358,945
1.4000 - 1.4499 ............. 11 50,492,679 5.16 4,590,244
1.4500 - 1.4999 ............. 4 7,939,577 0.81 1,984,894
1.5000 - 1.5499 ............. 1 22,439,000 2.29 22,439,000
1.5500 - 1.5999 ............. 3 6,735,963 0.69 2,245,321
1.6000 - 1.6499 ............. 3 93,132,282 9.52 31,044,094
1.8500 - 1.9499 ............. 2 4,370,892 0.45 2,185,446
1.9500 - 2.0499 ............. 1 1,195,022 0.12 1,195,022
2.0500 - 2.2099 ............. 1 3,134,007 0.32 3,134,007
2.2500 (greater than) = ..... 1 36,000,000 3.68 36,000,000
-- ------------ ------
TOTAL/AVG./WTD. AVG.: ....... 159 $978,025,385 100.00% $ 6,151,103
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
U/W NCF DSCR (X) BALANCE LTV DSCR RATE(1) RATE
----------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
= (less than) 1.2000 ........ $22,000,000 78.6% 1.20x 95.83% 8.350%
1.2001 - 1.2499 ............. 26,956,282 74.5 1.22 96.08 8.455
1.2500 - 1.2999 ............. 15,560,266 72.7 1.27 97.05 8.474
1.3000 - 1.3499 ............. 40,942,051 68.8 1.32 94.97 8.430
1.3500 - 1.3999 ............. 7,468,895 69.6 1.37 97.44 8.578
1.4000 - 1.4499 ............. 15,256,575 67.3 1.42 97.08 8.548
1.4500 - 1.4999 ............. 5,288,315 69.5 1.48 98.31 8.967
1.5000 - 1.5499 ............. 22,439,000 49.8 1.54 100.00 8.520
1.5500 - 1.5999 ............. 3,400,000 49.8 1.59 91.95 8.872
1.6000 - 1.6499 ............. 85,932,282 49.3 1.64 93.70 8.236
1.8500 - 1.9499 ............. 2,388,461 55.0 1.89 91.73 8.331
1.9500 - 2.0499 ............. 1,195,022 39.2 1.95 100.00 8.700
2.0500 - 2.2099 ............. 3,134,007 74.6 2.09 92.00 10.000
2.2500 (greater than) = ..... 36,000,000 25.4 3.47 96.15 7.650
TOTAL/AVG./WTD. AVG.: ....... $85,932,282 67.7% 1.40X 96.10% 8.427%
</TABLE>
Weighted Average U/W NCF DSC Ratio for all Mortgage Loans other than CTL Loans:
1.40x
-------
(1) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-7
<PAGE>
OCCUPANCY RATES
(ALL MORTGAGE LOANS OTHER THAN THOSE SECURED BY HOSPITALITY PROPERTIES)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
OCCUPANCY RATES (%) OF LOANS BALANCE BALANCE BALANCE
--------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
= (less than) 80.0 ....... 2 $ 8,070,370 0.85% $4,035,185
80.1 - 85.0 ............... 5 10,852,313 1.14 2,170,463
85.1 - 90.0 ............... 8 20,646,233 2.16 2,580,779
90.1 - 95.0 ............... 37 333,361,907 34.95 9,009,781
95.1 (greater than) = ..... 103 580,832,212 60.90 5,639,148
--- ------------ ------
TOTAL/AVG./WTD. AVG.: ..... 155 $953,763,035 100.00% $6,153,310
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
OCCUPANCY RATES (%) BALANCE LTV(1) DSCR(1) RATE RATE
--------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
= (less than) 80.0 ....... $ 5,792,342 69.3% 1.27x 74.71% 8.451%
80.1 - 85.0 ............... 3,479,747 67.4 1.32 82.62 8.577
85.1 - 90.0 ............... 4,786,632 66.0 1.34 87.77 8.577
90.1 - 95.0 ............... 85,932,282 65.3 1.38 93.57 8.399
95.1 (greater than) = ..... 36,000,000 69.5 1.42 98.54 8.394
TOTAL/AVG./WTD. AVG.: ..... $85,932,282 67.9% 1.40X 96.19% 8.402%
</TABLE>
Weighted Average Occupancy Rate for all Mortgage Loans other than those secured
by hospitality properties: 96.19%
-------
(1) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
ANNEX A-1-8
<PAGE>
REMAINING AMORTIZATION TERMS
(ALL MORTGAGE LOANS OTHER THAN FULL-TERM INTEREST-ONLY LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF REMAINING NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
AMORTIZATION TERMS (MONTHS) OF LOANS BALANCE BALANCE BALANCE
------------------------------ ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
217 - 228 .................... 3 $ 4,622,891 0.48% $1,540,964
229 - 240 .................... 7 19,190,064 1.99 2,741,438
265 - 276 .................... 4 12,400,000 1.29 3,100,000
277 - 288 .................... 1 7,761,450 0.81 7,761,450
289 - 300 .................... 20 63,658,252 6.61 3,182,913
313 - 324 .................... 1 2,821,690 0.29 2,821,690
337 - 348 .................... 7 37,020,419 3.84 5,288,631
349 - 360 .................... 123 815,585,643 84.69 6,630,778
--- ------------ ------
TOTAL/AVG./WTD. AVG.: ........ 166 $963,060,409 100.00% $5,801,569
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF REMAINING PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
AMORTIZATION TERMS (MONTHS) BALANCE LTV(1) DSCR(1) RATE(2) RATE
------------------------------ -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
217 - 228 .................... $ 1,991,915 NAP NAP 100.00% 8.440%
229 - 240 .................... 4,297,077 57.2% 1.74x 99.71 8.354
265 - 276 .................... 4,700,000 53.3 1.61 0.00 8.940
277 - 288 .................... 7,761,450 73.6 1.32 95.42 8.200
289 - 300 .................... 6,923,789 68.0 1.42 93.24 8.891
313 - 324 .................... 2,821,690 56.4 1.25 100.00 8.640
337 - 348 .................... 15,256,575 72.2 1.33 97.77 7.931
349 - 360 .................... 85,932,282 69.6 1.31 96.12 8.441
TOTAL/AVG./WTD. AVG.: ........ $85,932,282 69.3% 1.33X 96.19% 8.454%
</TABLE>
Weighted Average Remaining Amortization Term for all Mortgage Loans other than
full-term interest-only loans: 346 months
-------
(1) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(2) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-9
<PAGE>
MORTGAGE RATES
(ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
MORTGAGE RATES (%) OF LOANS BALANCE BALANCE BALANCE
--------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
7.251 - 7.500 ............ 1 $ 3,264,397 0.33% $ 3,264,397
7.501 - 7.750 ............ 3 56,566,039 5.66 18,855,346
7.751 - 8.000 ............ 3 14,999,356 1.50 4,999,785
8.001 - 8.250 ............ 26 195,218,857 19.54 7,508,418
8.251 - 8.500 ............ 53 331,398,142 33.17 6,252,795
8.501 - 8.750 ............ 52 304,618,661 30.49 5,858,051
8.751 - 9.000 ............ 21 69,669,347 6.97 3,317,588
9.001 - 9.250 ............ 3 13,976,987 1.40 4,658,996
9.251 - 9.500 ............ 3 5,396,129 0.54 1,798,710
9.501 - 9.700 ............ 1 818,487 0.08 818,487
9.751 - 10.000 ............ 1 3,134,007 0.31 3,134,007
-- ------------ ------
TOTAL/AVG./WTD. AVG.: ..... 167 $999,060,409 100.00% $ 5,982,398
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
MORTGAGE RATES (%) BALANCE LTV(1) DSCR(1) RATE(2) RATE
--------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
7.251 - 7.500 ............ $ 3,264,397 77.7% 1.26x 96.77% 7.390%
7.501 - 7.750 ............ 36,000,000 41.7 2.72 97.06 7.666
7.751 - 8.000 ............ 9,537,265 78.1 1.25 93.24 7.850
8.001 - 8.250 ............ 85,932,282 62.6 1.44 95.10 8.179
8.251 - 8.500 ............ 40,942,051 72.7 1.27 96.80 8.389
8.501 - 8.750 ............ 26,956,282 70.3 1.28 96.31 8.629
8.751 - 9.000 ............ 7,191,052 65.8 1.41 96.32 8.891
9.001 - 9.250 ............ 6,422,029 65.6 1.37 92.24 9.101
9.251 - 9.500 ............ 2,155,817 72.1 1.33 98.38 9.433
9.501 - 9.700 ............ 818,487 78.0 1.46 94.60 9.625
9.751 - 10.000 ............ 3,134,007 74.6 2.09 92.00 10.000
TOTAL/AVG./WTD. AVG.: ..... $85,932,282 67.7% 1.40X 96.19% 8.425%
</TABLE>
Weighted Average Mortgage Rate: 8.425%
-------
(1) The Cut-off Date LTV and U/W NCF DSCR information does not reflect the
eight CTL Loans representing 2.1% of the initial mortgage pool balance.
(2) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-10
<PAGE>
MATURITY DATE LTV RATIOS(1)
(ALL MORTGAGE LOANS OTHER THAN CREDIT LEASE LOANS)
<TABLE>
<CAPTION>
TOTAL % BY TOTAL AVERAGE
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF NUMBER PRINCIPAL PRINCIPAL PRINCIPAL
MATURITY DATE LTV RATIOS (%) OF LOANS BALANCE BALANCE BALANCE
--------------------------------- ---------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
25.01 - 30.00 ................... 1 $ 36,000,000 3.68% $36,000,000
30.01 - 35.00 ................... 2 11,884,450 1.22 5,942,225
35.01 - 40.00 ................... 1 1,195,022 0.12 1,195,022
40.01 - 45.00 ................... 3 88,710,213 9.07 29,570,071
45.01 - 50.00 ................... 7 40,815,503 4.17 5,830,786
50.01 - 55.00 ................... 10 24,603,480 2.52 2,460,348
55.01 - 60.00 ................... 21 113,758,914 11.63 5,417,091
60.01 - 65.00 ................... 28 163,749,068 16.74 5,848,181
65.01 - 70.00 ................... 50 289,495,142 29.60 5,789,903
70.01 - 75.00 ................... 36 207,813,593 21.25 5,772,600
-- ------------ ------
TOTAL/AVG./WTD. AVG.: ........... 159 $978,025,385 100.00% $ 6,151,103
<CAPTION>
MAXIMUM
CUT-OFF DATE WTD. AVG. WTD. AVG. WTD. AVG. WTD. AVG.
RANGE OF PRINCIPAL CUT-OFF DATE U/W NCF OCCUPANCY MORTGAGE
MATURITY DATE LTV RATIOS (%) BALANCE LTV DSCR RATE(2) RATE
--------------------------------- -------------- -------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
25.01 - 30.00 ................... $36,000,000 25.4% 3.47x 96.15% 7.650%
30.01 - 35.00 ................... 8,484,450 36.5 1.41 93.20 8.512
35.01 - 40.00 ................... 1,195,022 39.2 1.95 100.00 8.700
40.01 - 45.00 ................... 85,932,282 48.7 1.65 93.83 8.188
45.01 - 50.00 ................... 22,439,000 54.7 1.52 98.89 8.657
50.01 - 55.00 ................... 4,700,000 61.8 1.38 91.63 8.820
55.01 - 60.00 ................... 18,186,494 65.8 1.30 95.46 8.650
60.01 - 65.00 ................... 40,942,051 70.7 1.32 96.03 8.397
65.01 - 70.00 ................... 26,956,282 74.0 1.26 96.25 8.486
70.01 - 75.00 ................... 26,917,209 78.1 1.24 97.23 8.385
TOTAL/AVG./WTD. AVG.: ........... $85,932,282 67.7% 1.40X 96.10% 8.427%
</TABLE>
Weighted Average Maturity Date LTV Ratio for all Mortgage Loans other than CTL
Loans: 60.98%
-------
(1) ARD Loans are assumed to mature on their respective anticipated repayment
dates.
(2) Occupancy rates are calculated without reference to hospitality
properties.
ANNEX A-1-11
<PAGE>
ANNEX A-1-12
ALL MORTGAGED PROPERTIES BY STATE
<TABLE>
<CAPTION>
TOTAL % BY TOTAL
CUT-OFF DATE CUT-OFF DATE
NUMBER PRINCIPAL PRINCIPAL
STATE OF PROPERTIES BALANCE BALANCE
------------------------ --------------- -------------- -------------
<S> <C> <C> <C>
New York ............... 17 $192,111,731 19.23%
California ............. 17 145,177,671 14.53
Florida ................ 21 102,045,075 10.21
Texas .................. 20 92,182,639 9.23
Virginia ............... 8 65,670,064 6.57
Tennessee .............. 3 47,388,093 4.74
Pennsylvania ........... 12 47,186,093 4.72
Georgia ................ 10 43,438,281 4.35
North Carolina ......... 8 31,251,408 3.13
New Jersey ............. 8 27,085,423 2.71
Indiana ................ 5 23,337,962 2.34
Arizona ................ 9 21,067,089 2.11
Ohio ................... 3 20,661,351 2.07
Oklahoma ............... 7 19,013,782 1.90
Massachusetts .......... 11 18,936,251 1.90
Missouri ............... 2 16,204,532 1.62
Maryland ............... 1 15,560,266 1.56
South Carolina ......... 2 13,058,080 1.31
Utah ................... 2 11,990,800 1.20
Michigan ............... 4 9,682,796 0.97
Connecticut ............ 4 9,612,768 0.96
Washington ............. 1 5,792,342 0.58
Colorado ............... 1 5,069,776 0.51
Illinois ............... 1 5,013,091 0.50
Arkansas ............... 1 4,479,616 0.45
New Mexico ............. 1 3,177,075 0.32
Alabama ................ 1 2,468,604 0.25
Vermont ................ 1 397,750 0.04
-- ------------ ------
TOTAL: ................ 181 $999,060,409 100.00%
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
LB-UBS COMMERCIAL MORTGAGE TRUST 2000-C4
ITALICS indicate mortgage loans secured by multiple properties.
<TABLE>
<CAPTION>
CONTROL
NO. PROPERTY NAME ADDRESS
====================================================================================================================================
<S> <C> <C>
1 Westfield Shoppingtown South Shore 1701 Sunrise Highway
2 Johnson City Mall SWC of N. Roan Street and Sunset Drive
3 Westfield Shoppingtown Plaza Camino Real 2525 El Camino Real
4 Exchange Park Center 6303-6333 Forest Park Road
5 Tompkins Square Apartments 190 E. 7th & 609 E. 6th Street
------------------------------------------------------------------------------------------------------------------------------------
6 136 Madison 136 Madison Avenue
7 Hillcrest Promenade Southeast corner of Beverwil Drive and Pico Boulevard
8 404 Fifth Avenue 404 Fifth Avenue
9 Georgesville Square I-270 & Georgesville Road
10 Pike Shopping Center 12101 Rockville Pike
------------------------------------------------------------------------------------------------------------------------------------
11 Westfield Shops 415-475 East Main Street
12 Plaza at the Pointe 1600 Quinn Drive
13 Sully Plaza Lee Jackson Memorial Highway & Centreville Road
14 City Centre 2000 PGA Boulevard
15 Clocktower Place Shopping Center 11200-11298 West Florissant Avenue
------------------------------------------------------------------------------------------------------------------------------------
16 Research Commons 12249 Science Drive
17 Ninigret Industrial Park Buildings
17a Ninigret Industrial Park Building X 4650 West 2100 South
17b Ninigret Industrial Park Building VI-B 1499 South 4800 West
18 111 Franklin Plaza 111 Franklin Road
------------------------------------------------------------------------------------------------------------------------------------
19 Remington Apartments 10610 North 30th Street
20 City Villas 13601 Lampson Avenue
21 Sagewood Apartments 5917 67th Street
22 Bluff's Square Shoppes 4090-4300 U.S. Highway 1
23 Kirkman Shoppes 4792 South Kirkman Road
------------------------------------------------------------------------------------------------------------------------------------
24 Voit Garden Grove 12755-12891 Western Avenue and 7411-7461 Garden Grove Boulevard
25 Whispering Winds 2902 Whispering Winds Drive
26 Willow Way Apartments 5890 Riverdale Road
27 Pacific SW Trust Bank Building 234 E. Colorado Boulevard
28 Western Select Properties 2525 Shadeland Avenue
------------------------------------------------------------------------------------------------------------------------------------
29 Northpointe Apartments 296 Muellers Circle
30 Dulles North - Phase 2 22685 Holiday Park Drive
31 Garners Crossing Apartments 7651 Garners Ferry Road
32 Cap Senior - Atrium of Carmichael 5757 Cypress Avenue
33 Greenwood Pointe Shopping Center 8014 U.S. 31
------------------------------------------------------------------------------------------------------------------------------------
34 Bolton Place 2108 Bolton Drive
35 Mazda Distribution Facility 5700 Audubon Drive
36 Windsor Village Apartments 2500 Sterling Avenue
37 162-21 Jamaica Ave. 162-21 Jamaica Ave.
38 75 South Broadway 75 South Broadway
------------------------------------------------------------------------------------------------------------------------------------
39 Reno Street Apartments 140 S. Reno Street
40 University Tech Center 12501-12565 Research Parkway
41 Hampton Inn - Victor 7637 New York State Route 96
42 Westpark Plaza Apartments 920 West Fourth Avenue
43 Ross Plaza 8404 West Hillsborough Avenue
------------------------------------------------------------------------------------------------------------------------------------
44 Grapevine I & II Prof. Bldg. 3500 & 3600 William D. Tate Avenue
45 192 East 75th Street 192 East 75th Street
46 Dulles North - Phase 5 22451 Shaw Road
47 800/900 Parker Square
47a 800 Parker Square 800 Parker Square
47b 900 Parker Square 900 Parker Square
48 Meadow Creek Apartments 136 Virgil Avenue
49 Towneplace Suites Sterling 22744 Holiday Park Drive
------------------------------------------------------------------------------------------------------------------------------------
50 Huntersville Apartments 300 Hunters Road
51 6701-6715 Electronics Drive 6701-6715 Electronic Drive
52 Cedar Pines 1086 Montreal Road
53 6 Joanna Court 6 Joanna Court
54 Sylmar Plaza 13201-13251 Gladstaone Ave, 13507-13521.5 Hubbard Street
------------------------------------------------------------------------------------------------------------------------------------
55 City Line Retail 4500 City Line Avenue (U.S. Route 1)
56 Kennewick Plaza Shopping Ctr. 2825 W. Kennewick Avenue
57 Cooper Village Shopping Center 6704-6744 East Broadway Road
58 Willimantic Plaza Route 32
59 Arthur's Court Apartments 4655 Glenwood Avenue
------------------------------------------------------------------------------------------------------------------------------------
60 720 Monroe Street 720 Monroe Street
61 Towne Center at Brookhill 6755 - 6795 West 88th Avenue
62 Glenview Office Building 3201 Old Glenview Road
63 Cal-Ray Medical Building 55 E. California Boulevard
64 Wellesley Inn Edison 831 U.S. Route 1
------------------------------------------------------------------------------------------------------------------------------------
65 River Run Shopping Center 4956 Long Beach Road (Hwy. 133)
66 Dulles North - Phase 1 45472 Holiday Drive
67 1000 Circle 75 1000 Circle 75 Parkway
68 Gun Club Shopping Center 4645 Gun Club Road
69 Carriage Hills Apartments 2410-2470 Celanese Road
------------------------------------------------------------------------------------------------------------------------------------
70 Park Vista Apartments (I, II & III) 406, 502, 530 West Morrison Avenue
71 Holiday Inn Express - Hershey 610 Walton Avenue
72 Parkridge Village Apartments 5252 Orange Avenue
73 Inwood Oaks Apartments 3902 West Little York Road
74 Peachtree Village of Ft. Smith 1500, 1621 and 1701 South Fresno Street
------------------------------------------------------------------------------------------------------------------------------------
75 Wellesley Inn Hazlet 3215 State Route 35
76 CVS - Springfield 795 Baltimore Pike
77 Sandstone Apartments 4500 Silver Star Road
78 Walgreens - Detroit (7 mile Rd) 13401 Seven Mile Road
79 Mr. Store-It 901 Shipyard Boulevard
------------------------------------------------------------------------------------------------------------------------------------
80 Commerce Center 5440 - 5450 NW 33rd Avenue
81 Laurel Commons Manufactured Housing Community 1001 Sage Avenue
82 Northwend Shopping Center 9515 North Lamar Boulevard
83 Cactus Gardens 10657 S. Avenue 9E
84 Walgreens - Madison Heights 26800 John R. Road
------------------------------------------------------------------------------------------------------------------------------------
85 Holiday Inn & Conference Center - New Cumberland 148 Sheraton Drive
86 Victorian Apartments 3435 Webb Chapel Extension
87 Big Lots Plaza 5701 N. University Drive
88 Comfort Inn Duluth 3700 Shackelford Road
89 Flairwood Apartments 4361 Tchulahoma Road
------------------------------------------------------------------------------------------------------------------------------------
90 Fall Lake Apartments 1415 Greens Parkway
91 Oakwood Village Apartments 1025 W. Boone Street
92 South Pointe Shopping Center Highway 61 at Hennings Drive
93 Willow Creek Apartments 4556 Winchester Road
94 Newport Offices 2600 & 2650 Yale Boulevard S.E. and 2350 Alamo S.E.
------------------------------------------------------------------------------------------------------------------------------------
95 Cartwheel Lodge of Gonzales 1800 Cartwheel Drive
96 Moore Self-Storage 3026 Veteran's Road West
97 Pueblos of Scottsdale 8155 East Roosevelt Street
98 Elizabeth Gardens Apartments 648 Jefferson Avenue
99 Walgreens - Indianapolis 6275 West 38th Street
------------------------------------------------------------------------------------------------------------------------------------
100 Heisman Square Shoppng Center NE/C NE 12th Street at Alameda
101 Metro Commerce Center/LeTourneau Center
101a Metro Commerce Center 5295 Shadowlawn Avenue
101b Le Tourneau Center 5216 Letournea Circle
102 Eastgate Plaza 4535-4601 Roosevelt Boulevard
------------------------------------------------------------------------------------------------------------------------------------
103 Holiday Inn Duluth 3670 Shackleford Road
104 Hampton Inn - Danville 97 Valley School Road
105 Burke Square Apartments 1141 Burke Road
106 Stonegate Building 1950 Stonegate Drive
107 Wellesley Inn Reading 310 Woodland Avenue
------------------------------------------------------------------------------------------------------------------------------------
108 Poplar Apartments 1449 & 1459 Poplar Street, 1848 & 1810-1816 Chessland Street
109 Michigan City Plaza 4100 South Franklin Street
110 Lanier Plaza SWC East Independence Blvd. (US 74) & Lanier Ave
111 Galleria Plaza 2720 East Plaza Boulevard
112 Brook Hollow Apartments 9231 North 99th Avenue
------------------------------------------------------------------------------------------------------------------------------------
113 Foothill 12800 Foothill Boulevard
114 Cassa Bella Apartments 863 & 907 S. Irving Heights Drive
115 Crosswinds 6101 North May Avenue
116 Concorde Apartments 1332 SW 74th Street
117 Highland Woods 900 N.E. 48th Street
------------------------------------------------------------------------------------------------------------------------------------
118 Fall River Apartments
118a 70 Barrows Street (Plymouth) 70 Barrows Street
118b 908-912 Plymouth Avenue 908-912 Plymouth Avenue
118c 34-40 Roy Street 34-40 Roy Street
118d 1200-1210 South Main Street 1200-1210 South Main Street
------------------------------------------------------------------------------------------------------------------------------------
118e 655 Mount Hope Avenue 655 Mount Hope Avenue
118f 1253 South Main Street 1253 South Main Street
118g 238 Oak Grove Avenue 238 Oak Grove Avenue
118h 120 15th Street 120 15th Street
118i 2235 South Main Street 2235 South Main Street
------------------------------------------------------------------------------------------------------------------------------------
119 Copeland Plaza 1400 East Copeland Road
120 CVS - Tucker 2586 Lawrenceville Highway
121 Highpoint Village II 201 South Clark Road
122 CVS - Logansport 717 N. Third Street
123 Pinewood Estates MHP 200 Cedar Lane
------------------------------------------------------------------------------------------------------------------------------------
124 Stonewood Apartments 445 Stonewood Drive
125 Dancea Property 605 NW 177th Street
126 8706-8716 Astoria Boulevard 8706-8716 Astoria Boulevard
127 Metro Warehouse 5616-5634 South 122nd East Avenue
128 Villa Mirada 948 East Devonshire Avenue
------------------------------------------------------------------------------------------------------------------------------------
129 150 Fisher Drive 150 Fisher Drive
130 Holiday Inn Express - New Columbia 80/15 Commerce Park
131 Northwood Apartments 800 Northridge Court
132 Forest Hills Apartments 2404 SE 5th Circle
133 Central Park East Service Center 7100 North Loop East
------------------------------------------------------------------------------------------------------------------------------------
134 Comfort Inn - Greenville, NC 3900 South Memorial Drive
135 Tierra Buena Plaza 15810 & 15820 North 35th Avenue
136 Rosbough Drive 17535 Rosbough Drive
137 Hilltop Square Shopping Center 6455 Hilltop Drive
138 Whalley Medical Prof. Bldg. 399 and 419 Whalley Avenue
------------------------------------------------------------------------------------------------------------------------------------
139 3033 Express 3033 Express Drive North
140 Patton Plaza 6440 West Hamilton Park Drive
141 Sunny Acres and Capital Mobile Home Park 5110 and 5210 14th St. West
142 Interlachen Shopping Center 1114 Highway 20
143 48 Leona Drive 48 Leona Drive
------------------------------------------------------------------------------------------------------------------------------------
144 Olde Londontowne Apartments 5516 NW 23rd Street
145 1425-1465 Washington Avenue
145a 1425 Washington Avenue 1425 Washington Avenue
145b 1455 Washington Avenue 1455 Washington Avenue
145c 1465 Washington Avenue 1465 Washington Avenue
------------------------------------------------------------------------------------------------------------------------------------
146 Full Sail Live 3535 Forsyth Avenue
147 Mobil Bronx 1106 Metcalf Avenue
148 American National Self Storage 701 South Homestead Boulevard
149 CVS - Arbor 13600 E. Seven Mile Road
150 Stratford Plaza 1219 East Glendale Avenue
------------------------------------------------------------------------------------------------------------------------------------
151 MC Sports Plaza 730 28th Street SE
152 Edwards Estates 14428 Cerise Avenue
153 1501 Locust Street 1501 Locust Street
154 Marion Crest Apartment Building 1 Simone Place
155 Broadway Industrial Park 2745 Broadway Street
------------------------------------------------------------------------------------------------------------------------------------
156 Westgate Shopping Center 3210 Crill Avenue
157 Lazy Daze Mobile Home Park 4202 West Van Buren Street
158 Thunderbird Plaza 13806 North 51st Avenue
159 Stratford Square Apartments 240 SE 15th Street
160 Georgetown Apartments Glessner Street
------------------------------------------------------------------------------------------------------------------------------------
161 Elam Court Apartments 15-45 Elam Street
162 Green Mountain and Hunt's Homestead Mobile Homes
162a Green Mountain Mobile Home US Hwy. 7
162b Hunt's Homestead MHP 296 Route 295
163 Avalon Meadows 2610 Old Iowa Park Drive
------------------------------------------------------------------------------------------------------------------------------------
164 1334 Walnut Street 1334 Walnut Street
165 34 Eagle Avenue 34 Eagle Avenue
166 Oak Creek Apartments 3500 Decker Drive
167 Oak Park Apartments 1308 First Street
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CROSS
CONTROL ZIP COLLATERALIZED ORIGINAL CUT-OFF DATE
NO. CITY STATE CODE GROUPS BALANCE ($) BALANCE ($)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
1 Bay Shore NY 11706 86,105,673 85,932,281.57
2 Johnson City TN 37601 41,000,000 40,942,051.03
3 Carlsbad CA 92008 36,000,000 36,000,000.00
4 Dallas TX 75245 27,000,000 26,956,282.23
5 New York NY 10009 26,967,753 26,917,209.21
------------------------------------------------------------------------------------------------------------------------------------
6 New York NY 10016 22,500,000 22,439,000.36
7 Los Angeles CA 90035 22,000,000 22,000,000.00
8 New York NY 10018 18,200,000 18,186,494.03
9 Columbus OH 43228 16,200,000 16,155,870.29
10 Rockville MD 20853 15,600,000 15,560,265.69
------------------------------------------------------------------------------------------------------------------------------------
11 Westfield MA 01085 15,400,000 15,256,574.95
12 North Fayette Township PA 15071 14,375,000 14,312,656.52
13 Chantilly VA 22021 13,800,000 13,744,362.05
14 Palm Beach Gardens FL 33408 13,225,000 13,194,188.86
15 Unincorporated St. Louis County MO 63033 13,000,000 12,969,896.75
------------------------------------------------------------------------------------------------------------------------------------
16 Orlando FL 32826 12,600,000 12,584,078.99
17 12,000,000 11,990,799.86
17a Salt Lake City UT 84104
17b Salt Lake City UT 84104
18 Roanoke VA 24011 12,000,000 11,980,569.86
------------------------------------------------------------------------------------------------------------------------------------
19 Tampa FL 33612 11,300,000 11,247,030.03
20 Garden Grove CA 92840 10,700,000 10,690,678.02
21 Lubbock TX 79424 10,720,000 10,675,562.55
22 Jupiter FL 33410 10,325,000 10,312,039.47
23 Orlando FL 32811 9,750,000 9,737,761.27
------------------------------------------------------------------------------------------------------------------------------------
24 Garden Grove CA 92840 9,700,000 9,692,949.42
25 Pearland TX 77581 9,600,000 9,537,265.50
26 College Park GA 30349 9,300,000 9,287,897.73
27 Pasadena CA 91101 9,100,000 9,088,539.36
28 Indianapolis IN 46219 8,500,000 8,484,449.73
------------------------------------------------------------------------------------------------------------------------------------
29 Statesville NC 28265 8,500,000 8,443,261.34
30 Sterling VA 20166 8,450,000 8,436,028.57
31 Columbia SC 29209 8,300,000 8,271,448.10
32 Carmichael CA 95968 7,850,000 7,761,450.34
33 Indianapolis IN 46227 7,650,000 7,605,911.66
------------------------------------------------------------------------------------------------------------------------------------
34 Atlanta GA 30318 7,500,000 7,473,421.15
35 Sandston VA 23150 7,480,000 7,468,894.92
36 Oklahoma City OK 73127 7,250,000 7,236,031.77
37 Jamaica NY 11432 7,200,000 7,191,051.62
38 White Plains NY 10601 7,100,000 7,087,433.86
------------------------------------------------------------------------------------------------------------------------------------
39 Los Angeles CA 90004 7,100,000 7,074,156.84
40 Orlando FL 32826 7,000,000 6,984,425.88
41 Victor NY 14564 6,950,000 6,923,789.47
42 Chico CA 95926 6,900,000 6,870,921.56
43 Tampa FL 33615 6,800,000 6,791,464.26
------------------------------------------------------------------------------------------------------------------------------------
44 Grapevine TX 76051 6,700,000 6,687,702.48
45 New York NY 10021 6,700,000 6,687,337.53
46 Sterling VA 20166 6,640,000 6,635,011.53
47 6,575,000 6,565,879.66
47a Flower Mound TX 75028
47b Flower Mound TX 75028
48 Los Angeles CA 90004 6,550,000 6,526,158.77
49 Sterling VA 20166 6,440,000 6,422,028.59
------------------------------------------------------------------------------------------------------------------------------------
50 Huntersville NC 28078 6,275,000 6,247,223.99
51 Springfield VA 22151 6,100,000 6,091,270.69
52 Clarkston GA 30021 6,040,000 6,031,516.18
53 East Brunswick NJ 08816 6,000,000 5,985,290.05
54 Sylmar CA 91342 5,961,560 5,959,702.29
------------------------------------------------------------------------------------------------------------------------------------
55 Philadelphia PA 19131 5,900,000 5,891,994.93
56 Kennewick WA 99336 5,800,000 5,792,341.72
57 Mesa AZ 85206 5,500,000 5,485,537.04
58 Willimantic CT 06226 5,333,410 5,328,910.93
59 Decatur GA 30035 5,319,000 5,309,464.01
------------------------------------------------------------------------------------------------------------------------------------
60 Hoboken NJ 07030 5,300,000 5,288,314.50
61 Westminster CO 80233 5,100,000 5,069,775.58
62 Wilmette IL 60091 5,017,000 5,013,091.35
63 Pasadena CA 91105 5,025,000 4,998,113.83
64 Edison NJ 08817 Kureti Pool 5,000,000 4,988,413.74
------------------------------------------------------------------------------------------------------------------------------------
65 Southport NC 28461 4,950,000 4,937,971.97
66 Sterling VA 22170 4,900,000 4,891,898.22
67 Atlanta GA 30339 4,870,000 4,861,947.84
68 West Palm Beach FL 33415 4,800,000 4,796,125.16
69 Rock Hill SC 29732 4,800,000 4,786,632.12
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70 Santa Maria CA 93454 4,750,000 4,737,468.76
71 Hummelstown PA 17036 Hersha Pool 1 4,700,000 4,700,000.00
72 San Diego CA 92115 4,650,000 4,633,697.73
73 Houston TX 77091 4,500,000 4,481,727.70
74 Ft. Smith AR 72901 4,500,000 4,479,615.99
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75 Hazlet NJ 07730 Kureti Pool 4,400,000 4,389,804.09
76 Springfield Township PA 19064 4,323,953 4,297,077.13
77 Orlando FL 32808 3,825,000 3,822,266.03
78 Detroit MI 48231 3,801,962 3,795,637.20
79 Wilmington NC 28412 3,800,000 3,782,903.27
------------------------------------------------------------------------------------------------------------------------------------
80 Fort Lauderdale FL 33309 3,700,000 3,693,882.31
81 Reading PA 19605 3,600,000 3,600,000.00
82 Austin TX 78753 3,600,000 3,581,786.83
83 Yuma AZ 85365 3,485,000 3,479,747.18
84 Madison Heights MI 48071 3,441,998 3,412,391.89
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85 New Cumberland PA 17070 Hersha Pool 1 3,400,000 3,400,000.00
86 Dallas TX 75220 3,300,000 3,292,065.03
87 Tamarac FL 33319 3,300,000 3,285,104.55
88 Duluth GA 30136 Hersha Pool 2 3,280,000 3,272,314.17
89 Memphis TN 38118 3,275,000 3,266,248.06
------------------------------------------------------------------------------------------------------------------------------------
90 Houston TX 77067 3,300,000 3,264,397.29
91 Santa Maria CA 93454 3,250,000 3,241,425.99
92 Sikeston MO 63801 3,250,000 3,234,635.70
93 Memphis TN 38118 3,200,000 3,179,794.14
94 Albequerque NM 87106 3,185,000 3,177,075.31
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95 Gonzales TX 78629 3,150,000 3,134,007.25
96 Staten Island NY 10309 3,000,000 2,993,340.12
97 Scottsdale AZ 85257 3,000,000 2,978,383.98
98 Elizabeth NJ 07201 2,900,000 2,892,591.98
99 Indianapolis IN 46224 2,871,125 2,861,515.68
------------------------------------------------------------------------------------------------------------------------------------
100 Norman OK 73071 2,850,000 2,845,123.05
101 2,850,000 2,837,851.32
101a Tampa FL 33610
101b Tampa FL 33610
102 Middletown OH 45044 2,827,000 2,821,690.42
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103 Duluth GA 30136 Hersha Pool 2 2,720,000 2,713,626.40
104 Danville PA 17821 Hersha Pool 1 2,500,000 2,500,000.00
105 Pasadena TX 77506 2,500,000 2,483,706.31
106 Vestavia Hills AL 35242 2,475,000 2,468,603.94
107 Reading PA 19610 Kureti Pool 2,450,000 2,444,322.72
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108 Pittsburgh PA 15205 2,425,000 2,423,155.78
109 Michigan City IN 46360 2,400,000 2,394,170.17
110 Charlotte NC 28205 2,400,000 2,388,461.24
111 National City CA 91950 2,400,000 2,387,269.37
112 Sun City AZ 85345 2,380,000 2,373,309.16
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113 Sylmar CA 91342 2,350,000 2,346,060.39
114 Irving TX 75060 2,325,000 2,305,776.08
115 Oklahoma City OK 73112 2,310,000 2,305,549.44
116 Oklahoma City OK 73127 2,300,000 2,295,568.69
117 Pompano FL 33064 2,280,000 2,278,028.40
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118 2,160,000 2,155,816.65
118a Fall River MA 02724
118b Fall River MA 02721
118c Fall River MA 02721
118d Fall River MA 02724
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118e Fall River MA 02724
118f Fall River MA 02724
118g Fall River MA 02723
118h Fall River MA 02723
118i Fall Lake MA 02724
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119 Arlington TX 76011 2,125,000 2,111,637.21
120 Tucker GA 30033 2,050,582 2,045,510.63
121 Cedar Hill TX 75104 2,000,000 1,996,530.86
122 Logansport IN 46947 2,000,000 1,991,914.56
123 Barnegat NJ 08005 2,000,000 1,982,430.66
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124 Mooresville NC 28115 1,925,000 1,916,479.08
125 Miami FL 33179 1,900,000 1,898,618.95
126 Jackson Heights NY 11369 1,898,000 1,896,663.36
127 Tulsa OK 74146 1,900,000 1,896,209.79
128 Phoenix AZ 85014 1,900,000 1,895,286.48
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129 Avon CT 06103 1,900,000 1,892,657.02
130 New Columbia PA 17856 Hersha Pool 1 1,800,000 1,800,000.00
131 Mocksville NC 27028 1,800,000 1,792,032.36
132 Ocala FL 34471 1,800,000 1,786,370.01
133 Houston TX 77028 1,750,000 1,746,724.55
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134 Greenville NC 28590 1,750,000 1,743,074.92
135 Phoenix AZ 85053 1,700,000 1,695,869.15
136 Middleburg Heights OH 44130 1,685,000 1,683,790.53
137 North Richland Hills TX 76180 1,600,000 1,595,256.29
138 New Haven CT 06510 1,575,000 1,572,712.19
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139 Islandia NY 11722 1,575,000 1,571,161.29
140 Columbus GA 31909 1,555,098 1,546,459.75
141 Bradenton FL 34207 1,544,000 1,540,369.98
142 Interlachen FL 32148 Putnam Centers 1,540,000 1,535,963.47
143 Middleborough MA 02346 1,525,000 1,523,858.99
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144 Oklahoma City OK 73127 1,520,000 1,517,071.49
145 1,500,000 1,497,237.25
145a Albany NY 12206
145b Albany NY 12206
145c Albany NY 12206
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146 Winter Park FL 32792 1,400,000 1,386,415.04
147 Bronx NY 10472 1,356,489 1,351,232.06
148 Homestead FL 33030 1,300,000 1,295,817.16
149 Detriot MI 48205 1,291,385 1,279,744.70
150 Phoenix AZ 85014 1,225,000 1,219,488.56
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151 Grand Rapids MI 49502 1,200,000 1,195,022.00
152 Hawthorne CA 90250 1,175,000 1,169,078.72
153 Philadelphia PA 19106 1,120,000 1,118,083.46
154 Bergenfield NJ 07621 1,050,000 1,047,356.60
155 Cheektowaga NY 14227 1,050,000 1,039,749.28
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156 Palatka FL 32177 Putnam Centers 1,040,000 1,037,274.00
157 Phoenix AZ 85009 1,000,000 997,599.01
158 Glendale AZ 85306 943,000 941,868.60
159 Edmond OK 73013 920,000 918,227.49
160 Americus GA 31709 899,216 896,122.70
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161 New Britain CT 06053 820,000 818,487.40
162 800,000 795,500.70
162a Pownal VT 05261
162b Chatham NY 12037
163 Wichita Falls TX 76305 770,000 769,486.37
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164 Philadelphia PA 19107 700,000 698,802.16
165 Paterson NJ 07503 512,000 511,221.23
166 Baytown TX 77520 500,000 499,374.45
167 Galena Park TX 77547 500,000 497,470.42
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
% OF AGGREGATE INTEREST
CONTROL CUT-OFF DATE CUMULATIVE % OF MORTGAGE ADMINISTRATIVE COST ACCRUAL
NO. BALANCE INITIAL POOL BALANCE RATE (%) RATE (%) METHOD AMORTIZATION TYPE
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
1 8.60 8.60 8.18 0.0833 Act/360 ARD
2 4.10 12.70 8.37 0.0833 Act/360 Balloon
3 3.60 16.30 7.65 0.0833 Act/360 Interest-Only, ARD
4 2.70 19.00 8.70 0.0833 Act/360 ARD
5 2.69 21.70 8.35 0.0833 Act/360 ARD
------------------------------------------------------------------------------------------------------------------------------------
6 2.25 23.94 8.52 0.0833 Act/360 ARD
7 2.20 26.14 8.35 0.0833 Act/360 Interest-Only, Balloon
8 1.82 27.96 8.50 0.0833 Act/360 ARD
9 1.62 29.58 8.52 0.0833 Act/360 Balloon
10 1.56 31.14 8.24 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
11 1.53 32.67 7.74 0.0833 Act/360 Balloon
12 1.43 34.10 8.55 0.0833 Act/360 Balloon
13 1.38 35.47 8.48 0.0833 Act/360 Balloon
14 1.32 36.79 8.54 0.0833 Act/360 Balloon
15 1.30 38.09 8.56 0.1033 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
16 1.26 39.35 8.72 0.0833 Act/360 Balloon
17 1.20 40.55 8.42 0.0833 Act/360 ARD
17a
17b
18 1.20 41.75 8.70 0.0833 Act/360 ARD
------------------------------------------------------------------------------------------------------------------------------------
19 1.13 42.88 8.28 0.0833 Act/360 Balloon
20 1.07 43.95 8.09 0.0833 Act/360 Balloon
21 1.07 45.02 8.38 0.0833 Act/360 Balloon
22 1.03 46.05 8.74 0.0833 Act/360 Balloon
23 0.97 47.02 8.74 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
24 0.97 47.99 8.55 0.1033 Act/360 Balloon
25 0.95 48.95 7.84 0.0833 Act/360 Balloon
26 0.93 49.88 8.63 0.0833 Act/360 Balloon
27 0.91 50.79 8.73 0.1033 Act/360 Balloon
28 0.85 51.64 8.34 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
29 0.85 52.48 8.17 0.0833 Act/360 Balloon
30 0.84 53.33 8.64 0.0833 Act/360 Balloon
31 0.83 54.15 8.69 0.0833 Act/360 Balloon
32 0.78 54.93 8.20 0.0833 Act/360 Balloon
33 0.76 55.69 8.30 0.1033 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
34 0.75 56.44 8.58 0.0833 Act/360 Balloon
35 0.75 57.19 8.21 0.0833 Act/360 Balloon
36 0.72 57.91 8.18 0.0833 Act/360 Balloon
37 0.72 58.63 8.77 0.0833 Act/360 ARD
38 0.71 59.34 8.44 0.0833 Act/360 ARD
------------------------------------------------------------------------------------------------------------------------------------
39 0.71 60.05 8.48 0.0833 Act/360 Balloon
40 0.70 60.75 8.69 0.0833 Act/360 Balloon
41 0.69 61.44 9.00 0.0833 Act/360 Balloon
42 0.69 62.13 8.32 0.0833 Act/360 Balloon
43 0.68 62.81 8.74 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
44 0.67 63.48 8.33 0.0833 Act/360 ARD
45 0.67 64.15 8.24 0.0833 Act/360 ARD
46 0.66 64.81 8.47 0.0833 Act/360 Balloon
47 0.66 65.47 8.43 0.1033 Act/360 Balloon
47a
47b
48 0.65 66.12 8.48 0.0833 Act/360 Balloon
49 0.64 66.76 9.09 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
50 0.63 67.39 8.48 0.0833 Act/360 Balloon
51 0.61 68.00 8.33 0.0833 Act/360 Balloon
52 0.60 68.60 8.39 0.0833 Act/360 Balloon
53 0.60 69.20 8.37 0.0833 Act/360 ARD
54 0.60 69.80 9.08 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
55 0.59 70.39 8.50 0.0833 Act/360 Balloon
56 0.58 70.97 8.59 0.0833 Act/360 ARD
57 0.55 71.52 8.63 0.1033 Act/360 Balloon
58 0.53 72.05 8.36 0.0833 Act/360 Balloon
59 0.53 72.58 7.56 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
60 0.53 73.11 8.98 0.0833 Act/360 ARD
61 0.51 73.62 8.20 0.1033 Act/360 Balloon
62 0.50 74.12 8.38 0.0833 Act/360 ARD
63 0.50 74.62 8.56 0.1033 Act/360 Balloon
64 0.50 75.12 8.76 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
65 0.49 75.61 8.40 0.0833 Act/360 Balloon
66 0.49 76.10 8.64 0.0833 Act/360 Balloon
67 0.49 76.59 8.64 0.0833 Act/360 Balloon
68 0.48 77.07 8.29 0.0833 Act/360 ARD
69 0.48 77.55 8.45 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
70 0.47 78.02 8.62 0.0833 Act/360 Balloon
71 0.47 78.50 8.94 0.0833 Act/360 Interest-Only, Balloon
72 0.46 78.96 8.62 0.0833 Act/360 Balloon
73 0.45 79.41 8.06 0.0833 Act/360 Balloon
74 0.45 79.86 8.91 0.0833 Act/360 ARD
------------------------------------------------------------------------------------------------------------------------------------
75 0.44 80.30 8.76 0.0833 Act/360 Balloon
76 0.43 80.73 8.30 0.1333 30/360 Step
77 0.38 81.11 8.59 0.0833 Act/360 Balloon
78 0.38 81.49 8.30 0.1333 30/360 Fully Amortizing
79 0.38 81.87 8.94 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
80 0.37 82.24 8.64 0.0833 Act/360 Balloon
81 0.36 82.60 8.19 0.1083 Act/360 Interest-Only, Balloon
82 0.36 82.96 8.75 0.0833 Act/360 Balloon
83 0.35 83.30 8.16 0.1083 Act/360 Balloon
84 0.34 83.65 8.35 0.1333 30/360 Fully Amortizing
------------------------------------------------------------------------------------------------------------------------------------
85 0.34 83.99 8.94 0.0833 Act/360 Interest-Only, Balloon
86 0.33 84.31 8.90 0.0833 Act/360 ARD
87 0.33 84.64 8.89 0.0833 Act/360 Balloon
88 0.33 84.97 8.71 0.0833 Act/360 Balloon
89 0.33 85.30 8.58 0.0833 Act/360 ARD
------------------------------------------------------------------------------------------------------------------------------------
90 0.33 85.62 7.39 0.0833 Act/360 Balloon
91 0.32 85.95 8.62 0.0833 Act/360 Balloon
92 0.32 86.27 8.25 0.0833 Act/360 Balloon
93 0.32 86.59 8.38 0.0833 Act/360 Balloon
94 0.32 86.91 8.32 0.1033 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
95 0.31 87.22 10.00 0.0833 Act/360 Balloon
96 0.30 87.52 8.95 0.0833 Act/360 Balloon
97 0.30 87.82 7.88 0.1033 Act/360 Balloon
98 0.29 88.11 8.23 0.0833 Act/360 Balloon
99 0.29 88.40 8.28 0.1333 30/360 Fully Amortizing
------------------------------------------------------------------------------------------------------------------------------------
100 0.28 88.68 8.54 0.0833 Act/360 Balloon
101 0.28 88.97 8.43 0.1033 Act/360 Balloon
101a
101b
102 0.28 89.25 8.64 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
103 0.27 89.52 8.71 0.0833 Act/360 Balloon
104 0.25 89.77 8.94 0.0833 Act/360 Interest-Only, Balloon
105 0.25 90.02 7.85 0.0833 Act/360 Balloon
106 0.25 90.27 8.19 0.1133 Act/360 Balloon
107 0.24 90.51 8.76 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
108 0.24 90.75 8.44 0.0833 Act/360 Balloon
109 0.24 90.99 8.87 0.0833 Act/360 Balloon
110 0.24 91.23 8.19 0.1033 Act/360 Balloon
111 0.24 91.47 8.32 0.1033 Act/360 Balloon
112 0.24 91.71 8.42 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
113 0.23 91.94 8.60 0.0833 Act/360 Balloon
114 0.23 92.17 8.19 0.0833 Act/360 Balloon
115 0.23 92.40 8.18 0.0833 Act/360 Balloon
116 0.23 92.63 8.18 0.0833 Act/360 Balloon
117 0.23 92.86 8.11 0.1083 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
118 0.22 93.08 9.50 0.0833 Act/360 Balloon
118a
118b
118c
118d
------------------------------------------------------------------------------------------------------------------------------------
118e
118f
118g
118h
118i
------------------------------------------------------------------------------------------------------------------------------------
119 0.21 93.29 8.39 0.0833 Act/360 Balloon
120 0.20 93.49 8.43 0.1333 30/360 Step
121 0.20 93.69 8.50 0.0833 Act/360 Balloon
122 0.20 93.89 8.74 0.1333 30/360 Step
123 0.20 94.09 8.50 0.1083 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
124 0.19 94.28 8.48 0.0833 Act/360 Balloon
125 0.19 94.47 8.55 0.0833 Act/360 Balloon
126 0.19 94.66 8.63 0.0833 Act/360 Balloon
127 0.19 94.85 8.07 0.0833 Act/360 Balloon
128 0.19 95.04 8.33 0.1033 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
129 0.19 95.23 8.63 0.0833 Act/360 Balloon
130 0.18 95.41 8.94 0.0833 Act/360 Interest-Only, Balloon
131 0.18 95.59 8.48 0.0833 Act/360 Balloon
132 0.18 95.77 8.18 0.0833 Act/360 Balloon
133 0.17 95.95 8.27 0.1033 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
134 0.17 96.12 9.49 0.0833 Act/360 Balloon
135 0.17 96.29 8.40 0.0833 Act/360 Balloon
136 0.17 96.46 8.58 0.0833 Act/360 ARD
137 0.16 96.62 9.22 0.0833 Act/360 ARD
138 0.16 96.78 9.00 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
139 0.16 96.93 8.86 0.1033 Act/360 Balloon
140 0.15 97.09 8.43 0.0833 Act/360 Balloon
141 0.15 97.24 8.51 0.1083 Act/360 Balloon
142 0.15 97.40 8.64 0.0833 Act/360 Balloon
143 0.15 97.55 8.48 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
144 0.15 97.70 8.18 0.0833 Act/360 Balloon
145 0.15 97.85 9.27 0.0833 Act/360 Balloon
145a
145b
145c
------------------------------------------------------------------------------------------------------------------------------------
146 0.14 97.99 8.44 0.0833 Act/360 Balloon
147 0.14 98.12 8.11 0.1333 30/360 Step
148 0.13 98.25 8.48 0.1033 Act/360 Balloon
149 0.13 98.38 8.32 0.1333 30/360 Fully Amortizing
150 0.12 98.50 8.94 0.1033 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
151 0.12 98.62 8.70 0.0833 Act/360 Balloon
152 0.12 98.74 8.02 0.1033 Act/360 Balloon
153 0.11 98.85 8.54 0.0833 Act/360 Balloon
154 0.10 98.96 8.28 0.0833 Act/360 Balloon
155 0.10 99.06 8.41 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
156 0.10 99.16 8.64 0.0833 Act/360 Balloon
157 0.10 99.26 8.60 0.0833 Act/360 Balloon
158 0.09 99.36 8.88 0.0833 Act/360 Balloon
159 0.09 99.45 8.18 0.0833 Act/360 Balloon
160 0.09 99.54 8.69 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
161 0.08 99.62 9.63 0.0833 Act/360 Balloon
162 0.08 99.70 8.63 0.0833 Act/360 Balloon
162a
162b
163 0.08 99.78 8.75 0.0833 Act/360 Balloon
------------------------------------------------------------------------------------------------------------------------------------
164 0.07 99.85 8.54 0.0833 Act/360 Balloon
165 0.05 99.90 8.88 0.0833 Act/360 Balloon
166 0.05 99.95 8.75 0.0833 Act/360 Balloon
167 0.05 100.00 8.75 0.0833 Act/360 Balloon
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ORIGINAL REMAINING
ORIGINAL REMAINING TERM TO TERM TO ORIGINAL REMAINING
CONTROL INTEREST-ONLY INTEREST-ONLY MATURITY MATURITY AMORTIZATION AMORTIZATION ORIGINATION
NO. PERIOD (MOS.) PERIOD (MOS.) (MOS.) (MOS.) TERM (MOS.) TERM (MOS.) DATE
===============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
1 115 111 356 352 5/12/00
2 120 117 360 357 5/25/00
3 120 117 120 117 0 0 5/16/00
4 120 116 360 356 4/13/00
5 117 113 358 354 5/2/00
-------------------------------------------------------------------------------------------------------------------------------
6 120 114 360 354 3/2/00
7 12 8 120 116 360 360 4/13/00
8 120 118 360 358 6/23/00
9 120 114 360 354 2/25/00
10 120 115 360 355 3/31/00
-------------------------------------------------------------------------------------------------------------------------------
11 120 105 360 345 5/11/99
12 120 111 360 351 11/15/99
13 120 112 360 352 12/23/99
14 120 115 360 355 3/7/00
15 120 115 360 355 3/21/00
-------------------------------------------------------------------------------------------------------------------------------
16 120 117 360 357 6/1/00
17 120 118 360 358 6/28/00
17a
17b
18 120 116 360 356 4/13/00
-------------------------------------------------------------------------------------------------------------------------------
19 120 111 360 351 11/2/99
20 120 118 360 358 6/29/00
21 120 112 360 352 12/27/99
22 120 117 360 357 5/25/00
23 120 117 360 357 5/25/00
-------------------------------------------------------------------------------------------------------------------------------
24 60 58 360 358 6/19/00
25 120 109 360 349 9/29/99
26 120 117 360 357 6/1/00
27 120 117 360 357 5/23/00
28 120 116 360 356 4/24/00
-------------------------------------------------------------------------------------------------------------------------------
29 120 108 360 348 8/20/99
30 180 176 360 356 4/4/00
31 120 113 360 353 1/13/00
32 120 108 300 288 8/26/99
33 120 109 360 349 9/16/99
-------------------------------------------------------------------------------------------------------------------------------
34 84 77 360 353 2/1/00
35 120 117 360 357 5/3/00
36 120 116 360 356 3/31/00
37 120 117 360 357 5/19/00
38 120 116 360 356 5/2/00
-------------------------------------------------------------------------------------------------------------------------------
39 84 77 360 353 2/1/00
40 120 115 360 355 3/8/00
41 120 115 300 295 3/15/00
42 120 112 360 352 12/28/99
43 120 117 360 357 5/25/00
-------------------------------------------------------------------------------------------------------------------------------
44 120 116 360 356 4/14/00
45 120 116 360 356 4/20/00
46 180 178 360 358 6/29/00
47 120 117 360 357 5/5/00
47a
47b
48 84 77 360 353 2/1/00
49 180 176 300 296 4/4/00
-------------------------------------------------------------------------------------------------------------------------------
50 120 111 360 351 11/5/99
51 120 117 360 357 5/2/00
52 120 117 360 357 5/31/00
53 120 115 360 355 4/11/00
54 114 113 354 353 7/10/00
-------------------------------------------------------------------------------------------------------------------------------
55 120 117 360 357 5/2/00
56 120 117 360 357 5/17/00
57 120 114 360 354 2/10/00
58 114 112 354 352 6/30/00
59 120 117 360 357 6/8/00
-------------------------------------------------------------------------------------------------------------------------------
60 120 117 300 297 5/17/00
61 120 109 360 349 9/30/99
62 120 118 360 358 6/26/00
63 120 109 360 349 9/9/99
64 120 117 300 297 5/12/00
-------------------------------------------------------------------------------------------------------------------------------
65 120 115 360 355 3/23/00
66 180 176 360 356 4/4/00
67 180 176 360 356 4/4/00
68 120 118 360 358 6/21/00
69 120 114 360 354 2/9/00
-------------------------------------------------------------------------------------------------------------------------------
70 84 78 360 354 3/1/00
71 18 13 120 115 276 276 3/13/00
72 84 77 360 353 2/1/00
73 120 113 360 353 1/31/00
74 120 114 300 294 3/2/00
-------------------------------------------------------------------------------------------------------------------------------
75 120 117 300 297 5/12/00
76 239 235 239 235 4/17/00
77 120 118 360 358 6/9/00
78 238 237 238 237 7/28/00
79 120 114 300 294 2/11/00
-------------------------------------------------------------------------------------------------------------------------------
80 180 176 360 356 4/4/00
81 12 6 120 114 360 360 2/29/00
82 120 109 360 349 9/29/99
83 120 117 360 357 5/9/00
84 235 230 235 230 3/30/00
-------------------------------------------------------------------------------------------------------------------------------
85 18 13 120 115 276 276 3/13/00
86 120 114 360 354 2/18/00
87 120 110 360 350 10/26/99
88 120 117 300 297 5/19/00
89 120 114 360 354 2/17/00
-------------------------------------------------------------------------------------------------------------------------------
90 84 68 360 344 4/26/99
91 84 78 360 354 3/1/00
92 120 111 360 351 11/8/99
93 120 108 360 348 9/2/99
94 120 115 360 355 3/31/00
------------------------------------------------------------------------------------------------------------------------------------
95 120 112 300 292 12/23/99
96 120 117 300 297 5/15/00
97 60 48 360 348 8/31/99
98 120 115 360 355 3/24/00
99 238 236 238 236 6/21/00
-------------------------------------------------------------------------------------------------------------------------------
100 120 116 360 356 4/14/00
101 120 115 300 295 3/23/00
101a
101b
102 144 141 324 321 5/17/00
-------------------------------------------------------------------------------------------------------------------------------
103 120 117 300 297 5/19/00
104 18 13 120 115 276 276 3/13/00
105 120 109 360 349 10/1/99
106 120 115 360 355 3/23/00
107 120 117 300 297 5/12/00
-------------------------------------------------------------------------------------------------------------------------------
108 120 118 360 358 6/16/00
109 120 114 360 354 2/18/00
110 120 111 360 351 11/24/99
111 120 110 360 350 10/5/99
112 120 114 360 354 2/10/00
-------------------------------------------------------------------------------------------------------------------------------
113 120 116 360 356 4/28/00
114 120 111 300 291 11/9/99
115 120 116 360 356 3/31/00
116 120 116 360 356 3/31/00
117 120 118 360 358 6/16/00
-------------------------------------------------------------------------------------------------------------------------------
118 120 114 360 354 3/6/00
118a
118b
118c
118d
-------------------------------------------------------------------------------------------------------------------------------
118e
118f
118g
118h
118i
-------------------------------------------------------------------------------------------------------------------------------
119 120 108 360 348 8/24/99
120 235 233 235 233 6/30/00
121 120 116 360 356 5/8/00
122 224 221 224 221 5/10/00
123 120 114 240 234 2/28/00
-------------------------------------------------------------------------------------------------------------------------------
124 120 111 360 351 11/5/99
125 121 118 360 357 6/1/00
126 120 118 360 358 6/27/00
127 120 116 360 356 4/11/00
128 120 115 360 355 3/21/00
-------------------------------------------------------------------------------------------------------------------------------
129 60 52 360 352 12/6/99
130 18 13 120 115 276 276 3/13/00
131 120 111 360 351 11/5/99
132 60 46 360 346 6/30/99
133 120 116 360 356 4/11/00
------------------------------------------------------------------------------------------------------------------------------------
134 120 114 300 294 2/2/00
135 120 115 360 355 3/23/00
136 120 118 360 358 6/12/00
137 120 113 360 353 1/31/00
138 120 116 360 356 4/19/00
-------------------------------------------------------------------------------------------------------------------------------
139 120 114 360 354 2/17/00
140 120 109 360 349 9/9/99
141 120 115 360 355 3/3/00
142 120 114 360 354 2/16/00
143 120 118 360 358 6/16/00
-------------------------------------------------------------------------------------------------------------------------------
144 120 116 360 356 3/31/00
145 180 175 360 355 3/22/00
145a
145b
145c
-------------------------------------------------------------------------------------------------------------------------------
146 96 85 300 289 9/28/99
147 228 224 228 224 5/1/00
148 120 116 300 296 4/7/00
149 230 225 230 225 3/24/00
150 120 114 300 294 2/14/00
-------------------------------------------------------------------------------------------------------------------------------
151 120 111 360 351 11/23/99
152 84 75 360 351 11/10/99
153 120 116 360 356 4/13/00
154 120 115 360 355 3/24/00
155 120 109 300 289 9/20/99
-------------------------------------------------------------------------------------------------------------------------------
156 120 114 360 354 2/16/00
157 120 117 300 297 5/16/00
158 120 117 360 357 5/30/00
159 120 116 360 356 3/31/00
160 120 113 360 353 1/12/00
-------------------------------------------------------------------------------------------------------------------------------
161 120 114 360 354 2/17/00
162 120 116 240 236 4/25/00
162a
162b
163 120 118 360 358 6/13/00
-------------------------------------------------------------------------------------------------------------------------------
164 120 116 360 356 4/13/00
165 120 116 360 356 4/26/00
166 120 117 360 357 6/7/00
167 120 109 360 349 10/1/99
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
MATURITY OR
ANTICIPATED
CONTROL REPAYMENT BALLOON ANNUAL DEBT
NO. DATE BALANCE ($) PROPERTY TYPE PREPAYMENT PROVISIONS SERVICE ($)
================================================================================================================================
<S> <C> <C> <C> <C> <C>
1 12/11/09 77,565,874 Retail - Regional Mall L(31),YM(81),O(3) 7,731,416
2 6/1/10 36,981,336 Retail - Regional Mall L(48),D(72) 3,737,819
3 6/11/10 36,000,000 Retail - Regional Mall L(28),>YM or 1%(89),O(3) 2,792,250
4 5/11/10 24,540,807 Office - with Retail L(37),D(82),O(1) 2,537,348
5 2/11/10 24,367,057 Multifamily L(37),>YM or 1%(77),O(3) 2,458,050
--------------------------------------------------------------------------------------------------------------------------------
6 3/11/10 20,369,995 Office L(49),D(68),O(3) 2,079,895
7 5/1/10 20,147,614 Retail - Anchored L(29),D(89),O(2) 2,001,934
8 7/11/10 16,467,479 Office - with Retail L(49),D(68),O(3) 1,679,307
9 3/1/10 14,665,920 Retail - Anchored L(48),D(72) 1,497,524
10 4/1/10 14,029,431 Retail - Unanchored L(48),D(71),O(1) 1,405,055
--------------------------------------------------------------------------------------------------------------------------------
11 6/1/09 13,690,751 Retail - Anchored L(48),D(71),O(1) 1,322,653
12 12/11/09 13,024,087 Retail - Anchored L(37),D(80),O(3) 1,332,493
13 1/1/10 12,480,691 Retail - Anchored L(48),D(69),O(3) 1,270,974
14 4/1/10 11,975,478 Office L(48),D(70),O(2) 1,224,767
15 4/1/10 11,777,037 Retail - Anchored L(30),D(89),O(1) 1,206,145
--------------------------------------------------------------------------------------------------------------------------------
16 6/1/10 11,454,877 Office L(28),>YM or 1%(91),O(1) 1,186,253
17 7/11/10 10,837,939 L(37),D(80),O(3) 1,099,081
17a Office
17b Office
18 5/11/10 10,907,024 Office L(37),D(82),O(1) 1,127,710
--------------------------------------------------------------------------------------------------------------------------------
19 12/1/09 10,175,025 Multifamily L(36),D(84) 1,021,579
20 7/1/10 9,590,002 Multifamily L(48),>YM or 1%(71),O(1) 950,222
21 1/1/10 9,673,076 Multifamily L(48),D(71),O(1) 978,211
22 6/1/10 9,390,780 Retail - Anchored L(28),D(90),O(2) 973,837
23 6/1/10 8,867,808 Retail - Anchored L(28),D(90),O(2) 919,604
--------------------------------------------------------------------------------------------------------------------------------
24 7/1/05 9,340,345 Industrial L(48),D(10),O(2) 899,143
25 10/1/09 8,554,765 Multifamily L(48),D(70),O(2) 832,483
26 6/1/10 8,437,912 Multifamily L(48),D(71),O(1) 868,410
27 6/1/10 8,274,794 Office L(48),D(70),O(2) 857,517
28 5/1/10 7,663,157 Industrial L(48),D(72) 772,755
--------------------------------------------------------------------------------------------------------------------------------
29 9/1/09 7,633,299 Multifamily L(48),D(72) 760,563
30 5/1/15 6,937,346 Office L(29),D(148),O(3) 789,761
31 2/1/10 7,540,245 Multifamily L(48),D(72) 779,289
32 9/1/09 6,508,297 Multifamily - Senior Living L(38),D(82) 739,575
33 10/1/09 6,891,889 Retail - Anchored L(48),D(70),O(2) 692,892
--------------------------------------------------------------------------------------------------------------------------------
34 2/1/07 7,074,560 Multifamily L(48),D(36) 697,131
35 6/1/10 6,721,933 Industrial L(28),D(91),O(1) 671,814
36 5/1/10 6,511,966 Multifamily L(29),D(88),O(3) 649,326
37 6/11/10 6,552,861 Retail L(28),D(89),O(3) 680,944
38 5/11/10 6,415,680 Office L(29),D(88),O(3) 651,495
--------------------------------------------------------------------------------------------------------------------------------
39 2/1/07 6,687,731 Multifamily L(48),D(35),O(1) 653,907
40 4/1/10 6,359,917 Office L(30),>YM or 1%(89),O(1) 657,232
41 4/1/10 5,888,969 Hotel - Limited Service L(48),D(71),O(1) 699,890
42 1/1/10 6,217,563 Multifamily L(48),D(71),O(1) 626,128
43 6/1/10 6,184,727 Retail - Anchored L(28),D(90),O(2) 641,365
--------------------------------------------------------------------------------------------------------------------------------
44 5/11/10 6,038,979 Office L(49),D(68),O(3) 608,546
45 5/11/10 6,026,395 Multifamily - with Office L(37),D(80),O(3) 603,453
46 7/1/15 5,413,170 Office L(27),D(150),O(3) 610,977
47 6/1/10 5,938,680 L(28),D(91),O(1) 602,763
47a Mixed-Use
47b Mixed-Use
48 2/1/07 6,169,667 Multifamily L(48),D(35),O(1) 603,252
49 5/1/15 4,531,364 Hotel - Extended-Stay L(29),D(148),O(3) 653,300
--------------------------------------------------------------------------------------------------------------------------------
50 12/1/09 5,676,294 Multifamily L(48),D(72) 577,925
51 6/1/10 5,497,049 Industrial L(48),D(72) 554,049
52 6/1/10 5,450,478 Multifamily L(48),D(71),O(1) 551,668
53 4/11/10 5,412,155 Industrial L(37),D(80),O(3) 546,998
54 2/1/10 5,472,619 Retail - Anchored L(42),D(71),O(1) 581,650
--------------------------------------------------------------------------------------------------------------------------------
55 6/1/10 5,337,477 Retail - Unanchored L(48),D(69),O(3) 544,391
56 6/11/10 5,257,062 Retail - Anchored L(37),>YM or 1%(80),O(3) 539,362
57 3/1/10 4,991,509 Retail - Anchored L(48),D(71),O(1) 513,576
58 1/1/10 4,823,080 Retail - Anchored L(42),D(69),O(3) 487,632
59 6/11/10 4,705,571 Multifamily L(28),D(86),O(6) 448,920
--------------------------------------------------------------------------------------------------------------------------------
60 6/11/10 4,488,205 Mixed-Use L(49),D(68),O(3) 532,858
61 10/1/09 4,583,908 Retail - Anchored L(48),D(71),O(1) 457,626
62 7/11/10 4,527,015 Office L(49),D(68),O(3) 457,806
63 10/1/09 4,554,002 Office L(48),D(71),O(1) 466,221
64 6/1/10 4,209,195 Hotel - Limited Service L(28),D(92) 493,694
--------------------------------------------------------------------------------------------------------------------------------
65 4/6/10 4,468,097 Retail - Anchored L(37),D(80),O(3) 452,532
66 5/1/15 4,022,840 Office L(29),D(148),O(3) 457,968
67 5/1/15 3,998,211 Office L(29),D(148),O(3) 455,164
68 7/11/10 4,322,235 Retail - Anchored L(49),D(68),O(3) 434,350
69 3/1/10 4,338,556 Multifamily L(48),D(72) 440,855
--------------------------------------------------------------------------------------------------------------------------------
70 3/1/07 4,483,469 Multifamily L(48),D(35),O(1) 443,137
71 4/1/10 3,984,954 Hotel - Limited Service L(48),D(72) 482,366
72 2/1/07 4,388,702 Multifamily L(48),D(35),O(1) 433,808
73 2/1/10 4,029,597 Multifamily L(36),>YM or 1%(82),O(2) 398,494
74 3/11/10 3,804,855 Multifamily - Independent Living L(61),D(56),O(3) 449,843
--------------------------------------------------------------------------------------------------------------------------------
75 6/1/10 3,704,092 Hotel - Limited Service L(28),D(92) 434,451
76 4/1/20 0 CTL L(48),D(191) 438,684
77 7/1/10 3,467,915 Multifamily L(27),D(92),O(1) 355,863
78 6/1/20 0 CTL L(48),D(190) 391,460
79 3/1/10 3,215,576 Self-Storage L(48),D(72) 380,802
--------------------------------------------------------------------------------------------------------------------------------
80 5/1/15 3,037,652 Industrial L(29),D(148),O(3) 345,813
81 3/1/10 3,286,345 Mobile Home Park L(48),D(69),O(3) 322,727
82 10/6/09 3,276,435 Retail - Unanchored L(36),D(81),O(3) 339,855
83 6/1/10 3,128,153 Mobile Home Park L(48),D(71),O(1) 311,538
84 11/1/19 0 CTL L(48),D(187) 357,480
--------------------------------------------------------------------------------------------------------------------------------
85 4/1/10 2,882,733 Hotel - Full Service L(48),D(72) 348,945
86 3/11/10 3,012,800 Multifamily L(37),D(80),O(3) 315,785
87 11/1/09 3,011,941 Retail - Unanchored L(48),D(72) 315,501
88 6/1/10 2,757,485 Hotel - Limited Service L(48),D(72) 322,527
89 3/6/10 2,968,886 Multifamily L(49),D(68),O(3) 304,414
--------------------------------------------------------------------------------------------------------------------------------
90 5/1/06 3,057,928 Multifamily L(48),D(35),O(1) 273,912
91 3/1/07 3,067,636 Multifamily L(48),D(35),O(1) 303,199
92 12/6/09 2,924,407 Retail - Anchored L(37),D(77),O(6) 292,994
93 9/6/09 2,887,407 Multifamily L(37),D(80),O(3) 291,868
94 4/1/10 2,869,651 Office L(48),D(69),O(3) 289,017
------------------------------------------------------------------------------------------------------------------------------------
95 1/11/10 2,738,591 Health Care - Skilled L(37),D(80),O(3) 343,489
96 6/1/10 2,538,461 Self-Storage L(48),D(72) 300,879
97 9/1/04 2,870,029 Multifamily L(48),D(9),O(3) 261,150
98 4/1/10 2,607,429 Multifamily L(48),D(72) 260,952
99 5/1/20 0 CTL L(48),D(190) 295,187
--------------------------------------------------------------------------------------------------------------------------------
100 5/1/10 2,581,157 Retail - Anchored L(48),D(71),O(1) 263,939
101 4/1/10 2,377,724 L(48),D(71),O(1) 273,776
101a Industrial
101b Industrial
102 6/1/12 2,342,397 Retail - Anchored L(48),D(95),O(1) 270,742
--------------------------------------------------------------------------------------------------------------------------------
103 6/1/10 2,286,696 Hotel - Limited Service L(48),D(72) 267,461
104 4/1/10 2,119,656 Hotel - Limited Service L(48),D(72) 256,578
105 10/1/09 2,228,345 Multifamily L(36),D(83),O(1) 217,000
106 4/1/10 2,223,232 Office L(48),D(71),O(1) 221,875
107 6/1/10 2,062,505 Hotel - Limited Service L(28),D(92) 241,910
--------------------------------------------------------------------------------------------------------------------------------
108 7/11/10 2,191,167 Multifamily L(37),D(80),O(3) 222,518
109 3/1/10 2,189,694 Retail - Anchored L(31),D(89) 229,043
110 12/1/09 2,156,538 Retail - Unanchored L(48),D(69),O(3) 215,151
111 11/1/09 2,162,724 Retail - Unanchored L(48),D(70),O(2) 217,784
112 3/1/10 2,149,728 Multifamily L(48),D(71),O(1) 217,984
--------------------------------------------------------------------------------------------------------------------------------
113 5/1/10 2,131,197 Industrial L(48),D(72) 218,835
114 12/1/09 1,927,317 Multifamily L(48),D(69),O(3) 218,860
115 5/1/10 2,074,848 Multifamily L(29),D(88),O(3) 206,889
116 5/1/10 2,065,865 Multifamily L(29),D(88),O(3) 205,993
117 7/1/10 2,044,442 Mobile Home Park L(48),D(71),O(1) 202,860
--------------------------------------------------------------------------------------------------------------------------------
118 3/11/10 1,997,150 L(48),>YM or 1%(69),O(3) 217,949
118a Multifamily
118b Multifamily
118c Multifamily
118d Multifamily
--------------------------------------------------------------------------------------------------------------------------------
118e Multifamily
118f Multifamily
118g Multifamily
118h Multifamily
118i Multifamily
--------------------------------------------------------------------------------------------------------------------------------
119 9/1/09 1,918,078 Retail - Unanchored L(48),D(72) 194,088
120 2/1/20 0 CTL L(48),D(187) 203,186
121 5/11/10 1,809,701 Multifamily L(37),D(80),O(3) 184,539
122 2/1/19 0 CTL L(48),D(176) 206,907
123 3/1/10 1,435,109 Mobile Home Park L(48),D(69),O(3) 208,278
--------------------------------------------------------------------------------------------------------------------------------
124 12/1/09 1,741,333 Multifamily L(48),D(72) 177,292
125 7/1/10 1,718,371 Multifamily L(48),D(73) 176,121
126 7/11/10 1,722,161 Retail - Unanchored L(37),D(80),O(3) 177,149
127 5/1/10 1,702,167 Industrial L(48),D(71),O(1) 168,412
128 4/1/10 1,712,275 Multifamily L(48),D(71),O(1) 172,573
--------------------------------------------------------------------------------------------------------------------------------
129 1/1/05 1,831,210 Office L(48),D(11),O(1) 177,417
130 4/1/10 1,526,152 Hotel - Limited Service L(48),D(72) 184,736
131 12/1/09 1,628,259 Multifamily L(48),D(72) 165,779
132 7/1/04 1,727,556 Multifamily L(48),D(12) 161,212
133 5/1/10 1,575,157 Industrial L(48),D(71),O(1) 158,061
------------------------------------------------------------------------------------------------------------------------------------
134 3/1/10 1,502,382 Hotel - Limited Service L(48),D(72) 183,330
135 4/1/10 1,534,498 Retail - Unanchored L(48),D(72) 155,415
136 7/6/10 1,527,352 Office L(49),D(68),O(3) 156,622
137 2/11/10 1,470,218 Retail - Unanchored L(37),D(80),O(3) 157,536
138 5/11/10 1,440,965 Office L(37),D(80),O(3) 152,074
--------------------------------------------------------------------------------------------------------------------------------
139 3/1/10 1,436,675 Office L(48),D(71),O(1) 150,174
140 10/1/09 1,405,184 Office L(48),D(71),O(1) 142,564
141 4/1/10 1,397,174 Mobile Home Park L(48),D(71),O(1) 142,596
142 3/11/10 1,397,935 Retail - Anchored L(37),D(80),O(3) 143,933
143 7/1/10 1,379,205 Industrial L(48),D(72) 140,452
--------------------------------------------------------------------------------------------------------------------------------
144 5/1/10 1,365,267 Multifamily L(29),D(88),O(3) 136,134
145 4/11/15 1,262,118 L(37),D(140),O(3) 148,343
145a Mixed-Use
145b Mixed-Use
145c Mixed-Use
--------------------------------------------------------------------------------------------------------------------------------
146 10/1/07 1,231,878 Office L(36),D(59),O(1) 134,600
147 5/1/19 0 CTL L(48),D(180) 125,623
148 5/1/10 1,086,286 Self-Storage L(29),D(90),O(1) 125,405
149 6/1/19 0 CTL L(48),D(182) 134,995
150 3/1/10 1,036,600 Retail - Unanchored L(48),D(71),O(1) 122,758
--------------------------------------------------------------------------------------------------------------------------------
151 12/1/09 1,090,885 Retail - Unanchored L(48),D(72) 112,771
152 12/1/06 1,099,542 Multifamily L(48),D(35),O(1) 103,657
153 5/11/10 1,014,350 Office L(48),>YM or 1%(69),O(3) 103,723
154 4/1/10 945,164 Multifamily L(48),D(72) 94,926
155 10/1/09 875,855 Industrial L(48),D(72) 100,696
--------------------------------------------------------------------------------------------------------------------------------
156 3/11/10 944,059 Retail - Anchored L(37),D(80),O(3) 97,201
157 6/1/10 838,173 Mobile Home Park L(48),D(70),O(2) 97,437
158 6/11/10 860,216 Retail - Unanchored L(37),D(80),O(3) 90,035
159 5/1/10 826,346 Multifamily L(29),D(88),O(3) 82,397
160 2/1/10 816,904 Multifamily L(48),D(71),O(1) 84,428
--------------------------------------------------------------------------------------------------------------------------------
161 3/11/10 760,109 Multifamily L(37),D(80),O(3) 83,639
162 5/11/10 576,418 L(37),D(80),O(3) 84,072
162a Mobile Home Park
162b Mobile Home Park
163 7/11/10 700,607 Multifamily L(37),D(80),O(3) 72,691
--------------------------------------------------------------------------------------------------------------------------------
164 5/11/10 633,969 Office L(48),>YM or 1%(69),O(3) 64,827
165 5/11/10 467,162 Multifamily L(37),D(80),O(3) 48,884
166 6/11/10 454,860 Multifamily L(37),D(80),O(3) 47,202
167 10/11/09 455,061 Multifamily L(48),>YM or 1%(69),O(3) 47,202
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
UW NET SCHEDULED
CONTROL OPERATING UW NET CASH DSCR @ NET APPRAISED CUT-OFF DATE MATURITY/ ARD
NO. INCOME ($) FLOW ($) CASH FLOW (X) VALUE ($) APPRAISAL DATE LTV (%) LTV (%)
===============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
1 13,150,999 12,719,735 1.65 177,400,000 6/30/99 48.4 43.7
2 5,264,647 4,897,981 1.31 57,300,000 4/19/00 71.5 64.5
3 10,270,077 9,675,975 3.47 141,900,000 4/30/00 25.4 25.4
4 3,686,493 3,133,542 1.23 37,400,000 2/4/00 72.1 65.6
5 3,073,421 3,042,671 1.24 34,300,000 12/22/99 78.5 71.0
-------------------------------------------------------------------------------------------------------------------------------
6 3,739,964 3,194,869 1.54 45,100,000 9/20/99 49.8 45.2
7 2,418,037 2,394,980 1.20 28,000,000 1/7/00 78.6 72.0
8 2,385,114 2,231,730 1.33 28,700,000 3/20/00 63.4 57.4
9 1,883,434 1,806,973 1.21 20,500,000 11/19/99 78.8 71.5
10 1,859,964 1,778,006 1.27 21,200,000 2/16/00 73.4 66.2
-------------------------------------------------------------------------------------------------------------------------------
11 1,950,557 1,894,514 1.43 22,700,000 4/22/99 67.2 60.3
12 1,680,649 1,620,469 1.22 19,800,000 9/18/99 72.3 65.8
13 1,595,788 1,527,111 1.20 18,000,000 11/10/99 76.4 69.3
14 1,602,733 1,512,829 1.24 20,000,000 12/27/99 66.0 59.9
15 1,674,702 1,569,919 1.30 17,500,000 1/14/00 74.1 67.3
-------------------------------------------------------------------------------------------------------------------------------
16 1,636,809 1,529,764 1.29 17,500,000 3/28/00 71.9 65.5
17 1,504,677 1,375,375 1.25 16,100,000 74.5 67.3
17a 12,750,000 4/21/00
17b 3,350,000 4/21/00
18 1,496,736 1,395,242 1.24 16,000,000 2/14/00 74.9 68.2
-------------------------------------------------------------------------------------------------------------------------------
19 1,312,703 1,239,103 1.21 17,400,000 6/1/99 64.6 58.5
20 1,198,599 1,161,451 1.22 14,000,000 5/23/00 76.4 68.5
21 1,293,974 1,222,974 1.25 13,500,000 12/23/99 79.1 71.7
22 1,304,456 1,226,446 1.26 16,200,000 3/31/00 63.7 58.0
23 1,248,682 1,185,232 1.29 13,300,000 3/7/00 73.2 66.7
-------------------------------------------------------------------------------------------------------------------------------
24 1,216,157 1,121,929 1.25 13,400,000 5/19/00 72.3 69.7
25 1,104,320 1,039,970 1.25 12,250,000 8/13/99 77.9 69.8
26 1,129,113 1,053,113 1.21 12,000,000 4/19/00 77.4 70.3
27 1,233,499 1,096,341 1.28 13,900,000 5/8/00 65.4 59.5
28 1,636,435 1,036,435 1.34 23,765,000 2/22/00 35.7 32.2
-------------------------------------------------------------------------------------------------------------------------------
29 976,191 937,791 1.23 10,875,000 7/7/99 77.6 70.2
30 1,028,506 951,672 1.21 11,500,000 1/31/00 73.4 60.3
31 981,264 939,264 1.21 11,157,000 11/4/99 74.1 67.6
32 1,030,734 978,464 1.32 10,550,000 7/30/99 73.6 61.7
33 927,246 868,137 1.25 9,700,000 9/1/99 78.4 71.1
-------------------------------------------------------------------------------------------------------------------------------
34 1,032,786 867,936 1.25 10,000,000 12/22/99 74.7 70.7
35 996,107 906,946 1.35 10,700,000 3/8/00 69.8 62.8
36 908,431 826,756 1.27 9,300,000 2/10/00 77.8 70.0
37 900,670 854,943 1.26 10,550,000 12/8/99 68.2 62.1
38 924,644 834,561 1.28 10,000,000 1/28/00 70.9 64.2
-------------------------------------------------------------------------------------------------------------------------------
39 824,566 785,604 1.20 9,100,000 10/25/99 77.7 73.5
40 878,442 829,274 1.26 9,800,000 1/6/00 71.3 64.9
41 985,924 985,924 1.41 10,300,000 12/15/99 67.2 57.2
42 816,292 756,292 1.21 8,650,000 12/8/99 79.4 71.9
43 851,155 800,806 1.25 8,800,000 3/7/00 77.2 70.3
-------------------------------------------------------------------------------------------------------------------------------
44 844,870 777,217 1.28 8,900,000 1/21/00 75.1 67.9
45 766,127 756,627 1.25 9,200,000 2/17/00 72.7 65.5
46 859,733 781,866 1.28 9,700,000 1/31/00 68.4 55.8
47 805,165 750,897 1.25 8,850,000 74.2 67.1
47a 4,300,000 3/6/00
47b 4,550,000 3/6/00
48 765,514 729,192 1.21 8,600,000 10/25/99 75.9 71.7
49 928,867 928,867 1.42 9,400,000 1/31/00 68.3 48.2
-------------------------------------------------------------------------------------------------------------------------------
50 755,413 720,115 1.25 8,386,000 10/1/99 74.5 67.7
51 803,780 749,992 1.35 8,600,000 2/22/00 70.8 63.9
52 714,051 666,507 1.21 7,900,000 4/26/00 76.3 69.0
53 837,210 758,027 1.39 8,800,000 3/7/00 68.0 61.5
54 876,101 768,965 1.32 9,400,000 12/31/99 63.4 58.2
-------------------------------------------------------------------------------------------------------------------------------
55 725,196 692,692 1.27 7,500,000 2/25/00 78.6 71.2
56 742,644 671,568 1.25 8,500,000 1/22/00 68.1 61.8
57 729,490 652,555 1.27 7,450,000 12/1/99 73.6 67.0
58 666,155 622,443 1.28 6,700,000 12/2/99 79.5 72.0
59 649,186 598,962 1.33 6,700,000 5/24/00 79.2 70.2
-------------------------------------------------------------------------------------------------------------------------------
60 871,185 791,941 1.49 7,600,000 11/8/99 69.6 59.1
61 680,745 600,806 1.31 6,800,000 8/16/99 74.6 67.4
62 632,671 578,967 1.26 7,100,000 3/31/00 70.6 63.8
63 670,086 605,727 1.30 6,700,000 6/17/99 74.6 68.0
64 692,053 692,053 1.40 7,000,000 1/26/00 71.3 60.1
-------------------------------------------------------------------------------------------------------------------------------
65 573,242 543,070 1.20 6,250,000 1/6/00 79.0 71.5
66 662,644 574,089 1.25 6,600,000 1/31/00 74.1 61.0
67 681,931 571,141 1.25 6,700,000 1/25/00 72.6 59.7
68 624,951 550,949 1.27 6,000,000 3/28/00 79.9 72.0
69 565,580 529,664 1.20 6,650,000 9/9/99 72.0 65.2
-------------------------------------------------------------------------------------------------------------------------------
70 568,752 533,336 1.20 6,250,000 11/17/99 75.8 71.7
71 782,940 782,940 1.62 7,800,000 12/9/99 60.3 51.1
72 549,347 522,411 1.20 6,300,000 11/12/99 73.6 69.7
73 552,704 490,704 1.23 5,775,000 12/29/99 77.6 69.8
74 673,380 626,460 1.39 6,300,000 11/21/99 71.1 60.4
-------------------------------------------------------------------------------------------------------------------------------
75 606,511 606,511 1.40 6,300,000 1/27/00 69.7 58.8
76 440,000 440,000 NAP 4,950,000 10/1/00 NAP NAP
77 501,914 437,314 1.23 5,150,000 3/24/00 74.2 67.3
78 403,245 400,464 NAP 4,390,000 5/15/00 NAP NAP
79 496,366 479,089 1.26 5,983,000 9/10/99 63.2 53.7
-------------------------------------------------------------------------------------------------------------------------------
80 508,055 433,260 1.25 5,600,000 1/21/00 66.0 54.2
81 408,262 399,412 1.24 5,000,000 12/1/99 72.0 65.7
82 493,496 452,636 1.33 4,825,000 3/26/99 74.2 67.9
83 411,220 389,720 1.25 4,785,000 2/8/00 72.7 65.4
84 368,483 365,702 NAP 4,275,000 10/29/99 NAP NAP
-------------------------------------------------------------------------------------------------------------------------------
85 557,270 557,270 1.60 8,800,000 12/8/99 38.6 32.8
86 477,636 445,886 1.41 4,610,000 12/10/99 71.4 65.4
87 453,344 396,304 1.26 4,400,000 8/27/99 74.7 68.5
88 454,744 454,744 1.41 5,400,000 1/12/00 60.6 51.1
89 456,559 409,039 1.34 4,110,000 12/16/99 79.5 72.2
-------------------------------------------------------------------------------------------------------------------------------
90 371,236 346,436 1.26 4,200,000 2/16/99 77.7 72.8
91 381,278 363,848 1.20 4,200,000 11/17/99 77.2 73.0
92 407,139 376,331 1.28 4,475,000 7/7/99 72.3 65.3
93 436,341 394,841 1.35 4,100,000 7/28/99 77.6 70.4
94 463,443 370,020 1.28 4,400,000 2/29/00 72.2 65.2
------------------------------------------------------------------------------------------------------------------------------------
95 754,013 718,013 2.09 4,200,000 4/19/99 74.6 65.2
96 436,319 430,559 1.43 4,400,000 3/16/00 68.0 57.7
97 337,930 324,130 1.24 3,830,000 7/8/99 77.8 74.9
98 353,151 330,651 1.27 3,800,000 1/6/00 76.1 68.6
99 305,000 301,976 NAP 3,450,000 4/17/00 NAP NAP
-------------------------------------------------------------------------------------------------------------------------------
100 345,844 334,162 1.27 3,700,000 1/20/00 76.9 69.8
101 398,449 343,826 1.26 3,875,000 73.2 61.4
101a 2,065,000 1/7/00
101b 1,810,000 1/7/00
102 397,211 338,512 1.25 5,000,000 2/8/00 56.4 46.8
-------------------------------------------------------------------------------------------------------------------------------
103 374,326 374,326 1.40 4,400,000 1/12/00 61.7 52.0
104 421,985 421,985 1.64 4,300,000 12/10/99 58.1 49.3
105 292,386 268,761 1.24 3,125,000 8/16/99 79.5 71.3
106 308,485 281,892 1.27 3,300,000 3/1/00 74.8 67.4
107 340,708 340,708 1.41 4,200,000 1/25/00 58.2 49.1
-------------------------------------------------------------------------------------------------------------------------------
108 319,289 294,539 1.32 3,100,000 4/24/00 78.2 70.7
109 352,683 319,187 1.39 3,650,000 9/16/99 65.6 60.0
110 445,602 414,156 1.92 4,450,000 8/19/99 53.7 48.5
111 327,948 305,950 1.40 3,450,000 3/23/99 69.2 62.7
112 287,517 264,267 1.21 3,600,000 12/16/99 65.9 59.7
-------------------------------------------------------------------------------------------------------------------------------
113 323,091 290,466 1.33 3,300,000 6/28/99 71.1 64.6
114 323,308 288,508 1.32 2,930,000 9/7/99 78.7 65.8
115 278,288 249,938 1.21 3,000,000 2/10/00 76.9 69.2
116 285,711 247,911 1.20 3,200,000 2/10/00 71.7 64.6
117 276,070 267,670 1.32 3,150,000 4/13/00 72.3 64.9
-------------------------------------------------------------------------------------------------------------------------------
118 314,399 296,149 1.36 2,790,000 77.3 71.6
118a 430,000 12/14/99
118b 280,000 12/14/99
118c 470,000 12/14/99
118d 230,000 12/14/99
-------------------------------------------------------------------------------------------------------------------------------
118e 370,000 12/14/99
118f 180,000 12/14/99
118g 190,000 12/14/99
118h 450,000 12/14/99
118i 190,000 12/14/99
-------------------------------------------------------------------------------------------------------------------------------
119 247,387 241,956 1.25 2,940,000 7/1/99 71.8 65.2
120 211,916 209,891 NAP 2,410,000 5/26/00 NAP NAP
121 260,562 235,562 1.28 2,630,000 3/7/00 75.9 68.8
122 253,125 251,100 NAP 2,800,000 2/23/00 NAP NAP
123 402,770 386,720 1.86 3,500,000 1/1/00 56.6 41.0
-------------------------------------------------------------------------------------------------------------------------------
124 237,210 220,210 1.24 2,442,000 10/12/99 78.5 71.3
125 252,652 230,152 1.31 2,900,000 4/3/00 65.5 59.3
126 239,606 230,879 1.30 2,700,000 4/20/00 70.2 63.8
127 241,378 216,506 1.29 2,650,000 1/11/00 71.6 64.2
128 247,311 220,129 1.28 2,700,000 2/14/00 70.2 63.4
-------------------------------------------------------------------------------------------------------------------------------
129 267,704 225,974 1.27 2,600,000 11/3/99 72.8 70.4
130 292,673 292,673 1.58 3,200,000 12/10/99 56.3 47.7
131 227,284 207,840 1.25 2,545,000 10/14/99 70.4 64.0
132 220,537 200,537 1.24 2,950,000 5/6/99 60.6 58.6
133 239,108 203,242 1.29 2,350,000 3/28/00 74.3 67.0
------------------------------------------------------------------------------------------------------------------------------------
134 256,758 256,758 1.40 2,750,000 10/12/99 63.4 54.6
135 213,121 195,396 1.26 2,300,000 1/10/00 73.7 66.7
136 236,612 198,199 1.27 2,500,000 1/5/00 67.4 61.1
137 225,388 206,523 1.31 2,550,000 1/1/00 62.6 57.7
138 257,392 206,978 1.36 2,700,000 2/16/00 58.2 53.4
-------------------------------------------------------------------------------------------------------------------------------
139 207,952 190,445 1.27 2,200,000 9/15/99 71.4 65.3
140 192,399 178,205 1.25 2,050,000 6/21/99 75.4 68.5
141 193,487 185,587 1.30 1,950,000 12/10/99 79.0 71.6
142 254,590 225,934 1.57 2,300,000 1/12/00 66.8 60.8
143 189,245 176,804 1.26 2,050,000 4/5/00 74.3 67.3
-------------------------------------------------------------------------------------------------------------------------------
144 197,109 169,659 1.25 1,900,000 2/10/00 79.8 71.9
145 180,954 180,954 1.22 2,000,000 74.9 63.1
145a 400,000 1/14/00
145b 1,100,000 1/14/00
145c 500,000 1/14/00
-------------------------------------------------------------------------------------------------------------------------------
146 182,319 167,966 1.25 2,365,000 11/6/99 58.6 52.1
147 126,000 126,000 NAP 1,970,000 10/5/99 NAP NAP
148 179,633 173,520 1.38 1,850,000 11/17/99 70.0 58.7
149 141,626 139,450 NAP 1,690,000 1/24/00 NAP NAP
150 178,448 159,587 1.30 1,750,000 12/20/99 69.7 59.2
-------------------------------------------------------------------------------------------------------------------------------
151 250,460 220,047 1.95 3,050,000 10/18/99 39.2 35.8
152 139,038 131,338 1.27 1,520,000 8/9/99 76.9 72.3
153 180,685 136,606 1.32 1,800,000 2/1/00 62.1 56.4
154 125,091 120,552 1.27 1,400,000 2/2/00 74.8 67.5
155 148,267 129,813 1.29 1,600,000 6/14/99 65.0 54.7
-------------------------------------------------------------------------------------------------------------------------------
156 165,985 141,163 1.45 1,460,000 1/12/00 71.0 64.7
157 139,556 134,656 1.38 1,500,000 3/8/00 66.5 55.9
158 134,436 122,532 1.36 1,300,000 4/5/00 72.5 66.2
159 114,594 101,319 1.23 1,200,000 2/10/00 76.5 68.9
160 111,135 105,535 1.25 1,150,000 11/9/99 77.9 71.0
-------------------------------------------------------------------------------------------------------------------------------
161 135,877 121,877 1.46 1,050,000 1/10/00 78.0 72.4
162 126,251 122,340 1.46 1,356,000 58.7 42.5
162a 776,000 2/19/00
162b 580,000 2/21/00
163 126,330 104,580 1.44 1,020,000 5/11/00 75.4 68.7
-------------------------------------------------------------------------------------------------------------------------------
164 117,889 87,468 1.35 1,250,000 2/1/00 55.9 50.7
165 69,814 64,684 1.32 640,000 3/13/00 79.9 73.0
166 69,266 61,138 1.30 630,000 1/25/00 79.3 72.2
167 71,347 62,597 1.33 700,000 7/3/99 71.1 65.0
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
UNDERWRITTEN
CONTROL HOSPITALITY AVERAGE SQ. FT., BED, LOAN PER
NO. DAILY RATE ($) YEAR BUILT YEAR RENOVATED PAD, OR ROOM UNIT UNIT
=======================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
1 1963 1997 1,154,671 Sq Ft 74
2 1971/1979/1992 545,084 Sq Ft 75
3 1968/1979 1988/1989 1,148,028 Sq Ft 31
4 1965 1999 626,823 Sq Ft 43
5 1998/1999/2000 123 Units 218,839
-----------------------------------------------------------------------------------------------------------------------
6 1916 284,470 Sq Ft 79
7 1996 71,230 Sq Ft 309
8 1915 2000 87,500 Sq Ft 208
9 1996, 1997 231,702 Sq Ft 70
10 mid-1960s 73,692 Sq Ft 211
-----------------------------------------------------------------------------------------------------------------------
11 1965 1997/1998 190,436 Sq Ft 80
12 1996/1997 149,416 Sq Ft 96
13 1985 108,226 Sq Ft 127
14 1988/1999 93,461 Sq Ft 141
15 1987 206,365 Sq Ft 63
-----------------------------------------------------------------------------------------------------------------------
16 1989 129,982 Sq Ft 97
17 151,508 Sq Ft 79
17a 1999 92,036 Sq Ft
17b 1999 59,472 Sq Ft
18 1985 1999 138,801 Sq Ft 86
-----------------------------------------------------------------------------------------------------------------------
19 1973 1997/1998/1999 368 Units 30,563
20 1964 148 Units 72,234
21 1984/1998 356 Units 29,988
22 1986/1989 129,514 Sq Ft 80
23 1973 1987/1988 84,290 Sq Ft 116
-----------------------------------------------------------------------------------------------------------------------
24 1977 218,036 Sq Ft 44
25 1985 1999 286 Units 33,347
26 1972 304 Units 30,552
27 1924 110,137 Sq Ft 83
28 1951/1964 1,545,444 Sq Ft 5
-----------------------------------------------------------------------------------------------------------------------
29 1999 192 Units 43,975
30 1998 79,130 Sq Ft 107
31 1998 210 Units 39,388
32 1984 153 Units 50,728
33 1970 1988 135,675 Sq Ft 56
-----------------------------------------------------------------------------------------------------------------------
34 1953 1988 358 Units 20,875
35 1989 317,400 Sq Ft 24
36 1962 363 Units 19,934
37 1937 1999 77,500 Sq Ft 93
38 1971 1998 89,708 Sq Ft 79
-----------------------------------------------------------------------------------------------------------------------
39 1970 1999 154 Units 45,936
40 1999 81,355 Sq Ft 86
41 89.60 1998 123 Rooms 56,291
42 1981 241 Units 28,510
43 1970 1990 85,903 Sq Ft 79
-----------------------------------------------------------------------------------------------------------------------
44 1997/1999 58,860 Sq Ft 114
45 1927 1990/1999 39 Units 171,470
46 1999 90,391 Sq Ft 73
47 55,121 Sq Ft 119
47a 1999 27,543 Sq Ft
47b 1999 27,578 Sq Ft
48 1972 1999 143 Units 45,637
49 78.30 1998 95 Rooms 67,600
-----------------------------------------------------------------------------------------------------------------------
50 1988 174 Units 35,904
51 1963 150,267 Sq Ft 41
52 1975 1999 169 Units 35,689
53 1972 214,600 Sq Ft 28
54 1972/1973/1986 130,119 Sq Ft 46
-----------------------------------------------------------------------------------------------------------------------
55 1970s 1992 40,961 Sq Ft 144
56 1979/1980/1990/1992 150,156 Sq Ft 39
57 1987 103,411 Sq Ft 53
58 1968 1999 129,376 Sq Ft 41
59 1973 1998/1999 172 Units 30,869
-----------------------------------------------------------------------------------------------------------------------
60 1900's/1975 1990's 172,750 Sq Ft 31
61 1989 99,144 Sq Ft 51
62 1964/1965 1989/1998 58,137 Sq Ft 86
63 1983 1991 31,179 Sq Ft 160
64 73.87 1989 1998 101 Rooms 49,390
-----------------------------------------------------------------------------------------------------------------------
65 1985/1989/1999 71,500 Sq Ft 69
66 1989 59,886 Sq Ft 82
67 1973 89,412 Sq Ft 54
68 1979 1998 102,165 Sq Ft 47
69 1974 1998/1999 146 Units 32,785
-----------------------------------------------------------------------------------------------------------------------
70 1959 1973 152 Units 31,168
71 101.06 1997 85 Rooms 55,294
72 1987 104 Units 44,555
73 1982 1995 248 Units 18,071
74 1975/1997 1999 184 Units 24,346
-----------------------------------------------------------------------------------------------------------------------
75 77.27 1988 1996 89 Rooms 49,324
76 2000 12,100 Sq Ft 355
77 1972 200 Units 19,111
78 2000 13,905 Sq Ft 273
79 1985/1994/1998 115,164 Sq Ft 33
-----------------------------------------------------------------------------------------------------------------------
80 1987 61,149 Sq Ft 60
81 1989 177 Pads 20,339
82 1984 63,753 Sq Ft 56
83 1984/1990 430 Pads 8,092
84 1999 13,905 Sq Ft 245
-----------------------------------------------------------------------------------------------------------------------
85 69.53 1970/1993 1995 196 Rooms 17,347
86 1982 1997 127 Units 25,922
87 1976 1998 91,442 Sq Ft 36
88 67.70 1996 85 Rooms 38,498
89 1973 1999 120 Units 27,219
-----------------------------------------------------------------------------------------------------------------------
90 1984 1998 124 Units 26,326
91 1986 83 Units 39,053
92 1995/1998 49,200 Sq Ft 66
93 1972 1995 166 Units 19,155
94 1975/1976/1977 82,663 Sq Ft 38
------------------------------------------------------------------------------------------------------------------------------------
95 1974/1996 120 Beds 26,117
96 1997/1999 38,400 Sq Ft 78
97 1986 69 Units 43,165
98 1975 1998 90 Units 32,140
99 2000 15,120 Sq Ft 189
-----------------------------------------------------------------------------------------------------------------------
100 1999 34,343 Sq Ft 83
101 187,975 Sq Ft 15
101a 1975 100,075 Sq Ft
101b 1974 87,900 Sq Ft
102 1978 109,289 Sq Ft 26
-----------------------------------------------------------------------------------------------------------------------
103 65.67 1996 68 Rooms 39,906
104 63.44 1998 72 Rooms 34,722
105 1968 1995 105 Units 23,654
106 1996 25,371 Sq Ft 97
107 57.00 1986 1997 104 Rooms 23,503
-----------------------------------------------------------------------------------------------------------------------
108 1960/1963/1965/1978 1997/1998 99 Units 24,476
109 1962 1993 86,297 Sq Ft 28
110 1965 1995 44,314 Sq Ft 54
111 1989 30,581 Sq Ft 78
112 1984 93 Units 25,519
-----------------------------------------------------------------------------------------------------------------------
113 1980 83,300 Sq Ft 28
114 1964/1971 1998/1999 116 Units 19,877
115 1966 126 Units 18,298
116 1968 168 Units 13,664
117 1971 152 Pads 14,987
-----------------------------------------------------------------------------------------------------------------------
118 73 Units 29,532
118a 1970 10 Units
118b 1900 7 Units
118c 1980 12 Units
118d 1900 6 Units
-----------------------------------------------------------------------------------------------------------------------
118e 1970 10 Units
118f 1900 6 Units
118g 1970 5 Units
118h 1987 12 Units
118i 1970 5 Units
-----------------------------------------------------------------------------------------------------------------------
119 1998 11,805 Sq Ft 179
120 1999 10,125 Sq Ft 202
121 1978 1997 100 Units 19,965
122 1999 10,125 Sq Ft 197
123 1963/1974 321 Pads 6,176
-----------------------------------------------------------------------------------------------------------------------
124 1985 68 Units 28,184
125 1972 2000 90 Units 21,096
126 1989 11,866 Sq Ft 160
127 1979/1982 73,475 Sq Ft 26
128 1980 104 Units 18,224
-----------------------------------------------------------------------------------------------------------------------
129 1987 30,720 Sq Ft 62
130 61.52 1997 81 Rooms 22,222
131 1989 84 Units 21,334
132 1977 100 Units 17,864
133 1978 89,660 Sq Ft 19
------------------------------------------------------------------------------------------------------------------------------------
134 52.96 1997 60 Rooms 29,051
135 1989 32,006 Sq Ft 53
136 1976 1988 31,162 Sq Ft 54
137 1985 27,250 Sq Ft 59
138 1935/1977 1996/1999 40,121 Sq Ft 39
-----------------------------------------------------------------------------------------------------------------------
139 1991 15,406 Sq Ft 102
140 1998 21,000 Sq Ft 74
141 1946/1960 158 Pads 9,749
142 1984 1997 51,245 Sq Ft 30
143 1999 26,000 Sq Ft 59
-----------------------------------------------------------------------------------------------------------------------
144 1968 122 Units 12,435
145 160,737 Sq Ft 9
145a NAP 26,136 Sq Ft
145b NAP 88,427 Sq Ft
145c NAP 46,174 Sq Ft
-----------------------------------------------------------------------------------------------------------------------
146 1960 1996 17,503 Sq Ft 79
147 1955 1999 16,886 Sq Ft 80
148 1986 1994 36,177 Sq Ft 36
149 1999 10,880 Sq Ft 118
150 1976 20,800 Sq Ft 59
-----------------------------------------------------------------------------------------------------------------------
151 1962 1998 63,853 Sq Ft 19
152 1986 22 Units 53,140
153 1922 1998 22,090 Sq Ft 51
154 1979 17 Units 61,609
155 1999 31,460 Sq Ft 33
-----------------------------------------------------------------------------------------------------------------------
156 1960 1988 40,166 Sq Ft 26
157 1958 93 Pads 10,727
158 1986 10,200 Sq Ft 92
159 1968 59 Units 15,563
160 1998 32 Units 28,004
-----------------------------------------------------------------------------------------------------------------------
161 1967 56 Units 14,616
162 73 Pads 10,897
162a 1964 1985 42 Pads
162b 1968 1999 31 Pads
163 1971 87 Units 8,845
-----------------------------------------------------------------------------------------------------------------------
164 1920's 20,680 Sq Ft 34
165 1950 1999 19 Units 26,906
166 1959 1997/1998 32 Units 15,605
167 1965/1975 35 Units 14,213
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
LARGEST TENANT LARGEST
CONTROL OCCUPANCY RENT ROLL OWNERSHIP AREA LEASED TENANT LEASE
NO. PERCENTAGE (%) DATE INTEREST LARGEST TENANT NAME (SQ. FT.) EXP. DATE
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
1 93.7 5/1/00 Fee Simple Macys 318,804 1/31/12
2 94.9 3/31/00 Fee Simple Proffitt's Home Store 80,000 6/30/06
3 96.2 4/1/00 Fee Simple Macy's (Self-owned anchor) 267,000
4 93.1 4/13/00 Fee Simple AT&T Resource Mgmt. Corp. 175,384 12/31/04
5 100.0 5/30/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
6 100.0 2/6/00 Fee Simple Interpublic Group of Companies 49,500 3/31/10
7 95.8 4/5/00 Fee Simple Ralph's Grocery Co. 45,000 11/30/11
8 98.9 4/1/00 Fee Simple Xpedior Incorproated 44,000 2/22/10
9 100.0 3/1/00 Fee Simple Lowe's 131,644 10/31/16
10 100.0 9/1/00 Leasehold Office Depot, Inc. 21,200 2/23/05
------------------------------------------------------------------------------------------------------------------------------------
11 100.0 6/30/00 Fee Simple and Leasehold Foodmart 65,163 11/30/22
12 100.0 11/9/99 Fee Simple Homeplace 53,030 7/31/12
13 100.0 7/5/00 Fee Simple Shoppers Food Warehouse 40,373 8/31/01
14 98.9 4/11/00 Fee Simple Wilmington Trust FSB 13,986 5/16/09
15 92.1 11/12/99 Fee Simple Dieberg's Marketplace 73,838 11/30/07
------------------------------------------------------------------------------------------------------------------------------------
16 99.8 4/24/00 Fee Simple Stricom 65,044 12/31/06
17 100.0
17a 100.0 6/19/00 Fee Simple Communications and Commerce 92,036 10/31/06
17b 100.0 6/19/00 Fee Simple First World Communications Inc 30,000 1/31/10
18 91.5 4/5/00 Fee Simple Trigon Blue Cross Blue Shield 46,127 10/31/04
------------------------------------------------------------------------------------------------------------------------------------
19 93.2 8/25/99 Fee Simple
20 94.6 3/23/00 Fee Simple
21 96.0 11/24/99 Fee Simple
22 94.7 3/20/00 Fee Simple Publix Supermarkets 39,795 10/22/06
23 94.6 7/18/00 Fee Simple Jack Eckard Corp. 10,600 1/22/08
------------------------------------------------------------------------------------------------------------------------------------
24 97.5 6/21/00 Fee Simple Joseph K. Lo 5,050 8/7/01
25 92.0 9/2/99 Fee Simple
26 94.1 3/27/00 Fee Simple
27 93.7 4/27/00 Fee Simple Lighthouse Group 12,741 6/30/04
28 93.2 4/18/00 Fee Simple Creative Expressions 450,161 4/30/03
------------------------------------------------------------------------------------------------------------------------------------
29 97.4 8/19/99 Fee Simple
30 100.0 3/31/00 Fee Simple GSA - U.S. Customs 23,535 2/14/09
31 96.2 11/8/99 Fee Simple
32 95.4 5/21/00 Fee Simple
33 100.0 9/13/99 Fee Simple Hobby Lobby 47,421 1/31/07
------------------------------------------------------------------------------------------------------------------------------------
34 98.3 1/19/00 Fee Simple
35 100.0 5/22/00 Fee Simple Mazda Motor Company 317,400 12/31/08
36 96.1 2/24/00 Fee Simple
37 100.0 5/11/00 Fee Simple Shoppers Jamaica 73,500 8/31/14
38 95.0 5/2/00 Fee Simple Millenium 23,741 4/30/10
------------------------------------------------------------------------------------------------------------------------------------
39 96.1 10/30/99 Fee Simple
40 100.0 1/15/00 Fee Simple Siemens Power Trans Distr. 40,466 6/30/04
41 70.8 12/1/99 Fee Simple
42 96.7 12/6/99 Fee Simple
43 96.0 3/20/00 Fee Simple Ross Dress For Less 23,951 1/31/02
------------------------------------------------------------------------------------------------------------------------------------
44 95.2 3/1/00 Fee Simple Prize Energy Corporation 14,640 1/31/04
45 100.0 8/17/00 Fee Simple Drs. Cooper & Hochberg 3,495 7/31/09
46 100.0 6/28/00 Fee Simple Verio 90,391 2/7/10
47 100.0
47a 100.0 2/25/00 Fee Simple Vignettes Home & Garden Inc. 4,192 1/31/05
47b 100.0 2/25/00 Fee Simple Morris & Morris, LLP 5,023 1/31/01
48 97.9 11/3/99 Fee Simple
49 78.4 4/1/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
50 91.4 10/1/99 Fee Simple
51 94.0 5/1/00 Fee Simple Infinite Color 58,833 10/31/13
52 91.1 5/9/00 Fee Simple
53 100.0 3/10/00 Fee Simple Guarantee Records Management 214,600 4/1/13
54 94.7 12/2/99 Fee Simple Valley Food Warehouse 22,992 12/1/10
------------------------------------------------------------------------------------------------------------------------------------
55 95.0 2/1/00 Fee Simple Pier 1 Imports 9,530 2/28/02
56 77.0 6/9/00 Fee Simple Safeway 39,314 11/30/04
57 98.8 3/1/00 Fee Simple Bashas 43,723 6/11/07
58 96.6 6/1/00 Fee Simple BJ's Wholesale Club 68,160 1/20/19
59 94.8 5/15/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
60 98.3 4/30/00 Fee Simple Specialty Decorating Inc. 10,000 9/30/00
61 100.0 10/25/99 Fee Simple Phar-Mor 55,695 11/30/04
62 100.0 6/6/00 Fee Simple Koenig & Strey 17,299 10/31/04
63 100.0 12/10/99 Fee Simple Dr. Terry Becker 28,219 11/1/01
64 70.5 5/12/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
65 100.0 2/10/00 Fee Simple Food Lion 35,580 11/3/17
66 100.0 3/31/00 Fee Simple Science Applications 23,974 3/31/02
67 96.7 3/31/00 Fee Simple Clarion Global 11,659 2/28/01
68 91.7 5/1/00 Fee Simple Winn Dixie 33,600 6/13/04
69 87.7 1/19/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
70 94.7 12/10/99 Fee Simple
71 58.4 11/30/99 Fee Simple
72 97.1 12/31/99 Fee Simple
73 94.0 1/13/00 Fee Simple
74 97.0 11/23/99 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
75 72.3 6/2/00 Fee Simple
76 100.0 4/14/00 Fee Simple CVS 12,100 4/14/20
77 98.0 6/30/00 Fee Simple
78 100.0 7/28/00 Fee Simple Walgreens 13,905 5/31/20
79 85.6 12/31/99 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
80 88.6 3/31/00 Fee Simple Williams Communications 11,485 2/28/04
81 97.2 3/1/00 Fee Simple
82 97.2 9/1/99 Fee Simple Lamar Entertainment 10,500 8/30/02
83 84.3 6/20/00 Fee Simple
84 100.0 3/30/00 Fee Simple Walgreens 13,905 10/31/19
------------------------------------------------------------------------------------------------------------------------------------
85 61.9 11/30/99 Fee Simple
86 98.4 1/23/00 Fee Simple
87 98.7 10/27/99 Fee Simple Big Lots 33,600 1/31/05
88 71.8 6/8/00 Fee Simple
89 99.0 4/26/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
90 96.8 3/31/00 Fee Simple
91 100.0 12/9/99 Fee Simple
92 100.0 10/19/99 Fee Simple Goody's Family Clothing 17,700 7/31/13
93 99.0 6/16/99 Fee Simple
94 90.6 2/12/00 Fee Simple UNM CASAA 39,316 6/30/02
------------------------------------------------------------------------------------------------------------------------------------
95 92.0 11/1/99 Fee Simple
96 81.5 3/30/00 Fee Simple
97 95.7 6/30/99 Fee Simple
98 97.8 1/31/00 Fee Simple
99 100.0 6/20/00 Fee Simple Walgreens 15,120 4/30/20
------------------------------------------------------------------------------------------------------------------------------------
100 95.1 1/13/00 Fee Simple Hollywood Video 5,250 8/14/09
101 98.5
101a 100.0 2/15/00 Fee Simple Rebuilders Automotive 37,550 8/31/02
101b 96.8 6/22/00 Fee Simple PACA Foods, Inc. 24,899 9/30/09
102 100.0 2/25/00 Fee Simple K-Mart 84,180 11/30/03
------------------------------------------------------------------------------------------------------------------------------------
103 74.5 6/8/00 Fee Simple
104 67.6 11/30/99 Fee Simple
105 95.2 5/31/00 Fee Simple
106 100.0 2/25/00 Fee Simple Equity Resources, Inc. 7,646 7/31/02
107 61.2 6/5/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
108 96.0 4/1/00 Fee Simple
109 100.0 6/30/00 Fee Simple Toys R Us 32,207 1/31/19
110 87.2 8/2/00 Fee Simple Converse Factory Store 6,600 8/1/01
111 97.4 7/28/00 Fee Simple and Leasehold Family Loompya Corp 8,192 9/30/03
112 90.3 1/11/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
113 100.0 12/14/99 Fee Simple West Coast Studio Rental 72,000 2/28/03
114 94.8 10/18/99 Fee Simple
115 99.2 2/24/00 Fee Simple
116 94.6 2/24/00 Fee Simple
117 68.8 5/19/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
118 97.3
118a 80.0 2/1/00 Fee Simple
118b 100.0 2/1/00 Fee Simple
118c 100.0 2/1/00 Fee Simple
118d 100.0 2/1/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
118e 100.0 2/1/00 Fee Simple
118f 100.0 2/1/00 Fee Simple
118g 100.0 2/1/00 Fee Simple
118h 100.0 2/1/00 Fee Simple
118i 100.0 2/1/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
119 100.0 7/1/99 Fee Simple Kinko's 6,580 1/1/11
120 100.0 6/30/00 Fee Simple CVS 10,125 1/31/20
121 94.0 3/15/00 Fee Simple
122 100.0 4/18/00 Fee Simple CVS 10,125 1/31/19
123 97.2 3/1/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
124 98.5 10/1/99 Fee Simple
125 100.0 4/1/00 Fee Simple
126 89.9 4/12/00 Fee Simple 7-Eleven Store 3,197 8/31/14
127 98.0 4/11/00 Fee Simple Besco 17,515 4/30/03
128 93.3 2/21/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
129 100.0 5/31/00 Fee Simple Blue Ridge Insurance 15,420 6/15/03
130 54.4 11/30/99 Fee Simple
131 96.4 10/1/99 Fee Simple
132 81.0 3/29/00 Fee Simple
133 96.7 3/23/00 Fee Simple Groves Industrial Supply 44,870 3/31/02
------------------------------------------------------------------------------------------------------------------------------------
134 72.7 12/31/99 Fee Simple
135 100.0 1/10/00 Fee Simple La Dolce Vita 6,280 5/31/04
136 89.2 2/10/00 Fee Simple Ultra Sound Technology 11,200 9/30/08
137 82.9 2/3/00 Fee Simple Tutor Time 10,127 12/31/08
138 100.0 3/1/00 Fee Simple SC CT Agency on Aging 10,843 6/30/01
------------------------------------------------------------------------------------------------------------------------------------
139 100.0 10/18/99 Fee Simple Future Electronics 6,684 8/31/04
140 100.0 6/30/99 Fee Simple Patton Medical 6,930 3/1/09
141 94.9 1/1/00 Fee Simple
142 92.0 1/28/00 Fee Simple SuperValu Operations, Inc. 29,100 1/31/12
143 100.0 3/29/00 Fee Simple Mack 8,333 11/30/09
------------------------------------------------------------------------------------------------------------------------------------
144 94.3 2/24/00 Fee Simple
145 100.0
145a 100.0 1/14/00 Fee Simple
145b 100.0 1/14/00 Fee Simple
145c 100.0 1/14/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
146 100.0 10/1/98 Fee Simple Full Sail Recorders, Inc. 17,503 10/1/18
147 100.0 10/5/99 Fee Simple Mobil 16,886 4/30/19
148 86.6 2/11/00 Fee Simple
149 100.0 3/24/00 Fee Simple CVS 10,880 5/31/19
150 100.0 1/1/00 Fee Simple Lexon Developer Services 2,400 12/31/02
------------------------------------------------------------------------------------------------------------------------------------
151 100.0 11/19/99 Fee Simple MC Sports 21,065 7/31/03
152 100.0 10/6/99 Fee Simple
153 89.4 3/28/00 Fee Simple Consulate Genaral 5,888 5/31/06
154 100.0 3/10/00 Fee Simple
155 100.0 2/14/00 Fee Simple American Cutting Technology 7,500 9/30/03
------------------------------------------------------------------------------------------------------------------------------------
156 100.0 1/28/00 Fee Simple SuperValu 21,587 1/31/12
157 82.8 4/26/00 Fee Simple
158 100.0 5/1/00 Fee Simple Intelli Charter School 4,200 5/31/04
159 100.0 2/24/00 Fee Simple
160 90.6 11/1/99 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
161 94.6 1/7/00 Fee Simple
162 100.0
162a 100.0 3/31/00 Fee Simple
162b 100.0 2/1/00 Fee Simple
163 93.0 6/12/00 Fee Simple
------------------------------------------------------------------------------------------------------------------------------------
164 92.0 2/23/00 Fee Simple Crusader Mortgage 9,470 3/31/07
165 100.0 2/16/00 Fee Simple
166 93.8 1/1/00 Fee Simple
167 100.0 8/1/99 Fee Simple
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
2ND LARGEST 2ND LARGEST
CONTROL TENANT AREA TENANT LEASE
NO. 2ND LARGEST TENANT NAME LEASED (SQ. FT.) EXP. DATE 3RD LARGEST TENANT NAME
====================================================================================================================================
<S> <C> <C> <C> <C>
1 Sears 216,341 9/17/12 J.C. Penney
2 Proffitt's For Her 71,097 10/31/12 J.C. Penney
3 J.C. Penney (Self-owned anchor) 154,093 Sears (Ground Lease only)
4 American General Indep. Pr 125,105 6/30/07 UT Southwestern Medical D
5
------------------------------------------------------------------------------------------------------------------------------------
6 Wacoal America, Inc. 33,000 6/30/07 Technology Solutions, Inc.
7 Longs Drug Stores 12,038 2/28/17 Blockbuster Entertainment
8 Mainspring Communications, Inc 22,000 1/20/10 The Windows Support Group, Inc
9 Kroger 63,265 4/30/17 Hallmark
10 Cosmetic Center 7,171 1/31/05 TGI Fridays Inc.
------------------------------------------------------------------------------------------------------------------------------------
11 Bon Ton 50,592 1/31/09 Old Navy
12 Barnes & Nobles 22,000 4/30/12 Michaels
13 CVS 12,172 7/31/06 Virginia ABC
14 Prudential Securities, Inc. 11,112 6/30/01 Morgan Stanley Witter Reynolds
15 Office Depot 30,033 9/30/08 T.J. Maxx
------------------------------------------------------------------------------------------------------------------------------------
16 United Telephone/Sprint 14,108 7/22/03 Nations Inc
17
17a
17b Quest Communications, Inc. 29,472 6/30/09
18 Wachovia Bank, N.A. 35,668 12/31/05 Virginia Dept. of Rehab.
------------------------------------------------------------------------------------------------------------------------------------
19
20
21
22 Walgreens Drugstore 13,000 11/30/06 Damons
23 Women's Health & Fitness 8,870 11/30/04 P R Mexican Restaurant
------------------------------------------------------------------------------------------------------------------------------------
24 Fuji Star Coated Abrasives, Inc. 4,272 11/30/02 Jim P. Jackson
25
26
27 National Association for Hispanic Education 12,664 12/21/03 Answers.com
28 Creative Expressions 275,289 6/30/02 IDEM (State of Indiana)
------------------------------------------------------------------------------------------------------------------------------------
29
30 e.spire Communications 25,460 8/31/09 Paetac Communications
31
32
33 Michael's Stores 28,950 2/28/05 Circuit City
------------------------------------------------------------------------------------------------------------------------------------
34
35
36
37 The Athlete's Foot Stores, Inc 4,000 9/30/09
38 USA-Social Security 15,600 9/30/09 NYS Dept. of Ed
------------------------------------------------------------------------------------------------------------------------------------
39
40 UCF 19,408 6/30/04 SAIC
41
42
43 Walgreens 14,500 2/29/04 Tutor Time DayCare
------------------------------------------------------------------------------------------------------------------------------------
44 Dairy Farmers of America 11,751 3/31/09 Pulmonary & Allergy Associates
45
46
47
47a Five Star Development Inc. 3,604 10/31/04 Thai Tango L.L.C.
47b JVD Holdings-Flower Mound L.P. 4,000 11/7/04 IVIE & Associates Inc.
48
49
------------------------------------------------------------------------------------------------------------------------------------
50
51 Springfield Nursery 11,400 5/31/04 Auto-Choir
52
53
54 Rite-Aid 21,440 5/1/05 Value Center Thrift
------------------------------------------------------------------------------------------------------------------------------------
55 Petco Animal Supplies, Inc. 8,600 6/15/03 Kinko's of Ohio, Inc. Copy Center
56 Factory 2 U 14,646 9/20/01 99 Cent Store
57 Terri's Consign & Design 16,800 2/28/03 Frazee Industries
58 Ocean State Job Lot 30,336 1/31/09 Family Dollar Stores
59
------------------------------------------------------------------------------------------------------------------------------------
60 Akai Fine Arts, Inc. 6,000 12/31/01 Dynamic Screen Printers
61 Petco 25,130 1/31/08 Mattress King
62 Preferred Health Network 8,863 12/31/04 AAAHC
63 First Professional Bank 2,960 3/31/02
64
------------------------------------------------------------------------------------------------------------------------------------
65 Family Dollar 6,000 12/31/03 Video
66 Fastcomm 16,943 4/30/03 Odetics ITS, Inc.
67 HSI Financial Services 11,362 3/31/03 Rapid Link USA
68 Wild Cargo 10,075 9/14/08 Dollar General
69
------------------------------------------------------------------------------------------------------------------------------------
70
71
72
73
74
------------------------------------------------------------------------------------------------------------------------------------
75
76
77
78
79
------------------------------------------------------------------------------------------------------------------------------------
80 Patterson Dental 5,480 5/31/01 Carcorp
81
82 Barney's Billiards 8,640 2/6/02 Action TV & Appliance
83
84
------------------------------------------------------------------------------------------------------------------------------------
85
86
87 Atlantic China 7,730 8/31/02 Catfish Dewey's
88
89
------------------------------------------------------------------------------------------------------------------------------------
90
91
92 On Cue, Inc. 5,100 1/31/04 Hibbett Sporting Goods
93
94 Logicon, Inc. 25,480 3/31/04 TERA Research Incorporated
------------------------------------------------------------------------------------------------------------------------------------
95
96
97
98
99
------------------------------------------------------------------------------------------------------------------------------------
100 Dollar Tree 5,004 7/27/04 LaCabana Restaurant
101
101a S&G Enterprises International 16,250 8/31/02 Business Storage Systems
101b GE Walker, Inc. d/b/a Medimaging 21,288 7/31/02 Goodyear Tire & Rubber Co.
102 China Garden 10,069 10/31/09 Buffalo Brothers
------------------------------------------------------------------------------------------------------------------------------------
103
104
105
106 Elgin Development Company 5,053 2/28/05 Liberty Park Joint Venture
107
------------------------------------------------------------------------------------------------------------------------------------
108
109 Big Lots 26,000 2/28/03 MC Sports
110 El Valle Mexican Restaurant 5,200 6/30/03 Dilworth Mattress
111 Video R Us 2,399 9/30/01 Tita's Kitchenette
112
------------------------------------------------------------------------------------------------------------------------------------
113 Northeast Valley Health Corp 8,800 1/31/03 Fiesta Plaza Nutritional Products
114
115
116
117
------------------------------------------------------------------------------------------------------------------------------------
118
118a
118b
118c
118d
------------------------------------------------------------------------------------------------------------------------------------
118e
118f
118g
118h
118i
------------------------------------------------------------------------------------------------------------------------------------
119 Red Hot & Blue 5,225 6/1/14
120
121
122
123
------------------------------------------------------------------------------------------------------------------------------------
124
125
126 O.T.B Store 2,500 2/28/05 Laundromat Store
127 Sinties Scientific 15,550 5/30/02 RAM-Z, LLC
128
------------------------------------------------------------------------------------------------------------------------------------
129 Ceridian Incorporated 15,300 3/31/02
130
131
132
133 Regina Picture Frames 16,257 12/31/02 Truckers Equipment
------------------------------------------------------------------------------------------------------------------------------------
134
135 Delta Dental 5,056 4/30/01 Metro Computers, Inc.
136 General Physics 3,508 6/30/03 Dr. Ronald Shreve
137 Hilltop Restaurant 5,000 2/28/04 Monarch Dental
138 On Duty Home Care 3,476 12/31/04 Excel Corp-New Haven Sports Me
------------------------------------------------------------------------------------------------------------------------------------
139 Washington Mutual Bank 4,268 12/30/03 Bertucelli & Malaga, CPA
140 Columbus Book Exchange 5,000 5/30/01 Knology of Columbus
141
142 Eckerd Drug Store 8,640 10/5/06 Dollar General
143 Ohlson Packaging 6,000 12/26/04 SEE
------------------------------------------------------------------------------------------------------------------------------------
144
145
145a
145b
145c
------------------------------------------------------------------------------------------------------------------------------------
146
147
148
149
150 Arizona Knife Source 2,000 2/28/02 One Stop Cam Services
------------------------------------------------------------------------------------------------------------------------------------
151 Sav-A-Lot 15,000 5/31/08 H & J, Inc.
152
153 Cramp + Tate 2,944 9/30/02 Sirco Collection
154
155 C&D Technologies 6,000 11/30/03 Carwell Products, Inc.
------------------------------------------------------------------------------------------------------------------------------------
156 Family Dollar 6,237 12/31/02 In Home Medical
157
158 Copper Door 2,400 3/31/07 Lucky Draw/Bob Sims
159
160
------------------------------------------------------------------------------------------------------------------------------------
161
162
162a
162b
163
------------------------------------------------------------------------------------------------------------------------------------
164 Public Research 2,670 10/9/00 Philadelphia Development
165
166
167
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
3RD LARGEST 3RD LARGEST
CONTROL TENANT AREA TENANT LEASE
NO. LEASED (SQ. FT.) EXP. DATE
============================================
<S> <C> <C>
1 202,116 4/30/02
2 68,100 3/31/05
3 148,958 3/31/11
4 49,117 12/31/04
5
--------------------------------------------
6 33,000 3/31/07
7 6,000 6/30/09
8 11,000 10/31/09
9 6,000 2/29/04
10 7,112 7/31/10
--------------------------------------------
11 24,347 4/30/10
12 18,000 4/1/06
13 3,600 7/31/01
14 8,226 4/30/09
15 25,936 10/31/02
--------------------------------------------
16 11,972 2/1/01
17
17a
17b
18 17,284 12/31/00
--------------------------------------------
19
20
21
22 6,298 10/31/05
23 5,400 6/30/05
--------------------------------------------
24 4,050 1/31/02
25
26
27 8,372 3/31/05
28 92,000 1/31/04
--------------------------------------------
29
30 10,079 5/31/09
31
32
33 28,222 1/31/20
--------------------------------------------
34
35
36
37
38 14,281 11/30/09
--------------------------------------------
39
40 12,378 5/31/04
41
42
43 8,000 12/31/02
--------------------------------------------
44 6,843 9/30/06
45
46
47
47a 3,447 3/31/05
47b 3,651 1/31/04
48
49
--------------------------------------------
50
51 11,000 1/31/10
52
53
54 15,000 2/1/03
--------------------------------------------
55 8,600 8/1/03
56 10,553 5/31/04
57 8,447 1/31/05
58 6,400 12/31/03
59
--------------------------------------------
60 5,000 7/31/03
61 9,850 11/30/03
62 8,854 10/31/06
63
64
--------------------------------------------
65 3,200 12/31/02
66 10,399 4/30/02
67 11,194 8/31/04
68 8,400 7/31/04
69
--------------------------------------------
70
71
72
73
74
--------------------------------------------
75
76
77
78
79
--------------------------------------------
80 4,740 9/30/00
81
82 4,120 5/31/04
83
84
--------------------------------------------
85
86
87 6,750 1/1/05
88
89
--------------------------------------------
90
91
92 5,000 10/31/03
93
94 7,263 2/28/05
--------------------------------------------
95
96
97
98
99
--------------------------------------------
100 4,542 2/11/04
101
101a 7,500 12/31/01
101b 10,170 3/31/01
102 8,400 7/14/03
--------------------------------------------
103
104
105
106 4,060 1/31/05
107
--------------------------------------------
108
109 14,978 1/15/02
110 4,492 5/31/01
111 1,934 1/31/03
112
--------------------------------------------
113 2,500 10/31/02
114
115
116
117
--------------------------------------------
118
118a
118b
118c
118d
--------------------------------------------
118e
118f
118g
118h
118i
--------------------------------------------
119
120
121
122
123
--------------------------------------------
124
125
126 2,147 6/30/13
127 9,676 12/31/01
128
--------------------------------------------
129
130
131
132
133 12,483 12/31/04
--------------------------------------------
134
135 3,140 5/31/03
136 2,812 7/1/01
137 3,902 11/30/03
138 2,900 12/31/00
--------------------------------------------
139 2,528 9/30/01
140 3,600 12/31/01
141
142 5,400 4/27/03
143 5,927 2/3/05
--------------------------------------------
144
145
145a
145b
145c
--------------------------------------------
146
147
148
149
150 1,600 12/31/02
--------------------------------------------
151 13,188 8/31/09
152
153 2,900 2/28/03
154
155 6,000 1/31/04
--------------------------------------------
156 3,516 8/31/01
157
158 1,200 4/30/02
159
160
--------------------------------------------
161
162
162a
162b
163
--------------------------------------------
164 2,670 3/30/01
165
166
167
</TABLE>
<PAGE>
ANNEX A-2
CERTAIN MONETARY TERMS OF THE UNDERLYING MORTGAGE LOANS
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX A-2-1
LB-UBS COMMERCIAL MORTGAGE TRUST 2000-C4
<TABLE>
<CAPTION>
ORIGINAL REMAINING
CONTROL INTEREST-ONLY INTEREST-ONLY
NO. PROPERTY NAME PERIODS (MONTHS) PERIOD (MONTHS) AMORTIZATION TYPE
====================================================================================================================================
<S> <C> <C> <C> <C>
1 South Shore Mall ARD
2 Johnson City Mall Balloon
3 Westfield Shoppingtown Plaza Camino Real 120 117 Interest-Only, ARD
4 Exchange Park Center ARD
5 Tompkins Square Apartments ARD
6 136 Madison ARD
7 Hillcrest Promenade 12 8 Interest-Only, Balloon
8 404 Fifth Avenue ARD
9 Georgesville Square Balloon
10 Pike Shopping Center Balloon
11 Westfield Shops Balloon
12 Plaza at the Pointe Balloon
13 Sully Plaza Balloon
14 City Centre Balloon
15 Clocktower Place Shopping Center Balloon
16 Research Commons Balloon
17 Ninigret Industrial Park Buildings ARD
18 111 Franklin Plaza ARD
19 Remington Apartments Balloon
20 City Villas Balloon
21 Sagewood Apartments Balloon
22 Bluff's Square Shoppes Balloon
23 Kirkman Shoppes Balloon
24 Voit Garden Grove Balloon
25 Whispering Winds Balloon
26 Willow Way Apartments Balloon
27 Pacific SW Trust Bank Building Balloon
28 Western Select Properties Balloon
29 Northpointe Apartments Balloon
30 Dulles North - Phase 2 Balloon
31 Garners Crossing Apartments Balloon
32 Cap Senior - Atrium of Carmichael Balloon
33 Greenwood Pointe Shopping Center Balloon
34 Bolton Place Balloon
35 Mazda Distribution Facility Balloon
36 Windsor Village Apartments Balloon
37 162-21 Jamaica Ave. ARD
38 75 South Broadway ARD
39 Reno Street Apartments Balloon
40 University Tech Center Balloon
41 Hampton Inn - Victor Balloon
42 Westpark Plaza Apartments Balloon
43 Ross Plaza Balloon
44 Grapevine I & II Prof. Bldg. ARD
45 192 East 75th Street ARD
46 Dulles North - Phase 5 Balloon
47 800/900 Parker Square Balloon
48 Meadow Creek Apartments Balloon
49 Towneplace Suites Sterling Balloon
50 Huntersville Apartments Balloon
51 6701-6715 Electronics Drive Balloon
52 Cedar Pines Balloon
53 6 Joanna Court ARD
54 Sylmar Plaza Balloon
55 City Line Retail Balloon
56 Kennewick Plaza Shopping Ctr. ARD
57 Cooper Village Shopping Center Balloon
58 Willimantic Plaza Balloon
59 Arthur's Court Apartments Balloon
60 720 Monroe Street ARD
61 Towne Center at Brookhill Balloon
62 Glenview Office Building ARD
63 Cal-Ray Medical Building Balloon
64 Wellesley Inn Edison Balloon
65 River Run Shopping Center Balloon
66 Dulles North - Phase 1 Balloon
67 1000 Circle 75 Balloon
68 Gun Club Shopping Center ARD
69 Carriage Hills Apartments Balloon
70 Park Vista Apartments (I, II & III) Balloon
71 Holiday Inn Express - Hershey 18 13 Interest-Only, Balloon
72 Parkridge Village Apartments Balloon
73 Inwood Oaks Apartments Balloon
74 Peachtree Village of Ft. Smith ARD
75 Wellesley Inn Hazlet Balloon
76 CVS - Springfield Step
77 Sandstone Apartments Balloon
78 Walgreens - Detroit (7 mile Rd) Fully Amortizing
79 Mr. Store-It Balloon
80 Commerce Center Balloon
81 Laurel Commons Manufactured Housing Community 12 6 Interest-Only, Balloon
82 Northwend Shopping Center Balloon
83 Cactus Gardens Balloon
84 Walgreens - Madison Heights Fully Amortizing
85 Holiday Inn & Conference Center - New Cumberland 18 13 Interest-Only, Balloon
86 Victorian Apartments ARD
87 Big Lots Plaza Balloon
88 Comfort Inn Duluth Balloon
89 Flairwood Apartments ARD
90 Fall Lake Apartments Balloon
91 Oakwood Village Apartments Balloon
92 South Pointe Shopping Center Balloon
93 Willow Creek Apartments Balloon
94 Newport Offices Balloon
95 Cartwheel Lodge of Gonzales Balloon
96 Moore Self-Storage Balloon
97 Pueblos of Scottsdale Balloon
98 Elizabeth Gardens Apartments Balloon
99 Walgreens - Indianapolis Fully Amortizing
100 Heisman Square Shoppng Center Balloon
101 Metro Commerce Center/LeTourneau Center Balloon
102 Eastgate Plaza Balloon
103 Holiday Inn Duluth Balloon
104 Hampton Inn - Danville 18 13 Interest-Only, Balloon
105 Burke Square Apartments Balloon
106 Stonegate Building Balloon
107 Wellesley Inn Reading Balloon
108 Poplar Apartments Balloon
109 Michigan City Plaza Balloon
110 Lanier Plaza Balloon
111 Galleria Plaza Balloon
112 Brook Hollow Apartments Balloon
113 Foothill Balloon
114 Cassa Bella Apartments Balloon
115 Crosswinds Balloon
116 Concorde Apartments Balloon
117 Highland Woods Balloon
118 Fall River Apartments Balloon
119 Copeland Plaza Balloon
120 CVS - Tucker Step
121 Highpoint Village II Balloon
122 CVS - Logansport Step
123 Pinewood Estates MHP Balloon
124 Stonewood Apartments Balloon
125 Dancea Property Balloon
126 8706-8716 Astoria Boulevard Balloon
127 Metro Warehouse Balloon
128 Villa Mirada Balloon
129 150 Fisher Drive Balloon
130 Holiday Inn Express - New Columbia 18 13 Interest-Only, Balloon
131 Northwood Apartments Balloon
132 Forest Hills Apartments Balloon
133 Central Park East Service Center Balloon
134 Comfort Inn - Greenville, NC Balloon
135 Tierra Buena Plaza Balloon
136 Rosbough Drive ARD
137 Hilltop Square Shopping Center ARD
138 Whalley Medical Prof. Bldg. Balloon
139 3033 Express Balloon
140 Patton Plaza Balloon
141 Sunny Acres and Capital Mobile Home Park Balloon
142 Interlachen Shopping Center Balloon
143 48 Leona Drive Balloon
144 Olde Londontowne Apartments Balloon
145 1425-1465 Washington Avenue Balloon
146 Full Sail Live Balloon
147 Mobil Bronx Step
148 American National Self Storage Balloon
149 CVS - Arbor Fully Amortizing
150 Stratford Plaza Balloon
151 MC Sports Plaza Balloon
152 Edwards Estates Balloon
153 1501 Locust Street Balloon
154 Marion Crest Apartment Building Balloon
155 Broadway Industrial Park Balloon
156 Westgate Shopping Center Balloon
157 Lazy Daze Mobile Home Park Balloon
158 Thunderbird Plaza Balloon
159 Stratford Square Apartments Balloon
160 Georgetown Apartments Balloon
161 Elam Court Apartments Balloon
162 Green Mountain and Hunt's Homestead Mobile Homes Balloon
163 Avalon Meadows Balloon
164 1334 Walnut Street Balloon
165 34 Eagle Avenue Balloon
166 Oak Creek Apartments Balloon
167 Oak Park Apartments Balloon
</TABLE>
<PAGE>
ANNEX A-2-2
<TABLE>
<CAPTION>
ORIGINAL
CONTROL CUT-OFF DATE MONTHLY BALLOON/ ARD MORTGAGE AMORTIZATION
NO. BALANCE ($) P&I ($) BALANCE ($) ARD MATURITY RATE (%) TERM (MONTHS)
=============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
1 85,932,282 644,285 77,565,874 12/11/09 12/11/29 8.177 356
2 40,942,051 311,485 36,981,336 6/1/10 8.370 360
3 36,000,000 232,688 36,000,000 6/11/10 6/11/30 7.650 0
4 26,956,282 211,446 24,540,807 5/11/10 5/11/30 8.700 360
5 26,917,209 204,838 24,367,057 2/11/10 2/11/30 8.350 358
6 22,439,000 173,325 20,369,995 3/11/10 3/11/30 8.520 360
7 22,000,000 166,828 20,147,614 5/1/10 8.350 360
8 18,186,494 139,942 16,467,479 7/11/10 7/11/30 8.500 360
9 16,155,870 124,794 14,665,920 3/1/10 8.520 360
10 15,560,266 117,088 14,029,431 4/1/10 8.240 360
11 15,256,575 110,221 13,690,751 6/1/09 7.740 360
12 14,312,657 111,041 13,024,087 12/11/09 8.550 360
13 13,744,362 105,915 12,480,691 1/1/10 8.480 360
14 13,194,189 102,064 11,975,478 4/1/10 8.540 360
15 12,969,897 100,512 11,777,037 4/1/10 8.560 360
16 12,584,079 98,854 11,454,877 6/1/10 8.720 360
17 11,990,800 91,590 10,837,939 7/11/10 7/11/30 8.420 360
18 11,980,570 93,976 10,907,024 5/11/10 5/11/30 8.700 360
19 11,247,030 85,132 10,175,025 12/1/09 8.280 360
20 10,690,678 79,185 9,590,002 7/1/10 8.090 360
21 10,675,563 81,518 9,673,076 1/1/10 8.380 360
22 10,312,039 81,153 9,390,780 6/1/10 8.740 360
23 9,737,761 76,634 8,867,808 6/1/10 8.740 360
24 9,692,949 74,929 9,340,345 7/1/05 8.550 360
25 9,537,266 69,374 8,554,765 10/1/09 7.840 360
26 9,287,898 72,368 8,437,912 6/1/10 8.630 360
27 9,088,539 71,460 8,274,794 6/1/10 8.730 360
28 8,484,450 64,396 7,663,157 5/1/10 8.340 360
29 8,443,261 63,380 7,633,299 9/1/09 8.170 360
30 8,436,029 65,813 6,937,346 5/1/15 8.640 360
31 8,271,448 64,941 7,540,245 2/1/10 8.690 360
32 7,761,450 61,631 6,508,297 9/1/09 8.200 300
33 7,605,912 57,741 6,891,889 10/1/09 8.300 360
34 7,473,421 58,094 7,074,560 2/1/07 8.580 360
35 7,468,895 55,985 6,721,933 6/1/10 8.210 360
36 7,236,032 54,110 6,511,966 5/1/10 8.180 360
37 7,191,052 56,745 6,552,861 6/11/10 6/11/30 8.770 360
38 7,087,434 54,291 6,415,680 5/11/10 5/11/30 8.440 360
39 7,074,157 54,492 6,687,731 2/1/07 8.480 360
40 6,984,426 54,769 6,359,917 4/1/10 8.690 360
41 6,923,789 58,324 5,888,969 4/1/10 9.000 300
42 6,870,922 52,177 6,217,563 1/1/10 8.320 360
43 6,791,464 53,447 6,184,727 6/1/10 8.740 360
44 6,687,702 50,712 6,038,979 5/11/10 5/11/30 8.330 360
45 6,687,338 50,288 6,026,395 5/11/10 5/11/30 8.240 360
46 6,635,012 50,915 5,413,170 7/1/15 8.470 360
47 6,565,880 50,230 5,938,680 6/1/10 8.430 360
48 6,526,159 50,271 6,169,667 2/1/07 8.480 360
49 6,422,029 54,442 4,531,364 5/1/15 9.090 300
50 6,247,224 48,160 5,676,294 12/1/09 8.480 360
51 6,091,271 46,171 5,497,049 6/1/10 8.330 360
52 6,031,516 45,972 5,450,478 6/1/10 8.390 360
53 5,985,290 45,583 5,412,155 4/11/10 4/11/30 8.370 360
54 5,959,702 48,471 5,472,619 2/1/10 9.080 354
55 5,891,995 45,366 5,337,477 6/1/10 8.500 360
56 5,792,342 44,947 5,257,062 6/11/10 6/11/30 8.585 360
57 5,485,537 42,798 4,991,509 3/1/10 8.630 360
58 5,328,911 40,636 4,823,080 1/1/10 8.360 354
59 5,309,464 37,410 4,705,571 6/11/10 7.560 360
60 5,288,315 44,405 4,488,205 6/11/10 6/11/25 8.980 300
61 5,069,776 38,135 4,583,908 10/1/09 8.200 360
62 5,013,091 38,151 4,527,015 7/11/10 7/11/30 8.380 360
63 4,998,114 38,852 4,554,002 10/1/09 8.560 360
64 4,988,414 41,141 4,209,195 6/1/10 8.760 300
65 4,937,972 37,711 4,468,097 4/6/10 8.400 360
66 4,891,898 38,164 4,022,840 5/1/15 8.640 360
67 4,861,948 37,930 3,998,211 5/1/15 8.640 360
68 4,796,125 36,196 4,322,235 7/11/10 7/11/30 8.290 360
69 4,786,632 36,738 4,338,556 3/1/10 8.450 360
70 4,737,469 36,928 4,483,469 3/1/07 8.620 360
71 4,700,000 40,197 3,984,954 4/1/10 8.940 276
72 4,633,698 36,151 4,388,702 2/1/07 8.620 360
73 4,481,728 33,208 4,029,597 2/1/10 8.060 360
74 4,479,616 37,487 3,804,855 3/11/10 3/11/25 8.910 300
75 4,389,804 36,204 3,704,092 6/1/10 8.760 300
76 4,297,077 Step* - 4/1/20 8.300 239
77 3,822,266 29,655 3,467,915 7/1/10 8.590 360
78 3,795,637 32,622 - 6/1/20 8.300 238
79 3,782,903 31,733 3,215,576 3/1/10 8.940 300
80 3,693,882 28,818 3,037,652 5/1/15 8.640 360
81 3,600,000 26,894 3,286,345 3/1/10 8.190 360
82 3,581,787 28,321 3,276,435 10/6/09 8.750 360
83 3,479,747 25,961 3,128,153 6/1/10 8.160 360
84 3,412,392 29,790 - 11/1/19 8.350 235
85 3,400,000 29,079 2,882,733 4/1/10 8.940 276
86 3,292,065 26,315 3,012,800 3/11/10 3/11/30 8.900 360
87 3,285,105 26,292 3,011,941 11/1/09 8.890 360
88 3,272,314 26,877 2,757,485 6/1/10 8.710 300
89 3,266,248 25,368 2,968,886 3/6/10 3/6/30 8.580 360
90 3,264,397 22,826 3,057,928 5/1/06 7.390 360
91 3,241,426 25,267 3,067,636 3/1/07 8.620 360
92 3,234,636 24,416 2,924,407 12/6/09 8.250 360
93 3,179,794 24,322 2,887,407 9/6/09 8.375 360
94 3,177,075 24,085 2,869,651 4/1/10 8.320 360
95 3,134,007 28,624 2,738,591 1/11/10 10.000 300
96 2,993,340 25,073 2,538,461 6/1/10 8.950 300
97 2,978,384 21,762 2,870,029 9/1/04 7.880 360
98 2,892,592 21,746 2,607,429 4/1/10 8.230 360
99 2,861,516 24,599 - 5/1/20 8.280 238
100 2,845,123 21,995 2,581,157 5/1/10 8.540 360
101 2,837,851 22,815 2,377,724 4/1/10 8.430 300
102 2,821,690 22,562 2,342,397 6/1/12 8.640 324
103 2,713,626 22,288 2,286,696 6/1/10 8.710 300
104 2,500,000 21,381 2,119,656 4/1/10 8.940 276
105 2,483,706 18,083 2,228,345 10/1/09 7.850 360
106 2,468,604 18,490 2,223,232 4/1/10 8.190 360
107 2,444,323 20,159 2,062,505 6/1/10 8.760 300
108 2,423,156 18,543 2,191,167 7/11/10 8.440 360
109 2,394,170 19,087 2,189,694 3/1/10 8.870 360
110 2,388,461 17,929 2,156,538 12/1/09 8.190 360
111 2,387,269 18,149 2,162,724 11/1/09 8.320 360
112 2,373,309 18,165 2,149,728 3/1/10 8.420 360
113 2,346,060 18,236 2,131,197 5/1/10 8.600 360
114 2,305,776 18,238 1,927,317 12/1/09 8.190 300
115 2,305,549 17,241 2,074,848 5/1/10 8.180 360
116 2,295,569 17,166 2,065,865 5/1/10 8.180 360
117 2,278,028 16,905 2,044,442 7/1/10 8.110 360
118 2,155,817 18,162 1,997,150 3/11/10 9.500 360
119 2,111,637 16,174 1,918,078 9/1/09 8.390 360
120 2,045,511 Step* - 2/1/20 8.430 235
121 1,996,531 15,378 1,809,701 5/11/10 8.500 360
122 1,991,915 Step* - 2/1/19 8.740 224
123 1,982,431 17,356 1,435,109 3/1/10 8.500 240
124 1,916,479 14,774 1,741,333 12/1/09 8.480 360
125 1,898,619 14,677 1,718,371 7/1/10 8.550 360
126 1,896,663 14,762 1,722,161 7/11/10 8.625 360
127 1,896,210 14,034 1,702,167 5/1/10 8.070 360
128 1,895,286 14,381 1,712,275 4/1/10 8.330 360
129 1,892,657 14,785 1,831,210 1/1/05 8.630 360
130 1,800,000 15,395 1,526,152 4/1/10 8.940 276
131 1,792,032 13,815 1,628,259 12/1/09 8.480 360
132 1,786,370 13,434 1,727,556 7/1/04 8.180 360
133 1,746,725 13,172 1,575,157 5/1/10 8.270 360
134 1,743,075 15,278 1,502,382 3/1/10 9.490 300
135 1,695,869 12,951 1,534,498 4/1/10 8.400 360
136 1,683,791 13,052 1,527,352 7/6/10 7/6/30 8.580 360
137 1,595,256 13,128 1,470,218 2/11/10 2/11/30 9.220 360
138 1,572,712 12,673 1,440,965 5/11/10 9.000 360
139 1,571,161 12,514 1,436,675 3/1/10 8.860 360
140 1,546,460 11,880 1,405,184 10/1/09 8.430 360
141 1,540,370 11,883 1,397,174 4/1/10 8.510 360
142 1,535,963 11,994 1,397,935 3/11/10 8.640 360
143 1,523,859 11,704 1,379,205 7/1/10 8.480 360
144 1,517,071 11,345 1,365,267 5/1/10 8.180 360
145 1,497,237 12,362 1,262,118 4/11/15 9.270 360
146 1,386,415 11,217 1,231,878 10/1/07 8.440 300
147 1,351,232 Step* - 5/1/19 8.110 228
148 1,295,817 10,450 1,086,286 5/1/10 8.480 300
149 1,279,745 11,250 - 6/1/19 8.320 230
150 1,219,489 10,230 1,036,600 3/1/10 8.940 300
151 1,195,022 9,398 1,090,885 12/1/09 8.700 360
152 1,169,079 8,638 1,099,542 12/1/06 8.020 360
153 1,118,083 8,644 1,014,350 5/11/10 8.540 360
154 1,047,357 7,910 945,164 4/1/10 8.280 360
155 1,039,749 8,391 875,855 10/1/09 8.410 300
156 1,037,274 8,100 944,059 3/11/10 8.640 360
157 997,599 8,120 838,173 6/1/10 8.600 300
158 941,869 7,503 860,216 6/11/10 8.875 360
159 918,227 6,866 826,346 5/1/10 8.180 360
160 896,123 7,036 816,904 2/1/10 8.690 360
161 818,487 6,970 760,109 3/11/10 9.625 360
162 795,501 7,006 576,418 5/11/10 8.625 240
163 769,486 6,058 700,607 7/11/10 8.750 360
164 698,802 5,402 633,969 5/11/10 8.540 360
165 511,221 4,074 467,162 5/11/10 8.875 360
166 499,374 3,934 454,860 6/11/10 8.750 360
167 497,470 3,934 455,061 10/11/09 8.750 360
</TABLE>
<PAGE>
ANNEX A-2-3
<TABLE>
<CAPTION>
REMAINING REMAINING SCHEDULED
TERM TO ARD OR LOCKOUT MATURITY OR
CONTROL SEASONING MATURITY PERIOD CUT-OFF DATE CUT-OFF DATE ARD DATE
NO. (MONTHS) (MONTHS) (MONTHS) DSCR (X) LTV (%) LTV (%)
===============================================================================================
<S> <C> <C> <C> <C> <C> <C>
1 4 111 27 1.65 48.4 43.7
2 3 117 45 1.31 71.5 64.5
3 3 117 25 3.47 25.4 25.4
4 4 116 33 1.23 72.1 65.6
5 4 113 33 1.24 78.5 71.0
6 6 114 43 1.54 49.8 45.2
7 4 116 25 1.20 78.6 72.0
8 2 118 47 1.33 63.4 57.4
9 6 114 42 1.21 78.8 71.5
10 5 115 43 1.27 73.4 66.2
11 15 105 33 1.43 67.2 60.3
12 9 111 28 1.22 72.3 65.8
13 8 112 40 1.20 76.4 69.3
14 5 115 43 1.24 66.0 59.9
15 5 115 25 1.30 74.1 67.3
16 3 117 25 1.29 71.9 65.5
17 2 118 35 1.25 74.5 67.3
18 4 116 33 1.24 74.9 68.2
19 9 111 27 1.21 64.6 58.5
20 2 118 46 1.22 76.4 68.5
21 8 112 40 1.25 79.1 71.7
22 3 117 25 1.26 63.7 58.0
23 3 117 25 1.29 73.2 66.7
24 2 58 46 1.25 72.3 69.7
25 11 109 37 1.25 77.9 69.8
26 3 117 45 1.21 77.4 70.3
27 3 117 45 1.28 65.4 59.5
28 4 116 44 1.34 35.7 32.2
29 12 108 36 1.23 77.6 70.2
30 4 176 25 1.21 73.4 60.3
31 7 113 41 1.21 74.1 67.6
32 12 108 26 1.32 73.6 61.7
33 11 109 37 1.25 78.4 71.1
34 7 77 41 1.25 74.7 70.7
35 3 117 25 1.35 69.8 62.8
36 4 116 25 1.27 77.8 70.0
37 3 117 25 1.26 68.2 62.1
38 4 116 25 1.28 70.9 64.2
39 7 77 41 1.20 77.7 73.5
40 5 115 25 1.26 71.3 64.9
41 5 115 43 1.41 67.2 57.2
42 8 112 40 1.21 79.4 71.9
43 3 117 25 1.25 77.2 70.3
44 4 116 45 1.28 75.1 67.9
45 4 116 33 1.25 72.7 65.5
46 2 178 25 1.28 68.4 55.8
47 3 117 25 1.25 74.2 67.1
48 7 77 41 1.21 75.9 71.7
49 4 176 25 1.42 68.3 48.2
50 9 111 39 1.25 74.5 67.7
51 3 117 45 1.35 70.8 63.9
52 3 117 45 1.21 76.3 69.0
53 5 115 32 1.39 68.0 61.5
54 1 113 41 1.32 63.4 58.2
55 3 117 45 1.27 78.6 71.2
56 3 117 34 1.25 68.1 61.8
57 6 114 42 1.27 73.6 67.0
58 2 112 40 1.28 79.5 72.0
59 3 117 25 1.33 79.2 70.2
60 3 117 46 1.49 69.6 59.1
61 11 109 37 1.31 74.6 67.4
62 2 118 47 1.26 70.6 63.8
63 11 109 37 1.30 74.6 68.0
64 3 117 25 1.40 71.3 60.1
65 5 115 32 1.20 79.0 71.5
66 4 176 25 1.25 74.1 61.0
67 4 176 25 1.25 72.6 59.7
68 2 118 47 1.27 79.9 72.0
69 6 114 42 1.20 72.0 65.2
70 6 78 42 1.20 75.8 71.7
71 5 115 43 1.62 60.3 51.1
72 7 77 41 1.20 73.6 69.7
73 7 113 29 1.23 77.6 69.8
74 6 114 55 1.39 71.1 60.4
75 3 117 25 1.40 69.7 58.8
76 4 235 44 NAP NAP NAP
77 2 118 25 1.23 74.2 67.3
78 1 237 47 NAP NAP NAP
79 6 114 42 1.26 63.2 53.7
80 4 176 25 1.25 66.0 54.2
81 6 114 42 1.24 72.0 65.7
82 11 109 25 1.33 74.2 67.9
83 3 117 45 1.25 72.7 65.4
84 5 230 43 NAP NAP NAP
85 5 115 43 1.60 38.6 32.8
86 6 114 31 1.41 71.4 65.4
87 10 110 38 1.26 74.7 68.5
88 3 117 45 1.41 60.6 51.1
89 6 114 43 1.34 79.5 72.2
90 16 68 32 1.26 77.7 72.8
91 6 78 42 1.20 77.2 73.0
92 9 111 28 1.28 72.3 65.3
93 12 108 25 1.35 77.6 70.4
94 5 115 43 1.28 72.2 65.2
95 8 112 29 2.09 74.6 65.2
96 3 117 45 1.43 68.0 57.7
97 12 48 36 1.24 77.8 74.9
98 5 115 43 1.27 76.1 68.6
99 2 236 46 NAP NAP NAP
100 4 116 44 1.27 76.9 69.8
101 5 115 43 1.26 73.2 61.4
102 3 141 45 1.25 56.4 46.8
103 3 117 45 1.40 61.7 52.0
104 5 115 43 1.64 58.1 49.3
105 11 109 25 1.24 79.5 71.3
106 5 115 43 1.27 74.8 67.4
107 3 117 25 1.41 58.2 49.1
108 2 118 35 1.32 78.2 70.7
109 6 114 25 1.39 65.6 60.0
110 9 111 39 1.92 53.7 48.5
111 10 110 38 1.40 69.2 62.7
112 6 114 42 1.21 65.9 59.7
113 4 116 44 1.33 71.1 64.6
114 9 111 39 1.32 78.7 65.8
115 4 116 25 1.21 76.9 69.2
116 4 116 25 1.20 71.7 64.6
117 2 118 46 1.32 72.3 64.9
118 6 114 42 1.36 77.3 71.6
119 12 108 36 1.25 71.8 65.2
120 2 233 46 NAP NAP NAP
121 4 116 33 1.28 75.9 68.8
122 3 221 45 NAP NAP NAP
123 6 114 42 1.86 56.6 41.0
124 9 111 39 1.24 78.5 71.3
125 3 118 45 1.31 65.5 59.3
126 2 118 35 1.30 70.2 63.8
127 4 116 44 1.29 71.6 64.2
128 5 115 43 1.28 70.2 63.4
129 8 52 40 1.27 72.8 70.4
130 5 115 43 1.58 56.3 47.7
131 9 111 39 1.25 70.4 64.0
132 14 46 34 1.24 60.6 58.6
133 4 116 44 1.29 74.3 67.0
134 6 114 42 1.40 63.4 54.6
135 5 115 43 1.26 73.7 66.7
136 2 118 47 1.27 67.4 61.1
137 7 113 30 1.31 62.6 57.7
138 4 116 33 1.36 58.2 53.4
139 6 114 42 1.27 71.4 65.3
140 11 109 37 1.25 75.4 68.5
141 5 115 43 1.30 79.0 71.6
142 6 114 31 1.57 66.8 60.8
143 2 118 46 1.26 74.3 67.3
144 4 116 25 1.25 79.8 71.9
145 5 175 32 1.22 74.9 63.1
146 11 85 25 1.25 58.6 52.1
147 4 224 44 NAP NAP NAP
148 4 116 25 1.38 70.0 58.7
149 5 225 43 NAP NAP NAP
150 6 114 42 1.30 69.7 59.2
151 9 111 39 1.95 39.2 35.8
152 9 75 39 1.27 76.9 72.3
153 4 116 44 1.32 62.1 56.4
154 5 115 43 1.27 74.8 67.5
155 11 109 37 1.29 65.0 54.7
156 6 114 31 1.45 71.0 64.7
157 3 117 45 1.38 66.5 55.9
158 3 117 34 1.36 72.5 66.2
159 4 116 25 1.23 76.5 68.9
160 7 113 41 1.25 77.9 71.0
161 6 114 31 1.46 78.0 72.4
162 4 116 33 1.46 58.7 42.5
163 2 118 35 1.44 75.4 68.7
164 4 116 44 1.35 55.9 50.7
165 4 116 33 1.32 79.9 73.0
166 3 117 34 1.30 79.3 72.2
167 11 109 37 1.33 71.1 65.0
</TABLE>
* Refer to the worksheet "Step" in the file named LBUBS00C4.XLS contained in the
back cover of the Prospectus Supplement for detailed information on Monthly
Payments for the Mortgage Loan.
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX A-3
CERTAIN INFORMATION REGARDING RESERVES
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX A-3-1
LB-UBS COMMERCIAL MORTGAGE TRUST 2000-C4
RESERVE ACCOUNTS (ALL MORTGAGE LOANS)
<TABLE>
<CAPTION>
INITIAL DEPOSIT
TO THE CAPITAL
IMPROVEMENT
CONTROL NO. PROPERTY NAME PROPERTY TYPE ACCOUNT ($)
============================================================================================================================
<S> <C> <C> <C>
1 Westfield Shoppingtown South Shore Retail - Regional Mall -
2 Johnson City Mall Retail - Regional Mall 1,263,080.00
3 Westfield Shoppingtown Plaza Camino Real Retail - Regional Mall 94,375.00
4 Exchange Park Center Office - with Retail 82,525.00
5 Tompkins Square Apartments Multifamily 11,963.00
6 136 Madison Office 68,250.00
7 Hillcrest Promenade Retail - Anchored 7,531.25
8 404 Fifth Avenue Office - with Retail -
9 Georgesville Square Retail - Anchored -
10 Pike Shopping Center Retail - Unanchored 19,312.50
11 Westfield Shops Retail - Anchored 6,250.00
12 Plaza at the Pointe Retail - Anchored 4,375.00
13 Sully Plaza Retail - Anchored 13,437.50
14 City Centre Office 3,750.00
15 Clocktower Place Shopping Center Retail - Anchored 38,750.00
16 Research Commons Office 41,875.00
17 Ninigret Industrial Park Buildings Office -
18 111 Franklin Plaza Office -
19 Remington Apartments Multifamily 187.50
20 City Villas Multifamily 182,687.50
21 Sagewood Apartments Multifamily 187.50
22 Bluff's Square Shoppes Retail - Anchored 191,875.00
23 Kirkman Shoppes Retail - Anchored 13,750.00
24 Voit Garden Grove Industrial -
25 Whispering Winds Multifamily 4,528.75
26 Willow Way Apartments Multifamily 402,477.50
27 Pacific SW Trust Bank Building Office -
28 Western Select Properties Industrial 6,587.50
29 Northpointe Apartments Multifamily -
30 Dulles North - Phase 2 Office -
31 Garners Crossing Apartments Multifamily -
32 Cap Senior - Atrium of Carmichael Multifamily - Senior Living -
33 Greenwood Pointe Shopping Center Retail - Anchored -
34 Bolton Place Multifamily 28,125.00
35 Mazda Distribution Facility Industrial 71,875.00
36 Windsor Village Apartments Multifamily 6,081.25
37 162-21 Jamaica Ave. Retail -
38 75 South Broadway Office 13,375.00
39 Reno Street Apartments Multifamily -
40 University Tech Center Office -
41 Hampton Inn - Victor Hotel - Limited Service -
42 Westpark Plaza Apartments Multifamily 41,875.00
43 Ross Plaza Retail - Anchored 11,625.00
44 Grapevine I & II Prof. Bldg. Office -
45 192 East 75th Street Multifamily - with Office 7,500.00
46 Dulles North - Phase 5 Office -
47 800/900 Parker Square Mixed-Use 1,250.00
48 Meadow Creek Apartments Multifamily -
49 Towneplace Suites Sterling Hotel - Extended-Stay -
50 Huntersville Apartments Multifamily -
51 6701-6715 Electronics Drive Industrial 2,625.00
52 Cedar Pines Multifamily 233,611.00
53 6 Joanna Court Industrial 6,938.00
54 Sylmar Plaza Retail - Anchored 1,406.25
55 City Line Retail Retail - Unanchored 23,668.75
56 Kennewick Plaza Shopping Ctr. Retail - Anchored -
57 Cooper Village Shopping Center Retail - Anchored -
58 Willimantic Plaza Retail - Anchored -
59 Arthur's Court Apartments Multifamily -
60 720 Monroe Street Mixed-Use 175,000.00
61 Towne Center at Brookhill Retail - Anchored 33,094.00
62 Glenview Office Building Office -
63 Cal-Ray Medical Building Office -
64 Wellesley Inn Edison Hotel - Limited Service 10,687.50
65 River Run Shopping Center Retail - Anchored -
66 Dulles North - Phase 1 Office -
67 1000 Circle 75 Office 120,450.00
68 Gun Club Shopping Center Retail - Anchored -
69 Carriage Hills Apartments Multifamily -
70 Park Vista Apartments (I, II & III) Multifamily 437.50
71 Holiday Inn Express - Hershey Hotel - Limited Service 7,500.00
72 Parkridge Village Apartments Multifamily 2,625.00
73 Inwood Oaks Apartments Multifamily 31,435.00
74 Peachtree Village of Ft. Smith Multifamily - Independent Living 1,513.00
75 Wellesley Inn Hazlet Hotel - Limited Service 2,347.50
76 CVS - Springfield CTL -
77 Sandstone Apartments Multifamily 79,525.00
78 Walgreens - Detroit (7 mile Rd) CTL -
79 Mr. Store-It Self-Storage 5,625.00
80 Commerce Center Industrial -
81 Laurel Commons Manufactured Housing Community Mobile Home Park 2,050.00
82 Northwend Shopping Center Retail - Unanchored 9,069.00
83 Cactus Gardens Mobile Home Park -
84 Walgreens - Madison Heights CTL -
85 Holiday Inn & Conference Center - New Cumberland Hotel - Full Service -
86 Victorian Apartments Multifamily 101,204.00
87 Big Lots Plaza Retail - Unanchored -
88 Comfort Inn Duluth Hotel - Limited Service 20,110.00
89 Flairwood Apartments Multifamily 21,500.00
90 Fall Lake Apartments Multifamily 47,550.00
91 Oakwood Village Apartments Multifamily -
92 South Pointe Shopping Center Retail - Anchored 17,500.00
93 Willow Creek Apartments Multifamily 132,313.00
94 Newport Offices Office 72,375.00
95 Cartwheel Lodge of Gonzales Health Care - Skilled 8,125.00
96 Moore Self-Storage Self-Storage 1,375.00
97 Pueblos of Scottsdale Multifamily 2,500.00
98 Elizabeth Gardens Apartments Multifamily 4,875.00
99 Walgreens - Indianapolis CTL -
100 Heisman Square Shoppng Center Retail - Anchored -
101 Metro Commerce Center/LeTourneau Center Industrial 12,250.00
102 Eastgate Plaza Retail - Anchored 18,750.00
103 Holiday Inn Duluth Hotel - Limited Service 52,593.75
104 Hampton Inn - Danville Hotel - Limited Service -
105 Burke Square Apartments Multifamily 23,312.50
106 Stonegate Building Office -
107 Wellesley Inn Reading Hotel - Limited Service 2,500.00
108 Poplar Apartments Multifamily -
109 Michigan City Plaza Retail - Anchored -
110 Lanier Plaza Retail - Unanchored 4,875.00
111 Galleria Plaza Retail - Unanchored 14,687.50
112 Brook Hollow Apartments Multifamily 631.25
113 Foothill Industrial 177,166.00
114 Cassa Bella Apartments Multifamily 17,500.00
115 Crosswinds Multifamily -
116 Concorde Apartments Multifamily 875.00
117 Highland Woods Mobile Home Park 500.00
118 Fall River Apartments Multifamily 5,688.00
119 Copeland Plaza Retail - Unanchored 3,875.00
120 CVS - Tucker CTL -
121 Highpoint Village II Multifamily 5,156.00
122 CVS - Logansport CTL -
123 Pinewood Estates MHP Mobile Home Park 1,000.00
124 Stonewood Apartments Multifamily 1,250.00
125 Dancea Property Multifamily 37,500.00
126 8706-8716 Astoria Boulevard Retail - Unanchored -
127 Metro Warehouse Industrial 11,563.00
128 Villa Mirada Multifamily 6,225.00
129 150 Fisher Drive Office 2,812.50
130 Holiday Inn Express - New Columbia Hotel - Limited Service -
131 Northwood Apartments Multifamily -
132 Forest Hills Apartments Multifamily 258,243.00
133 Central Park East Service Center Industrial 219,875.00
134 Comfort Inn - Greenville, NC Hotel - Limited Service 2,718.75
135 Tierra Buena Plaza Retail - Unanchored 875.00
136 Rosbough Drive Office -
137 Hilltop Square Shopping Center Retail - Unanchored 2,500.00
138 Whalley Medical Prof. Bldg. Office 375.00
139 3033 Express Office -
140 Patton Plaza Office -
141 Sunny Acres and Capital Mobile Home Park Mobile Home Park 210.00
142 Interlachen Shopping Center Retail - Anchored 3,938.00
143 48 Leona Drive Industrial -
144 Olde Londontowne Apartments Multifamily 7,656.25
145 1425-1465 Washington Avenue Mixed-Use -
146 Full Sail Live Office 1,912.50
147 Mobil Bronx CTL -
148 American National Self Storage Self-Storage -
149 CVS - Arbor CTL -
150 Stratford Plaza Retail - Unanchored 500.00
151 MC Sports Plaza Retail - Unanchored 110,865.00
152 Edwards Estates Multifamily 2,568.75
153 1501 Locust Street Office 1,875.00
154 Marion Crest Apartment Building Multifamily 781.25
155 Broadway Industrial Park Industrial -
156 Westgate Shopping Center Retail - Anchored 24,750.00
157 Lazy Daze Mobile Home Park Mobile Home Park -
158 Thunderbird Plaza Retail - Unanchored -
159 Stratford Square Apartments Multifamily 5,412.50
160 Georgetown Apartments Multifamily -
161 Elam Court Apartments Multifamily -
162 Green Mountain and Hunt's Homestead Mobile Homes Mobile Home Park -
163 Avalon Meadows Multifamily -
164 1334 Walnut Street Office -
165 34 Eagle Avenue Multifamily 5,688.00
166 Oak Creek Apartments Multifamily -
167 Oak Park Apartments Multifamily 15,163.00
</TABLE>
<PAGE>
ANNEX A-3-2
<TABLE>
<CAPTION>
ANNUAL
DEPOSIT TO THE
REPLACEMENT AS OF DATE OF
RESERVE ANNUAL DEPOSIT TO CURRENT BALANCE OF THE TILC
CONTROL NO. ACCOUNT ($) THE TILC ACCOUNT ($) THE TILC ACCOUNT ($) ACCOUNT
=================================================================================================================
<S> <C> <C> <C> <C>
1 - - -
2 87,228.12 316,202.04 79,122.11 September-00
3 - - -
4 125,518.00 386,347.00 1,108,057.75 September-00
5 39,975.00 - -
6 42,656.00 - -
7 7,084.80 24,294.96 10,122.90 September-00
8 17,500.00 135,077.00 1,173,614.62 September-00
9 23,172.00 48,657.00 24,394.28 September-00
10 21,372.00 68,532.00 34,359.97 September-00
11 - 13,500.00 18,000.00 September-00
12 15,144.00 - -
13 31,342.32 28,997.04 21,747.78 September-00
14 14,098.32 30,000.00 15,000.00 September-00
15 30,954.96 73,827.96 30,796.00 September-00
16 19,497.36 50,000.04 12,500.01 September-00
17 22,764.00 106,944.00 448,436.45 September-00
18 20,798.00 - 202,006.96 September-00
19 73,599.96 - -
20 37,148.04 - -
21 71,000.04 - -
22 19,584.00 65,028.00 21,676.00 September-00
23 12,654.36 50,616.00 16,872.00 September-00
24 23,000.04 68,745.96 10,557.66 September-00
25 64,350.00 - -
26 75,999.96 - -
27 13,338.00 124,683.00 31,170.75 September-00
28 300,000.00 300,000.00 100,427.74 September-00
29 38,400.00 - -
30 11,881.56 64,952.16 21,676.06 September-00
31 42,000.00 - -
32 - - -
33 20,384.88 38,000.00 34,833.37 September-00
34 164,850.00 - -
35 76,176.00 - -
36 81,675.00 - -
37 17,050.00 - -
38 13,564.00 74,292.00 18,573.00 September-00
39 38,961.96 - -
40 12,518.04 37,500.00 15,730.99 September-00
41 123,398.04 - -
42 60,000.00 - -
43 12,885.48 21,480.00 7,160.00 September-00
44 5,892.00 - -
45 9,504.00 - -
46 12,058.68 65,808.00 16,460.04 September-00
47 5,553.00 48,408.00 16,136.00 September-00
48 36,374.64 - -
49 89,335.44 - -
50 35,298.36 - -
51 22,539.96 31,248.00 10,431.20 September-00
52 47,544.00 - -
53 53,650.00 24,000.00 8,007.50 September-00
54 19,518.00 60,000.00 35,000.00 September-00
55 6,144.12 24,999.96 8,335.58 September-00
56 24,084.00 - -
57 26,040.00 50,904.00 24,452.00 September-00
58 19,031.04 22,122.00 7,216.72 September-00
59 43,860.00 - -
60 52,008.00 - 161,119.32 September-00
61 28,476.00 50,880.00 46,640.00 September-00
62 8,732.00 44,983.00 7,497.16 September-00
63 5,520.00 58,860.00 53,955.00 September-00
64 78,764.04 - -
65 10,725.00 - -
66 13,174.92 75,456.36 25,181.56 September-00
67 22,353.00 88,517.88 14,783.79 September-00
68 15,325.00 - 5,416.67 September-00
69 35,916.00 - -
70 35,364.00 - -
71 77,889.00 - -
72 26,966.04 - -
73 62,000.04 - -
74 47,472.00 - -
75 74,697.00 - -
76 - - -
77 64,599.96 - -
78 2,781.00 - -
79 17,270.04 - -
80 16,510.20 58,091.52 9,702.14 September-00
81 - - -
82 9,563.00 12,000.00 113,575.34 September-00
83 - - -
84 2,781.00 - -
85 206,048.52 - -
86 28,575.00 - -
87 13,716.00 42,972.00 3,099.00 September-00
88 62,213.04 - -
89 42,000.00 - -
90 24,800.00 - -
91 17,464.56 - -
92 - - - September-00
93 - - -
94 13,350.00 12,000.00 6,000.00 September-00
95 - - -
96 5,760.00 - -
97 10,350.00 - -
98 22,500.00 - -
99 3,024.00 - -
100 3,432.00 15,996.00 13,333.00 September-00
101 28,166.28 28,166.28 11,735.95 September-00
102 20,585.52 20,000.00 6,666.68 September-00
103 50,898.96 - -
104 46,437.72 - -
105 23,625.00 - -
106 3,900.00 24,000.00 12,000.00 September-00
107 54,378.96 - -
108 24,756.00 - -
109 14,670.48 18,826.56 10,982.16 September-00
110 9,360.00 12,500.04 4,178.12 September-00
111 4,461.00 18,000.00 16,500.00 September-00
112 23,250.00 - -
113 12,495.00 24,294.96 6,088.71 September-00
114 34,800.00 - -
115 28,350.00 - -
116 37,800.00 - -
117 - - -
118 18,250.00 - -
119 2,479.08 2,951.00 2,951.28 September-00
120 2,025.00 - -
121 24,996.00 - -
122 2,025.00 - -
123 - - -
124 16,113.96 - -
125 22,500.00 - -
126 1,776.00 6,948.00 151,032.26 September-00
127 7,347.48 7,347.48 1,836.87 September-00
128 27,182.04 - -
129 7,065.60 35,004.00 23,336.00 September-00
130 40,755.24 - -
131 19,444.44 - -
132 17,856.00 - -
133 8,966.04 20,064.00 6,688.00 September-00
134 34,791.48 - -
135 6,401.16 11,201.88 5,600.94 September-00
136 6,228.00 27,180.00 6,738.56 September-00
137 7,777.00 - 101,671.41 September-00
138 8,256.00 40,560.00 13,520.00 September-00
139 2,311.20 15,253.92 7,664.75 September-00
140 3,150.00 11,043.96 11,043.96 September-00
141 - - -
142 10,249.00 19,776.00 - September-00
143 2,600.04 13,293.00 2,215.50 September-00
144 27,450.00 - -
145 - - -
146 5,665.20 8,751.48 8,751.48 September-00
147 - - -
148 8,223.00 - -
149 2,175.96 - -
150 26,040.00 11,088.00 5,544.54 September-00
151 12,770.64 9,577.92 7,216.72 September-00
152 7,700.04 - -
153 4,668.00 34,908.00 14,570.81 September-00
154 4,536.00 - -
155 3,096.00 8,364.00 240.00 September-00
156 7,230.00 18,204.00 - September-00
157 4,650.00 - -
158 1,536.00 9,828.00 1,638.00 September-00
159 13,275.00 - -
160 5,600.04 - -
161 14,000.00 - -
162 3,900.00 - -
163 21,756.00 - -
164 4,140.00 25,224.00 10,528.66 September-00
165 5,136.00 - -
166 8,124.00 - -
167 8,748.00 - -
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX B
CERTAIN INFORMATION REGARDING MULTIFAMILY PROPERTIES
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX B-1
LB-UBS Commercial Mortgage Trust 2000-C4
ITALICS indicate mortgage loans secured by multiple properties.
<TABLE>
<CAPTION>
CONTROL CUT-OFF DATE UTILITIES PAID BY NO. OF
NO. PROPERTY NAME COUNTY BALANCE ($) TENANT STUDIOS
============================================================================================================================= =====
<S> <C> <C> <C> <C> <C>
5 Tompkins Square Apartments New York 26,917,209 Electricity 5
19 Remington Apartments Hillsborough 11,247,030 Electricity, Cable
20 City Villas Orange 10,690,678 Electricity
21 Sagewood Apartments Lubbock 10,675,563 Electricity, Water/Sewer
25 Whispering Winds Brazoria 9,537,266 Electricity, Water/Sewer
26 Willow Way Apartments Clayton 9,287,898
29 Northpointe Apartments Iredell 8,443,261 Electricity 18
31 Garners Crossing Apartments Richland 8,271,448 Electricity/Gas 18
32 Cap Senior - Atrium of Carmichael Sacramento 7,761,450 16
34 Bolton Place Fulton 7,473,421 Cable
36 Windsor Village Apartments Oklahoma County 7,236,032 Electricity, Cable
39 Reno Street Apartments Los Angeles 7,074,157 Electricity 77
42 Westpark Plaza Apartments Butte 6,870,922 Electricity 56
45 192 East 75th Street New York 6,687,338 Electricity/Gas
48 Meadow Creek Apartments Los Angeles 6,526,159 Electricity 53
50 Huntersville Apartments Mecklenburg 6,247,224 Electricity/Gas 20
52 Cedar Pines DeKalb 6,031,516 Electricity/Gas
59 Arthur's Court Apartments DeKalb 5,309,464 Electricity/Gas
69 Carriage Hills Apartments York 4,786,632 Electricity/Gas
70 Park Vista Apartments (I, II & III) Santa Barbara 4,737,469 46
72 Parkridge Village Apartments San Diego 4,633,698 Electricity
73 Inwood Oaks Apartments Harris 4,481,728 Electricity
74 Peachtree Village of Ft. Smith Sebastian 4,479,616 6
77 Sandstone Apartments Orange 3,822,266 Cable
86 Victorian Apartments Dallas 3,292,065 Electricity
89 Flairwood Apartments Shelby 3,266,248 Electricity/Gas
90 Fall Lake Apartments Harris 3,264,397 Electricity
91 Oakwood Village Apartments Santa Barbara 3,241,426 Electricity/Gas, Cable
93 Willow Creek Apartments Shelby 3,179,794 Electricity
97 Pueblos of Scottsdale Maricopa 2,978,384 Electricity 6
98 Elizabeth Gardens Apartments Union 2,892,592 Electricity 6
105 Burke Square Apartments Harris 2,483,706 Electricity
108 Poplar Apartments Allegheny 2,423,156 Electricity/Gas
112 Brook Hollow Apartments Maricopa 2,373,309 Electricity, HVAC, Cable
114 Cassa Bella Apartments Dallas 2,305,776 Electricity
115 Crosswinds Oklahoma County 2,305,549 Electricity, Cable 32
116 Concorde Apartments Oklahoma County 2,295,569 Electricity, Cable 12
118 Fall River Apartments Bristol 2,155,817
118a 70 Barrows Street (Plymouth) Bristol Electricity
118b 908-912 Plymouth Avenue Bristol Electricity
118c 34-40 Roy Street Bristol Electricity
118d 1200-1210 South Main Street Bristol Electricity
118e 655 Mount Hope Avenue Bristol Electricity
118f 1253 South Main Street Bristol Electricity
118g 238 Oak Grove Avenue Bristol Electricity
118h 120 15th Street Bristol Electricity
118i 2235 South Main Street Bristol Electricity
121 Highpoint Village II Dallas 1,996,531 Electricity
124 Stonewood Apartments Mecklenburg 1,916,479 Electricity
125 Dancea Property Dade 1,898,619 Electricity/Gas
128 Villa Mirada Maricopa 1,895,286 Electricity, Cable
131 Northwood Apartments Davie 1,792,032 Electricity 20
132 Forest Hills Apartments Marion 1,786,370 Electricity ,Sewer, Trash
144 Olde Londontowne Apartments Oklahoma County 1,517,071 Electricity, Cable 16
152 Edwards Estates Los Angeles 1,169,079 Electricity/Gas
154 Marion Crest Apartment Building Bergen County 1,047,357 Electricity, Cable
159 Stratford Square Apartments Oklahoma 918,227 Electricity 12
160 Georgetown Apartments Sumter 896,123 Water/Sewer, Cable 21
161 Elam Court Apartments Hartford 818,487 Electricity/Gas
163 Avalon Meadows Wichita 769,486 Electricity
165 34 Eagle Avenue Passaic 511,221 Electricity/Gas
166 Oak Creek Apartments Harris 499,374 Electricity
167 Oak Park Apartments Harris 497,470 Electricity
</TABLE>
* The Total Units includes a non-operating unit used for administrative
purposes.
<PAGE>
<TABLE>
<CAPTION>
AVG. RENT AVG. RENT AVG. RENT AVG. RENT
CONTROL AVG. RENT NO. OF 1 1 BEDRMS NO. OF 2 2 BEDRMS NO. OF 3 3 BEDRMS NO. OF 4 4 BEDRMS TOTAL
NO. STUDIOS ($) BEDRMS ($) BEDRMS ($) BEDRMS ($) BEDRMS ($) ELEVATORED UNITS
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5 1,820 22 2,184 79 3,091 12 4,040 5 4,080 Yes 123
19 92 493 180 614 96 729 368
20 6 865 138 1,032 4 1,360 148
21 212 493 132 500 12 765 356
25 96 549 166 748 24 949 286
26 32 509 208 594 64 659 304
29 517 42 500 96 591 36 700 192
31 505 60 533 108 578 24 681 210
32 1,275 132 1,491 4 1,964 Yes 153*
34 42 480 266 532 50 637 358
36 120 352 207 495 35 650 1 900 363
39 725 58 925 19 1,200 Yes 154
42 358 44 469 140 550 241*
45 23 1,942 16 2,030 Yes 39
48 675 66 850 24 1,150 Yes 143
50 568 70 531 60 614 24 715 174
52 88 632 80 784 169*
59 12 525 126 602 34 725 172
69 18 520 115 579 12 675 146*
70 425 44 532 62 639 152
72 38 645 66 745 Yes 104
73 144 383 104 531 248
74 628 117 633 61 834 184
77 56 450 128 540 16 650 200
86 115 521 12 705 127
89 92 520 28 626 120
90 80 530 44 585 124
91 19 550 64 650 83
93 74 395 72 482 20 570 166
97 525 30 625 33 725 69
98 550 70 712 8 875 6 975 90
105 23 415 64 488 18 659 105
108 57 435 42 535 99
112 93 539 93
114 12 445 104 539 116
115 320 39 363 55 459 126
116 300 84 317 66 437 6 640 168
118
118a 10 573 10
118b 2 526 3 557 2 670 7
118c 12 579 12
118d 3 528 3 629 6
118e 10 591 10
118f 6 456 6
118g 5 594 5
118h 12 529 12
118i 2 525 3 635 5
121 12 445 56 567 32 659 100
124 32 446 36 545 68
125 70 464 20 673 90
128 96 425 8 550 104
131 408 28 414 36 470 84
132 32 410 56 475 12 578 100
144 285 71 325 35 400 122
152 20 800 2 900 22
154 14 885 3 1,150 17
159 320 29 404 18 453 59
160 375 11 450 32
161 54 400 2 425 56
163 86 284 1 425 87
165 18 572 1 575 19
166 16 340 16 395 32
167 7 317 12 375 13 452 3 482 35
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
ANNEX C-1
PRICE/YIELD TABLES
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
ANNEX C-1-1
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class A-1 Certificates
0% CPR during LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
99.16 7.382% 4.49 7.382% 4.49 7.382% 4.49
99.20 7.354% 4.49 7.354% 4.49 7.354% 4.49
99.24 7.326% 4.49 7.326% 4.49 7.326% 4.49
99.28 7.298% 4.50 7.298% 4.49 7.298% 4.49
100.00 7.270% 4.50 7.270% 4.50 7.270% 4.50
100.04 7.243% 4.50 7.243% 4.50 7.243% 4.50
100.08 7.215% 4.50 7.215% 4.50 7.215% 4.50
100.12 7.188% 4.51 7.188% 4.50 7.188% 4.50
100.16 7.160% 4.51 7.160% 4.51 7.160% 4.51
100.20 7.133% 4.51 7.133% 4.51 7.133% 4.51
100.24 7.105% 4.51 7.105% 4.51 7.105% 4.51
100.28 7.078% 4.51 7.078% 4.51 7.078% 4.51
101.00 7.050% 4.52 7.050% 4.52 7.050% 4.51
Weighted Average
Life (yrs.) 5.87 5.87 5.87
First Principal
Payment Date 15-Oct-2000 15-Oct-2000 15-Oct-2000
Last Principal
Payment Date 15-Sep-2009 15-Sep-2009 15-Sep-2009
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
99.16 7.382% 4.48 7.382% 4.46
99.20 7.354% 4.49 7.354% 4.46
99.24 7.326% 4.49 7.326% 4.46
99.28 7.298% 4.49 7.298% 4.47
100.00 7.270% 4.49 7.270% 4.47
100.04 7.243% 4.50 7.243% 4.47
100.08 7.215% 4.50 7.215% 4.47
100.12 7.188% 4.50 7.187% 4.48
100.16 7.160% 4.50 7.159% 4.48
100.20 7.132% 4.51 7.132% 4.48
100.24 7.105% 4.51 7.105% 4.48
100.28 7.078% 4.51 7.076% 4.48
101.00 7.050% 4.51 7.049% 4.49
Weighted Average
Life (yrs.) 5.86 5.82
First Principal
Payment Date 15-Oct-2000 15-Oct-2000
Last Principal
Payment Date 15-Sep-2009 15-Aug-2009
</TABLE>
<PAGE>
ANNEX C-1-2
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class A-2 Certificates
0% CPR during LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
99.16 7.548% 6.56 7.548% 6.56 7.548% 6.55
99.20 7.529% 6.56 7.529% 6.56 7.529% 6.56
99.24 7.510% 6.57 7.510% 6.56 7.510% 6.56
99.28 7.491% 6.57 7.491% 6.57 7.491% 6.56
100.00 7.472% 6.57 7.472% 6.57 7.472% 6.56
100.04 7.453% 6.57 7.453% 6.57 7.453% 6.57
100.08 7.434% 6.58 7.434% 6.57 7.434% 6.57
100.12 7.415% 6.58 7.415% 6.58 7.415% 6.57
100.16 7.396% 6.58 7.396% 6.58 7.396% 6.57
100.20 7.377% 6.58 7.377% 6.58 7.377% 6.57
100.24 7.358% 6.59 7.358% 6.58 7.358% 6.58
100.28 7.340% 6.59 7.340% 6.58 7.339% 6.58
101.00 7.321% 6.59 7.321% 6.59 7.321% 6.58
Weighted Average
Life (yrs.) 9.45 9.44 9.43
First Principal
Payment Date 15-Sep-2009 15-Sep-2009 15-Sep-2009
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
99.16 7.548% 6.55 7.548% 6.48
99.20 7.529% 6.55 7.529% 6.48
99.24 7.510% 6.55 7.510% 6.49
99.28 7.491% 6.55 7.491% 6.49
100.00 7.472% 6.56 7.471% 6.49
100.04 7.453% 6.56 7.452% 6.49
100.08 7.434% 6.56 7.433% 6.50
100.12 7.415% 6.56 7.414% 6.50
100.16 7.396% 6.56 7.395% 6.50
100.20 7.377% 6.57 7.376% 6.50
100.24 7.358% 6.57 7.357% 6.51
100.28 7.339% 6.57 7.338% 6.51
101.00 7.321% 6.57 7.319% 6.51
Weighted Average
Life (yrs.) 9.42 9.29
First Principal
Payment Date 15-Sep-2009 15-Sep-2009
Last Principal
Payment Date 15-Jun-2010 15-Apr-2010
</TABLE>
<PAGE>
ANNEX C-1-3
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 LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
99.08 7.698% 6.65 7.698% 6.65 7.698% 6.65
99.12 7.679% 6.65 7.679% 6.65 7.679% 6.65
99.16 7.660% 6.65 7.660% 6.65 7.660% 6.65
99.20 7.641% 6.66 7.641% 6.66 7.641% 6.66
99.24 7.622% 6.66 7.622% 6.66 7.622% 6.66
99.28 7.604% 6.66 7.604% 6.66 7.604% 6.66
100.00 7.585% 6.66 7.585% 6.66 7.585% 6.66
100.04 7.566% 6.67 7.566% 6.67 7.566% 6.67
100.08 7.548% 6.67 7.548% 6.67 7.548% 6.67
100.12 7.529% 6.67 7.529% 6.67 7.529% 6.67
100.16 7.510% 6.67 7.510% 6.67 7.510% 6.67
100.20 7.492% 6.68 7.492% 6.68 7.492% 6.68
100.24 7.473% 6.68 7.473% 6.68 7.473% 6.68
Weighted Average
Life (yrs.) 9.71 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
99.08 7.698% 6.65 7.699% 6.58
99.12 7.679% 6.65 7.680% 6.58
99.16 7.660% 6.65 7.661% 6.59
99.20 7.641% 6.66 7.642% 6.59
99.24 7.622% 6.66 7.623% 6.59
99.28 7.604% 6.66 7.604% 6.59
100.00 7.585% 6.66 7.585% 6.60
100.04 7.566% 6.67 7.566% 6.60
100.08 7.548% 6.67 7.547% 6.60
100.12 7.529% 6.67 7.528% 6.60
100.16 7.510% 6.67 7.510% 6.61
100.20 7.492% 6.68 7.491% 6.61
101.24 7.473% 6.68 7.472% 6.61
Weighted Average
Life (yrs.) 9.71 9.57
First Principal
Payment Date 15-Jun-2010 15-Apr-2010
Last Principal
Payment Date 15-Jun-2010 15-May-2010
</TABLE>
<PAGE>
ANNEX C-1-4
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 LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
99.08 7.832% 6.61 7.832% 6.61 7.832% 6.61
99.12 7.813% 6.61 7.813% 6.61 7.813% 6.61
99.16 7.794% 6.61 7.794% 6.61 7.794% 6.61
99.20 7.775% 6.61 7.775% 6.61 7.775% 6.61
99.24 7.757% 6.62 7.757% 6.62 7.757% 6.62
99.28 7.738% 6.62 7.738% 6.62 7.738% 6.62
100.00 7.719% 6.62 7.719% 6.62 7.719% 6.62
100.04 7.700% 6.62 7.700% 6.62 7.700% 6.62
100.08 7.681% 6.63 7.681% 6.63 7.681% 6.63
100.12 7.663% 6.63 7.663% 6.63 7.663% 6.63
100.16 7.644% 6.63 7.644% 6.63 7.644% 6.63
100.20 7.625% 6.63 7.625% 6.63 7.625% 6.63
100.24 7.607% 6.64 7.607% 6.64 7.607% 6.64
Weighted Average
Life (yrs.) 9.71 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
99.08 7.832% 6.61 7.833% 6.57
99.12 7.813% 6.61 7.814% 6.57
99.16 7.794% 6.61 7.795% 6.57
99.20 7.775% 6.61 7.776% 6.58
99.24 7.757% 6.62 7.757% 6.58
99.28 7.738% 6.62 7.738% 6.58
100.00 7.719% 6.62 7.719% 6.58
100.04 7.700% 6.62 7.700% 6.59
100.08 7.681% 6.63 7.681% 6.59
100.12 7.663% 6.63 7.662% 6.59
100.16 7.644% 6.63 7.643% 6.59
100.20 7.625% 6.63 7.625% 6.60
100.24 7.607% 6.64 7.606% 6.60
Weighted Average
Life (yrs.) 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-May-2010
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010
</TABLE>
<PAGE>
ANNEX C-1-5
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 LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
99.08 7.925% 6.58 7.925% 6.58 7.925% 6.58
99.12 7.906% 6.58 7.906% 6.58 7.906% 6.58
99.16 7.887% 6.58 7.887% 6.58 7.887% 6.58
99.20 7.868% 6.59 7.868% 6.59 7.868% 6.59
99.24 7.849% 6.59 7.849% 6.59 7.849% 6.59
99.28 7.830% 6.59 7.830% 6.59 7.830% 6.59
100.00 7.812% 6.59 7.812% 6.59 7.812% 6.59
100.04 7.793% 6.60 7.793% 6.60 7.793% 6.60
100.08 7.774% 6.60 7.774% 6.60 7.774% 6.60
100.12 7.755% 6.60 7.755% 6.60 7.755% 6.60
100.16 7.736% 6.60 7.736% 6.60 7.736% 6.60
100.20 7.718% 6.61 7.718% 6.61 7.718% 6.61
100.24 7.699% 6.61 7.699% 6.61 7.699% 6.61
Weighted Average
Life (yrs.) 9.71 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
99.08 7.925% 6.58 7.925% 6.58
99.12 7.906% 6.58 7.906% 6.58
99.16 7.887% 6.58 7.887% 6.58
99.20 7.868% 6.59 7.868% 6.59
99.24 7.849% 6.59 7.849% 6.59
99.28 7.830% 6.59 7.830% 6.59
100.00 7.812% 6.59 7.812% 6.59
100.04 7.793% 6.60 7.793% 6.60
100.08 7.774% 6.60 7.774% 6.60
100.12 7.755% 6.60 7.755% 6.60
100.16 7.736% 6.60 7.736% 6.60
100.20 7.718% 6.61 7.718% 6.61
100.24 7.699% 6.61 7.699% 6.61
Weighted Average
Life (yrs.) 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010
</TABLE>
<PAGE>
ANNEX C-1-6
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 LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
98.16 8.321% 6.49 8.322% 6.48 8.322% 6.48
98.24 8.282% 6.50 8.283% 6.48 8.283% 6.48
99.00 8.244% 6.50 8.244% 6.49 8.244% 6.49
99.08 8.205% 6.51 8.205% 6.49 8.205% 6.49
99.16 8.166% 6.52 8.167% 6.50 8.167% 6.50
99.24 8.128% 6.52 8.128% 6.51 8.128% 6.51
100.00 8.090% 6.53 8.090% 6.51 8.090% 6.51
100.08 8.052% 6.53 8.052% 6.52 8.052% 6.52
100.16 8.014% 6.54 8.014% 6.52 8.014% 6.52
100.24 7.976% 6.54 7.976% 6.53 7.976% 6.53
101.00 7.938% 6.55 7.938% 6.53 7.938% 6.53
101.08 7.901% 6.55 7.900% 6.54 7.900% 6.54
101.16 7.863% 6.56 7.863% 6.54 7.863% 6.54
Weighted Average
Life (yrs.) 9.75 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jul-2010 15-Jun-2010 15-Jun-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
98.16 8.322% 6.48 8.322% 6.48
98.24 8.283% 6.48 8.283% 6.48
99.00 8.244% 6.49 8.244% 6.49
99.08 8.205% 6.49 8.205% 6.49
99.16 8.167% 6.50 8.167% 6.50
99.24 8.128% 6.51 8.128% 6.51
100.00 8.090% 6.51 8.090% 6.51
100.08 8.052% 6.52 8.052% 6.52
100.16 8.014% 6.52 8.014% 6.52
100.24 7.976% 6.53 7.976% 6.53
101.00 7.938% 6.53 7.938% 6.53
101.08 7.900% 6.54 7.900% 6.54
101.16 7.863% 6.54 7.863% 6.54
Weighted Average
Life (yrs.) 9.71 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jun-2010 15-Jun-2010
</TABLE>
<PAGE>
ANNEX C-1-7
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class F Certificates
0% CPR during LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
98.16 8.425% 6.48 8.425% 6.48 8.425% 6.48
98.24 8.386% 6.49 8.386% 6.49 8.386% 6.48
99.00 8.347% 6.50 8.347% 6.49 8.347% 6.49
99.08 8.308% 6.50 8.308% 6.50 8.308% 6.49
99.16 8.270% 6.51 8.270% 6.51 8.270% 6.50
99.24 8.231% 6.51 8.231% 6.51 8.231% 6.50
100.00 8.193% 6.52 8.193% 6.52 8.193% 6.51
100.08 8.155% 6.52 8.155% 6.52 8.155% 6.51
100.16 8.117% 6.53 8.117% 6.53 8.117% 6.52
100.24 8.079% 6.53 8.079% 6.53 8.079% 6.52
101.00 8.041% 6.54 8.041% 6.54 8.041% 6.53
101.08 8.004% 6.54 8.004% 6.54 8.003% 6.53
101.16 7.966% 6.55 7.966% 6.55 7.966% 6.54
Weighted Average
Life (yrs.) 9.80 9.80 9.78
First Principal
Payment Date 15-Jul-2010 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jul-2010 15-Jul-2010 15-Jul-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
98.16 8.425% 6.46 8.426% 6.45
98.24 8.386% 6.47 8.387% 6.45
99.00 8.347% 6.47 8.348% 6.46
99.08 8.309% 6.48 8.309% 6.46
99.16 8.270% 6.48 8.270% 6.47
99.24 8.231% 6.49 8.232% 6.47
100.00 8.193% 6.49 8.193% 6.48
100.08 8.155% 6.50 8.155% 6.49
100.16 8.117% 6.50 8.116% 6.49
100.24 8.079% 6.51 8.078% 6.50
101.00 8.041% 6.52 8.040% 6.50
101.08 8.003% 6.52 8.002% 6.51
101.16 7.965% 6.53 7.965% 6.51
Weighted Average
Life (yrs.) 9.75 9.71
First Principal
Payment Date 15-Jun-2010 15-Jun-2010
Last Principal
Payment Date 15-Jul-2010 15-Jun-2010
</TABLE>
<PAGE>
ANNEX C-1-8
Weighted Average Life, First Principal Payment Date, Last Principal Payment
Date, Pre-Tax Yield to Maturity and Modified Duration of Class G Certificates
0% CPR during LOP, YMP or Declining Premium - otherwise at indicated CPR
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Price (32nds) 0% CPR 25% CPR 50% CPR
------------------ ------------------- ------------------ --------------------
CBE Modified CBE Modified CBE Modified
Yield Duration Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C> <C> <C>
97.00 8.745% 6.43 8.745% 6.43 8.745% 6.43
97.08 8.705% 6.43 8.705% 6.43 8.705% 6.43
97.16 8.666% 6.44 8.666% 6.44 8.666% 6.44
97.24 8.626% 6.44 8.626% 6.44 8.626% 6.44
98.00 8.587% 6.45 8.587% 6.45 8.587% 6.45
98.08 8.547% 6.45 8.547% 6.45 8.547% 6.45
98.16 8.508% 6.46 8.508% 6.46 8.508% 6.46
98.24 8.469% 6.47 8.469% 6.47 8.469% 6.47
99.00 8.430% 6.47 8.430% 6.47 8.430% 6.47
99.08 8.391% 6.48 8.391% 6.48 8.391% 6.48
99.16 8.353% 6.48 8.353% 6.48 8.353% 6.48
99.24 8.314% 6.49 8.314% 6.49 8.314% 6.49
100.00 8.276% 6.49 8.276% 6.49 8.276% 6.49
Weighted Average
Life (yrs.) 9.80 9.80 9.80
First Principal
Payment Date 15-Jul-2010 15-Jul-2010 15-Jul-2010
Last Principal
Payment Date 15-Jul-2010 15-Jul-2010 15-Jul-2010
<CAPTION>
Price (32nds) 75% CPR 100% CPR
------------------ ------------------- ------------------
CBE Modified CBE Modified
Yield Duration Yield Duration
(%) (yrs.) (%) (yrs.)
<S> <C> <C> <C> <C>
97.00 8.745% 6.43 8.748% 6.39
97.08 8.705% 6.43 8.708% 6.40
97.16 8.666% 6.44 8.668% 6.40
97.24 8.626% 6.44 8.628% 6.41
98.00 8.587% 6.45 8.588% 6.41
98.08 8.547% 6.45 8.549% 6.42
98.16 8.508% 6.46 8.509% 6.42
98.24 8.469% 6.47 8.470% 6.43
99.00 8.430% 6.47 8.431% 6.43
99.08 8.391% 6.48 8.392% 6.44
99.16 8.353% 6.48 8.353% 6.45
99.24 8.314% 6.49 8.314% 6.45
100.00 8.276% 6.49 8.276% 6.46
Weighted Average
Life (yrs.) 9.80 9.71
First Principal
Payment Date 15-Jul-2010 15-Jun-2010
Last Principal
Payment Date 15-Jul-2010 15-Jun-2010
</TABLE>
<PAGE>
ANNEX C-2
DECREMENT TABLES
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX C-2-1
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS A-1 CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 96 96 96 96 96
September 2002................................. 91 91 91 91 91
September 2003................................. 86 86 86 86 86
September 2004................................. 78 78 78 78 78
September 2005................................. 66 66 66 66 66
September 2006................................. 58 58 58 58 58
September 2007................................. 32 32 32 32 31
September 2008................................. 24 24 24 24 24
September 2009 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 5.87 5.87 5.87 5.86 5.82
</TABLE>
<PAGE>
ANNEX C-2-2
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS A-2 CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 99 98 98 96 78
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.45 9.44 9.43 9.42 9.29
</TABLE>
<PAGE>
ANNEX C-2-3
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS B CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 100 100 100 100 100
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.71 9.71 9.71 9.71 9.57
</TABLE>
<PAGE>
ANNEX C-2-4
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS C CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 100 100 100 100 100
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.71 9.71 9.71 9.71 9.63
</TABLE>
<PAGE>
ANNEX C-2-5
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS D CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 100 100 100 100 100
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.71 9.71 9.71 9.71 9.71
</TABLE>
<PAGE>
ANNEX C-2-6
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS E CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 100 100 100 100 100
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.75 9.71 9.71 9.71 9.71
</TABLE>
<PAGE>
ANNEX C-2-7
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS F CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 100 100 100 100 100
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.80 9.80 9.78 9.75 9.71
</TABLE>
<PAGE>
ANNEX C-2-8
PERCENTAGES OF THE INITIAL CERTIFICATE BALANCE OF THE CLASS G CERTIFICATES
<TABLE>
<CAPTION>
0% CPR DURING LOP, YMP OR DECLINING PREMIUM -
OTHERWISE AT INDICATED CPR
---------------------------------------------------------------
DISTRIBUTION DATE 0% CPR 25% CPR 50% CPR 75% CPR 100% CPR
<S> <C> <C> <C> <C> <C>
Closing Date................................... 100% 100% 100% 100% 100%
September 2001................................. 100 100 100 100 100
September 2002................................. 100 100 100 100 100
September 2003................................. 100 100 100 100 100
September 2004................................. 100 100 100 100 100
September 2005................................. 100 100 100 100 100
September 2006................................. 100 100 100 100 100
September 2007................................. 100 100 100 100 100
September 2008................................. 100 100 100 100 100
September 2009................................. 100 100 100 100 100
September 2010 and thereafter.................. 0 0 0 0 0
Weighted Average Life (in years)............... 9.80 9.80 9.80 9.80 9.71
</TABLE>
<PAGE>
ANNEX D
FORM OF DELINQUENT LOAN STATUS REPORT
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX D
CMSA INVESTOR REPORTING PACKAGE
DELINQUENT LOAN STATUS REPORT
AS OF ___________
(LOAN LEVEL REPORT)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
Operating Information Reflected As NOI _____ or NCF _____
S4 S55 S61 S57 S58 S62 or S63 L8 L7 L37 L39 L38 L25
(a) (b) (c) (d) (e)=a+b=c+d
Loan
Prosp- Paid Ending Total P&I Other Expense Total T&I Total Current
ectus Property Property Sq Ft or Thru Scheduled Advances Advance Advances Exposure Monthly
ID Name Type City State Units Date Loan Balance Outstanding Outstanding Outstanding P&I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
LOANS IN FORECLOSURE AND NOT REO
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
90 + DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
60 TO 89 DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
30 TO 59 DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CURRENT AND AT SPECIAL SERVICER
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
FCL = Foreclosure
LTM = Latest 12 Months either Last Normalized Annual, Normalized YTD or Trailing 12 months, if available.
-----------------------------------------------------------------------------------------------------------------------------------
*Workout Strategy should match the CMSA Loan Periodic Update File using abbreviated words in place of a
code number such as (FCL - In Foreclosure, MOD - Modification, DPO - Discount Payoff, NS - Note Sale,
BK - Bankruptcy, PP - Payment Plan, TBD - To be determined etc...). It is possible to combine the status
codes if the loan is going in more than one direction (i.e. FCL/Mod, BK/Mod, BX/FCL/DPO).
**BPO - Broker opinion
-----------------------------------------------------------------------------------------------------------------------------------
L54 or L56 or
L68/L92 or L70/L93 or
L96 L97
L10 L11 L58 or L73 L74 L75
(f) (.90*f)-e
Appraisal
Current BPO or Loss using
Interest Maturity LTM/NOI/NCF LTM LTM DSCR Valuation Internal 90% Approx. or
Rate Date Date NOI/NCF (NOI/NCF) Date Value** BPO (f)
<S> <C> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
LOANS IN FORECLOSURE AND NOT REO
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
90 + DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
60 TO 89 DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
30 TO 59 DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CURRENT AND AT SPECIAL SERVICER
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
L99 L77 L79 L76
Total Date Asset
Appraisal Expected to be
Reduction Transfer Resolved or Workout
Realized Date Foreclosed Strategy* Comments
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
LOANS IN FORECLOSURE AND NOT REO
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
90 + DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
60 TO 89 DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
30 TO 59 DAYS DELINQUENT
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CURRENT AND AT SPECIAL SERVICER
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
ANNEX E
FORM OF HISTORICAL LOAN MODIFICATION REPORT
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX E
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
S4 S57 S58 L49 L48 L7* L7* L50*
Balance
When
Mod/ Extension per Effective Sent to Balance at the
Prospectus Extension Docs or Date of Special Effective Date of Old
ID City State Flag Servicer Modification Servicer Modification Rate
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
THIS REPORT IS HISTORICAL
-----------------------------------------------------------------------------------------------------------------------------------
Information is as of modification. Each line should not change in the future. Only new modifications should be added.
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL FOR ALL LOANS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
*The information in these columns is from a particular point in time and should not change on this report once assigned.
-----------------------------------------------------------------------------------------------------------------------------------
Future modifications done on the same loan are additions to the report.
-----------------------------------------------------------------------------------------------------------------------------------
(1) Actual principal loss taken by bonds
-----------------------------------------------------------------------------------------------------------------------------------
(2) Expected future loss due to a rate reduction. This is just an estimate calculated at the time of the modification.
-----------------------------------------------------------------------------------------------------------------------------------
L50* L25* L25* L11* L11* L47
(2) Est.
Future
Interest
Total # (1) Loss to
# Mths Mths for Realized Trust $
for Rate New New Old New Change Loss to (Rate
Change Rate Old P&I P&I Maturity Maturity of Mod Trust $ Reduction) Comment
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
THIS REPORT IS HISTORICAL
-----------------------------------------------------------------------------------------------------------------------------------
Information is as of modification. Each line should not change in the future. Only new modifications should be added.
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL FOR ALL LOANS:
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
*The information in these columns is from a particular point in time and should not change on this report once assigned.
-----------------------------------------------------------------------------------------------------------------------------------
Future modifications done on the same loan are additions to the report.
-----------------------------------------------------------------------------------------------------------------------------------
(1) Actual principal loss taken by bonds
-----------------------------------------------------------------------------------------------------------------------------------
(2) Expected future loss due to a rate reduction. This is just an estimate calculated at the time of the modification.
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX F
FORM OF HISTORICAL LIQUIDATION REPORT
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX F
CMSA INVESTOR REPORTING PACKAGE
HISTORICAL LIQUIDATION REPORT
(REO-SOLD, DISCOUNTED PAYOFF OR NOTE SALE)
AS OF ____________
(LOAN LEVEL REPORT)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
S4 S55 S61 S57 S58 L75 L29 L45
---------------------------------------------------------------------------------------------------------------------------------
(c)=b/a (a) (b) (d)
---------------------------------------------------------------------------------------------------------------------------------
% LATEST
RECEIVED APPRAISAL EFFECTIVE NET AMT
PROSPECTUS PROPERTY PROPERTY FROM OR BROKERS DATE OF SALES RECEIVED
LOAN ID NAME TYPE CITY STATE LIQUIDATION OPINION LIQUIDATION PRICE FROM SALE
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
THIS REPORT IS HISTORICAL
---------------------------------------------------------------------------------------------------------------------------------
All information is from the liquidation date and does not need to be updated.
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
TOTAL ALL LOANS:
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
CURRENT MONTH ONLY:
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
(h) Servicing Fee Expense includes fees such as Liquidation or Disposition fees charged by the Special Servicer.
---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
S4 L7 L37 L39+L38 L47
--------------------------------------------------------------------------------------------------------------------------------
(e) (f) (g) (h) (i)=d-(f+g+h) (k) (m)
--------------------------------------------------------------------------------------------------------------------------------
TOTAL T&I
AND OTHER DATE
ENDING TOTAL P&I EXPENSES SERVICING LOSS
PROSPECTUS SCHEDULED ADVANCE ADVANCE FEES REALIZED PASSED MINOR ADJ
LOAN ID BALANCE OUTSTANDING OUTSTANDING EXPENSE NET PROCEEDS LOSS THRU TO TRUST
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------
<CAPTION>
------------------------------------------------------------
S4
------------------------------------------------------------
(n)=k+m (o)=n/e
------------------------------------------------------------
DATE OF
MINOR
ADJ TOTAL LOSS LOSS % OF
PROSPECTUS PASSED WITH SCHEDULED
LOAN ID THRU ADJUSTMENT BALANCE
------------------------------------------------------------
<S> <C> <C> <C>
------------------------------------------------------------
------------------------------------------------------------
------------------------------------------------------------
------------------------------------------------------------
------------------------------------------------------------
------------------------------------------------------------
------------------------------------------------------------
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY BLANK.]
<PAGE>
ANNEX G
FORM OF REO STATUS REPORT
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX G
CMSA INVESTOR REPORTING PACKAGE
REO STATUS REPORT
AS OF ____________
(PROPERTY LEVEL REPORT)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
Operating Information Reflected As NOI_____ or NCF _____
-----------------------------------------------------------------------------------------------------------------------------------
P16
OR
P4 P7 P13 P9 P10 P17 L8 P21 L37 L39 L38
-----------------------------------------------------------------------------------------------------------------------------------
(a) (b) (c) (d)
-----------------------------------------------------------------------------------------------------------------------------------
ALLOCATED
ENDING OTHER
SQ FT PAID SCHEDULED TOTAL P&I EXPENSE TOTAL T&I
PROPERTY PROPERTY PROPERTY OR TRHU LOAN ADVANCE ADVANCE ADVANCE
ID NAME TYPE CITY STATE UNITS DATE AMOUNT OUTSTANDING OUTSTANDING OUTSTANDING
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
REO's data reflected at the property level for relationships with more than one (1) property should use the Allocated Ending
Scheduled Loan Amount, and prorate all advances and expenses or other loan level data as appropriate
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
(1) Use the following codes; App. - Appraisal, BPO - Brokers Opinion, Int - Internal Value.
-----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------------
P58 OR
P72/P79
P4 L25 L11 P53 OR P74 OR P83 P24 P25
---------------------------------------------------------------------------------------------------------------------------------
(e)=a+b+c+d (f) (g) (h)=(.90*g)-e
---------------------------------------------------------------------------------------------------------------------------------
APPRAISAL
BPO OR
INTERNAL APPRAISAL
CURRENT LTM LTM VALUE BPO OR LOSS USING
PROPERTY TOTAL MONTHLY MATURITY NOI/NCF DSCR VALUATION SOURCE INTERNAL 90% APPR. OR
ID EXPOSURE P&I DATE DATE (NOI/NCF) DATE (1) VALUE BPO(F)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------------------------
P4 L99 L77 P28 P26
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
DATE
TOTAL ASSET
APPRAISAL REO EXPECTED
PROPERTY REDUCTION TRANSFER ACQUISITION TO BE
ID REALIZED DATE DATE RESOLVED COMMENTS
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY BLANK.]
<PAGE>
ANNEX H
FORM OF SERVICER WATCH LIST
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX H
CMSA INVESTOR REPORTING PACKAGE
SERVICER WATCH LIST
AS OF _____________
(LOAN LEVEL REPORT)
Operating Information Reflected As NOI _____ or NCF _____
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------------
S4 S55 S61 S57 S58 L7 L8 L11 L56/L93 L70/L97
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PRECEDING MOST
ENDING PAID FISCAL YR RECENT
PROSPECTUS PROPERTY PROPERTY SCHEDULED THRU MATURITY DSCR DSCR
LOAN ID NAME TYPE CITY STATE LOAN BALANCE DATE DATE NOI/NCF NOI/NCF COMMENT/ACTION TO BE TAKEN
---------------------------------------------------------------------------------------------------------------------------------
List all loans on watch list in descending balance order.
Comment section should include reason and other pertinent information.
Should not include loans that are specially serviced.
WATCH LIST SELECTION CRITERIA SHOULD BE FOOTNOTED ON THE REPORT. THE CRITERIA MAY BE DICTATED AS PER THE PSA OR THE
SERVICER'S INTERNAL POLICY.
Total: $
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX I
FORM OF OPERATING STATEMENT ANALYSIS REPORT
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX I
COMMERCIAL OPERATING STATEMENT ANALYSIS REPORT
(includes Retail/Office/Industrial/Warehouse/Mixed Use/Self Storage)
AS OF MM/DD/YY
<TABLE>
<CAPTION>
<S> <C>
===================================================================================================================
PROPERTY OVERVIEW
-------------
PROSPECTUS ID
------------------------------------
Current Scheduled Loan Balance/Paid to Date Current Allocated Loan Amount %
----------------------------------------------------------------------
Property Name
----------------------------------------------------------------------
Property Type
----------------------------------------------------------------------
Property Address, City, State
----------------------------------------------------------------------
Net Rentable SF/Units/Pads, Beds Use second box to specify sqft., units...
-------------------------
Year Built/Year Renovated
-------------------------
Cap Ex Reserve (anually)/per Unit. etc. (1) specify annual/per unit...
---------------------------------------------------------
Year of Operations UNDERWRITING MM/DD/YY MM/DD/YY MM/DD/YY MM/DD/YY
---------------------------------------------------------
Occupancy Rate (physical)
---------------------------------------------------------
Occupancy Date
---------------------------------------------------------
Average Rental Rate
---------------------------------------------------------
(1) Total $ amount of Capital Reserves required annually by loan
documents, excl. Leasing Commission and TI's
===================================================================================================================
INCOME:
----------------------------------------------------------------------------------------------
Number of Mos. Covered (prcdng yr to base)(prcdng yr to 2nd prcdng)
----------------------------------------------------------------------------------------------
Period Ended UNDERWRITING 3RD PRECEDING 2ND PRECEDING PRECEDING YR. TTM/YTD(2) YYY-U/W YYYY-YYYY
Statement Classification(yr) BASE LINE (fm NOI Adj Sheet) as of / /XX Variance Variance
----------------------------------------------------------------------------------------------
Gross Potential Rent (3)
----------------------------------------------------------------------------------------------
Less: Vacancy Loss
----------------------------------------------------------------------------------------------
OR
----------------------------------------------------------------------------------------------
Base Rent (3)
----------------------------------------------------------------------------------------------
Expense Reimbursement
----------------------------------------------------------------------------------------------
Percentage Rent
----------------------------------------------------------------------------------------------
Parking Income
----------------------------------------------------------------------------------------------
Other Income
----------------------------------------------------------------------------------------------
*EFFECTIVE GROSS INCOME
----------------------------------------------------------------------------------------------
(2) Servicer will not be expected to "Normalize" these YTD/TTM numbers.
(3) Use either Gross Potential (with Vacancy Loss) or Base Rents; use negative
$amt for Vacancy Loss
OPERATING EXPENSES:
----------------------------------------------------------------------------------------------
Real Estate Taxes
----------------------------------------------------------------------------------------------
Property Insurance
----------------------------------------------------------------------------------------------
Utilities
----------------------------------------------------------------------------------------------
Repairs and Maintenance
----------------------------------------------------------------------------------------------
Janitorial
----------------------------------------------------------------------------------------------
Management Fees
----------------------------------------------------------------------------------------------
Payroll & Benefits
----------------------------------------------------------------------------------------------
Advertising & Marketing
----------------------------------------------------------------------------------------------
Professional fees
----------------------------------------------------------------------------------------------
General and Administrative
----------------------------------------------------------------------------------------------
Other Expenses
----------------------------------------------------------------------------------------------
Ground Rent
----------------------------------------------------------------------------------------------
*TOTAL OPERATING EXPENSES
----------------------------------------------------------------------------------------------
OPERATING EXPENSE RATIO
----------------------------------------------------------------------------------------------
*NET OPERATING INCOME
----------------------------------------------------------------------------------------------
Leasing Commissions
----------------------------------------------------------------------------------------------
Tenant Improvements
----------------------------------------------------------------------------------------------
Capital Expenditures
----------------------------------------------------------------------------------------------
Extraordinary Capital Expenditures
----------------------------------------------------------------------------------------------
TOTAL CAPITAL ITEMS
----------------------------------------------------------------------------------------------
*NET CASH FLOW
----------------------------------------------------------------------------------------------
DEBT SERVICE (PER SERVICER)
----------------------------------------------------------------------------------------------
*NET CASH FLOW AFTER DEBT SERVICE
----------------------------------------------------------------------------------------------
*DSCR: (NOI/DEBT SERVICE)
----------------------------------------------------------------------------------------------
*DSCR: (NCF/DEBT SERVICE)
----------------------------------------------------------------------------------------------
SOURCE OF FINANCIAL DATA:
----------------------------------------------------------------------------------------------
(ie. operating statements, financial statements, tax return, other)
------------------------------------------------------------------------------------------------------------------------------------
NOTES AND ASSUMPTIONS: Year above will roll, always showing a 3yr sequential history. Comments from the most recent NOI Adjustment
Worksheet should be carried forward to Operating Statement Analysis Report. Year-over-year variances (either higher or lower) must
be explained and noted for the following: >10% DSCR CHANGE, >15% EGI/TOTAL OPERATING EXPENSES OR TOTAL CAPITAL ITEMS.
INCOME: COMMENTS
EXPENSE: COMMENTS
CAPITAL ITEMS: COMMENTS
* Used in the CMSA Comparative Financial Status Report/CMSA Property File/CMSA Loan Periodic Update File. Note that information for
multiple property loans must be consolidated (if available) for reporting to the CMSA Loan Periodic Update file.
</TABLE>
<PAGE>
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<PAGE>
ANNEX J
FORM OF NOI ADJUSTMENT WORKSHEET
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX J
COMMERCIAL NOI ADJUSTMENT WORKSHEET
(includes Retail/Office/Industrial/Warehouse/Mixed Use/Self Storage)
AS OF MM/DD/YY
<TABLE>
<CAPTION>
<S> <C>
===================================================================================================================
PROPERTY OVERVIEW
-------------
PROSPECTUS ID
------------------------------------
Current Scheduled Loan Balance/Paid to Date Current Allocated Loan Amount %
------------------------------------
Property Name
------------------------------------
Property Type
------------------------------------
Property Address, City, State
------------------------------------
Net Rentable SF/Units/Pads, Beds Use second box to specify sqft., units...
-------------------------
Year Built/Year Renovated
-------------------------
Cap Ex Reserve (anually)/per Unit etc. (1) specify annual/per unit...
-------------------------
Year of Operations
-------------
Occupancy Rate (physical)
-------------
Occupancy Date
-------------
Average Rental Rate
-------------
(1) Total $ amount of Capital Reserves required annually by loan
documents, excl. Leasing Commission and TI's
===================================================================================================================
YYY NOTES
BORROWER ADJUSTMENT NORMALIZED
ACTUAL
INCOME:
----------------------------------------------------------------------------------------------
Statement Classification
----------------------------------------------------------------------------------------------
Gross Potential Rent (2)
----------------------------------------------------------------------------------------------
Less: Vacancy Loss
----------------------------------------------------------------------------------------------
OR
----------------------------------------------------------------------------------------------
Base Rent (2)
----------------------------------------------------------------------------------------------
Expense Reimbursement
----------------------------------------------------------------------------------------------
Percentage Rent
----------------------------------------------------------------------------------------------
Parking Income
----------------------------------------------------------------------------------------------
Other Income
----------------------------------------------------------------------------------------------
EFFECTIVE GROSS INCOME
----------------------------------------------------------------------------------------------
(2) Use either Gross Potential (with Vacancy Loss) or Base Rents; use negative
$amt for Vacancy Loss
OPERATING EXPENSES:
----------------------------------------------------------------------------------------------
Real Estate Taxes
----------------------------------------------------------------------------------------------
Property Insurance
----------------------------------------------------------------------------------------------
Utilities
----------------------------------------------------------------------------------------------
Repairs and Maintenance
----------------------------------------------------------------------------------------------
Janitorial
----------------------------------------------------------------------------------------------
Management Fees
----------------------------------------------------------------------------------------------
Payroll & Benefits Expense
----------------------------------------------------------------------------------------------
Advertising & Marketing
----------------------------------------------------------------------------------------------
Professional fees
----------------------------------------------------------------------------------------------
General and Administrative
----------------------------------------------------------------------------------------------
Other Expenses
----------------------------------------------------------------------------------------------
Ground Rent
----------------------------------------------------------------------------------------------
TOTAL OPERATING EXPENSES
----------------------------------------------------------------------------------------------
OPERATING EXPENSE RATIO
----------------------------------------------------------------------------------------------
NET OPERATING INCOME
----------------------------------------------------------------------------------------------
Leasing Commissions (3)
----------------------------------------------------------------------------------------------
Tenant Improvements (3)
----------------------------------------------------------------------------------------------
Capital Expenditures
----------------------------------------------------------------------------------------------
Extraordinary Capital Expenditures
----------------------------------------------------------------------------------------------
TOTAL CAPITAL ITEMS
----------------------------------------------------------------------------------------------
(3) Actual current yr, but normalize for annual if possible via contractual, U/W or other data
----------------------------------------------------------------------------------------------
NET CASH FLOW
----------------------------------------------------------------------------------------------
DEBT SERVICE (PER SERVICER)
----------------------------------------------------------------------------------------------
NET CASH FLOW AFTER DEBT SERVICE
----------------------------------------------------------------------------------------------
DSCR: (NOI/DEBT SERVICE)
----------------------------------------------------------------------------------------------
DSCR: (NCF/DEBT SERVICE)
----------------------------------------------------------------------------------------------
SOURCE OF FINANCIAL DATA:
----------------------------------------------------------------------------------------------
(ie. operating statements, financial statements, tax return, other)
------------------------------------------------------------------------------------------------------------------------------------
NOTES AND ASSUMPTIONS: This report should be completed annually for "Normalization" of Borrower's numbers. Methodology used is per
MBA/CMSA Standard Methodology unless otherwise noted. The "Normalized" column and corresponding comments should roll through to the
Operating Statement Analysis Report.
INCOME: COMMENTS
EXPENSE: COMMENTS
CAPITAL ITEMS: COMMENTS
</TABLE>
<PAGE>
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<PAGE>
ANNEX K
FORM OF LOAN PAYMENT NOTIFICATION REPORT
<PAGE>
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<PAGE>
ANNEX K
CSSA STANDARD INFORMATION PACKAGE - DRAFT
LOAN PAYMENT NOTIFICATION REPORT
AS OF ______________
<TABLE>
<CAPTION>
S4 S55 S61 S58 P7 P8 P10 P11 P93 P97
----------------------------------------------------------------------------------------------------------------------------------
SHORT NAME PAID PRECEDING MOST
PROSPECTUS ID (WHEN PROPERTY TYPE STATE SCHEDULED THRU CURRENT MATURITY FISCAL YR RECIENT
APPROPRIATE) LOAN BALANCE DATE INTEREST RATE DATE DSCR DSCR
NCF NCF
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Scheduled Payments
Unscheduled Payments
Total: $
</TABLE>
SERVICER ESTIMATED INFORMATION
--------------------------------------------------------------
EXPECTED EXPECTED
YIELD PAYMENT DISTRIBUTION
MAINTENANCE DATE DATE
--------------------------------------------------------------
THE BORROWER HAS ONLY REQUESTED THE INFORMATION TO PAY-OFF. THIS DOES NOT
INDICATE A DEFINITE PAYMENT.
<PAGE>
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<PAGE>
ANNEX L
FORM OF COMPARATIVE FINANCIAL STATUS REPORT
<PAGE>
{THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
ANNEX L
CMSA INVESTOR REPORTING PACKAGE
COMPARATIVE FINANCIAL STATUS REPORT
as of
( Property Level Report )
Operating Information Reflected As NOI ___or NCF ___
P4 P9 P10 P52 P21 L8 P57
Last Current Allocated
Property Allocated Paid Annual
Property Inspection Loan Thru Debt
ID City State Date Amount Date Service
yyyymmdd
List all properties currently in deal with or without information
largest to smallest loan
This report should reflect the information provided in the CMSA Property File
and CMSA Loan Periodic Update File
Total $ $
P44 P51 P45 P47 or P76 P48 or P77
ORIGINAL UNDERWRITING
INFORMATION
BASE YEAR
Financial
Info as of % Total $ (1)
Date Occ Revenue NOI/NCF DSCR
yyyymmdd
Total: **WA $ $ WA
P60 P66 P61 P63 or P80 P65 or P61
2ND PRECEDING ANNUAL OPERATING
INFORMATION
as of ___
Financial
Info as of % Total $ (1)
Date Occ Revenue NOI/NCF DSCR
yyyymmdd
WA $ $ WA
P53 P59 P54 P56 or P78 P58 or P79
PRECEDING ANNUAL OPERATING
INFORMATION
AS OF ___ NORMALIZED
Financial
Info as of % Total $ (1)
Date Occ Revenue NOI/NCF DSCR
yyyymmdd
WA $ $ WA
P73 P74 P30 P29 P68 P70 or P82 P72 or P83
MOST RECENT FINANCIAL
INFORMATION
*NORMALIZED OR ACTUAL
FS Start FS End Occ As of % Total $ (1)
Date Date Date Occ Revenue NOI/NCF DSCR
yyyymmdd yyyymmdd yyyymmdd
WA $ $ WA
(2)
NET CHARGE
PRECEDING & BASIS
%
% Total (1)
Occ Revenue DSCR
WA $ WA
(1) DSCR should match to Operating Statement Analysis Report and is normally
calculated using NOI or NCF / Debt Service times the allocated loan
percentage.
(2) Net change should compare the latest year to the Base Year.
* As required by Trust Agreements.
** Weighted Averages should be computed and reflected if the data is relevant
and applicable.
<PAGE>
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<PAGE>
PROSPECTUS
STRUCTURED ASSET SECURITIES CORPORATION, THE DEPOSITOR
MORTGAGE PASS-THROUGH CERTIFICATES, ISSUABLE IN SERIES
Our name is Structured Asset Securities Corporation. We intend to offer
from time to time mortgage pass-through certificates. These offers may be made
through one or more different methods, including offerings through
underwriters. We do not currently intend to list the offered certificates of
any series on any national securities exchange or the NASDAQ stock market. See
"Method of Distribution."
<TABLE>
<CAPTION>
THE OFFERED CERTIFICATES: THE TRUST ASSETS:
<S> <C>
The offered certificates will be issuable in The assets of each of our
series. Each series of offered certificates will-- trusts will include--
o mortgage loans secured by first and junior
o have its own series designation, liens on, or security interests in, various
interests in commercial and multifamily
o consist of one or more classes with vari- real properties,
ous payment characteristics,
o mortgage-backed securities that directly
o evidence beneficial ownership interests in or indirectly evidence interests in, or are
a trust established by us, and directly or indirectly secured by, those
o be payable solely out of the related trust types of mortgage loans, or
assets.
o some combination of those types of
mortgage loans and mortgage-backed
No governmental agency or instrumentality securities.
will insure or guarantee payment on the of-
fered certificates. Neither we nor any of our Trust assets may also include letters of credit,
affiliates are responsible for making payments surety bonds, insurance policies, guarantees,
on the offered certificates if collections on the credit derivatives, reserve funds, guaranteed
related trust assets are insufficient. investment contracts, interest rate exchange
agreements, interest rate cap or floor agreements,
currency exchange agreements, or other similar
instruments and agreements.
</TABLE>
In connection with each offering, we will prepare a supplement to this
prospectus in order to describe in more detail the particular certificates
being offered and the related trust assets. In that document, we will also
state the price to the public for each class of offered certificates or explain
the method for determining that price. In that document, we will also identify
the applicable lead or managing underwriter(s), if any, and provide information
regarding the relevant underwriting arrangements and the underwriters'
compensation. You may not purchase the offered certificates of any series
unless you have also received the prospectus supplement for that series.
YOU SHOULD CAREFULLY CONSIDER THE RISK FACTORS BEGINNING ON PAGE 12 IN
THIS PROSPECTUS, AS WELL AS THOSE SET FORTH IN THE RELATED PROSPECTUS
SUPPLEMENT, PRIOR TO INVESTING. NEITHER THE SECURITIES AND EXCHANGE
COMMISSION NOR ANY STATE SECURITIES COMMISSION HAS APPROVED OR DISAPPROVED
OF THE OFFERED CERTIFICATES OR PASSED UPON THE ADEQUACY OR ACCURACY OF THIS
PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
The date of this prospectus is September 11, 2000.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
IMPORTANT NOTICE ABOUT THE INFORMATION PRESENTED IN THIS
PROSPECTUS ............................................... 3
AVAILABLE INFORMATION; INCORPORATION BY REFERENCE ......... 3
SUMMARY OF PROSPECTUS ..................................... 4
RISK FACTORS .............................................. 12
CAPITALIZED TERMS USED IN THIS PROSPECTUS ................. 29
DESCRIPTION OF THE TRUST ASSETS ........................... 29
YIELD AND MATURITY CONSIDERATIONS ......................... 51
STRUCTURED ASSET SECURITIES CORPORATION ................... 56
DESCRIPTION OF THE CERTIFICATES ........................... 57
DESCRIPTION OF THE GOVERNING DOCUMENTS .................... 66
DESCRIPTION OF CREDIT SUPPORT ............................. 74
LEGAL ASPECTS OF MORTGAGE LOANS ........................... 76
FEDERAL INCOME TAX CONSEQUENCES ........................... 87
STATE AND OTHER TAX CONSEQUENCES .......................... 125
ERISA CONSIDERATIONS ...................................... 125
LEGAL INVESTMENT .......................................... 129
USE OF PROCEEDS ........................................... 130
METHOD OF DISTRIBUTION .................................... 130
LEGAL MATTERS ............................................. 132
FINANCIAL INFORMATION ..................................... 132
RATING .................................................... 132
GLOSSARY .................................................. 133
</TABLE>
2
<PAGE>
IMPORTANT NOTICE ABOUT THE INFORMATION PRESENTED IN THIS PROSPECTUS
When deciding whether to invest in any of the offered certificates, you
should only rely on the information contained in this prospectus and the
related prospectus supplement. We have not authorized any dealer, salesman or
other person to give any information or to make any representation that is
different. In addition, information in this prospectus or any related
prospectus supplement is current only as of the date on its cover. By delivery
of this prospectus and any related prospectus supplement, we are not offering
to sell any securities, and are not soliciting an offer to buy any securities,
in any state where the offer and sale is not permitted.
AVAILABLE INFORMATION; INCORPORATION BY REFERENCE
We have filed with the SEC a registration statement under the Securities
Act of 1933, as amended, with respect to the certificates offered by this
prospectus. This prospectus forms a part of the registration statement. This
prospectus and the related prospectus supplement do not contain all of the
information with respect to an offering that is contained in the registration
statement. For further information regarding the documents referred to in this
prospectus and the related prospectus supplement, you should refer to the
registration statement and its exhibits. You can inspect the registration
statement and its exhibits, and make copies of these documents at prescribed
rates, at the public reference facilities maintained by the SEC at its Public
Reference Section, 450 Fifth Street, N.W., Washington, D.C. 20549, and at its
Regional Offices located as follows: Chicago Regional Office, 500 West Madison,
14th Floor, Chicago, Illinois 60661; and New York Regional Office, Seven World
Trade Center, New York, New York 10048. You can also obtain copies of these
materials electronically through the SEC's Web site (http://www.sec.gov).
In connection with each series of offered certificates, we will file or
arrange to have filed with the SEC with respect to the related trust any
periodic reports that are required under the Securities Exchange Act of 1934,
as amended. All documents and reports that are so filed for the related trust
prior to the termination of an offering of certificates are incorporated by
reference into, and should be considered a part of, this prospectus. Upon
request, we will provide without charge to each person receiving this
prospectus in connection with an offering, a copy of any or all documents or
reports that are so incorporated by reference. All requests should be directed
to us in writing at 200 Vesey Street, New York, New York 10285, attention:
Secretary, or by telephone at 212-526-7000.
3
<PAGE>
SUMMARY OF PROSPECTUS
This summary contains selected information from this prospectus. It does
not contain all of the information you need to consider in making your
investment decision. TO UNDERSTAND ALL OF THE TERMS OF A PARTICULAR OFFERING OF
CERTIFICATES, YOU SHOULD READ CAREFULLY THIS PROSPECTUS AND THE RELATED
PROSPECTUS SUPPLEMENT IN FULL.
WHO WE ARE.................. Structured Asset Securities Corporation is a
Delaware corporation. Our principal offices are
located at 200 Vesey Street, New York, New York
10285. Our main telephone number is 212-526-7000.
See "Structured Asset Securities Corporation."
THE SECURITIES
BEING OFFERED............... The securities that will be offered by this
prospectus and the related prospectus supplements
consist of mortgage pass-through certificates.
These certificates will be issued in series, and
each series will, in turn, consist of one or more
classes. Each class of offered certificates must,
at the time of issuance, be assigned an
investment grade rating by at least one
nationally recognized statistical rating
organization. Typically, the four highest rating
categories, within which there may be
sub-categories or gradations to indicate relative
standing, signify investment grade. See "Rating."
Each series of offered certificates will
evidence beneficial ownership interests in a
trust established by us and containing the
assets described in this prospectus and the
related prospectus supplement.
THE OFFERED CERTIFICATES MAY BE
ISSUED WITH
OTHER CERTIFICATES.......... We may not publicly offer all the mortgage
pass-through certificates evidencing interests in
one of our trusts. We may elect to retain some of
those certificates, to place some privately with
institutional investors or to deliver some to the
applicable seller as partial consideration for
the related mortgage assets. In addition, some of
those certificates may not satisfy the rating
requirement for offered certificates described
under "--The Securities Being Offered" above.
THE GOVERNING DOCUMENTS..... In general, a pooling and servicing agreement
or other similar agreement or collection of
agreements will govern, among other things--
o the issuance of each series of offered
certificates,
o the creation of and transfer of assets to
the related trust, and
o the servicing and administration of those
assets.
The parties to the governing document(s) for a
series of offered certificates will always
include us and a trustee. We will be responsible
for establishing the trust relating to each
series of offered certificates. In addition, we
will transfer or arrange for the transfer of the
initial trust assets to that trust. In general,
the trustee for a series of offered certificates
will be responsible for, among other things,
making payments and preparing and
4
<PAGE>
disseminating various reports to the holders of
those offered certificates.
If the trust assets for a series of offered
certificates include mortgage loans, the parties
to the governing document(s) will also include--
o a master servicer that will generally be
responsible for performing customary servicing
duties with respect to those mortgage loans
that are not defaulted, nonperforming or
otherwise problematic in any material respect,
and
o a special servicer that will generally be
responsible for servicing and administering
those mortgage loans that are defaulted,
nonperforming or otherwise problematic in any
material respect and real estate assets
acquired as part of the related trust with
respect to defaulted mortgage loans.
The same person or entity, or affiliated
entities, may act as both master servicer and
special servicer for any trust.
If the trust assets for a series of offered
certificates include mortgage-backed securities,
the parties to the governing document(s) may
also include a manager that will be responsible
for performing various administrative duties
with respect to those mortgage-backed
securities. If the related trustee assumes those
duties, however, there will be no manager.
In the related prospectus supplement, we will
identify the trustee and any master servicer,
special servicer or manager for each series of
offered certificates and will describe their
respective duties in further detail. See
"Description of the Governing Documents."
CHARACTERISTICS OF THE
MORTGAGE ASSETS............ The trust assets with respect to any series of
offered certificates will, in general, include
mortgage loans. Each of those mortgage loans will
constitute the obligation of one or more persons
to repay a debt. The performance of that
obligation will be secured by a first or junior
lien on, or security interest in, the ownership,
leasehold or other interest(s) of the related
borrower or another person in or with respect to
one or more commercial or multifamily real
properties. In particular, those properties may
include:
o rental or cooperatively-owned buildings with
multiple dwelling units;
o retail properties related to the sale of
consumer goods and other products, or related
to providing entertainment, recreational or
personal services, to the general public;
o office buildings;
o hospitality properties;
o casino properties;
5
<PAGE>
o health care-related facilities;
o industrial facilities;
o warehouse facilities, mini-warehouse
facilities and self-storage facilities;
o restaurants, taverns and other establishments
involved in the food and beverage industry;
o manufactured housing communities, mobile home
parks and recreational vehicle parks;
o recreational and resort properties;
o arenas and stadiums;
o churches and other religious facilities;
o parking lots and garages;
o mixed use properties;
o other income-producing properties; and
o unimproved land.
The mortgage loans underlying a series of
offered certificates may have a variety of
payment terms. For example, any of those
mortgage loans--
o may provide for the accrual of interest at a
mortgage interest rate that is fixed over its
term, that resets on one or more specified
dates or that otherwise adjusts from time to
time;
o may provide for the accrual of interest at a
mortgage interest rate that may be converted
at the borrower's election from an adjustable
to a fixed interest rate or from a fixed to an
adjustable interest rate;
o may provide for no accrual of interest;
o may provide for level payments to stated
maturity, for payments that reset in amount on
one or more specified dates or for payments
that otherwise adjust from time to time to
accommodate changes in the mortgage interest
rate or to reflect the occurrence of specified
events;
o may be fully amortizing or, alternatively, may
be partially amortizing or nonamortizing, with
a substantial payment of principal due on its
stated maturity date;
o may permit the negative amortization or
deferral of accrued interest;
o may prohibit some or all voluntary prepayments
or require payment of a premium, fee or charge
in connection with those prepayments;
o may permit defeasance and the release of real
property collateral in connection with that
defeasance;
6
<PAGE>
o may provide for payments of principal,
interest or both, on due dates that occur
monthly, bi-monthly, quarterly, semi-annually,
annually or at some other interval; and/or
o may have two or more component parts, each
having characteristics that are otherwise
described in this prospectus as being
attributable to separate and distinct mortgage
loans.
Most, if not all, of the mortgage loans
underlying a series of offered certificates will
be secured by liens on real properties located
in the United States, its territories and
possessions. However, some of those mortgage
loans may be secured by liens on real properties
located outside the United States, its
territories and possessions, provided that
foreign mortgage loans do not represent more
than 10% of the related mortgage asset pool, by
balance.
We do not originate mortgage loans. However,
some or all of the mortgage loans included in
one of our trusts may be originated by our
affiliates.
Neither we nor any of our affiliates will
guarantee or insure repayment of any of the
mortgage loans underlying a series of offered
certificates. Unless we expressly state
otherwise in the related prospectus supplement,
no governmental agency or instrumentality will
guarantee or insure repayment of any of the
mortgage loans underlying a series of offered
certificates. See "Description of the Trust
Assets--Mortgage Loans."
The trust assets with respect to any series of
offered certificates may also include mortgage
participations, mortgage pass-through
certificates, collateralized mortgage
obligations and other mortgage-backed
securities, that evidence an interest in, or are
secured by a pledge of, one or more mortgage
loans of the type described above. We will not
include a mortgage-backed security among the
trust assets with respect to any series of
offered certificates unless--
o the security has been registered under the
Securities Act of 1933, as amended, or
o we would be free to publicly resell the
security without registration.
See "Description of the Trust
Assets--Mortgage-Backed Securities."
We will describe the specific characteristics of
the mortgage assets underlying a series of
offered certificates in the related prospectus
supplement.
In general, the total outstanding principal
balance of the mortgage assets transferred by us
to any particular trust will equal or exceed the
initial total outstanding principal balance of
the related series of certificates. In the event
that the total outstanding principal balance of
the related mortgage assets initially delivered
by us to the related trustee is less than the
7
<PAGE>
initial total outstanding principal balance of
any series of certificates, we may deposit or
arrange for the deposit of cash or liquid
investments on an interim basis with the related
trustee to cover the shortfall. For 90 days
following the date of initial issuance of that
series of certificates, we will be entitled to
obtain a release of the deposited cash or
investments if we deliver or arrange for
delivery of a corresponding amount of mortgage
assets. If we fail, however, to deliver mortgage
assets sufficient to make up the entire
shortfall, any of the cash or, following
liquidation, investments remaining on deposit
with the related trustee will be used by the
related trustee to pay down the total principal
balance of the related series of certificates,
as described in the related prospectus
supplement.
SUBSTITUTION, ACQUISITION AND
REMOVAL OF
MORTGAGE ASSETS............. If so specified in the related prospectus
supplement, we or another specified person or
entity may be permitted, at our or its option,
but subject to the conditions specified in that
prospectus supplement, to acquire from the
related trust particular mortgage assets
underlying a series of certificates in exchange
o cash that would be applied to pay down the
principal balances of certificates of that
series; and/or
o other mortgage loans or mortgage-backed
securities that--
1. conform to the description of mortgage
assets in this prospectus, and
2. satisfy the criteria set forth in the
related prospectus supplement.
In addition, if so specified in the related
prospectus supplement, the related trustee may
be authorized or required, to apply collections
on the mortgage assets underlying a series of
offered certificates to acquire new mortgage
loans or mortgage-backed securities that--
1. conform to the description of mortgage
assets in this prospectus, and
2. satisfy the criteria set forth in the
related prospectus supplement.
No replacement of mortgage assets or acquisition
of new mortgage assets will be permitted if it
would result in a qualification, downgrade or
withdrawal of the then-current rating assigned
by any rating agency to any class of affected
offered certificates.
CHARACTERISTICS OF THE OFFERED
CERTIFICATES............... An offered certificate may entitle the holder
to receive:
o a stated principal amount;
8
<PAGE>
o interest on a principal balance or notional
amount, at a fixed, variable or adjustable
pass-through rate;
o specified, fixed or variable portions of the
interest, principal or other amounts received
on the related mortgage assets;
o payments of principal, with disproportionate,
nominal or no payments of interest;
o payments of interest, with disproportionate,
nominal or no payments of principal;
o payments of interest or principal that
commence only as of a specified date or only
after the occurrence of specified events, such
as the payment in full of the interest and
principal outstanding on one or more other
classes of certificates of the same series;
o payments of principal to be made, from time to
time or for designated periods, at a rate that
is--
1. faster and, in some cases, substantially
faster, or
2. slower and, in some cases, substantially
slower,
than the rate at which payments or other
collections of principal are received on the
related mortgage assets;
o payments of principal to be made, subject to
available funds, based on a specified
principal payment schedule or other
methodology; or
o payments of all or part of the prepayment or
repayment premiums, fees and charges, equity
participations payments or other similar items
received on the related mortgage assets.
Any class of offered certificates may be senior
or subordinate to one or more other classes of
certificates of the same series, including a
non-offered class of certificates of that
series, for purposes of some or all payments
and/or allocations of losses.
A class of offered certificates may have two or
more component parts, each having
characteristics that are otherwise described in
this prospectus as being attributable to
separate and distinct classes.
We will describe the specific characteristics of
each class of offered certificates in the
related prospectus supplement. See "Description
of the Certificates."
CREDIT SUPPORT AND REINVESTMENT,
INTEREST RATE AND CURRENCY
RELATED PROTECTION FOR THE
OFFERED CERTIFICATES....... Some classes of offered certificates may be
protected in full or in part against defaults and
losses, or select types of defaults and losses,
on the related mortgage assets through the
subordination of one or more other classes of
certificates of the same series or
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by other types of credit support. The other
types of credit support may include a letter of
credit, a surety bond, an insurance policy, a
guarantee, a credit derivative or a reserve
fund. We will describe the credit support, if
any, for each class of offered certificates in
the related prospectus supplement.
The trust assets with respect to any series of
offered certificates may also include any of the
following agreements:
o guaranteed investment contracts in accordance
with which moneys held in the funds and
accounts established with respect to those
offered certificates will be invested at a
specified rate;
o interest rate exchange agreements, interest
rate cap or floor agreements, or other
agreements and arrangements designed to reduce
the effects of interest rate fluctuations on
the related mortgage assets or on one or more
classes of those offered certificates; or
o currency exchange agreements or other
agreements and arrangements designed to reduce
the effects of currency exchange rate
fluctuations with respect to the related
mortgage assets and one or more classes of
those offered certificates.
We will describe the types of reinvestment,
interest rate and currency related protection,
if any, for each class of offered certificates
in the related prospectus supplement.
See "Risk Factors," "Description of the Trust
Assets" and "Description of Credit Support."
ADVANCES WITH RESPECT TO THE
MORTGAGE ASSETS............ If the trust assets for a series of offered
certificates include mortgage loans, then, as and
to the extent described in the related prospectus
supplement, the related master servicer, the
related special servicer, the related trustee,
any related provider of credit support and/or any
other specified person may be obligated to make,
or may have the option of making, advances with
respect to those mortgage loans to cover--
o delinquent scheduled payments of principal
and/or interest, other than balloon payments,
o property protection expenses,
o other servicing expenses, or
o any other items specified in the related
prospectus supplement.
Any party making advances will be entitled to
reimbursement from subsequent recoveries on the
related mortgage loan and as otherwise described
in this prospectus or the related prospectus
supplement. That party may also be entitled to
receive interest
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on its advances for a specified period. See
"Description of the Certificates--Advances."
If the trust assets for a series of offered
certificates include mortgage-backed securities,
we will describe in the related prospectus
supplement any comparable advancing obligations
with respect to those mortgage-backed securities
or the underlying mortgage loans.
OPTIONAL TERMINATION........ We will describe in the related prospectus
supplement any circumstances in which a specified
party is permitted or obligated to purchase or
sell any of the mortgage assets underlying a
series of offered certificates. In particular, a
master servicer, special servicer or other
designated party may be permitted or obligated to
purchase or sell--
o all the mortgage assets in any particular
trust, thereby resulting in a termination of
the trust, or
o that portion of the mortgage assets in any
particular trust as is necessary or sufficient
to retire one or more classes of offered
certificates of the related series.
See "Description of the Certificates--
Termination."
FEDERAL INCOME
TAX CONSEQUENCES.............. Any class of offered certificates will
constitute or evidence ownership of:
o regular interests or residual interests in a
real estate mortgage investment conduit under
Sections 860A through 860G of the Internal
Revenue Code of 1986; or
o regular interests in a financial asset
securitization investment trust within the
meaning of Section 860L(a) of the Internal
Revenue Code of 1986; or
o interests in a grantor trust under Subpart E
of Part I of Subchapter J of the Internal
Revenue Code of 1986.
See "Federal Income Tax Consequences."
ERISA CONSIDERATIONS........ If you are a fiduciary of an employee benefit
plan or other retirement plan or arrangement, you
should review with your legal advisor whether the
purchase or holding of offered certificates could
give rise to a transaction that is prohibited or
is not otherwise permissible under applicable
law. See "ERISA Considerations."
LEGAL INVESTMENT............ If your investment authority is subject to
legal restrictions, you should consult your legal
advisor to determine whether and to what extent
the offered certificates constitute a legal
investment for you. We will specify in the
related prospectus supplement which classes of
the offered certificates will constitute mortgage
related securities for purposes of the Secondary
Mortgage Market Enhancement Act of 1984, as
amended. See "Legal Investment."
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RISK FACTORS
You should consider the following factors, as well as the factors set
forth under "Risk Factors" in the related prospectus supplement, in deciding
whether to purchase offered certificates.
LACK OF LIQUIDITY WILL IMPAIR YOUR ABILITY TO SELL YOUR OFFERED CERTIFICATES
AND MAY HAVE AN ADVERSE EFFECT ON THE MARKET VALUE OF YOUR OFFERED CERTIFICATES
The offered certificates may have limited or no liquidity. We cannot
assure you that a secondary market for your offered certificates will develop.
There will be no obligation on the part of anyone to establish a secondary
market. Even if a secondary market does develop for your offered certificates,
it may provide you with less liquidity than you anticipated and it may not
continue for the life of your offered certificates.
We will describe in the related prospectus supplement the information that
will be available to you with respect to your offered certificates. The limited
nature of the information may adversely affect the liquidity of your offered
certificates.
We do not currently intend to list the offered certificates on any
national securities exchange or the NASDAQ stock market.
Lack of liquidity will impair your ability to sell your offered
certificates and may prevent you from doing so at a time when you may want or
need to. Lack of liquidity could adversely affect the market value of your
offered certificates. We do not expect that you will have any redemption rights
with respect to your offered certificates.
If you decide to sell your offered certificates, you may have to sell them
at a discount from the price you paid for reasons unrelated to the performance
of your offered certificates or the related mortgage assets. Pricing
information regarding your offered certificates may not be generally available
on an ongoing basis.
THE MARKET VALUE OF YOUR OFFERED CERTIFICATES MAY BE ADVERSELY AFFECTED BY
FACTORS UNRELATED TO THE PERFORMANCE OF YOUR OFFERED CERTIFICATES AND THE
UNDERLYING MORTGAGE ASSETS, SUCH AS FLUCTUATIONS IN INTEREST RATES AND THE
SUPPLY AND DEMAND OF CMBS GENERALLY
The market value of your offered certificates can decline even if those
certificates and the underlying mortgage assets are performing at or above your
expectations.
The market value of your offered certificates will be sensitive to
fluctuations in current interest rates. However, a change in the market value
of your offered certificates as a result of an upward or downward movement in
current interest rates may not equal the change in the market value of your
offered certificates as a result of an equal but opposite movement in interest
rates.
The market value of your offered certificates will also be influenced by
the supply of and demand for commercial mortgage-backed securities generally.
The supply of commercial mortgage-backed securities will depend on, among other
things, the amount of commercial and multifamily mortgage loans, whether newly
originated or held in portfolio, that are available for securitization. A
number of factors will affect investors' demand for commercial mortgage-backed
securities, including--
o the availability of alternative investments that offer higher yields or
are perceived as being a better credit risk, having a less volatile
market value or being more liquid,
o legal and other restrictions that prohibit a particular entity from
investing in commercial mortgage-backed securities or limit the amount or
types of commercial mortgage-backed securities that it may acquire,
o investors' perceptions regarding the commercial and multifamily real
estate markets, which may be adversely affected by, among other things, a
decline in real estate values or an increase in defaults and foreclosures
on mortgage loans secured by income-producing properties, and
o investors' perceptions regarding the capital markets in general, which
may be adversely affected by political, social and economic events
completely unrelated to the commercial and multifamily real estate
markets.
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If you decide to sell your offered certificates, you may have to sell at
discount from the price you paid for reasons unrelated to the performance of
your offered certificates or the related mortgage assets. Pricing information
regarding your offered certificates may not be generally available on an
ongoing basis.
PAYMENTS ON THE OFFERED CERTIFICATES WILL BE MADE SOLELY FROM THE LIMITED
ASSETS OF THE RELATED TRUST, AND THOSE ASSETS MAY BE INSUFFICIENT TO MAKE ALL
REQUIRED PAYMENTS ON THOSE CERTIFICATES
The offered certificates do not represent obligations of any person or
entity and do not represent a claim against any assets other than those of the
related trust. No governmental agency or instrumentality will guarantee or
insure payment on the offered certificates. In addition, neither we nor our
affiliates are responsible for making payments on the offered certificates if
collections on the related trust assets are insufficient. If the related trust
assets are insufficient to make payments on your offered certificates, no other
assets will be available to you for payment of the deficiency, and you will
bear the resulting loss. Any advances made by a master servicer or other party
with respect to the mortgage assets underlying your offered certificates are
intended solely to provide liquidity and not credit support. The party making
those advances will have a right to reimbursement, probably with interest,
which is senior to your right to receive payment on your offered certificates.
ANY CREDIT SUPPORT FOR YOUR OFFERED CERTIFICATES MAY BE INSUFFICIENT TO PROTECT
YOU AGAINST ALL POTENTIAL LOSSES
The Amount of Credit Support Will Be Limited. The rating agencies that
assign ratings to your offered certificates will establish the amount of credit
support, if any, for your offered certificates based on, among other things, an
assumed level of defaults, delinquencies and losses with respect to the related
mortgage assets. Actual losses may, however, exceed the assumed levels. See
"Description of the Certificates--Allocation of Losses and Shortfalls" and
"Description of Credit Support." If actual losses on the related mortgage
assets exceed the assumed levels, you may be required to bear the additional
losses.
Credit Support May Not Cover All Types of Losses. The credit support, if
any, for your offered certificates may not cover all of your potential losses.
For example, some forms of credit support may not cover or may provide limited
protection against losses that you may suffer by reason of fraud or negligence
or as a result of uninsured casualties at the real properties securing the
underlying mortgage loans. You may be required to bear any losses which are not
covered by the credit support.
Disproportionate Benefits May Be Given to Some Classes and Series to the
Detriment of Others. If a form of credit support covers multiple classes or
series and losses exceed the amount of that credit support, it is possible that
the holders of offered certificates of another series or class will be
disproportionately benefited by that credit support to your detriment.
THE INVESTMENT PERFORMANCE OF YOUR OFFERED CERTIFICATES WILL DEPEND UPON
PAYMENTS, DEFAULTS AND LOSSES ON THE UNDERLYING MORTGAGE LOANS; AND THOSE
PAYMENTS, DEFAULTS AND LOSSES MAY BE HIGHLY UNPREDICTABLE
The Terms of the Underlying Mortgage Loans Will Affect Payments on Your
Offered Certificates.
Each of the mortgage loans underlying the offered certificates will specify the
terms on which the related borrower must repay the outstanding principal amount
of the loan. The rate, timing and amount of scheduled payments of principal may
vary, and may vary significantly, from mortgage loan to mortgage loan. The rate
at which the underlying mortgage loans amortize will directly affect the rate
at which the principal balance or notional amount of your offered certificates
is paid down or otherwise reduced.
In addition, any mortgage loan underlying the offered certificates may
permit the related borrower during some or all of the loan term to prepay the
loan. In general, a borrower will be more likely to prepay its mortgage loan
when it has an economic incentive to do so, such as obtaining a larger loan on
the same underlying real property or a lower or otherwise more advantageous
interest rate through refinancing. If a mortgage loan includes some form of
prepayment restriction, the likelihood of prepayment should decline. These
restrictions may include--
o an absolute or partial prohibition against voluntary prepayments during
some or all of the loan term, or
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o a requirement that voluntary prepayments be accompanied by some form of
prepayment premium, fee or charge during some or all of the loan term.
In many cases, however, there will be no restriction associated with the
application of insurance proceeds or condemnation proceeds as a prepayment of
principal.
The Terms of the Underlying Mortgage Loans Do Not Provide Absolute
Certainty as Regards the Rate, Timing and Amount of Payments on Your Offered
Certificates. Notwithstanding the terms of the mortgage loans backing your
offered certificates, the amount, rate and timing of payments and other
collections on those mortgage loans will, to some degree, be unpredictable
because of borrower defaults and because of casualties and condemnations with
respect to the underlying real properties.
The investment performance of your offered certificates may vary
materially and adversely from your expectations due to--
o the rate of prepayments and other unscheduled collections of principal
on the underlying mortgage loans being faster or slower than you
anticipated, or
o the rate of defaults on the underlying mortgage loans being faster, or
the severity of losses on the underlying mortgage loans being greater,
than you anticipated.
The actual yield to you, as a holder of an offered certificate, may not
equal the yield you anticipated at the time of your purchase, and the total
return on investment that you expected may not be realized. In deciding whether
to purchase any offered certificates, you should make an independent decision
as to the appropriate prepayment, default and loss assumptions to be used. If
the trust assets underlying your offered certificates include mortgage-backed
securities, the terms of those securities may soften or enhance the effects to
you that may result from prepayments, defaults and losses on the mortgage loans
that ultimately back those securities.
Prepayments on the Underlying Mortgage Loans Will Affect the Average Life
of Your Offered Certificates; and the Rate and Timing of Those Prepayments May
Be Highly Unpredictable. Payments of principal and/or interest on your offered
certificates will depend upon, among other things, the rate and timing of
payments on the related mortgage assets. Prepayments on the underlying mortgage
loans may result in a faster rate of principal payments on your offered
certificates, thereby resulting in a shorter average life for your offered
certificates than if those prepayments had not occurred. The rate and timing of
principal prepayments on pools of mortgage loans varies among pools and is
influenced by a variety of economic, demographic, geographic, social, tax and
legal factors. Accordingly, neither you nor we can predict the rate and timing
of principal prepayments on the mortgage loans underlying your offered
certificates. As a result, repayment of your offered certificates could occur
significantly earlier or later, and the average life of your offered
certificates could be significantly shorter or longer, than you expected.
The extent to which prepayments on the underlying mortgage loans
ultimately affect the average life of your offered certificates depends on the
terms and provisions of your offered certificates. A class of offered
certificates may entitle the holders to a pro rata share of any prepayments on
the underlying mortgage loans, to all or a disproportionately large share of
those prepayments, or to none or a disproportionately small share of those
prepayments. If you are entitled to a disproportionately large share of any
prepayments on the underlying mortgage loans, your offered certificates may be
retired at an earlier date. If, however, you are only entitled to a small share
of the prepayments on the underlying mortgage loans, the average life of your
offered certificates may be extended. Your entitlement to receive payments,
including prepayments, of principal of the underlying mortgage loans may--
o vary based on the occurrence of specified events, such as the retirement
of one or more other classes of certificates of the same series, or
o be subject to various contingencies, such as prepayment and default
rates with respect to the underlying mortgage loans.
We will describe the terms and provisions of your offered certificates
more fully in the related prospectus supplement.
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Prepayments on the Underlying Mortgage Loans Will Affect the Yield on Your
Offered Certificates; and the Rate and Timing of Those Prepayments May Be
Highly Unpredictable. If you purchase your offered certificates at a discount
or premium, the yield on your offered certificates will be sensitive to
prepayments on the underlying mortgage loans. If you purchase your offered
certificates at a discount, you should consider the risk that a slower than
anticipated rate of principal payments on the underlying mortgage loans could
result in your actual yield being lower than your anticipated yield.
Alternatively, if you purchase your offered certificates at a premium, you
should consider the risk that a faster than anticipated rate of principal
payments on the underlying mortgage loans could result in your actual yield
being lower than your anticipated yield. The potential effect that prepayments
may have on the yield of your offered certificates will increase as the
discount deepens or the premium increases. If the amount of interest payable on
your offered certificates is disproportionately large, as compared to the
amount of principal payable on your offered certificates, you may fail to
recover your original investment under some prepayment scenarios. The rate and
timing of principal prepayments on pools of mortgage loans varies among pools
and is influenced by a variety of economic, demographic, geographic, social,
tax and legal factors. Accordingly, neither you nor we can predict the rate and
timing of principal prepayments on the mortgage loans underlying your offered
certificates.
Delinquencies, Defaults and Losses on the Underlying Mortgage Loans May
Affect the Amount and Timing of Payments on Your Offered Certificates; and the
Rate and Timing of Those Delinquencies and Defaults, and the Severity of Those
Losses, are Highly Unpredictable. The rate and timing of delinquencies and
defaults, and the severity of losses, on the underlying mortgage loans will
impact the amount and timing of payments on a series of offered certificates to
the extent that their effects are not offset by delinquency advances or some
form of credit support.
Unless otherwise covered by delinquency advances or some form of credit
support, defaults on the underlying mortgage loans may delay payments on a
series of offered certificates while the defaulted mortgage loans are
worked-out or liquidated. However, liquidations of defaulted mortgage loans
prior to maturity could affect the yield and average life of an offered
certificate in a manner similar to a voluntary prepayment.
If you calculate your anticipated yield to maturity based on an assumed
rate of default and amount of losses on the underlying mortgage loans that is
lower than the default rate and amount of losses actually experienced, then, to
the extent that you are required to bear the additional losses, your actual
yield to maturity will be lower than you calculated and could, under some
scenarios, be negative. Furthermore, the timing of losses on the underlying
mortgage loans can affect your yield. In general, the earlier you bear any loss
on an underlying mortgage loan, the greater the negative effect on your yield.
See "--Repayment of a Commercial or Multifamily Mortgage Loan Depends on
the Performance and Value of the Underlying Real Property, Which May Decline
Over Time, and the Related Borrower's Ability to Refinance the Property, of
Which There Is No Assurance" below.
There is an Increased Risk of Default Associated with Balloon
Payments. Any of the mortgage loans underlying your offered certificates may be
nonamortizing or only partially amortizing. The borrower under a mortgage loan
of that type is required to make substantial payments of principal and
interest, which are commonly called balloon payments, on the maturity date of
the loan. The ability of the borrower to make a balloon payment depends upon
the borrower's ability to refinance or sell the real property securing the
loan. The ability of the borrower to refinance or sell the property will be
affected by a number of factors, including:
o the fair market value and condition of the underlying real property;
o the level of interest rates;
o the borrower's equity in the underlying real property;
o the borrower's financial condition;
o the operating history of the underlying real property;
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o changes in zoning and tax laws;
o changes in competition in the relevant area;
o changes in rental rates in the relevant area;
o changes in governmental regulation and fiscal policy;
o prevailing general and regional economic conditions;
o the state of the fixed income and mortgage markets; and
o the availability of credit for multifamily rental or commercial
properties.
See "--Repayment of a Commercial or Multifamily Mortgage Loan Depends on
the Performance and Value of the Underlying Real Property, Which May Decline
Over Time, and the Related Borrower's Ability to Refinance the Property, of
Which There Is No Assurance" below.
Neither we nor any of our affiliates will be obligated to refinance any
mortgage loan underlying your offered certificates.
The related master servicer or special servicer may, within prescribed
limits, extend and modify mortgage loans underlying your offered certificates
that are in default or as to which a payment default is imminent in order to
maximize recoveries on the defaulted loans. The related master servicer or
special servicer is only required to determine that any extension or
modification is reasonably likely to produce a greater recovery than a
liquidation of the real property securing the defaulted loan. There is a risk
that the decision of the master servicer or special servicer to extend or
modify a mortgage loan may not in fact produce a greater recovery.
REPAYMENT OF A COMMERCIAL OR MULTIFAMILY MORTGAGE LOAN DEPENDS ON THE
PERFORMANCE AND VALUE OF THE UNDERLYING REAL PROPERTY, WHICH MAY DECLINE OVER
TIME, AND THE RELATED BORROWER'S ABILITY TO REFINANCE THE PROPERTY, OF WHICH
THERE IS NO ASSURANCE
Most of the Mortgage Loans Underlying Your Offered Certificates Will be
Nonrecourse. You should consider all of the mortgage loans underlying your
offered certificates to be nonrecourse loans. This means that, in the event of
a default, recourse will be limited to the related real property or properties
securing the defaulted mortgage loan. In those cases where recourse to a
borrower or guarantor is permitted by the loan documents, we generally will not
undertake any evaluation of the financial condition of that borrower or
guarantor. Consequently, full and timely payment on each mortgage loan
underlying your offered certificates will depend on one or more of the
following:
o the sufficiency of the net operating income of the applicable real
property;
o the market value of the applicable real property at or prior to
maturity; and
o the ability of the related borrower to refinance or sell the applicable
real property.
In general, the value of a multifamily or commercial property will depend
on its ability to generate net operating income. The ability of an owner to
finance a multifamily or commercial property will depend, in large part, on the
property's value and ability to generate net operating income.
Unless we state otherwise in the related prospectus supplement, none of
the mortgage loans underlying your offered certificates will be insured or
guaranteed by any governmental entity or private mortgage insurer.
The risks associated with lending on multifamily and commercial properties
are inherently different from those associated with lending on the security of
single-family residential properties. This is because multifamily rental and
commercial real estate lending involves larger loans and, as described above,
repayment is dependent upon the successful operation and value of the related
real estate project.
Many Risk Factors are Common to Most or All Multifamily and Commercial
Properties. The following factors, among others, will affect the ability of a
multifamily or commercial property to generate net operating income and,
accordingly, its value:
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o the age, design and construction quality of the property;
o perceptions regarding the safety, convenience and attractiveness of the
property;
o the characteristics of the neighborhood where the property is located;
o the proximity and attractiveness of competing properties;
o the existence and construction of competing properties;
o the adequacy of the property's management and maintenance;
o national, regional or local economic conditions, including plant
closings, industry slowdowns and unemployment rates;
o local real estate conditions, including an increase in or oversupply of
comparable commercial or residential space;
o demographic factors;
o customer tastes and preferences;
o retroactive changes in building codes; and
o changes in governmental rules, regulations and fiscal policies,
including environmental legislation.
Particular factors that may adversely affect the ability of a multifamily
or commercial property to generate net operating income include:
o an increase in interest rates, real estate taxes and other operating
expenses;
o an increase in the capital expenditures needed to maintain the property
or make improvements;
o a decline in the financial condition of a major tenant and, in
particular, a sole tenant or anchor tenant;
o an increase in vacancy rates;
o a decline in rental rates as leases are renewed or replaced; and
o natural disasters and civil disturbances such as earthquakes,
hurricanes, floods, eruptions or riots.
The volatility of net operating income generated by a multifamily or
commercial property over time will be influenced by many of the foregoing
factors, as well as by:
o the length of tenant leases;
o the creditworthiness of tenants;
o the rental rates at which leases are renewed or replaced;
o the percentage of total property expenses in relation to revenue;
o the ratio of fixed operating expenses to those that vary with revenues;
and
o the level of capital expenditures required to maintain the property and
to maintain or replace tenants.
Therefore, commercial and multifamily properties with short-term or less
creditworthy sources of revenue and/or relatively high operating costs, such as
those operated as hospitality and self-storage properties, can be expected to
have more volatile cash flows than commercial and multifamily properties with
medium- to long-term leases from creditworthy tenants and/or relatively low
operating costs. A decline in the real estate market will tend to have a more
immediate effect on the net operating income of commercial and multifamily
properties with short-term revenue sources and may lead to higher rates of
delinquency or defaults on the mortgage loans secured by those properties.
The Successful Operation of a Multifamily or Commercial Property Depends
on Tenants. Generally, multifamily and commercial properties are subject to
leases. The owner of a multifamily or commercial property typically uses lease
or rental payments for the following purposes:
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o to pay for maintenance and other operating expenses associated with the
property;
o to fund repairs, replacements and capital improvements at the property;
and
o to service mortgage loans secured by, and any other debt obligations
associated with operating, the property.
Factors that may adversely affect the ability of a multifamily or
commercial property to generate net operating income from lease and rental
payments include:
o an increase in vacancy rates, which may result from tenants deciding not
to renew an existing lease or discontinuing operations;
o an increase in tenant payment defaults;
o a decline in rental rates as leases are entered into, renewed or
extended at lower rates;
o an increase in the capital expenditures needed to maintain the property
or to make improvements; and
o a decline in the financial condition of a major or sole tenant.
Various factors that will affect the operation and value of a commercial
property include:
o the business operated by the tenants;
o the creditworthiness of the tenants; and
o the number of tenants.
Dependence on a Single Tenant or a Small Number of Tenants Makes a
Property Riskier Collateral. In those cases where an income-producing property
is leased to a single tenant or is primarily leased to one or a small number of
major tenants, a deterioration in the financial condition or a change in the
plan of operations of any of those tenants can have particularly significant
effects on the net operating income generated by the property. If any of those
tenants defaults under or fails to renew its lease, the resulting adverse
financial effect on the operation of the property will be substantially more
severe than would be the case with respect to a property occupied by a large
number of less significant tenants.
An income-producing property operated for retail, office or industrial
purposes also may be adversely affected by a decline in a particular business
or industry if a concentration of tenants at the property is engaged in that
business or industry.
Tenant Bankruptcy Adversely Affects Property Performance. The bankruptcy
or insolvency of a major tenant, or a number of smaller tenants, at a
commercial property may adversely affect the income produced by the property.
Under the U.S. Bankruptcy Code, a tenant has the option of assuming or
rejecting any unexpired lease. If the tenant rejects the lease, the landlord's
claim for breach of the lease would be a general unsecured claim against the
tenant unless there is collateral securing the claim. The claim would be
limited to:
o the unpaid rent reserved under the lease for the periods prior to the
bankruptcy petition or any earlier surrender of the leased premises, plus
o an amount, not to exceed three years' rent, equal to the greater of one
year's rent and 15% of the remaining reserved rent.
The Success of an Income-Producing Property Depends on Reletting Vacant
Spaces. The operations at an income-producing property will be adversely
affected if the owner or property manager is unable to renew leases or relet
space on comparable terms when existing leases expire and/or become defaulted.
Even if vacated space is successfully relet, the costs associated with
reletting, including tenant improvements and leasing commissions in the case of
income-producing properties operated for retail, office or industrial purposes,
can be substantial and could reduce cash flow from the income-producing
properties. Moreover, if a tenant at a income-producing property defaults in
its lease obligations, the landlord may incur substantial costs and experience
significant delays associated with enforcing its rights and protecting its
investment, including costs incurred in renovating and reletting the property.
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If an income-producing property has multiple tenants, re-leasing
expenditures may be more frequent than in the case of a property with fewer
tenants, thereby reducing the cash flow generated by the multi-tenanted
property. Multi-tenanted properties may also experience higher continuing
vacancy rates and greater volatility in rental income and expenses.
Property Value May Be Adversely Affected Even When Current Operating
Income Is Not. Various factors may affect the value of multifamily and
commercial properties without affecting their current net operating income,
including:
o changes in interest rates;
o the availability of refinancing sources;
o changes in governmental regulations, licensing or fiscal policy;
o changes in zoning or tax laws; and
o potential environmental or other legal liabilities.
Property Management May Affect Property Operations and Value. The
operation of an income-producing property will depend upon the property
manager's performance and viability. The property manager generally is
responsible for:
o responding to changes in the local market;
o planning and implementing the rental structure, including staggering
durations of leases and establishing levels of rent payments;
o operating the property and providing building services;
o managing operating expenses; and
o ensuring that maintenance and capital improvements are carried out in a
timely fashion.
Income-producing properties that derive revenues primarily from short-term
rental commitments, such as hospitality or self-storage properties, generally
require more intensive management than properties leased to tenants under
long-term leases.
By controlling costs, providing appropriate and efficient services to
tenants and maintaining improvements in good condition, a property manager
can--
o maintain or improve occupancy rates, business and cash flow,
o reduce operating and repair costs, and
o preserve building value.
On the other hand, management errors can, in some cases, impair the long term
viability of an income-producing property.
Maintaining a Property in Good Condition is Expensive. The owner may be
required to expend a substantial amount to maintain, renovate or refurbish a
commercial or multifamily property. Failure to do so may materially impair the
property's ability to generate cash flow. The effects of poor construction
quality will increase over time in the form of increased maintenance and
capital improvements. Even superior construction will deteriorate over time if
management does not schedule and perform adequate maintenance in a timely
fashion. There can be no assurance that an income-producing property will
generate sufficient cash flow to cover the increased costs of maintenance and
capital improvements in addition to paying debt service on the mortgage loan(s)
that may encumber that property.
Competition Will Adversely Affect the Profitability and Value of an
Income-Producing Property. Some income-producing properties are located in
highly competitive areas. Comparable income-producing properties located in the
same area compete on the basis of a number of factors including:
o rental rates;
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o location;
o type of business or services and amenities offered; and
o nature and condition of the particular property.
The profitability and value of an income-producing property may be
adversely affected by a comparable property that:
o offers lower rents;
o has lower operating costs;
o offers a more favorable location; or
o offers better facilities.
Costs of renovating, refurbishing or expanding an income-producing
property in order to remain competitive can be substantial.
Various Types of Income-Producing Properties May Present Special
Risks. The relative importance of any factor affecting the value or operation
of an income-producing property will depend on the type and use of the
property. In addition, the type and use of a particular income-producing
property may present special risks. For example--
o Health care-related facilities and casinos are subject to significant
governmental regulation of the ownership, operation, maintenance and/or
financing of those properties.
o Multifamily rental properties, manufactured housing communities and
mobile home parks may be subject to rent control or rent stabilization
laws and laws governing landlord/tenant relationships.
o Hospitality and restaurant properties are often operated under
franchise, management or operating agreements, which may be terminable by
the franchisor or operator. Moreover, the transferability of a hotel's or
restaurant's operating, liquor and other licenses upon a transfer of the
hotel or restaurant is subject to local law requirements.
o Depending on their location, recreational and resort properties,
properties that provide entertainment services, hospitality properties,
restaurants and taverns, mini-warehouses and self-storage facilities tend
to be adversely affected more quickly by a general economic downturn than
other types of commercial properties.
o Marinas will be affected by various statutes and government regulations
that govern the use of, and construction on, rivers, lakes and other
waterways.
o Some recreational and hospitality properties may have seasonal
fluctuations and/or may be adversely affected by prolonged unfavorable
weather conditions.
o Churches and other religious facilities may be highly dependent on
donations which are likely to decline as economic conditions decline.
o Properties used as gas stations, automotive sales and service centers,
dry cleaners, warehouses and industrial facilities may be more likely to
have environmental issues.
Additionally, many types of commercial properties are not readily
convertible to alternative uses if the original use is not successful or may
require significant capital expenditures to effect any conversion to an
alternative use. As a result, the liquidation value of any of those types of
property would be substantially less than would otherwise be the case. See
"Description of the Trust Assets--Mortgage Loans--A Discussion of the Various
Types of Multifamily and Commercial Properties that May Secure Mortgage Loans
Underlying a Series of Offered Certificates."
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BORROWER CONCENTRATION WITHIN A TRUST EXPOSES INVESTORS TO GREATER RISK OF
DEFAULT AND LOSS
A particular borrower or group of related borrowers may be associated with
multiple real properties securing the mortgage loans underlying a series of
offered certificates. The bankruptcy or insolvency of, or other financial
problems with respect to, that borrower or group of borrowers could have an
adverse effect on--
o the operation of all of the related real properties, and
o the ability of those properties to produce sufficient cash flow to make
required payments on the related mortgage loans.
For example, if a borrower or group of related borrowers that owns or controls
several real properties experiences financial difficulty at one of those
properties, it could defer maintenance at another of those properties in order
to satisfy current expenses with respect to the first property. That borrower
or group of related borrowers could also attempt to avert foreclosure by filing
a bankruptcy petition that might have the effect of interrupting debt service
payments on all the related mortgage loans for an indefinite period. In
addition, multiple real properties owned by the same borrower or related
borrowers are likely to have common management. This would increase the risk
that financial or other difficulties experienced by the property manager could
have a greater impact on the owner of the related loans.
LOAN CONCENTRATION WITHIN A TRUST EXPOSES INVESTORS TO GREATER RISK OF DEFAULT
AND LOSS
Any of the mortgage assets in one of our trusts may be substantially
larger than the other assets in that trust. In general, the inclusion in a
trust of one or more mortgage assets that have outstanding principal balances
that are substantially larger than the other mortgage assets in the trust can
result in losses that are more severe, relative to the size of the related
mortgage asset pool, than would be the case if the total principal balance of
that pool were distributed more evenly.
GEOGRAPHIC CONCENTRATION WITHIN A TRUST EXPOSES INVESTORS TO GREATER RISK OF
DEFAULT AND LOSS
If a material concentration of mortgage loans underlying a series of
offered certificates is secured by real properties in a particular locale,
state or region, then the holders of those certificates will have a greater
exposure to:
o any adverse economic developments that occur in the locale, state or
region where the properties are located;
o changes in the real estate market where the properties are located;
o changes in governmental rules and fiscal policies in the governmental
jurisdiction where the properties are located; and
o acts of nature, including floods, tornadoes and earthquakes, in the
areas where properties are located.
CHANGES IN POOL COMPOSITION WILL CHANGE THE NATURE OF YOUR INVESTMENT
The mortgage loans underlying any series of offered certificates will
amortize at different rates and mature on different dates. In addition, some of
those mortgage loans may be prepaid or liquidated. As a result, the relative
composition of the related mortgage asset pool will change over time.
If you purchase certificates with a pass-through rate that is equal to or
calculated based upon a weighted average of interest rates on the underlying
mortgage loans, your pass-through rate will be affected, and may decline, as
the relative composition of the mortgage pool changes.
In addition, as payments and other collections of principal are received
with respect to the underlying mortgage loans, the remaining mortgage pool
backing your offered certificates may exhibit an increased concentration with
respect to property type, number and affiliation of borrowers and geographic
location.
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ADJUSTABLE RATE MORTGAGE LOANS MAY ENTAIL GREATER RISKS OF DEFAULT TO LENDERS
THAN FIXED RATE MORTGAGE LOANS
Some or all of the mortgage loans underlying a series of offered
certificates may provide for adjustments to their respective mortgage interest
rates and corresponding adjustments to their respective periodic debt service
payments. As the periodic debt service payment for any of those mortgage loans
increases, the likelihood that cash flow from the underlying real property will
be insufficient to make that periodic debt service payment and pay operating
expenses also increases.
SUBORDINATE DEBT INCREASES THE LIKELIHOOD THAT A BORROWER WILL DEFAULT ON A
MORTGAGE LOAN UNDERLYING YOUR OFFERED CERTIFICATES
Some or all of the mortgage loans included in one of our trusts may permit
the related borrower to encumber the related real property with additional
secured debt.
Even if a mortgage loan prohibits further encumbrance of the related real
property, a violation of this prohibition may not become evident until the
affected mortgage loan otherwise defaults. Accordingly, a lender, such as one
of our trusts, may not realistically be able to prevent a borrower from
incurring subordinate debt.
The existence of any secured subordinated indebtedness increases the
difficulty of refinancing a mortgage loan at the loan's maturity. In addition,
the related borrower may have difficulty repaying multiple loans. Moreover, the
filing of a petition in bankruptcy by, or on behalf of, a junior lienholder may
stay the senior lienholder from taking action to foreclose out the junior lien.
See "Legal Aspects of Mortgage Loans--Subordinate Financing."
BORROWER BANKRUPTCY PROCEEDINGS CAN DELAY AND IMPAIR RECOVERY ON A MORTGAGE
LOAN UNDERLYING YOUR OFFERED CERTIFICATES
Under the U.S. Bankruptcy Code, the filing of a petition in bankruptcy by
or against a borrower will stay the sale of a real property owned by that
borrower, as well as the commencement or continuation of a foreclosure action.
In addition, if a court determines that the value of a real property is
less than the principal balance of the mortgage loan it secures, the court may
reduce the amount of secured indebtedness to the then-value of the property.
This would make the lender a general unsecured creditor for the difference
between the then-value of the property and the amount of its outstanding
mortgage indebtedness.
A bankruptcy court also may:
o grant a debtor a reasonable time to cure a payment default on a mortgage
loan;
o reduce monthly payments due under a mortgage loan;
o change the rate of interest due on a mortgage loan; or
o otherwise alter a mortgage loan's repayment schedule.
Furthermore, the borrower, as debtor-in-possession, or its bankruptcy
trustee has special powers to avoid, subordinate or disallow debts. In some
circumstances, the claims of a secured lender, such as one of our trusts, may
be subordinated to financing obtained by a debtor-in-possession subsequent to
its bankruptcy.
Under the U.S. Bankruptcy Code, a lender will be stayed from enforcing a
borrower's assignment of rents and leases. The U.S. Bankruptcy Code also may
interfere with a lender's ability to enforce lockbox requirements. The legal
proceedings necessary to resolve these issues can be time consuming and may
significantly delay the receipt of rents. Rents also may escape an assignment
to the extent they are used by borrower to maintain its property or for other
court authorized expenses.
As a result of the foregoing, the related trust's recovery with respect to
borrowers in bankruptcy proceedings may be significantly delayed, and the total
amount ultimately collected may be substantially less than the amount owed.
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TAXES ON FORECLOSURE PROPERTY WILL REDUCE AMOUNTS AVAILABLE TO MAKE PAYMENTS ON
THE OFFERED CERTIFICATES
One of our trusts may be designated, in whole or in part, as a real estate
mortgage investment conduit for federal income tax purposes. If that trust
acquires a real property through a foreclosure or deed in lieu of foreclosure,
then the related special servicer may be required to retain an independent
contractor to operate and manage the property. Receipt of the following types
of income on that property will subject the trust to federal, and possibly
state or local, tax on that income at the highest marginal corporate tax rate:
o any net income from that operation and management that does not consist
of qualifying rents from real property within the meaning of Section
856(d) of the Internal Revenue Code of 1986, and
o any rental income based on the net profits of a tenant or sub-tenant or
allocable to a service that is non-customary in the area and for the type
of building involved.
These taxes would reduce the net proceeds available for payment with respect to
the related offered certificates.
ENVIRONMENTAL LIABILITIES WILL ADVERSELY AFFECT THE VALUE AND OPERATION OF THE
CONTAMINATED PROPERTY AND MAY DETER A LENDER FROM FORECLOSING
There can be no assurance--
o as to the degree of environmental testing conducted at any of the real
properties securing the mortgage loans that back your offered
certificates;
o that the environmental testing conducted by or on behalf of the
applicable originators or any other parties in connection with the
origination of those mortgage loans or otherwise identified all adverse
environmental conditions and risks at the related real properties;
o that the results of the environmental testing were accurately evaluated
in all cases;
o that the related borrowers have implemented or will implement all
operations and maintenance plans and other remedial actions recommended
by any environmental consultant that may have conducted testing at the
related real properties; or
o that the recommended action will fully remediate or otherwise address
all the identified adverse environmental conditions and risks.
Environmental site assessments vary considerably in their content, quality
and cost. Even when adhering to good professional practices, environmental
consultants will sometimes not detect significant environmental problems
because to do an exhaustive environmental assessment would be far too costly
and time-consuming to be practical.
In addition, the current environmental condition of a real property
securing a mortgage loan underlying your offered certificates could be
adversely affected by--
o tenants at the property, such as gasoline stations or dry cleaners, or
o conditions or operations in the vicinity of the property, such as
leaking underground storage tanks at another property nearby.
Various environmental laws may make a current or previous owner or
operator of real property liable for the costs of removal or remediation of
hazardous or toxic substances on, under or adjacent to the property. Those laws
often impose liability whether or not the owner or operator knew of, or was
responsible for, the presence of the hazardous or toxic substances. For
example, there are laws that impose liability for release of asbestos
containing materials into the air or require the removal or containment of the
materials. The owner's liability for any required remediation generally is
unlimited and could exceed the value of the property and/or the total assets of
the owner. In addition, the presence of hazardous or toxic substances, or the
failure to remediate the adverse environmental condition, may
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adversely affect the owner's or operator's ability to use the affected
property. In some states, contamination of a property may give rise to a lien
on the property to ensure the costs of cleanup. Depending on the state, this
lien may have priority over the lien of an existing mortgage, deed of trust or
other security instrument. In addition, third parties may seek recovery from
owners or operators of real property for personal injury associated with
exposure to hazardous substances, including asbestos and lead-based paint.
Persons who arrange for the disposal or treatment of hazardous or toxic
substances may be liable for the costs of removal or remediation of the
substances at the disposal or treatment facility.
The federal Comprehensive Environmental Response, Compensation and
Liability Act of 1980, as amended, as well as other federal and state laws,
provide that a secured lender, such as one of our trusts, may be liable as an
"owner" or "operator" of the real property, regardless of whether the borrower
or a previous owner caused the environmental damage, if--
o agents or employees of the lender are deemed to have participated in the
management of the borrower, or
o the lender actually takes possession of a borrower's property or control
of its day-to-day operations, including through the appointment of a
receiver or foreclosure.
Although recently enacted legislation clarifies the activities in which a
lender may engage without becoming subject to liability under the federal
Comprehensive Environmental Response, Compensation and Liability Act of 1980,
as amended, and similar federal laws, that legislation has no applicability to
state environmental laws. Moreover, future laws, ordinances or regulations
could impose material environmental liability.
Federal law requires owners of residential housing constructed prior to
1978 to disclose to potential residents or purchasers--
o any condition on the property that causes exposure to lead-based paint,
and
o the potential hazards to pregnant women and young children, including
that the ingestion of lead-based paint chips and/or the inhalation of
dust particles from lead-based paint by children can cause permanent
injury, even at low levels of exposure.
Property owners may be liable for injuries to their tenants resulting from
exposure under various laws that impose affirmative obligations on property
owners of residential housing containing lead-based paint.
SOME PROVISIONS IN THE MORTGAGE LOANS UNDERLYING YOUR OFFERED CERTIFICATES MAY
BE CHALLENGED AS BEING UNENFORCEABLE
Cross-Collateralization Arrangements. It may be possible to challenge
cross-collateralization arrangements involving more than one borrower as a
fraudulent conveyance, even if the borrowers are related. If one of those
borrowers were to become a debtor in a bankruptcy case, creditors of the
bankrupt party or the representative of the bankruptcy estate of the bankrupt
party could seek to have the bankruptcy court avoid any lien granted by the
bankrupt party to secure repayment of another borrower's loan. In order to do
so, the court would have to determine that--
o the bankrupt party--
1. was insolvent at the time of granting the lien,
2. was rendered insolvent by the granting of the lien,
3. was left with inadequate capital, or
4. was not able to pay its debts as they matured; and
o the bankrupt party did not, when it allowed its property to be
encumbered by a lien securing the other borrower's loan, receive fair
consideration or reasonably equivalent value for pledging its property
for the equal benefit of the other borrower.
If the court were to conclude that the granting of the lien was an avoidable
fraudulent conveyance, it could nullify the lien or security instrument
effecting the cross-collateralization. The court could also allow the bankrupt
party to recover payments it made under the avoided cross-collateralization.
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Prepayment Premiums, Fees and Charges. Under the laws of a number of
states, the enforceability of any mortgage loan provisions that require payment
of a prepayment premium, fee or charge upon an involuntary prepayment, is
unclear. If those provisions were unenforceable, borrowers would have an
incentive to default in order to prepay their loans.
Due-on-Sale and Debt Acceleration Clauses. Some or all of the mortgage
loans included in one of our trusts may contain a due-on-sale clause, which
permits the lender, with some exceptions, to accelerate the maturity of the
mortgage loan upon the sale, transfer or conveyance of--
o the related real property, or
o a majority ownership interest in the related borrower.
We anticipate that all of the mortgage loans included in one of our trusts
will contain some form of debt-acceleration clause, which permits the lender to
accelerate the debt upon specified monetary or non-monetary defaults by the
related borrower.
The courts of all states will enforce acceleration clauses in the event of
a material payment default. The equity courts of any state, however, may refuse
to allow the foreclosure of a mortgage, deed of trust or other security
instrument or to permit the acceleration of the indebtedness if:
o the default is deemed to be immaterial,
o the exercise of those remedies would be inequitable or unjust, or
o the circumstances would render the acceleration unconscionable.
Assignments of Leases. Some or all of the mortgage loans included in one
of our trusts may be secured by, among other things, an assignment of leases
and rents. Under that document, the related borrower will assign its right,
title and interest as landlord under the leases on the related real property
and the income derived from those leases to the lender as further security for
the related mortgage loan, while retaining a license to collect rents for so
long as there is no default. In the event the borrower defaults, the license
terminates and the lender is entitled to collect rents. In some cases, those
assignments may not be perfected as security interests prior to actual
possession of the cash flow. Accordingly, state law may require that the lender
take possession of the property and obtain a judicial appointment of a receiver
before becoming entitled to collect the rents. In addition, the commencement of
bankruptcy or similar proceedings by or with respect to the borrower will
adversely affect the lender's ability to collect the rents. See "Legal Aspects
of Mortgage Loans--Bankruptcy Laws."
Defeasance. A mortgage loan underlying a series of offered certificates
may permit the related borrower, during the periods specified and subject to
the conditions set forth in the loan, to pledge to the holder of the mortgage
loan a specified amount of direct, non-callable United States government
securities and thereby obtain a release of the related mortgaged property. The
cash amount which a borrower must expend to purchase, or must deliver to a
master servicer in order for the master servicer to purchase, the required
United States government securities may be in excess of the principal balance
of the mortgage loan. A court could interpret that excess amount as a form of
prepayment premium or could take it into account for usury purposes. In some
states, some forms of prepayment premiums are unenforceable. If the payment of
that excess amount were held to be unenforceable, the remaining portion of the
cash amount to be delivered may be insufficient to purchase the requisite
amount of United States government securities.
LACK OF INSURANCE COVERAGE EXPOSES A TRUST TO RISK FOR PARTICULAR SPECIAL
HAZARD LOSSES
In general, the standard form of fire and extended coverage policy covers
physical damage to or destruction of the improvements of a property by fire,
lightning, explosion, smoke, windstorm and hail,
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and riot, strike and civil commotion, subject to the conditions and exclusions
specified in the related policy. Most insurance policies typically do not cover
any physical damage resulting from, among other things:
o war,
o revolution,
o governmental actions,
o floods and other water-related causes,
o earth movement, including earthquakes, landslides and mudflows,
o wet or dry rot,
o vermin, and
o domestic animals.
Unless the related mortgage loan documents specifically require the
borrower to insure against physical damage arising from these causes, then the
resulting losses may be borne by you as a holder of offered certificates.
GROUND LEASES CREATE RISKS FOR LENDERS THAT ARE NOT PRESENT WHEN LENDING ON AN
ACTUAL OWNERSHIP INTEREST IN A REAL PROPERTY
In order to secure a mortgage loan, a borrower may grant a lien on its
leasehold interest in a real property as tenant under a ground lease. If the
ground lease does not provide for notice to a lender of a default thereunder on
the part of the borrower, together with a reasonable opportunity for the lender
to cure the default, the lender may be unable to prevent termination of the
lease and may lose its collateral.
In addition, upon the bankruptcy of a landlord or a tenant under a ground
lease, the debtor entity has the right to assume or reject the ground lease. If
a debtor landlord rejects the lease, the tenant has the right to remain in
possession of its leased premises at the rent reserved in the lease for the
term, including renewals. If a debtor tenant rejects any or all of its leases,
the tenant's lender may not be able to succeed to the tenant's position under
the lease unless the landlord has specifically granted the lender that right.
If both the landlord and the tenant are involved in bankruptcy proceedings, the
trustee for your offered certificates may be unable to enforce the bankrupt
tenant's obligation to refuse to treat as terminated a ground lease rejected by
a bankrupt landlord. In those circumstances, it is possible that the trustee
could be deprived of its security interest in the leasehold estate,
notwithstanding lender protection provisions contained in the lease or mortgage
loan documents.
CHANGES IN ZONING LAWS MAY ADVERSELY AFFECT THE USE OR VALUE OF A REAL PROPERTY
Due to changes in zoning requirements since construction, an
income-producing property may not comply with current zoning laws, including
density, use, parking and set back requirements. Accordingly, the property may
be a permitted non-conforming structure or the operation of the property may be
a permitted non-conforming use. This means that the owner is not required to
alter the property's structure or use to comply with the new law, but the owner
may be limited in its ability to rebuild the premises "as is" in the event of a
substantial casualty loss. This may adversely affect the cash flow available
following the casualty. If a substantial casualty were to occur, insurance
proceeds may not be sufficient to pay a mortgage loan secured by the property
in full. In addition, if the property were repaired or restored in conformity
with the current law, its value or revenue-producing potential may be less than
that which existed before the casualty.
COMPLIANCE WITH THE AMERICANS WITH DISABILITIES ACT OF 1990 MAY BE EXPENSIVE
Under the Americans with Disabilities Act of 1990, all public
accommodations are required to meet federal requirements related to access and
use by disabled persons. If a property does not currently comply with that Act,
the property owner may be required to incur significant costs in order to
effect that compliance. This will reduce the amount of cash flow available to
cover other required maintenance and
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capital improvements and to pay debt service on the mortgage loan(s) that may
encumber that property. There can be no assurance that the owner will have
sufficient funds to cover the costs necessary to comply with that Act. In
addition, noncompliance could result in the imposition of fines by the federal
government or an award or damages to private litigants.
LITIGATION MAY ADVERSELY AFFECT A BORROWER'S ABILITY TO REPAY ITS MORTGAGE LOAN
The owner of a multifamily or commercial property may be a defendant in a
litigation arising out of, among other things, the following:
o breach of contract involving a tenant, a supplier or other party;
o negligence resulting in a personal injury, or
o responsibility for an environmental problem.
Litigation will divert the owner's attention from operating its property.
If the litigation were decided adversely to the owner, the award to the
plaintiff may adversely affect the owner's ability to repay a mortgage loan
secured by the property.
RESIDUAL INTERESTS IN A REAL ESTATE MORTGAGE INVESTMENT CONDUIT HAVE ADVERSE
TAX CONSEQUENCES
Inclusion of Taxable Income in Excess of Cash Received. If you own a
certificate that is a residual interest in a real estate mortgage investment
conduit for federal income tax purposes, you will have to report on your income
tax return as ordinary income your pro rata share of the taxable income of that
REMIC, regardless of the amount or timing of your possible receipt of any cash
on the certificate. As a result, your offered certificate may have phantom
income early in the term of the REMIC because the taxable income from the
certificate may exceed the amount of economic income, if any, attributable to
the certificate. While you will have a corresponding amount of tax losses later
in the term of the REMIC, the present value of the phantom income may
significantly exceed the present value of the tax losses. Therefore, the
after-tax yield on any REMIC residual certificate may be significantly less
than that of a corporate bond or other instrument having similar cash flow
characteristics. In fact, some offered certificates that are residual
interests, may have a negative value.
You have to report your share of the taxable income and net loss of the
REMIC until all the certificates in the related series have a principal balance
of zero. See "Federal Income Tax Consequences--REMICs."
Some Taxable Income of a Residual Interest Can Not Be Offset Under the
Internal Revenue Code of 1986. A portion of the taxable income from a REMIC
residual certificate may be treated as excess inclusions under the Internal
Revenue Code of 1986. You will have to pay tax on the excess inclusions
regardless of whether you have other credits, deductions or losses. In
particular, the tax on excess inclusion:
o generally will not be reduced by losses from other activities,
o for a tax-exempt holder, will be treated as unrelated business taxable
income, and
o for a foreign holder, will not qualify for any exemption from
withholding tax.
Some Entities Should Not Invest in REMIC Residual Certificates. The fees
and non-interest expenses of a REMIC will be allocated pro rata to certificates
that are residual interests in the REMIC. However, individuals will only be
able to deduct these expenses as miscellaneous itemized deductions, which are
subject to numerous restrictions and limitations under the Internal Revenue
Code of 1986. Therefore, the certificates that are residual interests generally
are not appropriate investments for:
o individuals,
o estates,
o trusts beneficially owned by any individual or estate, and
o pass-through entities having any individual, estate or trust as a
shareholder, member or partner.
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In addition, the REMIC residual certificates will be subject to numerous
transfer restrictions. These restrictions will reduce your ability to liquidate
a REMIC residual certificate. For example, unless we indicate otherwise in the
related prospectus supplement, you will not be able to transfer a REMIC
residual certificate to a foreign person under the Internal Revenue Code of
1986.
See "Federal Income Tax Consequences--REMICs--Taxation of Owners of REMIC
Residual Certificates."
PROBLEMS WITH BOOK-ENTRY REGISTRATION
Your offered certificates may be issued in book-entry form through the
facilities of the Depository Trust Company. As a result--
o you will be able to exercise your rights as a certificateholder only
indirectly through the Depository Trust Company and its participating
organizations;
o you may have only limited access to information regarding your offered
certificates;
o you may suffer delays in the receipt of payments on your offered
certificates; and
o your ability to pledge or otherwise take action with respect to your
offered certificates may be limited due to the lack of a physical
certificate evidencing your ownership of those certificates.
See "Description of the Certificates--Book-Entry Registration and
Definitive Certificates."
POTENTIAL CONFLICTS OF INTEREST CAN AFFECT A PERSON'S PERFORMANCE
The master servicer or special servicer for one of our trusts, or any of
their respective affiliates, may purchase certificates evidencing interests in
that trust.
In addition, the master servicer or special servicer for one of our
trusts, or any of their respective affiliates, may have interests in, or other
financial relationships with, borrowers under the related mortgage loans.
In servicing the mortgage loans in any of our trusts, the related master
servicer and special servicer will each be required to observe the terms of the
governing document(s) for the related series of offered certificates and, in
particular, to act in accordance with the servicing standard described in the
related prospectus supplement. You should consider, however, that either of
these parties, if it or an affiliate owns certificates, or has financial
interests in or other financial dealings with any of the related borrowers, may
have interests when dealing with the mortgage loans underlying your offered
certificates that are in conflict with your interests. For example, if the
related special servicer owns any certificates, it could seek to mitigate the
potential loss on its certificates from a troubled mortgage loan by delaying
enforcement in the hope of realizing greater proceeds in the future. However,
this action by a special servicer could result a lower recovery to the related
trust than would have been the case if the special servicer had not delayed in
taking enforcement action.
Furthermore, the master servicer or special servicer for any of our trusts
may service existing and new loans for third parties, including portfolios of
loans similar to the mortgage loans included in that trust. The properties
securing these other loans may be in the same markets as and compete with the
properties securing mortgage loans in our trust. Accordingly, that master
servicer or special servicer may be acting on behalf of parties with
conflicting interests.
THE TRANSITION FROM THE YEAR 1999 TO THE YEAR 2000 MAY DISRUPT THE ABILITY OF
COMPUTERIZED SYSTEMS TO PROCESS INFORMATION.
The collection of payments on the mortgage assets backing your offered
certificates, the servicing and administration of those mortgage assets and the
payments on your offered certificates are highly dependent upon computer
systems of the related master servicer, manager, special servicer, trustee,
borrowers and other third parties.
We will inquire from each of the parties to the governing document(s) for
a series of offered certificates whether and how the transition from 1999 to
2000 has affected their computer systems. We
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also will obtain assurances from these parties that they are taking the
necessary steps to cure any problems their computer systems may have with the
manipulation or calculation of dates after December 1, 1999. Notwithstanding
those inquiries and assurances, unforeseen problems in this regard could still
occur.
CAPITALIZED TERMS USED IN THIS PROSPECTUS
From time to time we use capitalized terms in this prospectus. Each of
those capitalized terms will have the meaning assigned to it in the "Glossary"
attached to this prospectus.
DESCRIPTION OF THE TRUST ASSETS
GENERAL
We will be responsible for establishing the trust underlying each series
of offered certificates. The assets of the trust will primarily consist of:
o various types of multifamily and/or commercial mortgage loans;
o mortgage participations, pass-through certificates, collateralized
mortgage obligations or other mortgage-backed securities that directly or
indirectly evidence interests in, or are secured by pledges of, one or
more of various types of multifamily and/or commercial mortgage loans; or
o a combination of mortgage loans and mortgage-backed securities of the
types described above.
We do not originate mortgage loans. Accordingly, we must acquire each of
the mortgage loans to be included in one of our trusts from the originator or a
subsequent assignee. In some cases, that originator or subsequent assignee will
be one of our affiliates.
Unless we indicate otherwise in the related prospectus supplement, we will
acquire, directly or through one of our affiliates, in the secondary market,
any mortgage-backed security to be included in one of our trusts.
Neither we nor any of our affiliates will guarantee any of the mortgage
assets included in one of our trusts. Furthermore, unless we indicate otherwise
in the related prospectus supplement, no governmental agency or instrumentality
will guarantee or insure any of those mortgage assets.
MORTGAGE LOANS
General. Each mortgage loan underlying the offered certificates will
constitute the obligation of one or more persons to repay a debt. That
obligation will be evidenced by a promissory note or bond. In addition, that
obligation will be secured by a mortgage, deed of trust or other security
instrument that creates a first or junior lien on, or security interest in, an
interest in one or more of the following types of real property:
o rental or cooperatively-owned buildings with multiple dwelling units;
o retail properties related to the sale of consumer goods and other
products to the general public, such as shopping centers, malls, factory
outlet centers, automotive sales centers, department stores and other
retail stores, grocery stores, specialty shops, convenience stores and
gas stations;
o retail properties related to providing entertainment, recreational and
personal services to the general public, such as movie theaters, fitness
centers, bowling alleys, salons, dry cleaners and automotive service
centers;
o office properties;
o hospitality properties, such as hotels, motels and other lodging
facilities;
o casino properties;
o health care-related properties, such as hospitals, skilled nursing
facilities, nursing homes, congregate care facilities and, in some cases,
assisted living centers and senior housing;
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o industrial properties;
o warehouse facilities, mini-warehouse facilities and self-storage
facilities;
o restaurants, taverns and other establishments involved in the food and
beverage industry;
o manufactured housing communities, mobile home parks and recreational
vehicle parks;
o recreational and resort properties, such as golf courses, marinas, ski
resorts and amusement parks;
o arenas and stadiums;
o churches and other religious facilities;
o parking lots and garages;
o mixed use properties;
o other income-producing properties; and
o unimproved land.
The real property interests that may be encumbered in order to secure a
mortgage loan underlying your offered certificates, include--
o a fee interest or estate, which consists of ownership of the property
for an indefinite period,
o an estate for years, which consists of ownership of the property for a
specified period of years,
o a leasehold interest or estate, which consists of a right to occupy and
use the property for a specified period of years, subject to the terms
and conditions of a lease,
o shares in a cooperative corporation which owns the property, or
o any other real estate interest under applicable local law.
Any of these real property interests may be subject to deed restrictions,
easements, rights of way and other matters of public record with respect to the
related property. In addition, the use of, and improvements that may be
constructed on, any particular real property will, in most cases, be subject to
zoning laws and other legal restrictions.
Most, if not all, of the mortgage loans underlying a series of offered
certificates will be secured by liens on real properties located in the United
States, its territories and possessions. However, some of those mortgage loans
may be secured by liens on real properties located outside the United States,
its territories and possessions, provided that foreign mortgage loans do not
represent more than 10% of the related mortgage asset pool, by balance.
If we so indicate in the related prospectus supplement, one or more of the
mortgage loans underlying a series of offered certificates may be secured by a
junior lien on the related real property. However, the loan or loans secured by
the more senior liens on that property may not be included in the related
trust. The primary risk to the holder of a mortgage loan secured by a junior
lien on a real property is the possibility that the foreclosure proceeds
remaining after payment of the loans secured by more senior liens on that
property will be insufficient to pay the junior loan in full. In a foreclosure
proceeding, the sale proceeds are applied--
o first, to the payment of court costs and fees in connection with the
foreclosure,
o second, to the payment of real estate taxes, and
o third, to the payment of any and all principal, interest, prepayment or
acceleration penalties, and other amounts owing to the holder of the
senior loans.
The claims of the holders of the senior loans must be satisfied in full before
the holder of the junior loan receives any payments with respect to the junior
loan. If a lender forecloses on a junior loan, it does so subject to any
related senior loans.
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If we so indicate in the related prospectus supplement, the mortgage loans
underlying a series of offered certificates may be delinquent as of the date
the certificates are initially issued. In those cases, we will describe in the
related prospectus supplement--
o the period of the delinquency,
o any forbearance arrangement then in effect,
o the condition of the related real property, and
o the ability of the related real property to generate income to service
the mortgage debt.
We will not, however, transfer any mortgage loan to a trust if we know that the
mortgage loan is, at the time of transfer, more than 90 days delinquent with
respect to any scheduled payment of principal or interest or in foreclosure.
A Discussion of the Various Types of Multifamily and Commercial Properties
that May Secure Mortgage Loans Underlying a Series of Offered Certificates. The
mortgage loans underlying a series of offered certificates may be secured by
numerous types of multifamily and commercial properties. As we discuss below
under "--Mortgage Loans--Default and Loss Considerations with Respect to
Commercial and Multifamily Mortgage Loans," the adequacy of an income-producing
property as security for a mortgage loan depends in large part on its value and
ability to generate net operating income. Set forth below is a discussion of
some of the various factors that may affect the value and operations of the
indicated types of multifamily and commercial properties.
Multifamily Rental Properties. Factors affecting the value and operation
of a multifamily rental property include:
o the physical attributes of the property, such as its age, appearance,
amenities and construction quality;
o the types of services offered at the property;
o the location of the property;
o the characteristics of the surrounding neighborhood, which may change
over time;
o the rents charged for dwelling units at the property relative to the
rents charged for comparable units at competing properties;
o the ability of management to provide adequate maintenance and insurance;
o the property's reputation;
o the level of mortgage interest rates, which may encourage tenants to
purchase rather than lease housing;
o the existence or construction of competing or alternative residential
properties, including other apartment buildings and complexes,
manufactured housing communities, mobile home parks and single-family
housing;
o the ability of management to respond to competition;
o the tenant mix and whether the property is primarily occupied by workers
from a particular company or type of business, personnel from a local
military base or students;
o adverse local, regional or national economic conditions, which may limit
the amount that may be charged for rents and may result in a reduction in
timely rent payments or a reduction in occupancy levels;
o state and local regulations, which may affect the property owner's
ability to increase rent to the market rent for an equivalent apartment;
o the extent to which the property is subject to land use restrictive
covenants or contractual covenants that require that units be rented to
low income tenants;
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o the extent to which the cost of operating the property, including the
cost of utilities and the cost of required capital expenditures, may
increase; and
o the extent to which increases in operating costs may be passed through
to tenants.
Because units in a multifamily rental property are leased to individuals,
usually for no more than a year, the property is likely to respond relatively
quickly to a downturn in the local economy or to the closing of a major
employer in the area.
Some states regulate the relationship of an owner and its tenants at a
multifamily rental property. Among other things, these states may--
o require written leases;
o require good cause for eviction;
o require disclosure of fees;
o prohibit unreasonable rules;
o prohibit retaliatory evictions;
o prohibit restrictions on a resident's choice of unit vendors;
o limit the bases on which a landlord may increase rent; or
o prohibit a landlord from terminating a tenancy solely by reason of the
sale of the owner's building.
Apartment building owners have been the subject of suits under state
Unfair and Deceptive Practices Acts and other general consumer protection
statutes for coercive, abusive or unconscionable leasing and sales practices.
Some counties and municipalities also impose rent control regulations on
apartment buildings. These regulations may limit rent increases to--
o fixed percentages,
o percentages of increases in the consumer price index,
o increases set or approved by a governmental agency, or
o increases determined through mediation or binding arbitration.
In many cases, the rent control laws do not provide for decontrol of
rental rates upon vacancy of individual units. Any limitations on a landlord's
ability to raise rents at a multifamily rental property may impair the
landlord's ability to repay a mortgage loan secured by the property or to meet
operating costs.
Some multifamily rental properties are subject to land use restrictive
covenants or contractual covenants in favor of federal or state housing
agencies. These covenants generally require that a minimum number or percentage
of units be rented to tenants who have incomes that are substantially lower
than median incomes in the area or region. These covenants may limit the
potential rental rates that may be charged at a multifamily rental property,
the potential tenant base for the property or both. An owner may subject a
multifamily rental property to these covenants in exchange for tax credits or
rent subsidies. When the credits or subsidies cease, net operating income will
decline.
Some mortgage loans underlying the offered certificates will be secured
by--
o the related borrower's interest in multiple units in a residential
condominium project, and
o the related voting rights in the owners' association for the project.
Due to the nature of condominiums, a default on any of those mortgage loans
will not allow the related special servicer the same flexibility in realizing
on the real property collateral as is generally available with respect to
multifamily rental properties that are not condominiums. The rights of other
unit owners, the
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governing documents of the owners' association and the state and local laws
applicable to condominiums must be considered and respected. Consequently,
servicing and realizing upon the collateral for those mortgage loans could
subject the related trust to greater delay, expense and risk than a loan
secured by a multifamily rental property that is not a condominium.
Cooperatively-Owned Apartment Buildings. Some multifamily properties are
owned or leased by cooperative corporations. In general, each shareholder in
the corporation is entitled to occupy a particular apartment unit under a
long-term proprietary lease or occupancy agreement.
A tenant/shareholder of a cooperative corporation must make a monthly
maintenance payment to the corporation. The monthly maintenance payment
represents a tenant/shareholder's pro rata share of the corporation's--
o mortgage loan payments,
o real property taxes,
o maintenance expenses, and
o other capital and ordinary expenses of the property.
These monthly maintenance payments are in addition to any payments of principal
and interest the tenant/shareholder must make on any loans of the
tenant/shareholder secured by its shares in the corporation.
A cooperative corporation is directly responsible for building maintenance
and payment of real estate taxes and hazard and liability insurance premiums. A
cooperative corporation's ability to meet debt service obligations on a
mortgage loan secured by, and to pay all other operating expenses of, the
cooperatively owned property depends primarily upon the receipt of--
o maintenance payments from the tenant/shareholders, and
o any rental income from units or commercial space that the cooperative
corporation might control.
A cooperative corporation may have to impose special assessments on the
tenant/shareholders in order to pay unanticipated expenditures. Accordingly, a
cooperative corporation is highly dependent on the financial well being of its
tenant/shareholders. A cooperative corporation's ability to pay the amount of
any balloon payment due at the maturity of a mortgage loan secured by the
cooperatively owned property depends primarily on its ability to refinance the
property.
In a typical cooperative conversion plan, the owner of a rental apartment
building contracts to sell the building to a newly formed cooperative
corporation. Shares are allocated to each apartment unit by the owner or
sponsor. The current tenants have a specified period to subscribe at prices
discounted from the prices to be offered to the public after that period. As
part of the consideration for the sale, the owner or sponsor receives all the
unsold shares of the cooperative corporation. In general the sponsor controls
the corporation's board of directors and management for a limited period of
time. If the sponsor holds the shares allocated to a large number of apartment
units, the lender on a mortgage loan secured by a cooperatively owned property
may be adversely affected by a decline in the creditworthiness of the sponsor.
Many cooperative conversion plans are non-eviction plans. Under a
non-eviction plan, a tenant at the time of conversion who chooses not to
purchase shares is entitled to reside in its apartment unit as a subtenant from
the owner of the shares allocated to that unit. Any applicable rent control or
rent stabilization laws would continue to be applicable to the subtenancy. In
addition, the subtenant may be entitled to renew its lease for an indefinite
number of years with continued protection from rent increases above those
permitted by any applicable rent control and rent stabilization laws. The
owner/shareholder is responsible for the maintenance payments to the
cooperative corporation without regard to whether it receives rent from the
subtenant or whether the rent payments are lower than maintenance payments on
the unit. Newly-formed cooperative corporations typically have the greatest
concentration of non-tenant/shareholders.
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Retail Properties. The term "retail property" encompasses a broad range of
properties at which businesses sell consumer goods and other products and
provide various entertainment, recreational or personal services to the general
public. Some examples of retail properties include--
o shopping centers,
o factory outlet centers,
o malls,
o automotive sales and service centers,
o consumer oriented businesses,
o department stores,
o grocery stores,
o convenience stores,
o specialty shops,
o gas stations,
o movie theaters,
o fitness centers,
o bowling alleys,
o salons, and
o dry cleaners.
Unless owner occupied, retail properties generally derive all or a
substantial percentage of their income from lease payments from commercial
tenants. Therefore, it is important for the owner of a retail property to
attract and keep tenants, particularly significant tenants, that are able to
meet their lease obligations. In order to attract tenants, the owner of a
retail property may be required to--
o lower rents,
o grant a potential tenant a free rent or reduced rent period,
o improve the condition of the property generally, or
o make at its own expense, or grant a rent abatement to cover, tenant
improvements for a potential tenant.
A prospective tenant will also be interested in the number and type of
customers that it will be able to attract at a particular retail property. The
ability of a tenant at a particular retail property to attract customers will
be affected by a number of factors related to the property and the surrounding
area, including:
o competition from other retail properties;
o perceptions regarding the safety, convenience and attractiveness of the
property;
o perceptions regarding the safety of the surrounding area;
o demographics of the surrounding area;
o the strength and stability of the local, regional and national
economies;
o traffic patterns and access to major thoroughfares;
o the visibility of the property;
o availability of parking;
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o the particular mixture of the goods and services offered at the
property;
o customer tastes, preferences and spending patterns; and
o the drawing power of other tenants.
The success of a retail property is often dependent on the success of its
tenants' businesses. A significant component of the total rent paid by tenants
of retail properties is often tied to a percentage of gross sales or revenues.
Declines in sales or revenues of the tenants will likely cause a corresponding
decline in percentage rents and/or impair the tenants' ability to pay their
rent or other occupancy costs. A default by a tenant under its lease could
result in delays and costs in enforcing the landlord's rights. Retail
properties would be directly and adversely affected by a decline in the local
economy and reduced consumer spending.
Repayment of a mortgage loan secured by a retail property will be affected
by the expiration of space leases at the property and the ability of the
borrower to renew or relet the space on comparable terms. Even if vacant space
is successfully relet, the costs associated with reletting, including tenant
improvements, leasing commissions and free rent, may be substantial and could
reduce cash flow from a retail property.
The presence or absence of an anchor tenant in a multi-tenanted retail
property can be important. Anchor tenants play a key role in generating
customer traffic and making the center desirable for other tenants. An anchor
tenant is, in general, a retail tenant whose space is substantially larger in
size than that of other tenants at the same retail property and whose operation
is vital in attracting customers to the property. At some retail properties,
the anchor tenant owns the space it occupies. In those cases where the property
owner does not control the space occupied by the anchor tenant, the property
owner may not be able to take actions with respect to the space that it
otherwise typically would, such as granting concessions to retain an anchor
tenant or removing an ineffective anchor tenant. In some cases, an anchor
tenant may cease to operate at the property, thereby leaving its space
unoccupied even though it continues to own or pay rent on the vacant space. If
an anchor tenant ceases operations at a retail property, other tenants at the
property may be entitled to terminate their leases prior to the scheduled
termination date or to pay rent at a reduced rate for the remaining term of the
lease.
Various factors will adversely affect the economic performance of an
anchored retail property, including:
o an anchor tenant's failure to renew its lease;
o termination of an anchor tenant's lease;
o the bankruptcy or economic decline of an anchor tenant or a self-owned
anchor;
o the cessation of the business of a self-owned anchor or of an anchor
tenant, notwithstanding its continued ownership of the previously
occupied space or its continued payment of rent, as the case may be; or
o a loss of an anchor tenant's ability to attract shoppers.
Retail properties may also face competition from sources outside a given
real estate market or with lower operating costs. For example, all of the
following compete with more traditional department stores and specialty shops
for consumer dollars:
o factory outlet centers;
o discount shopping centers and clubs;
o catalogue retailers;
o television shopping networks and programs;
o internet web sites; and
o telemarketing.
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Similarly, home movie rentals and pay-per-view movies provide alternate
sources of entertainment to movie theaters. Continued growth of these
alternative retail outlets and entertainment sources, which are often
characterized by lower operating costs, could adversely affect the rents
collectible at retail properties.
Gas stations, automotive sales and service centers and dry cleaners also
pose unique environmental risks because of the nature of their businesses and
the types of products used or sold in those businesses.
Office Properties. Factors affecting the value and operation of an office
property include:
o the number and quality of the tenants, particularly significant tenants,
at the property;
o the physical attributes of the building in relation to competing
buildings;
o the location of the property with respect to the central business
district or population centers;
o demographic trends within the metropolitan area to move away from or
towards the central business district;
o social trends combined with space management trends, which may change
towards options such as telecommuting or hoteling to satisfy space needs;
o tax incentives offered to businesses or property owners by cities or
suburbs adjacent to or near where the building is located;
o local competitive conditions, such as the supply of office space or the
existence or construction of new competitive office buildings;
o the quality and philosophy of building management;
o access to mass transportation; and
o changes in zoning laws.
Office properties may be adversely affected by an economic decline in the
business operated by their tenants. The risk associated with that economic
decline is increased if revenue is dependent on a single tenant or if there is
a significant concentration of tenants in a particular business or industry.
Office properties are also subject to competition with other office
properties in the same market. Competitive factors affecting an office property
include:
o rental rates;
o the building's age, condition and design, including floor sizes and
layout;
o access to public transportation and availability of parking; and
o amenities offered to its tenants, including sophisticated building
systems, such as fiber optic cables, satellite communications or other
base building technological features.
The cost of refitting office space for a new tenant is often higher than
for other property types.
The success of an office property also depends on the local economy.
Factors influencing a company's decision to locate in a given area include:
o the cost and quality of labor;
o tax incentives; and
o quality of life matters, such as schools and cultural amenities.
The strength and stability of the local or regional economy will affect an
office property's ability to attract stable tenants on a consistent basis. A
central business district may have a substantially different economy from that
of a suburb.
Hospitality Properties. Hospitality properties may involve different types
of hotels and motels, including:
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o full service hotels;
o resort hotels with many amenities;
o limited service hotels;
o hotels and motels associated with national or regional franchise chains;
o hotels that are not affiliated with any franchise chain but may have
their own brand identity; and
o other lodging facilities.
Factors affecting the economic performance of a hospitality property
include:
o the location of the property and its proximity to major population
centers or attractions;
o the seasonal nature of business at the property;
o the level of room rates relative to those charged by competitors;
o quality and perception of the franchise affiliation;
o economic conditions, either local, regional or national, which may limit
the amount that can be charged for a room and may result in a reduction
in occupancy levels;
o the existence or construction of competing hospitality properties;
o nature and quality of the services and facilities;
o financial strength and capabilities of the owner and operator;
o the need for continuing expenditures for modernizing, refurbishing and
maintaining existing facilities;
o increases in operating costs, which may not be offset by increased room
rates;
o the property's dependence on business and commercial travelers and
tourism; and
o changes in travel patterns caused by changes in access, energy prices,
labor strikes, relocation of highways, the reconstruction of additional
highways or other factors.
Because limited service hotels and motels are relatively quick and
inexpensive to construct and may quickly reflect a positive value, an
over-building of these hotels and motels could occur in any given region, which
would likely adversely affect occupancy and daily room rates. Further, because
rooms at hospitality properties are generally rented for short periods of time,
hospitality properties tend to be more sensitive to adverse economic conditions
and competition than many other types of commercial properties. Additionally,
the revenues of some hospitality properties, particularly those located in
regions whose economies depend upon tourism, may be highly seasonal in nature.
Hospitality properties may be operated under franchise agreements. The
continuation of a franchise is typically subject to specified operating
standards and other terms and conditions. The franchisor periodically inspects
its licensed properties to confirm adherence to its operating standards. The
failure of the hospitality property to maintain those standards or adhere to
those other terms and conditions could result in the loss or cancellation of
the franchise license. It is possible that the franchisor could condition the
continuation of a franchise license on the completion of capital improvements
or the making of capital expenditures that the owner of the hospitality
property determines are too expensive or are otherwise unwarranted in light of
the operating results or prospects of the property. In that event, the owner of
the hospitality property may elect to allow the franchise license to lapse. In
any case, if the franchise is terminated, the owner of the hospitality property
may seek to obtain a suitable replacement franchise or to operate property
independently of a franchise license. The loss of a franchise license could
have a material adverse effect upon the operations or value of the hospitality
property because of the loss of associated name recognition, marketing support
and centralized reservation systems provided by the franchisor.
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The viability of any hospitality property that is a franchise of a
national or a regional hotel or motel chain is dependent upon:
o the continued existence and financial strength of the franchisor;
o the public perception of the franchise service mark; and
o the duration of the franchise licensing agreement.
The transferability of franchise license agreements may be restricted. The
consent of the franchisor would be required for the continued use of the
franchise license by the hospitality property following a foreclosure.
Conversely, a lender may be unable to remove a franchisor that it desires to
replace following a foreclosure. Further, in the event of a foreclosure on a
hospitality property, the lender or other purchaser of the hospitality property
may not be entitled to the rights under any associated liquor license. That
party would be required to apply in its own right for a new liquor license.
There can be no assurance that a new license could be obtained or that it could
be obtained promptly.
Casino Properties. Factors affecting the economic performance of a casino
property include:
o location, including proximity to or easy access from major population
centers;
o appearance;
o economic conditions, either local, regional or national, which may limit
the amount of disposable income that potential patrons may have for
gambling;
o the existence or construction of competing casinos;
o dependence on tourism; and
o local or state governmental regulation.
Competition among major casinos may involve attracting patrons by--
o providing alternate forms of entertainment, such as performers and
sporting events, and
o offering low-priced or free food and lodging.
Casino owners may expend substantial sums to modernize, refurbish and
maintain existing facilities.
Because of their dependence on disposable income of patrons, casino
properties are likely to respond quickly to a downturn in the economy.
To avoid criminal influence, the ownership and operation of casino
properties is often subject to local or state governmental regulation. A
government agency or authority may have jurisdiction over or influence with
respect to the foreclosure of a casino property or the bankruptcy of its owner
or operator. In some jurisdictions, it may be necessary to receive governmental
approval before foreclosing, thereby resulting in substantial delays to a
lender. Gaming licenses are not transferable, including in connection with a
foreclosure. There can be no assurance that a lender or another purchaser in
foreclosure or otherwise will be able to obtain the requisite approvals to
continue operating the foreclosed property as a casino.
Any given state or municipality that currently allows legalized gambling
could pass legislation banning it.
The loss of a gaming license for any reason would have a material adverse
effect on the value of a casino property.
Health Care-Related Properties. Health-care related properties include:
o hospitals;
o skilled nursing facilities;
o nursing homes;
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o congregate care facilities; and
o in some cases, assisted living centers and housing for seniors.
Health care-related facilities, particularly nursing homes, may receive a
substantial portion of their revenues from government reimbursement programs,
primarily Medicaid and Medicare. Medicaid and Medicare are subject to:
o statutory and regulatory changes;
o retroactive rate adjustments;
o administrative rulings;
o policy interpretations;
o delays by fiscal intermediaries; and
o government funding restrictions.
All of the foregoing can adversely affect revenues from the operation a health
care-related facility. Moreover, governmental payors have employed
cost-containment measures that limit payments to health care providers. In
addition, there are currently under consideration various proposals for
national health care relief that could further limit these payments.
Providers of long-term nursing care and other medical services are highly
regulated by federal, state and local law. They are subject to numerous factors
which can increase the cost of operation, limit growth and, in extreme cases,
require or result in suspension or cessation of operations, including:
o federal and state licensing requirements;
o facility inspections;
o rate setting;
o reimbursement policies; and
o laws relating to the adequacy of medical care, distribution of
pharmaceuticals, use of equipment, personnel operating policies and
maintenance of and additions to facilities and services.
Under applicable federal and state laws and regulations, Medicare and
Medicaid reimbursements generally may not be made to any person other than the
provider who actually furnished the related material goods and services.
Accordingly, in the event of foreclosure on a health care-related facility,
neither a lender nor other subsequent lessee or operator of the property would
generally be entitled to obtain from federal or state governments any
outstanding reimbursement payments relating to services furnished at the
property prior to foreclosure. Furthermore, in the event of foreclosure, there
can be no assurance that a lender or other purchaser in a foreclosure sale
would be entitled to the rights under any required licenses and regulatory
approvals. The lender or other purchaser may have to apply in its own right for
those licenses and approvals. There can be no assurance that a new license
could be obtained or that a new approval would be granted.
Health care-related facilities are generally special purpose properties
that could not be readily converted to general residential, retail or office
use. This will adversely affect their liquidation value. Furthermore, transfers
of health care-related facilities are subject to regulatory approvals under
state, and in some cases federal, law not required for transfers of most other
types of commercial properties.
Industrial Properties. Industrial properties may be adversely affected by
reduced demand for industrial space occasioned by a decline in a particular
industry segment and/or by a general slowdown in the economy. In addition, an
industrial property that suited the particular needs of its original tenant may
be difficult to relet to another tenant or may become functionally obsolete
relative to newer properties.
The value and operation of an industrial property depends on:
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o location of the property, the desirability of which in a particular
instance may depend on--
1. availability of labor services,
2. proximity to supply sources and customers, and
3. accessibility to various modes of transportation and shipping,
including railways, roadways, airline terminals and ports;
o building design of the property, the desirability of which in a
particular instance may depend on--
1. ceiling heights,
2. column spacing,
3. number and depth of loading bays,
4. divisibility,
5. floor loading capacities,
6. truck turning radius,
7. overall functionality, and
8. adaptability of the property, because industrial tenants often need
space that is acceptable for highly specialized activities; and
o the quality and creditworthiness of individual tenants, because
industrial properties frequently have higher tenant concentrations.
Industrial properties are generally special purpose properties that could
not be readily converted to general residential, retail or office use. This
will adversely affect their liquidation value.
Warehouse, Mini-Warehouse and Self-Storage Facilities. Warehouse,
mini-warehouse and self-storage properties are considered vulnerable to
competition because both acquisition costs and break-even occupancy are
relatively low. In addition, it would require substantial capital expenditures
to convert a warehouse, mini-warehouse or self-storage property to an
alternative use. This will materially impair the liquidation value of the
property if its operation for storage purposes becomes unprofitable due to
decreased demand, competition, age of improvements or other factors.
Successful operation of a warehouse, mini-warehouse or self-storage
property depends on--
o building design,
o location and visibility,
o tenant privacy,
o efficient access to the property,
o proximity to potential users, including apartment complexes or
commercial users,
o services provided at the property, such as security,
o age and appearance of the improvements, and
o quality of management.
Restaurants and Taverns. Factors affecting the economic viability of
individual restaurants, taverns and other establishments that are part of the
food and beverage service industry include:
o competition from facilities having businesses similar to a particular
restaurant or tavern;
o perceptions by prospective customers of safety, convenience, services
and attractiveness;
o the cost, quality and availability of food and beverage products;
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o negative publicity, resulting from instances of food contamination,
food-borne illness and similar events;
o changes in demographics, consumer habits and traffic patterns;
o the ability to provide or contract for capable management; and
o retroactive changes to building codes, similar ordinances and other
legal requirements.
Adverse economic conditions, whether local, regional or national, may
limit the amount that may be charged for food and beverages and the extent to
which potential customers dine out. Because of the nature of the business,
restaurants and taverns tend to respond to adverse economic conditions more
quickly than do many other types of commercial properties. Furthermore, the
transferability of any operating, liquor and other licenses to an entity
acquiring a bar or restaurant, either through purchase or foreclosure, is
subject to local law requirements.
The food and beverage service industry is highly competitive. The
principal means of competition are--
o segment,
o product,
o price,
o value,
o quality,
o service,
o convenience,
o location, and
o the nature and condition of the restaurant facility.
A restaurant or tavern operator competes with the operators of comparable
establishments in the area in which its restaurant or tavern is located. Other
restaurants could have--
o lower operating costs,
o more favorable locations,
o more effective marketing,
o more efficient operations, or
o better facilities.
The location and condition of a particular restaurant or tavern will
affect the number of customers and, to an extent, the prices that may be
charged. The characteristics of an area or neighborhood in which a restaurant
or tavern is located may change over time or in relation to competing
facilities. Also, the cleanliness and maintenance at a restaurant or tavern
will affect its appeal to customers. In the case of a regionally- or
nationally-known chain restaurant, there may be costly expenditures for
renovation, refurbishment or expansion, regardless of its condition.
Factors affecting the success of a regionally- or nationally-known chain
restaurant include:
o actions and omissions of any franchisor, including management practices
that--
1. adversely affect the nature of the business, or
2. require renovation, refurbishment, expansion or other expenditures;
o the degree of support provided or arranged by the franchisor, including
its franchisee organizations and third-party providers of products or
services; and
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o the bankruptcy or business discontinuation of the franchisor or any of
its franchisee organizations or third-party providers.
Chain restaurants may be operated under franchise agreements. Those
agreements typically do not contain provisions protective of lenders. A
borrower's rights as franchisee typically may be terminated without informing
the lender, and the borrower may be precluded from competing with the
franchisor upon termination. In addition, a lender that acquires title to a
restaurant site through foreclosure or similar proceedings may be restricted in
the use of the site or may be unable to succeed to the rights of the franchisee
under the related franchise agreement. The transferability of a franchise may
be subject to other restrictions. Also, federal and state franchise regulations
may impose additional risk, including the risk that the transfer of a franchise
acquired through foreclosure or similar proceedings may require registration
with governmental authorities or disclosure to prospective transferees.
Manufactured Housing Communities, Mobile Home Parks and Recreational
Vehicle Parks. Manufactured housing communities and mobile home parks consist
of land that is divided into "spaces" or "home sites" that are primarily leased
to owners of the individual mobile homes or other housing units. The home owner
often invests in site-specific improvements such as carports, steps, fencing,
skirts around the base of the home, and landscaping. The land owner typically
provides private roads within the park, common facilities and, in many cases,
utilities. Due to relocation costs and, in some cases, demand for homesites,
the value of a mobile home or other housing unit in place in a manufactured
housing community or mobile home park is generally higher, and can be
significantly higher, than the value of the same unit not placed in a
manufactured housing community or mobile home park. As a result, a
well-operated manufactured housing community or mobile home park that has
achieved stabilized occupancy is typically able to maintain occupancy at or
near that level. For the same reason, a lender that provided financing for the
home of a tenant who defaulted in his or her space rent generally has an
incentive to keep rental payments current until the home can be resold in
place, rather than to allow the unit to be removed from the park. In general,
the individual mobile homes and other housing units will not constitute
collateral for a mortgage loan underlying a series of offered certificates.
Recreational vehicle parks lease spaces primarily or exclusively for motor
homes, travel trailers and portable truck campers, primarily designed for
recreational, camping or travel use. In general, parks that lease recreational
vehicle spaces can be viewed as having a less stable tenant population than
parks occupied predominantly by mobile homes. However, it is not unusual for
the owner of a recreational vehicle to leave the vehicle at the park on a
year-round basis or to use the vehicle as low cost housing and reside in the
park indefinitely.
Factors affecting the successful operation of a manufactured housing
community, mobile home park or recreational vehicle park include:
o the number of comparable competing properties in the local market;
o the age, appearance and reputation of the property;
o the quality of management; and
o the types of facilities and services it provides.
Manufactured housing communities and mobile home parks also compete
against alternative forms of residential housing, including--
o multifamily rental properties,
o cooperatively-owned apartment buildings,
o condominium complexes, and
o single-family residential developments.
Recreational vehicle parks also compete against alternative forms of
recreation and short-term lodging, such as staying at a hotel at the beach.
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Manufactured housing communities, mobile home parks and recreational
vehicle parks are special purpose properties that could not be readily
converted to general residential, retail or office use. This will adversely
affect the liquidation value of the property if its operation as a manufactured
housing community, mobile home park or recreational vehicle park, as the case
may be, becomes unprofitable due to competition, age of the improvements or
other factors.
Some states regulate the relationship of an owner of a manufactured
housing community or mobile home park and its tenants in a manner similar to
the way they regulate the relationship between a landlord and tenant at a
multifamily rental property. In addition, some states also regulate changes in
the use of a manufactured housing community or mobile home park and require
that the owner give written notice to its tenants a substantial period of time
prior to the projected change.
In addition to state regulation of the landlord-tenant relationship,
numerous counties and municipalities impose rent control on manufactured
housing communities and mobile home parks. These ordinances may limit rent
increases to--
o fixed percentages,
o percentages of increases in the consumer price index,
o increases set or approved by a governmental agency, or
o increases determined through mediation or binding arbitration.
In many cases, the rent control laws either do not permit vacancy
decontrol or permit vacancy decontrol only in the relatively rare event that
the mobile home or manufactured housing unit is removed from the homesite.
Local authority to impose rent control on manufactured housing communities and
mobile home parks is pre-empted by state law in some states and rent control is
not imposed at the state level in those states. In some states, however, local
rent control ordinances are not pre-empted for tenants having short-term or
month-to-month leases, and properties there may be subject to various forms of
rent control with respect to those tenants.
Recreational and Resort Properties. Any mortgage loan underlying a series
of offered certificates may be secured by a golf course, marina, ski resort,
amusement park or other property used for recreational purposes or as a resort.
Factors affecting the economic performance of a property of this type include:
o the location and appearance of the property;
o the appeal of the recreational activities offered;
o the existence or construction of competing properties, whether are not
they offer the same activities;
o the need to make capital expenditures to maintain, refurbish, improve
and/or expand facilities in order to attract potential patrons;
o geographic location and dependence on tourism;
o changes in travel patterns caused by changes in energy prices, strikes,
location of highways, construction of additional highways and similar
factors;
o seasonality of the business, which may cause periodic fluctuations in
operating revenues and expenses;
o sensitivity to weather and climate changes; and
o local, regional and national economic conditions.
A marina or other recreational or resort property located next to water
will also be affected by various statutes and government regulations that
govern the use of, and construction on, rivers, lakes and other waterways.
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Because of the nature of the business, recreational and resort properties
tend to respond to adverse economic conditions more quickly than do many other
types of commercial properties.
Recreational and resort properties are generally special purpose
properties that are not readily convertible to alternative uses. This will
adversely affect their liquidation value.
Arenas and Stadiums. The success of an arena or stadium generally depends
on its ability to attract patrons to a variety of events, including:
o sporting events;
o musical events;
o theatrical events;
o animal shows; and/or
o circuses.
The ability to attract patrons is dependent on, among others, the
following factors:
o the appeal of the particular event;
o the cost of admission;
o perceptions by prospective patrons of the safety, convenience, services
and attractiveness of the arena or stadium;
o perceptions by prospective patrons of the safety of the surrounding
area; and
o the alternative forms of entertainment available in the particular
locale.
In some cases, an arena's or stadium's success will depend on its ability
to attract and keep a sporting team as a tenant. An arena or stadium may become
unprofitable, or unacceptable to a tenant of that type, due to decreased
attendance, competition and age of improvements. Often, substantial
expenditures must be made to modernize, refurbish and/or maintain existing
facilities.
Arenas and stadiums are special purpose properties which cannot be readily
convertible to alternative uses. This will adversely affect their liquidation
value.
Churches and Other Religious Facilities. Churches and other religious
facilities generally depend on charitable donations to meet expenses and pay
for maintenance and capital expenditures. The extent of those donations is
dependent on the attendance at any particular religious facility and the extent
to which attendees are prepared to make donations, which is influenced by a
variety of social, political and economic factors. Donations may be adversely
affected by economic conditions, whether local, regional or national. Religious
facilities are special purpose properties that are not readily convertible to
alternative uses. This will adversely affect their liquidation value.
Parking Lots and Garages. The primary source of income for parking lots
and garages is the rental fees charged for parking spaces. Factors affecting
the success of a parking lot or garage include:
o the number of rentable parking spaces and rates charged;
o the location of the lot or garage and, in particular, its proximity to
places where large numbers of people work, shop or live;
o the amount of alternative parking spaces in the area;
o the availability of mass transit; and
o the perceptions of the safety, convenience and services of the lot or
garage.
Unimproved Land. The value of unimproved land is largely a function of its
potential use. This may depend on--
o its location,
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o its size,
o the surrounding neighborhood, and
o local zoning laws.
Default and Loss Considerations with Respect to Commercial and Multifamily
Mortgage Loans. Mortgage loans secured by liens on income-producing properties
are substantially different from mortgage loans made on the security of
owner-occupied single-family homes. The repayment of a loan secured by a lien
on an income-producing property is typically dependent upon--
o the successful operation of the property, and
o its ability to generate income sufficient to make payments on the loan.
This is particularly true because most or all of the mortgage loans underlying
the offered certificates will be nonrecourse loans.
The debt service coverage ratio of a multifamily or commercial mortgage
loan is an important measure of the likelihood of default on the loan. In
general, the debt service coverage ratio of a multifamily or commercial
mortgage loan at any given time is the ratio of--
o the amount of income derived or expected to be derived from the related
real property for a twelve-month period that is available to pay debt
service, to
o the annualized scheduled payments of principal and/or interest on the
mortgage loan and any other senior loans that are secured by the related
real property.
The amount described in the first bullet point of the preceding sentence is
often a highly subjective number based on a variety of assumptions regarding,
and adjustments to, revenues and expenses with respect to the related real
property. We will provide a more detailed discussion of its calculation in the
related prospectus supplement.
The cash flow generated by a multifamily or commercial property will
generally fluctuate over time and may or may not be sufficient to--
o make the loan payments on the related mortgage loan,
o cover operating expenses, and
o fund capital improvements at any given time.
Operating revenues of a nonowner occupied, income- producing property may
be affected by the condition of the applicable real estate market and/or area
economy. Properties leased, occupied or used on a short-term basis, such as
o some health care-related facilities,
o hotels and motels,
o recreational vehicle parks, and
o mini-warehouse and self-storage facilities,
tend to be affected more rapidly by changes in market or business conditions
than do properties typically leased for longer periods, such as--
o warehouses,
o retail stores,
o office buildings, and
o industrial facilities.
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Some commercial properties may be owner-occupied or leased to a small
number of tenants. Accordingly, the operating revenues may depend substantially
on the financial condition of the borrower or one or a few tenants. Mortgage
loans secured by liens on owner-occupied and single tenant properties may pose
a greater likelihood of default and loss than loans secured by liens on
multifamily properties or on multi-tenant commercial properties.
Increases in property operating expenses can increase the likelihood of a
borrower default on a multifamily or commercial mortgage loan secured by the
property. Increases in property operating expenses may result from:
o increases in energy costs and labor costs;
o increases in interest rates and real estate tax rates; and
o changes in governmental rules, regulations and fiscal policies.
Some net leases of commercial properties may provide that the lessee,
rather than the borrower/ landlord, is responsible for payment of operating
expenses. However, a net lease will result in stable net operating income to the
borrower/landlord only if the lessee is able to pay the increased operating
expense while also continuing to make rent payments.
Lenders also look to the loan-to-value ratio of a mortgage loan as a
factor in evaluating the likelihood of loss if a property is liquidated
following a default. In general, the loan-to-value ratio of a multifamily or
commercial mortgage loan at any given time is the ratio, expressed as a
percentage, of--
o the then outstanding principal balance of the mortgage loan and any
other senior loans that are secured by the related real property, to
o the estimated value of the related real property based on an appraisal,
a cash flow analysis, a recent sales price or another method or benchmark
of valuation.
A low loan-to-value ratio means the borrower has a large amount of its own
equity in the multifamily or commercial property that secures its loan. In
these circumstances--
o the borrower has a greater incentive to perform under the terms of the
related mortgage loan in order to protect that equity, and
o the lender has greater protection against loss on liquidation following
a borrower default.
Loan-to-value ratios are not necessarily an accurate measure of the
likelihood of liquidation loss in a pool of multifamily and commercial mortgage
loans. For example, the value of a multifamily or commercial property as of the
date of initial issuance of a series of offered certificates may be less than
the estimated value determined at loan origination. The value of any real
property, in particular a multifamily or commercial property, will likely
fluctuate from time to time. Moreover, even a current appraisal is not
necessarily a reliable estimate of value. Appraised values of income-producing
properties are generally based on--
o the market comparison method, which takes into account the recent resale
value of comparable properties at the date of the appraisal;
o the cost replacement method, which takes into account the cost of
replacing the property at the date of the appraisal;
o the income capitalization method, which takes into account the
property's projected net cash flow; or
o a selection from the values derived from the foregoing methods.
Each of these appraisal methods presents analytical difficulties. For
example,
o it is often difficult to find truly comparable properties that have
recently been sold;
o the replacement cost of a property may have little to do with its
current market value; and
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o income capitalization is inherently based on inexact projections of
income and expense and the selection of an appropriate capitalization
rate and discount rate.
If more than one appraisal method is used and significantly different
results are produced, an accurate determination of value and, correspondingly,
a reliable analysis of the likelihood of default and loss, is even more
difficult.
The value of a multifamily or commercial property will be affected by
property performance. As a result, if a multifamily or commercial mortgage loan
defaults because the income generated by the related property is insufficient
to pay operating costs and expenses as well as debt service, then the value of
the property will decline and a liquidation loss may occur.
We believe that the foregoing considerations are important factors that
generally distinguish mortgage loans secured by liens on income-producing real
estate from single-family mortgage loans. However, the originators of the
mortgage loans underlying your offered certificates may not have considered all
of those factors for all or any of those loans.
See "Risk Factors--Repayment of a Commercial or Multifamily Mortgage Loan
Depends on the Performance and Value of the Underlying Real Property, Which May
Decline Over Time, and the Related Borrower's Ability to Refinance the
Property, of Which There Is No Assurance."
Payment Provisions of the Mortgage Loans. Each of the mortgage loans
included in one of our trusts will have the following features:
o an original term to maturity of not more than approximately 40 years;
and
o scheduled payments of principal, interest or both, to be made on
specified dates, that occur monthly, bi-monthly, quarterly,
semi-annually, annually or at some other interval.
A mortgage loan included in one of our trusts may also include terms that:
o provide for the accrual of interest at a mortgage interest rate that is
fixed over its term, that resets on one or more specified dates or that
otherwise adjusts from time to time;
o provide for the accrual of interest at a mortgage interest rate that may
be converted at the borrower's election from an adjustable to a fixed
interest rate or from a fixed to an adjustable interest rate;
o provide for no accrual of interest;
o provide for level payments to stated maturity, for payments that reset
in amount on one or more specified dates or for payments that otherwise
adjust from time to time to accommodate changes in the coupon rate or to
reflect the occurrence of specified events;
o be fully amortizing or, alternatively, may be partially amortizing or
nonamortizing, with a substantial payment of principal due on its stated
maturity date;
o permit the negative amortization or deferral of accrued interest;
o permit defeasance and the release of the real property collateral in
connection with that defeasance; and/or
o prohibit some or all voluntary prepayments or require payment of a
premium, fee or charge in connection with those prepayments.
Mortgage Loan Information in Prospectus Supplements. We will describe in
the related prospectus supplement the characteristics of the mortgage loans
that we will include in any of our trusts. In general, we will provide in the
related prospectus supplement, among other items, the following information on
the particular mortgage loans in one of our trusts:
o the total outstanding principal balance and the largest, smallest and
average outstanding principal balance of the mortgage loans;
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o the type or types of property that provide security for repayment of the
mortgage loans;
o the earliest and latest origination date and maturity date of the
mortgage loans;
o the original and remaining terms to maturity of the mortgage loans, or
the range of each of those terms to maturity, and the weighted average
original and remaining terms to maturity of the mortgage loans;
o loan-to-value ratios of the mortgage loans either at origination or as
of a more recent date, or the range of those loan-to-value ratios, and
the weighted average of those loan-to-value ratios;
o the mortgage interest rates of the mortgage loans, or the range of those
mortgage interest rates, and the weighted average mortgage interest rate
of the mortgage loans;
o if any mortgage loans have adjustable mortgage interest rates, the index
or indices upon which the adjustments are based, the adjustment dates,
the range of gross margins and the weighted average gross margin, and any
limits on mortgage interest rate adjustments at the time of any
adjustment and over the life of the loan;
o information on the payment characteristics of the mortgage loans,
including applicable prepayment restrictions;
o debt service coverage ratios of the mortgage loans either at origination
or as of a more recent date, or the range of those debt service coverage
ratios, and the weighted average of those debt service coverage ratios;
and
o the geographic distribution of the properties securing the mortgage
loans on a state-by-state basis.
If we are unable to provide the specific information described above at
the time a series of offered certificates is initially offered, we will
provide--
o more general information in the related prospectus supplement, and
o specific information in a report which will be filed with the SEC as
part of a Current Report on Form 8-K within 15 days following the
issuance of those certificates.
If any mortgage loan, or group of related mortgage loans, included in one
of our trusts represents a material concentration of credit risk, we will
include in the related prospectus supplement financial statements or other
financial information on the related real property or properties.
MORTGAGE-BACKED SECURITIES
The mortgage backed-securities underlying a series of offered certificates
may include:
o mortgage participations, mortgage pass-through certificates,
collateralized mortgage obligations or other mortgage-backed securities
that are not insured or guaranteed by any governmental agency or
instrumentality, or
o certificates issued and/or insured or guaranteed by Freddie Mac, Fannie
Mae, Ginnie Mae, Farmer Mac, or another federal or state governmental
agency or instrumentality.
In addition, each of those mortgage-backed securities will directly or
indirectly evidence an interest in, or be secured by a pledge of, multifamily
and/or commercial mortgage loans.
Each mortgage-backed security included in one of our trusts--
o will have been registered under the Securities Act of 1933, as amended,
or
o will be exempt from the registration requirements of that Act, or
o will have been held for at least the holding period specified in Rule
144(k) under that Act, or
o may otherwise be resold by us publicly without registration under that
Act.
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We will describe in the related prospectus supplement the characteristics
of the mortgage-backed securities that we will include in any of our trusts. In
general, we will provide in the related prospectus supplement, among other
items, the following information on the particular mortgage-backed securities
included in one of our trusts:
o the initial and outstanding principal amount(s) and type of the
securities;
o the original and remaining term(s) to stated maturity of the securities;
o the pass-through or bond rate(s) of the securities or the formula for
determining those rate(s);
o the payment characteristics of the securities;
o the identity of the issuer(s), servicer(s) and trustee(s) for the
securities;
o a description of the related credit support, if any;
o the type of mortgage loans underlying the securities;
o the circumstances under which the related underlying mortgage loans, or
the securities themselves, may be purchased prior to maturity;
o the terms and conditions for substituting mortgage loans backing the
securities; and
o the characteristics of any agreements or instruments providing interest
rate protection to the securities.
With respect to any mortgage-backed security included in one of our
trusts, we will provide in our reports filed under the Securities Exchange Act
of 1934, as amended, the same information regarding the security as is provided
by the issuer of the security in its own reports filed under that Act, if the
security was publicly offered, or in the reports the issuer of the security
provides to the related trustee, if the security was privately issued.
SUBSTITUTION, ACQUISITION AND REMOVAL OF MORTGAGE ASSETS
If so specified in the related prospectus supplement, we or another
specified person or entity may be permitted, at our or its option, but subject
to the conditions specified in that prospectus supplement, to acquire from the
related trust particular mortgage assets underlying a series of offered
certificates in exchange for:
o cash that would be applied to pay down the principal balances of the
certificates of that series; and/or
o other mortgage loans or mortgage-backed securities that--
1. conform to the description of mortgage assets in this prospectus, and
2. satisfy the criteria set forth in the related prospectus supplement.
In addition, if so specified in the related prospectus supplement, the
trustee may be authorized or required to apply collections on the related
mortgage assets to acquire new mortgage loans or mortgage-backed securities
that--
1. conform to the description of mortgage assets in this prospectus, and
2. satisfy the criteria set forth in the related prospectus supplement.
No replacement of mortgage assets or acquisition of new mortgage assets
will be permitted if it would result in a qualification, downgrade or
withdrawal of the then-current rating assigned by any rating agency to any
class of affected offered certificates.
UNDELIVERED MORTGAGE ASSETS
In general, the total outstanding principal balance of the mortgage assets
transferred by us to any particular trust will equal or exceed the initial
total outstanding principal balance of the related series of
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certificates. In the event that the total outstanding principal balance of the
related mortgage assets initially delivered by us to the related trustee is
less than the initial total outstanding principal balance of any series of
certificates, we may deposit or arrange for the deposit of cash or liquid
investments on an interim basis with the related trustee to cover the
shortfall. For 90 days following the date of initial issuance of that series of
certificates, we will be entitled to obtain a release of the deposited cash or
investments if we deliver or arrange for delivery of a corresponding amount of
mortgage assets. If we fail, however, to deliver mortgage assets sufficient to
make up the entire shortfall, any of the cash or, following liquidation,
investments remaining on deposit with the related trustee will be used by the
related trustee to pay down the total principal balance of the related series
of certificates, as described in the related prospectus supplement.
ACCOUNTS
The trust assets underlying a series of offered certificates will include
one or more accounts established and maintained on behalf of the holders. All
payments and collections received or advanced on the mortgage assets and other
trust assets will be deposited and held in those accounts. We will identify and
describe those accounts, and will further describe the deposits to and
withdrawals from those accounts, in the related prospectus supplement.
CREDIT SUPPORT
The holders of any class of offered certificates may be the beneficiaries
of credit support designed to protect them partially or fully against all or
particular defaults and losses on the related mortgage assets. The types of
credit support that may benefit the holders of a class of offered certificates
include:
o the subordination or one or more other classes of certificates of the
same series;
o a letter of credit;
o a surety bond;
o an insurance policy;
o a guarantee;
o a credit derivative; and/or
o a reserve fund.
In the related prospectus supplement, we will describe the amount and
types of any credit support benefiting the holders of a class of offered
certificates.
ARRANGEMENTS PROVIDING REINVESTMENT, INTEREST RATE AND CURRENCY RELATED
PROTECTION
The trust assets for a series of offered certificates may include
guaranteed investment contracts in accordance with which moneys held in the
funds and accounts established for that series will be invested at a specified
rate. Those trust assets may also include:
o interest rate exchange agreements;
o interest rate cap agreements;
o interest rate floor agreements;
o currency exchange agreements; or
o other agreements or arrangements designed to reduce the effects of
interest rate or currency exchange rate fluctuations with respect to the
related mortgage assets and one or more classes of offered certificates.
In the related prospectus supplement, we will describe any agreements or
other arrangements designed to protect the holders of a class of offered
certificates against shortfalls resulting from movements or fluctuations in
interest rates or currency exchange rates. If applicable, we will also identify
any obligor under the agreement or other arrangement.
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YIELD AND MATURITY CONSIDERATIONS
GENERAL
The yield on your offered certificates will depend on--
o the price you paid for your offered certificates,
o the pass-through rate on your offered certificates,
o the amount and timing of payments on your offered certificates.
The following discussion contemplates a trust established by us that
consists only of mortgage loans. If one of our trusts also includes a
mortgage-backed security, the payment terms of that security will soften or
enhance the effects that the characteristics and behavior of mortgage loans
backing that security can have on the yield to maturity and/or weighted average
life of a class of offered certificates. If one of our trusts includes a
mortgage-backed security, we will discuss in the related prospectus supplement
the effect, if any, that the security may have on the yield to maturity and
weighted average lives of the related offered certificates.
PASS-THROUGH RATE
A class of interest-bearing offered certificates may have a fixed,
variable or adjustable pass-through rate. We will specify in the related
prospectus supplement the pass-through rate for each class of interest-bearing
offered certificates or, if the pass-through rate is variable or adjustable,
the method of determining the pass-through rate.
PAYMENT DELAYS
There will be a delay between the date on which payments on the underlying
mortgage loans are due and the date on which those payments are passed through
to you and other investors. That delay will reduce the yield that would
otherwise be produced if those payments were passed through on your offered
certificates on the same date that they were due.
YIELD AND PREPAYMENT CONSIDERATIONS
The yield to maturity on your offered certificates will be affected by the
rate of principal payments on the underlying mortgage loans and the allocation
of those principal payments to reduce the principal balance or notional amount
of your offered certificates. The rate of principal payments on those mortgage
loans will be affected by the following:
o the amortization schedules of the mortgage loans, which may change from
time to time to reflect, among other things, changes in mortgage interest
rates or partial prepayments of principal;
o the dates on which any balloon payments are due; and
o the rate of principal prepayments on the mortgage loans, including
voluntary prepayments by borrowers and involuntary prepayments resulting
from liquidations, casualties or purchases of mortgage loans.
Because the rate of principal prepayments on the mortgage loans underlying
your offered certificates will depend on future events and a variety of
factors, we cannot give you any assurance as to that rate.
The extent to which the yield to maturity of your offered certificates may
vary from your anticipated yield will depend upon--
o whether you purchased your offered certificates at a discount or premium
and, if so, the extent of that discount or premium, and
o when, and to what degree, payments of principal on the underlying
mortgage loans are applied or otherwise result in the reduction of the
principal balance or notional amount of your offered certificates.
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If you purchase your offered certificates at a discount, you should
consider the risk that a slower than anticipated rate of principal payments on
the underlying mortgage loans could result in an actual yield to you that is
lower than your anticipated yield. If you purchase your offered certificates at
a premium, you should consider the risk that a faster than anticipated rate of
principal payments on the underlying mortgage loans could result in an actual
yield to you that is lower than your anticipated yield.
If your offered certificates entitle you to payments of interest, with
disproportionate, nominal or no payments of principal, you should consider that
your yield will be extremely sensitive to prepayments on the underlying
mortgage loans and, under some prepayment scenarios, may be negative.
If a class of offered certificates accrues interest on a notional amount,
that notional amount will, in general, either--
o be based on the principal balances of some or all of the mortgage assets
in the related trust, or
o equal the total principal balance of one or more of the other classes of
certificates of the same series.
Accordingly, the yield on that class of certificates will be inversely related
to, as applicable, the rate at which--
o payments and other collections of principal are received on the mortgage
assets referred to in the first bullet point of the prior sentence, or
o payments are made in reduction of the total principal balance of the
class or classes of certificates referred to in the second bullet point
of the prior sentence.
The extent of prepayments of principal of the mortgage loans underlying
your offered certificates may be affected by a number of factors, including:
o the availability of mortgage credit;
o the relative economic vitality of the area in which the related real
properties are located;
o the quality of management of the related real properties;
o the servicing of the mortgage loans;
o possible changes in tax laws; and
o other opportunities for investment.
In general, those factors that increase--
o the attractiveness of selling or refinancing a commercial or multifamily
property, or
o the likelihood of default under a commercial or multifamily mortgage
loan,
would be expected to cause the rate of prepayment to accelerate. In contrast,
those factors having an opposite effect would be expected to cause the rate of
prepayment to slow.
The rate of principal payments on the mortgage loans underlying your
offered certificates may also be affected by the existence and enforceability
of prepayment restrictions, such as--
o prepayment lock-out periods, and
o requirements that voluntary principal prepayments be accompanied by
prepayment premiums, fees or charges.
If enforceable, those provisions could constitute either an absolute
prohibition, in the case of a prepayment lock-out period, or a disincentive, in
the case of a prepayment premium, fee or charge, to a borrower's voluntarily
prepaying its mortgage loan, thereby slowing the rate of prepayments.
The rate of prepayment on a pool of mortgage loans is likely to be
affected by prevailing market interest rates for mortgage loans of a comparable
type, term and risk level. As prevailing market interest
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rates decline, a borrower may have an increased incentive to refinance its
mortgage loan. Even in the case of adjustable rate mortgage loans, as
prevailing market interest rates decline, the related borrowers may have an
increased incentive to refinance for the following purposes:
o to convert to a fixed rate loan and thereby lock in that rate, or
o to take advantage of a different index, margin or rate cap or floor on
another adjustable rate mortgage loan.
Subject to prevailing market interest rates and economic conditions
generally, a borrower may sell a real property in order to--
o realize its equity in the property,
o meet cash flow needs or
o make other investments.
Additionally, some borrowers may be motivated by federal and state tax
laws, which are subject to change, to sell their properties prior to the
exhaustion of tax depreciation benefits.
We make no representation as to--
o the particular factors that will affect the prepayment of the mortgage
loans underlying any series of offered certificates,
o the relative importance of those factors
o the percentage of the principal balance of those mortgage loans that
will be paid as of any date, or
o the overall rate of prepayment on those mortgage loans.
WEIGHTED AVERAGE LIFE AND MATURITY
The rate at which principal payments are received on the mortgage loans
underlying any series of offered certificates will affect the ultimate maturity
and the weighted average life of one or more classes of those certificates. In
general, weighted average life refers to the average amount of time that will
elapse from the date of issuance of an instrument until each dollar allocable
as principal of that instrument is repaid to the investor.
The weighted average life and maturity of a class of offered certificates
will be influenced by the rate at which principal on the underlying mortgage
loans is paid to that class, whether in the form of:
o scheduled amortization, or
o prepayments, including--
1. voluntary prepayments by borrowers, and
2. involuntary prepayments resulting from liquidations, casualties or
condemnations and purchases of mortgage loans out of the related
trust.
Prepayment rates on loans are commonly measured relative to a prepayment
standard or model, such as the CPR prepayment model or the SPA prepayment
model. CPR represents an assumed constant rate of prepayment each month,
expressed as an annual percentage, relative to the then outstanding principal
balance of a pool of mortgage loans for the life of those loans. SPA represents
an assumed variable rate of prepayment each month, expressed as an annual
percentage, relative to the then outstanding principal balance of a pool of
mortgage loans, with different prepayment assumptions often expressed as
percentages of SPA. For example, a prepayment assumption of 100% of SPA assumes
prepayment rates of 0.2% per annum of the then outstanding principal balance of
those loans in the first month of the life of the loans and an additional 0.2%
per annum in each month thereafter until the 30th month. Beginning in the 30th
month, and in each month thereafter during the life of the loans, 100% of SPA
assumes a constant prepayment rate of 6% per annum each month.
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Neither CPR nor SPA nor any other prepayment model or assumption is a
historical description of prepayment experience or a prediction of the
anticipated rate of prepayment of any particular pool of mortgage loans.
Moreover, the CPR and SPA models were developed based upon historical
prepayment experience for single-family mortgage loans. It is unlikely that the
prepayment experience of the mortgage loans underlying your offered
certificates will conform to any particular level of CPR or SPA.
In the prospectus supplement for a series of offered certificates, we will
include tables, if applicable, setting forth--
o the projected weighted average life of each class of those offered
certificates with principal balances, and
o the percentage of the initial total principal balance of each class of
those offered certificates that would be outstanding on specified dates,
based on the assumptions stated in that prospectus supplement, including
assumptions regarding prepayments on the underlying mortgage loans. Those
tables and assumptions illustrate the sensitivity of the weighted average lives
of those offered certificates to various assumed prepayment rates and are not
intended to predict, or to provide information that will enable you to predict,
the actual weighted average lives of your offered certificates.
OTHER FACTORS AFFECTING YIELD, WEIGHTED AVERAGE LIFE AND MATURITY
Balloon Payments; Extensions of Maturity. Some or all of the mortgage
loans underlying a series of offered certificates may require that balloon
payments be made at maturity. The ability of a borrower to make a balloon
payment typically will depend upon its ability either--
o to refinance the loan, or
o to sell the related real property.
If a borrower is unable to refinance or sell the related real property, there
is a possibility that the borrower may default on the mortgage loan or that the
maturity of the mortgage loan may be extended in connection with a workout. If
a borrower defaults, recovery of proceeds may be delayed by--
o the bankruptcy of the borrower, or
o adverse economic conditions in the market where the related real
property is located.
In order to minimize losses on defaulted mortgage loans, the related
master servicer or special servicer may be authorized within prescribed limits
to modify mortgage loans that are in default or as to which a payment default
is reasonably foreseeable. Any defaulted balloon payment or modification that
extends the maturity of a mortgage loan may delay payments of principal on your
offered certificates and extend the weighted average life of your offered
certificates.
Negative Amortization. The weighted average life of a class of offered
certificates can be affected by mortgage loans that permit negative
amortization to occur. Those are the mortgage loans that provide for the
current payment of interest calculated at a rate lower than the rate at which
interest accrues on the mortgage loan, with the unpaid portion of that interest
being added to the related principal balance. Negative amortization most
commonly occurs with respect to an adjustable rate mortgage loan that:
o limits the amount by which its scheduled payment may adjust in response
to a change in its mortgage interest rate;
o provides that its scheduled payment will adjust less frequently than its
mortgage interest rate; or
o provides for constant scheduled payments regardless of adjustments to
its mortgage interest rate.
Negative amortization on one or more mortgage loans in any of our trusts
may result in negative amortization on a related class of offered certificates.
We will describe in the related prospectus supplement, if applicable, the
manner in which negative amortization with respect to the underlying mortgage
loans is allocated among the respective classes of a series of offered
certificates.
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The portion of any mortgage loan negative amortization allocated to a
class of offered certificates may result in a deferral of some or all of the
interest payable on those certificates. Deferred interest may be added to the
total principal balance of a class of offered certificates. In addition, an
adjustable rate mortgage loan that permits negative amortization would be
expected during a period of increasing interest rates to amortize, if at all,
at a slower rate than if interest rates were declining or were remaining
constant. This slower rate of mortgage loan amortization would be reflected in
a slower rate of amortization for one or more classes of certificates of the
related series. Accordingly, there may be an increase in the weighted average
lives of those classes of certificates to which any mortgage loan negative
amortization would be allocated or that would bear the effects of a slower rate
of amortization of the underlying mortgage loans.
The extent to which the yield on your offered certificates may be affected
by any negative amortization on the underlying mortgage loans will depend, in
part, upon whether you purchase your offered certificates at a premium or a
discount.
During a period of declining interest rates, the scheduled payment on an
adjustable rate mortgage loan may exceed the amount necessary to amortize the
loan fully over its remaining amortization schedule and pay interest at the
then applicable mortgage interest rate. The result is the accelerated
amortization of the mortgage loan. The acceleration in amortization of a
mortgage loan will shorten the weighted average lives of those classes of
certificates that entitle their holders to a portion of the principal payments
on the mortgage loan.
Foreclosures and Payment Plans. The weighted average life of and yield on
your offered certificates will be affected by--
o the number of foreclosures with respect to the underlying mortgage
loans; and
o the principal amount of the foreclosed mortgage loans in relation to the
principal amount of those mortgage loans that are repaid in accordance
with their terms.
Servicing decisions made with respect to the underlying mortgage loans,
including the use of payment plans prior to a demand for acceleration and the
restructuring of mortgage loans in bankruptcy proceedings or otherwise, may
also affect the payment patterns of particular mortgage loans and, as a result,
the weighted average life of and yield on your offered certificates.
Losses and Shortfalls on the Mortgage Assets. The yield on your offered
certificates will directly depend on the extent to which you are required to
bear the effects of any losses or shortfalls in collections on the underlying
mortgage loans and the timing of those losses and shortfalls. In general, the
earlier that you bear any loss or shortfall, the greater will be the negative
effect on the yield of your offered certificates.
The amount of any losses or shortfalls in collections on the mortgage
assets in any of our trusts will, to the extent not covered or offset by draws
on any reserve fund or under any instrument of credit support, be allocated
among the various classes of certificates of the related series in the priority
and manner, and subject to the limitations, that we specify in the related
prospectus supplement. As described in the related prospectus supplement, those
allocations may be effected by the following:
o a reduction in the entitlements to interest and/or the total principal
balances of one or more classes of certificates; and/or
o the establishment of a priority of payments among classes of
certificates.
If you purchase subordinated certificates, the yield to maturity on those
certificates may be extremely sensitive to losses and shortfalls in collections
on the underlying mortgage loans.
Additional Certificate Amortization. If your offered certificates have a
principal balance, then they entitle you to a specified portion of the
principal payments received on the underlying mortgage loans. They may also
entitle you to payments of principal from the following sources:
o amounts attributable to interest accrued but not currently payable on
one or more other classes of certificates of the applicable series;
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o interest received or advanced on the underlying mortgage assets that is
in excess of the interest currently accrued on the certificates of the
applicable series;
o prepayment premiums, fees and charges, payments from equity
participations or any other amounts received on the underlying mortgage
assets that do not constitute interest or principal; or
o any other amounts described in the related prospectus supplement.
The amortization of your offered certificates out of the sources described
in the prior paragraph would shorten their weighted average life and, if your
offered certificates were purchased at a premium, reduce their yield to
maturity.
STRUCTURED ASSET SECURITIES CORPORATION
We were incorporated in Delaware on January 2, 1987. We were organized,
among other things, for the purposes of:
o acquiring mortgage loans, or interests in those loans, secured by first
or junior liens on commercial and multifamily real properties;
o acquiring mortgage-backed securities that evidence interests in mortgage
loans that are secured by commercial and multifamily real properties;
o forming pools of mortgage loans and mortgage-backed securities; and
o acting as depositor of one or more trusts formed to issue bonds,
certificates of interest or other evidences of indebtedness that are
secured by or represent interests in, pools of mortgage loans and
mortgage-backed securities.
Our principal executive offices are located at 200 Vesey Street, New York,
New York 10285. Our telephone number is 212-526-7000. There can be no assurance
that at any particular time we will have any significant assets.
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DESCRIPTION OF THE CERTIFICATES
GENERAL
Each series of offered certificates, together with any non-offered
certificates of the same series, will represent the entire beneficial ownership
interest in a trust established by us. Each series of offered certificates will
consist of one or more classes. Any non-offered certificates of that series
will likewise consist of one or more classes.
A series of certificates consists of all those certificates that--
o have the same series designation;
o were issued under the same Governing Document; and
o represent beneficial ownership interests in the same trust.
A class of certificates consists of all those certificates of a particular
series that--
o have the same class designation; and
o have the same payment terms.
The respective classes of offered and non-offered certificates of any
series may have a variety of payment terms. An offered certificate may entitle
the holder to receive:
o a stated principal amount, which will be represented by its principal
balance;
o interest on a principal balance or notional amount, at a fixed, variable
or adjustable pass-through rate;
o specified, fixed or variable portions of the interest, principal or
other amounts received on the related mortgage assets;
o payments of principal, with disproportionate, nominal or no payments of
interest;
o payments of interest, with disproportionate, nominal or no payments of
principal;
o payments of interest or principal that commence only as of a specified
date or only after the occurrence of specified events, such as the
payment in full of the interest and principal outstanding on one or more
other classes of certificates of the same series;
o payments of principal to be made, from time to time or for designated
periods, at a rate that is--
1. faster and, in some cases, substantially faster, or
2. slower and, in some cases, substantially slower,
than the rate at which payments or other collections of principal are
received on the related mortgage assets;
o payments of principal to be made, subject to available funds, based on a
specified principal payment schedule or other methodology; or
o payments of all or part of the prepayment or repayment premiums, fees
and charges, equity participations payments or other similar items
received on the related mortgage assets.
Any class of offered certificates may be senior or subordinate to one or
more other classes of certificates of the same series, including a non-offered
class of certificates of that series, for purposes of some or all payments
and/or allocations of losses or other shortfalls.
A class of offered certificates may have two or more component parts, each
having characteristics that are described in this prospectus as being
attributable to separate and distinct classes. For example, a class of offered
certificates may have a total principal balance on which it accrues interest at
a fixed, variable or adjustable rate. That class of offered certificates may
also accrue interest on a total notional amount at a different fixed, variable
or adjustable rate. In addition, a class of offered certificates may
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accrue interest on one portion of its total principal balance or notional
amount at one fixed, variable or adjustable rate and on another portion of its
total principal balance or notional amount at a different fixed, variable or
adjustable rate.
Each class of offered certificates will be issued in minimum denominations
corresponding to specified principal balances, notional amounts or percentage
interests, as described in the related prospectus supplement. A class of
offered certificates may be issued in fully registered, definitive form and
evidenced by physical certificates or may be issued in book-entry form through
the facilities of The Depository Trust Company. Offered certificates held in
fully registered, definitive form may be transferred or exchanged, subject to
any restrictions on transfer described in the related prospectus supplement, at
the location specified in the related prospectus supplement, without the
payment of any service charges, except for any tax or other governmental charge
payable in connection with the transfer or exchange. Interests in offered
certificates held in book-entry form will be transferred on the book-entry
records of DTC and its participating organizations. If we so specify in the
related prospectus supplement, we will arrange for clearance and settlement
through Clearstream Banking, societe anonyme or the Euroclear System, for so
long as they are participants in DTC.
PAYMENTS ON THE CERTIFICATES
General. Payments on a series of offered certificates may occur monthly,
bi-monthly, quarterly, semi-annually, annually or at any other specified
interval. In the prospectus supplement for each series of offered certificates,
we will identify:
o the periodic payment date for that series, and
o the record date as of which certificateholders entitled to payments on
any particular payment date will be established.
All payments with respect to a class of offered certificates on any
payment date will be allocated pro rata among the outstanding certificates of
that class in proportion to the respective principal balances, notional amounts
or percentage interests, as the case may be, of those certificates. Payments on
an offered certificate will be made to the holder entitled thereto either--
o by wire transfer of immediately available funds to the account of that
holder at a bank or similar entity, provided that the holder has
furnished the party making the payments with wiring instructions no later
than the applicable record date and has satisfied any other conditions
specified in the related prospectus supplement, or
o by check mailed to the address of that holder as it appears in the
certificate register, in all other cases.
In general, the final payment on any offered certificate will be made only
upon presentation and surrender of that certificate at the location specified
to the holder in notice of final payment.
Payments of Interest. In the case of each class of interest-bearing
offered certificates, interest will accrue from time to time, at the applicable
pass-through rate and in accordance with the applicable interest accrual
method, on the total outstanding principal balance or notional amount of that
class.
The pass-through rate for a class of interest-bearing offered certificates
may be fixed, variable or adjustable. We will specify in the related prospectus
supplement the pass-through rate for each class of interest-bearing offered
certificates or, in the case of a variable or adjustable pass-through rate, the
method for determining that pass-through rate.
Interest may accrue with respect to any offered certificate on the basis
of:
o a 360-day year consisting of 12 30-day months,
o the actual number of days elapsed during each relevant period in a year
assumed to consist of 360 days,
o the actual number of days elapsed during each relevant period in a
normal calendar year, or
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o any other method identified in the related prospectus supplement.
We will identify the interest accrual method for each class of offered
certificates in the related prospectus supplement.
Subject to available funds and any adjustments to interest entitlements
described in the related prospectus supplement, accrued interest with respect
to each class of interest-bearing offered certificates will normally be payable
on each payment date. However, in the case of some classes of interest-bearing
offered certificates, payments of accrued interest will only begin on a
particular payment date or under the circumstances described in the related
prospectus supplement. Prior to that time, the amount of accrued interest
otherwise payable on that class will be added to its total principal balance on
each date or otherwise deferred as described in the related prospectus
supplement.
If a class of offered certificates accrues interest on a total notional
amount, that total notional amount, in general, will be either:
o based on the principal balances of some or all of the related mortgage
assets; or
o equal to the total principal balances of one or more other classes of
certificates of the same series.
Reference to the notional amount of any certificate is solely for
convenience in making calculations of interest and does not represent the right
to receive any payments of principal.
We will describe in the related prospectus supplement the extent to which
the amount of accrued interest that is payable on, or that may be added to the
total principal balance of, a class of interest-bearing offered certificates
may be reduced as a result of any contingencies, including shortfalls in
interest collections due to prepayments, delinquencies, losses and deferred
interest on the related mortgage assets.
Payments of Principal. An offered certificate may or may not have a
principal balance. If it does, that principal balance outstanding from time to
time will represent the maximum amount that the holder of that certificate will
be entitled to receive as principal out of the future cash flow on the related
mortgage assets and the other related trust assets.
The total outstanding principal balance of any class of offered
certificates will be reduced by--
o payments of principal actually made to the holders of that class, and
o if and to the extent that we so specify in the related prospectus
supplement, losses of principal on the related mortgage assets that are
allocated to or are required to be borne by that class.
A class of interest-bearing offered certificates may provide that payments
of accrued interest will only begin on a particular payment date or under the
circumstances described in the related prospectus supplement. If so, the total
outstanding principal balance of that class may be increased by the amount of
any interest accrued, but not currently payable, on that class.
We will describe in the related prospectus supplement any other
adjustments to the total outstanding principal balance of a class of offered
certificates.
Unless we so state in the related prospectus supplement, the initial total
principal balance of all classes of a series will not be greater than the total
outstanding principal balance of the related mortgage assets transferred by us
to the related trust. We will specify the expected initial total principal
balance of each class of offered certificates in the related prospectus
supplement.
The payments of principal to be made on a series of offered certificates
from time to time will, in general, be a function of the payments, other
collections and advances received or made with respect to the related
prospectus supplement. Payments of principal on a series of offered
certificates may also be made from the following sources:
o amounts attributable to interest accrued but not currently payable on
one or more other classes of certificates of the applicable series;
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o interest received or advanced on the underlying mortgage assets that is
in excess of the interest currently accrued on the certificates of the
applicable series;
o prepayment premiums, fees and charges, payments from equity
participations or any other amounts received on the underlying mortgage
assets that do not constitute interest or principal; or
o any other amounts described in the related prospectus supplement.
We will describe in the related prospectus supplement the principal
entitlement of each class of offered certificates on each payment date.
ALLOCATION OF LOSSES AND SHORTFALLS
If and to the extent that any losses or shortfalls in collections on the
mortgage assets in any of our trusts are not covered or offset by delinquency
advances or draws on any reserve fund or under any instrument of credit
support, they will be allocated among the various classes of certificates of
the related series in the priority and manner, and subject to the limitations,
specified in the related prospectus supplement. As described in the related
prospectus supplement, the allocations may be effected as follows:
o by reducing the entitlements to interest and/or the total principal
balances of one or more of those classes; and/or
o by establishing a priority of payments among those classes.
See "Description of Credit Support."
ADVANCES
If any trust established by us includes mortgage loans, then as and to the
extent described in the related prospectus supplement, the related master
servicer, the related special servicer, the related trustee, any related
provider of credit support and/or any other specified person may be obligated
to make, or may have the option of making, advances with respect to those
mortgage loans to cover--
o delinquent payments of principal and/or interest, other than balloon
payments,
o property protection expenses,
o other servicing expenses, or
o any other items specified in the related prospectus supplement.
If there are any limitations with respect to a party's advancing
obligations, we will discuss those limitations in the related prospectus
supplement.
Advances are intended to maintain a regular flow of scheduled interest and
principal payments to certificateholders. Advances are not a guarantee against
losses. The advancing party will be entitled to recover all of its advances out
of--
o subsequent recoveries on the related mortgage loans, including amounts
drawn under any fund or instrument constituting credit support, and
o any other specific sources identified in the related prospectus
supplement.
If and to the extent that we so specify in the related prospectus
supplement, any entity making advances will be entitled to receive interest on
some or all of those advances for a specified period during which they are
outstanding at the rate specified in that prospectus supplement. That entity
may be entitled to payment of interest on its outstanding advances--
o periodically from general collections on the mortgage assets in the
related trust, prior to any payment to the related series of
certificateholders, or
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o at any other times and from any other sources as we may describe in the
related prospectus supplement.
If any trust established by us includes mortgage-backed securities, we
will discuss in the related prospectus supplement any comparable advancing
obligations with respect to those securities or the mortgage loans that back
them.
REPORTS TO CERTIFICATEHOLDERS
On or about each payment date, the related master servicer, manager or
trustee will forward to each offered certificateholder a statement
substantially in the form, or specifying the information, set forth in the
related prospectus supplement. In general, that statement will include
information regarding--
o the payments made on that payment date with respect to the applicable
class of offered certificates, and
o the recent performance of the mortgage assets.
Within a reasonable period of time after the end of each calendar year,
the related master servicer, manager or trustee, as the case may be, will be
required to furnish to each person who at any time during the calendar year was
a holder of an offered certificate a statement containing information regarding
the principal, interest and other amounts paid on the applicable class of
offered certificates, aggregated for--
o that calendar year, or
o the applicable portion of that calendar year during which the person was
a certificateholder.
The obligation to provide that annual statement will be deemed to have been
satisfied by the related master servicer, manager or trustee, as the case may
be, to the extent that substantially comparable information is provided in
accordance with any requirements of the Internal Revenue Code of 1986.
If one of our trusts includes mortgage-backed securities, the ability of
the related master servicer, manager or trustee, as the case may be, to include
in any payment date statement information regarding the mortgage loans that
back those securities will depend on comparable reports being received with
respect to them.
VOTING RIGHTS
Voting rights will be allocated among the respective classes of offered
and non-offered certificates of each series in the manner described in the
related prospectus supplement. Certificateholders will generally not have a
right to vote, except--
o with respect to those amendments to the governing documents described
under "Description of the Governing Documents--Amendment", or
o as otherwise specified in this prospectus or in the related prospectus
supplement.
As and to the extent described in the related prospectus supplement, the
certificateholders entitled to a specified amount of the voting rights for a
particular series will have the right to act as a group to remove or replace
the related trustee, master servicer, special servicer or manager. In general,
that removal or replacement must be for cause. We will identify exceptions in
the related prospectus supplement.
TERMINATION
The trust for each series of offered certificates will terminate and cease
to exist following:
o the final payment or other liquidation of the last mortgage asset in
that trust; and
o the payment, or provision for payment, to the certificateholders of that
series of all amounts required to be paid to them.
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Written notice of termination of a trust will be given to each affected
certificateholder. The final payment will be made only upon presentation and
surrender of the certificates of the related series at the location to be
specified in the notice of termination.
If we so specify in the related prospectus supplement, one or more
designated parties will be entitled to purchase all of the mortgage assets
underlying a series of offered certificates, thereby effecting early retirement
of the certificates and early termination of the related trust. We will
describe in the related prospectus supplement the circumstances under which
that purchase may occur.
In addition, if we so specify in the related prospectus supplement, on a
specified date or upon the reduction of the total principal balance of a
specified class or classes of certificates by a specified percentage or amount,
a party designated in the related prospectus supplement may be authorized or
required to solicit bids for the purchase of all the mortgage assets of the
related trust or of a sufficient portion of the mortgage assets to retire that
class or those classes of certificates. The solicitation of bids must be
conducted in a commercially reasonable manner, and assets will, in general, be
sold at their fair market value. If the fair market value of the mortgage
assets being sold is less than their unpaid balance, then the
certificateholders of one or more classes of certificates may receive an amount
less than the total principal balance of, and accrued and unpaid interest on,
their certificates.
BOOK-ENTRY REGISTRATION
General. Any class of offered certificates may be issued in book-entry
form through the facilities of DTC. If so, that class will be represented by
one or more global certificates registered in the name of DTC or its nominee.
If we so specify in the related prospectus supplement, we will arrange for
clearance and settlement through the Euroclear System or Clearstream Banking,
societe anonyme, for so long as they are participants in DTC.
DTC, Euroclear and Clearstream. DTC is:
o a limited-purpose trust company organized under the New York Banking
Law,
o a "banking corporation" within the meaning of the New York Banking Law,
o a member of the Federal Reserve System,
o a "clearing corporation" within the meaning of the New York Uniform
Commercial Code, and
o a "clearing agency" registered under the provisions of Section 17A of
the Securities Exchange Act of 1934, as amended.
DTC was created to hold securities for participants in the DTC system and
to facilitate the clearance and settlement of securities transactions between
those participants through electronic computerized book-entry changes in their
accounts, thereby eliminating the need for physical movement of securities
certificates. Organizations that maintain accounts with DTC include securities
brokers and dealers, banks, trust companies and clearing corporations and may
include other organizations. DTC is owned by a number of its participating
organizations and by the New York Stock Exchange, Inc., the American Stock
Exchange, Inc. and the National Association of Securities Dealers, Inc. Access
to the DTC system is also available to others such as banks, brokers, dealers
and trust companies that directly or indirectly clear through or maintain a
custodial relationship with one of the organizations that maintains an account
with DTC. The rules applicable to DTC and its participating organizations are
on file with the SEC.
It is our understanding that Clearstream was incorporated in 1970 as
"Cedel S.A.," a company with limited liability under the laws of Luxembourg.
Cedel S.A. subsequently changed its name to Cedelbank. On January 10, 2000,
Cedelbank's parent company, Cedel International, societe anonyme merged its
clearing, settlement and custody business with that of Deutsche B|f-rse
Clearing AG. The merger involved the transfer by Cedel International of
substantially all of its assets and liabilities, including its shares in
Cedelbank, to a new Luxembourg company, New Cedel International, societe
anonyme. New Cedel International is 50% owned by Cedel International and 50% by
Deutsche B|f-rse AG, the parent of Deutsche B|f-rse Clearing AG. The
shareholders of these two entities are recognized financial institutions around
the world, including underwriters, securities brokers and dealers, banks, trust
companies and
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clearing corporations. On January 18, 2000, Cedelbank was renamed Clearstream
Banking, societe anonyme. Clearstream holds securities for its member
organizations and facilitates the clearance and settlement of securities
transactions between its member organizations through electronic book-entry
changes in accounts of those organizations, thereby eliminating the need for
physical movement of certificates. Transactions may be settled in Clearstream
in any of 36 currencies, including United States dollars. Clearstream provides
to its member organizations, among other things, services for safekeeping,
administration, clearance and settlement of internationally traded securities
and securities lending and borrowing. Clearstream interfaces with domestic
securities markets in over 30 countries through established depository and
custodial relationships. Clearstream is registered as a bank in Luxembourg. It
is subject to regulation by the Commission de Surveillance du Secteur
Financier, which supervises Luxembourg banks. Clearstream's customers are
world-wide financial institutions including underwriters, securities brokers
and dealers, banks, trust companies and clearing corporations. Clearstream's
U.S. customers are limited to securities brokers and dealers, and banks.
Currently, Clearstream has approximately 2,000 customers located in over 80
countries, including all major European countries, Canada and the United
States. Indirect access to Clearstream is available to other institutions that
clear through or maintain a custodial relationship with an account holder of
Clearstream. Clearstream and Euroclear have established an electronic bridge
between their two systems across which their respective participants may settle
trades with each other.
It is our understanding that Euroclear was founded in December 1968 to
hold securities for its member organizations and to clear and settle
transactions between its member organizations through simultaneous electronic
book-entry delivery against payment, thereby eliminating the need for physical
movement of certificates and any risk from lack of simultaneous transfers of
securities and cash. Over 100,000 different securities are accepted for
settlement through Euroclear, the majority of which are domestic securities
from over 30 markets. Transactions may be settled in Euroclear in any of over
35 currencies, including United States dollars. The Euroclear system includes
various other services, including securities lending and borrowing and
interfaces with domestic markets in several countries generally similar to the
arrangements for cross-market transfers with DTC described below in this
"Book-Entry Registration" section. Euroclear is operated by Morgan Guaranty
Trust Company of New York, Brussels, Belgium office, under contract with
Euroclear Clearance System, S.C., a Belgian cooperative corporation. All
operations are conducted by the Euroclear Operator, and all Euroclear
securities clearance accounts and Euroclear cash accounts are accounts with the
Euroclear Operator, not ECS. ECS establishes policy for the Euroclear system on
behalf of the more than 120 member organizations of Euroclear. Those member
organizations include banks, including central banks, securities brokers and
dealers and other professional financial intermediaries. Indirect access to the
Euroclear system is also available to other firms that clear through or
maintain a custodial relationship with a member organization of Euroclear,
either directly or indirectly. Euroclear and Clearstream have established an
electronic bridge between their two systems across which their respective
participants may settle trades with each other.
The Euroclear Operator is the Belgian branch of a New York banking
corporation which is a member bank of the Federal Reserve System. It is
regulated and examined by the Board of Governors of the Federal Reserve System
and the New York State Banking Department, as well as the Belgian Banking
Commission.
Securities clearance accounts and cash accounts with the Euroclear
Operator are governed by the Euroclear Terms and Conditions. The Euroclear
Terms and Conditions govern transfers of securities and cash within the
Euroclear system, withdrawal of securities and cash from the Euroclear system,
and receipts of payments with respect to securities in the Euroclear system.
All securities in the Euroclear system are held on a fungible basis without
attribution of specific securities to specific securities clearance accounts.
The Euroclear Operator acts under the Euroclear Terms and Conditions only on
behalf of member organizations of Euroclear and has no record of or
relationship with persons holding through those member organizations.
The information in this prospectus concerning DTC, Euroclear and
Clearstream, and their book-entry systems, has been obtained from sources
believed to be reliable, but we do not take any responsibility for the accuracy
or completeness of that information.
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Holding and Transferring Book-Entry Certificates. Purchases of book-entry
certificates under the DTC system must be made by or through, and will be
recorded on the records of, the Financial Intermediary that maintains the
beneficial owner's account for that purpose. In turn, the Financial
Intermediary's ownership of those certificates will be recorded on the records
of DTC or, alternatively, if the Financial Intermediary does not maintain an
account with DTC, on the records of a participating firm that acts as agent for
the Financial Intermediary, whose interest will in turn be recorded on the
records of DTC. A beneficial owner of book-entry certificates must rely on the
foregoing procedures to evidence its beneficial ownership of those
certificates. DTC has no knowledge of the actual beneficial owners of the
book-entry certificates. DTC's records reflect only the identity of the direct
participants to whose accounts those certificates are credited, which may or
may not be the actual beneficial owners. The participants in the DTC system
will remain responsible for keeping account of their holdings on behalf of
their customers.
Transfers between participants in the DTC system will be effected in the
ordinary manner in accordance with DTC's rules and will be settled in same-day
funds. Transfers between direct account holders at Euroclear and Clearstream,
or between persons or entities participating indirectly in Euroclear or
Clearstream, will be effected in the ordinary manner in accordance with their
respective procedures and in accordance with DTC's rules.
Cross-market transfers between direct participants in DTC, on the one
hand, and member organizations at Euroclear or Clearstream, on the other, will
be effected through DTC in accordance with DTC's rules and the rules of
Euroclear or Clearstream, as applicable. These cross-market transactions will
require, among other things, delivery of instructions by the applicable member
organization to Euroclear or Clearstream, as the case may be, in accordance
with the rules and procedures and within deadlines, Brussels time, established
in Euroclear or Clearstream, as the case may be. If the transaction complies
with all relevant requirements, Euroclear or Clearstream, as the case may be,
will then deliver instructions to its depositary to take action to effect final
settlement on its behalf.
Because of time-zone differences, the securities account of a member
organization of Euroclear or Clearstream purchasing an interest in a global
certificate from a DTC participant that is not a member organization, will be
credited during the securities settlement processing day, which must be a
business day for Euroclear or Clearstream, as the case may be, immediately
following the DTC settlement date. Transactions in interests in a book-entry
certificate settled during any securities settlement processing day will be
reported to the relevant member organization of Euroclear or Clearstream on the
same day. Cash received in Euroclear or Clearstream as a result of sales of
interests in a book-entry certificate by or through a member organization of
Euroclear or Clearstream, as the case may be, to a DTC participant that is not
a member organization will be received with value on the DTC settlement date,
but will not be available in the relevant Euroclear or Clearstream cash account
until the business day following settlement in DTC. The related prospectus
supplement will contain additional information regarding clearance and
settlement procedures for the book-entry certificates and with respect to tax
documentation procedures relating to the book-entry certificates.
Conveyance of notices and other communications by DTC to DTC participants,
and by DTC participants to Financial Intermediaries and beneficial owners, will
be governed by arrangements among them, subject to any statutory or regulatory
requirements as may be in effect from time to time.
Payments on the book-entry certificates will be made to DTC. DTC's
practice is to credit DTC participants' accounts on the related payment date in
accordance with their respective holdings shown on DTC's records, unless DTC
has reason to believe that it will not receive payment on that date.
Disbursement of those payments by DTC participants to Financial Intermediaries
and beneficial owners will be--
o governed by standing instructions and customary practices, as is the
case with securities held for the accounts of customers in bearer form or
registered in street name, and
o the sole responsibility of each of those DTC participants, subject to
any statutory or regulatory requirements in effect from time to time.
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Under a book-entry system, beneficial owners may receive payments after
the related payment date.
The only "certificateholder" of book-entry certificates will be DTC or its
nominee. Parties to the governing documents for any series of offered
certificates need not recognize beneficial owners of book-entry certificates as
"certificateholders." The beneficial owners of book-entry certificates will be
permitted to exercise the rights of "certificateholders" only indirectly
through the DTC participants, who in turn will exercise their rights through
DTC. We have been informed that DTC will take action permitted to be taken by a
"certificateholder" only at the direction of one or more DTC participants. DTC
may take conflicting actions with respect to the book-entry certificates to the
extent that those actions are taken on behalf of Financial Intermediaries whose
holdings include those certificates.
Because DTC can act only on behalf of DTC participants, who in turn act on
behalf of Financial Intermediaries and beneficial owners of the applicable
book-entry securities, the ability of a beneficial owner to pledge its interest
in a class of book-entry certificates to persons or entities that do not
participate in the DTC system, or otherwise to take actions with respect to its
interest in a class of book-entry certificates, may be limited due to the lack
of a physical certificate evidencing that interest.
Issuance of Definitive Certificates. Unless we specify otherwise in the
related prospectus supplement, beneficial owners of affected offered
certificates initially issued in book-entry form will not be able to obtain
physical certificates that represent those offered certificates, unless:
o we advise the related trustee in writing that DTC is no longer willing
or able to discharge properly its responsibilities as depository with
respect to those offered certificates and we are unable to locate a
qualified successor; or
o we elect, at our option, to terminate the book-entry system through DTC
with respect to those offered certificates.
Upon the occurrence of either of the two events described in the prior
paragraph, DTC will be required to notify all DTC participants of the
availability through DTC of physical certificates with respect to the affected
offered certificates. Upon surrender by DTC of the certificate or certificates
representing a class of book-entry offered certificates, together with
instructions for registration, the related trustee or other designated party
will be required to issue to the beneficial owners identified in those
instructions physical certificates representing those offered certificates.
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DESCRIPTION OF THE GOVERNING DOCUMENTS
GENERAL
The "Governing Document" for purposes of issuing the offered certificates
of each series will be a pooling and servicing agreement or other similar
agreement or collection of agreements. In general, the parties to the Governing
Document for a series of offered certificates will include us, a trustee, a
master servicer and a special servicer. However, if the related trust assets
include mortgage-backed securities, the Governing Document may include a
manager as a party, but may not include a master servicer, special servicer or
other servicer as a party. We will identify in the related prospectus
supplement the parties to the Governing Document for a series of offered
certificates.
If we so specify in the related prospectus supplement, a party from whom
we acquire mortgage assets or one of its affiliates may perform the functions
of master servicer, special servicer or manager for the trust to which we
transfer those assets. If we so specify in the related prospectus supplement,
the same person or entity may act as both master servicer and special servicer
for one of our trusts.
Any party to the Governing Document for a series of offered certificates,
or any of its affiliates, may own certificates issued thereunder. However,
except in limited circumstances, including with respect to required consents to
amendments to the Governing Document for a series of offered certificates,
certificates that are held by the related master servicer, special servicer or
manager will not be allocated voting rights.
A form of a pooling and servicing agreement has been filed as an exhibit
to the registration statement of which this prospectus is a part. However, the
provisions of the Governing Document for each series of offered certificates
will vary depending upon the nature of the certificates to be issued thereunder
and the nature of the related trust assets. The following summaries describe
select provisions that may appear in the Governing Document for each series of
offered certificates. The prospectus supplement for each series of offered
certificates will provide material additional information regarding the
Governing Document for that series. The summaries in this prospectus do not
purport to be complete, and you should refer to the provisions of the Governing
Document for your offered certificates and, further, to the description of
those provisions in the related prospectus supplement. We will provide a copy
of the Governing Document, exclusive of exhibits, that relates to your offered
certificates, without charge, upon written request addressed to our principal
executive offices specified under "Structured Asset Securities Corporation."
ASSIGNMENT OF MORTGAGE ASSETS
At the time of initial issuance of any series of offered certificates, we
will assign or cause to be assigned to the designated trustee the mortgage
assets and any other assets to be included in the related trust. We will
specify in the related prospectus all material documents to be delivered, and
all other material actions to be taken, by us or any prior holder of the
related mortgage assets in connection with that assignment. We will also
specify in the related prospectus supplement any remedies available to the
related certificateholders, or the related trustee on their behalf, in the
event that any of those material documents are not delivered or any of those
other material actions are not taken as required. Concurrently with that
assignment, the related trustee will deliver to us or our designee the
certificates of that series in exchange for the mortgage assets and the other
assets to be included in the related trust.
Each mortgage asset included in one of our trusts will be identified in a
schedule appearing as an exhibit to the related Governing Document. That
schedule generally will include detailed information about each mortgage asset
transferred to the related trust, including:
o in the case of a mortgage loan--
1. the address of the related real property and the type of that
property,
2. the mortgage interest rate and, if applicable, the applicable index,
gross margin, adjustment date and any rate cap information,
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3. the remaining term to maturity,
4. the remaining amortization term, and
5. the outstanding principal balance; and
o in the case of a mortgage-backed security--
1. the outstanding principal balance, and
2. the pass-through rate or coupon rate.
REPRESENTATIONS AND WARRANTIES WITH RESPECT TO MORTGAGE ASSETS
Unless we state otherwise in the prospectus supplement for any series of
offered certificates, we will, with respect to each mortgage asset in the
related trust, make or assign, or cause to be made or assigned, a limited set
of representations and warranties covering, by way of example:
o the accuracy of the information set forth for each mortgage asset on the
schedule of mortgage assets appearing as an exhibit to the Governing
Document for that series;
o the warranting party's title to each mortgage asset and the authority of
the warranting party to sell that mortgage asset; and
o in the case of a mortgage loan--
1. the enforceability of the related mortgage note and mortgage,
2. the existence of title insurance insuring the lien priority of the
related mortgage, and
3. the payment status of the mortgage loan.
We will identify the warranting party, and give a more complete sampling
of the representations and warranties made thereby, in the related prospectus
supplement. We will also specify in the related prospectus supplement any
remedies against the warranting party available to the related
certificateholders, or the related trustee on their behalf, in the event of a
breach of any of those representations and warranties. In most cases, the
warranting party will be a prior holder of the particular mortgage assets.
COLLECTION AND OTHER SERVICING PROCEDURES WITH RESPECT TO MORTGAGE LOANS
The Governing Document for each series of offered certificates will govern
the servicing and administration of any mortgage loans included in the related
trust.
In general, the related master servicer and special servicer, directly or
through sub-servicers, will be obligated to service and administer for the
benefit of the related certificateholders the mortgage loans in any of our
trusts. The master servicer and the special servicer will be required to
service and administer those mortgage loans in accordance with applicable law
and, further, in accordance with the terms of the related Governing Document,
the mortgage loans themselves and any instrument of credit support included in
that trust. Subject to the foregoing, the master servicer and the special
servicer will each have full power and authority to do any and all things in
connection with that servicing and administration that it may deem necessary
and desirable.
As part of its servicing duties, each of the master servicer and the
special servicer for one of our trusts will be required to make reasonable
efforts to collect all payments called for under the terms and provisions of
the related mortgage loans that it services. In general, each of the master
servicer and the special servicer for one of our trusts will be obligated to
follow the same collection procedures as it would follow for comparable
mortgage loans held for its own account, provided that:
o those procedures are consistent with the terms of the related Governing
Document; and
o they do not impair recovery under any instrument of credit support
included in the related trust.
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Consistent with the foregoing, the master servicer and the special
servicer will each be permitted, in its discretion, to waive any default
interest or late payment charge in connection with collecting a late payment on
any defaulted mortgage loan.
The master servicer and/or the special servicer for one or our trusts,
directly or through sub-servicers, will also be required to perform various
other customary functions of a servicer of comparable loans, including:
o maintaining escrow or impound accounts for the payment of taxes,
insurance premiums, ground rents and similar items, or otherwise
monitoring the timely payment of those items;
o ensuring that the related properties are properly insured;
o attempting to collect delinquent payments;
o supervising foreclosures;
o negotiating modifications;
o responding to borrower requests for partial releases of the encumbered
property, easements, consents to alteration or demolition and similar
matters;
o protecting the interests of certificateholders with respect to senior
lienholders;
o conducting inspections of the related real properties on a periodic or
other basis;
o collecting and evaluating financial statements for the related real
properties;
o managing or overseeing the management of real properties acquired on
behalf of the trust through foreclosure, deed-in-lieu of foreclosure or
otherwise; and
o maintaining servicing records relating to mortgage loans in the trust.
We will specify in the related prospectus supplement when, and the extent
to which, servicing of a mortgage loan is to be transferred from a master
servicer to a special servicer. In general, a special servicer for any of our
trusts will be responsible for the servicing and administration of:
o mortgage loans that are delinquent with respect to a specified number of
scheduled payments;
o mortgage loans as to which there is a material non-monetary default;
o mortgage loans as to which the related borrower has--
1. entered into or consented to bankruptcy, appointment of a receiver or
conservator or similar insolvency proceeding, or
2. become the subject of a decree or order for such a proceeding which
has remained in force undischarged or unstayed for a specified number
of days; and
o real properties acquired as part of the trust with respect to defaulted
mortgage loans.
The related Governing Document may also may provide that if a default on a
mortgage loan in the related trust has occurred or, in the judgment of the
related master servicer, a payment default is reasonably foreseeable, the
related master servicer may elect to transfer the servicing of that mortgage
loan, in whole or in part, to the related special servicer. When the
circumstances no longer warrant a special servicer's continuing to service a
particular mortgage loan, such as when the related borrower is paying in
accordance with the forbearance arrangement entered into between the special
servicer and that borrower, the master servicer will generally resume the
servicing duties with respect to the particular mortgage loan.
A borrower's failure to make required mortgage loan payments may mean that
operating income from the related real property is insufficient to service the
mortgage debt, or may reflect the diversion of that income from the servicing
of the mortgage debt. In addition, a borrower that is unable to make mortgage
loan payments may also be unable to make timely payment of taxes and otherwise
to maintain
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and insure the related real property. In general, with respect to each series
of offered certificates, the related special servicer will be required to
monitor any mortgage loan in the related trust that is in default, evaluate
whether the causes of the default can be corrected over a reasonable period
without significant impairment of the value of the related real property,
initiate corrective action in cooperation with the mortgagor if cure is likely,
inspect the related real property and take any other actions as it deems
necessary and appropriate. A significant period of time may elapse before a
special servicer is able to assess the success of any corrective action or the
need for additional initiatives. The time within which a special servicer can--
o make the initial determination of appropriate action,
o evaluate the success of corrective action,
o develop additional initiatives,
o institute foreclosure proceedings and actually foreclose, or
o accept a deed to a real property in lieu of foreclosure, on behalf of
the certificateholders of the related series,
may vary considerably depending on the particular mortgage loan, the related
real property, the borrower, the presence of an acceptable party to assume the
mortgage loan and the laws of the jurisdiction in which the related real
property is located. If a borrower files a bankruptcy petition, the special
servicer may not be permitted to accelerate the maturity of the defaulted loan
or to foreclose on the related real property for a considerable period of time.
See "Legal Aspects of Mortgage Loans--Bankruptcy Laws."
A special servicer for one of our trusts may also perform limited duties
with respect to mortgage loans in that trust for which the related master
servicer is primarily responsible, such as--
o performing property inspections and collecting, and
o evaluating financial statements.
A master servicer for one of our trusts may perform limited duties with
respect to any mortgage loan in that trust for which the related special
servicer is primarily responsible, such as--
o continuing to receive payments on the mortgage loan,
o making calculations with respect to the mortgage loan, and
o making remittances and preparing reports to the related trustee and/or
certificateholders with respect to the mortgage loan.
The duties of the master servicer and special servicer for your series
will be more fully described in the related prospectus supplement.
Unless we state otherwise in the related prospectus supplement, the master
servicer for your series will be responsible for filing and settling claims
with respect to particular mortgage loans for your series under any applicable
instrument of credit support. See "Description of Credit Support" in this
prospectus.
SUB-SERVICERS
A master servicer or special servicer may delegate its servicing
obligations to one or more third-party servicers or sub-servicers. However,
unless we specify otherwise in the related prospectus supplement, the master
servicer or special servicer will remain obligated under the related Governing
Document. Each sub-servicing agreement between a master servicer or special
servicer, as applicable, and a sub-servicer must provide for servicing of the
applicable mortgage loans consistent with the related Governing Document. Any
master servicer and special servicer for one of our trusts will each be
required to monitor the performance of sub-servicers retained by it.
Unless we specify otherwise in the related prospectus supplement, any
master servicer or special servicer for one of our trusts will be solely liable
for all fees owed by it to any sub-servicer, regardless of whether the master
servicer's or special servicer's compensation under the related Governing
Document
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is sufficient to pay those fees. Each sub-servicer will be entitled to
reimbursement from the master servicer or special servicer, as the case may be,
that retained it, for expenditures which it makes, generally to the same extent
the master servicer or special servicer would be reimbursed under the related
Governing Document.
COLLECTION OF PAYMENTS ON MORTGAGE-BACKED SECURITIES
Unless we specify otherwise in the related prospectus supplement, if a
mortgage-backed security is included among the trust assets underlying any
series of offered certificates, then--
o that mortgage-backed security will be registered in the name of the
related trustee or its designee;
o the related trustee will receive payments on that mortgage-backed
security; and
o subject to any conditions described in the related prospectus
supplement, the related trustee or a designated manager will, on behalf
and at the expense of the trust, exercise all rights and remedies with
respect to that mortgaged-backed security, including the prosecution of
any legal action necessary in connection with any payment default.
MATTERS REGARDING THE MASTER SERVICER, THE SPECIAL SERVICER, THE MANAGER AND US
Unless we specify otherwise in the related prospectus supplement, no
master servicer, special servicer or manager for any of our trusts may resign
from its obligations in that capacity, except upon--
o the appointment of, and the acceptance of that appointment by, a
successor to the resigning party and receipt by the related trustee of
written confirmation from each applicable rating agency that the
resignation and appointment will not result in a withdrawal or downgrade
of any rating assigned by that rating agency to any class of certificates
of the related series, or
o a determination that those obligations are no longer permissible under
applicable law or are in material conflict by reason of applicable law
with any other activities carried on by the resigning party.
In general, no resignation will become effective until the related trustee
or other successor has assumed the obligations and duties of the resigning
master servicer, special servicer or manager, as the case may be.
With respect to each series of offered certificates, we and the related
master servicer, special servicer and/or manager, if any, will, in each case,
be obligated to perform only those duties specifically required under the
related Governing Document.
In no event will we, any master servicer, special servicer or manager for
one of our trusts, or any of our or their respective members, managers,
directors, officers, employees or agents, be under any liability to that trust
or the related certificateholders for any action taken, or not taken, in good
faith under the related Governing Document or for errors in judgment. Neither
we nor any of those other persons or entities will be protected, however,
against any liability that would otherwise be imposed by reason of
o willful misfeasance, bad faith or gross negligence in the performance of
obligations or duties under the Governing Document for any series of
offered certificates, or
o reckless disregard of those obligations and duties.
Furthermore, the Governing Document for each series of offered
certificates will entitle us, the master servicer, special servicer and/or
manager for the related trust, and our and their respective members, managers,
directors, officers, employees and agents, to indemnification out of the
related trust assets for any loss, liability or expense incurred in connection
with any legal action that relates to that Governing Document or series of
offered certificates or to the related trust. The indemnification will not
extend, however, to any loss, liability or expense:
o specifically required to be borne by the relevant party, without right
of reimbursement, under the terms of that Governing Document;
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o incurred in connection with any legal action against the relevant party
resulting from any breach of a representation or warranty made in that
Governing Document; or
o incurred in connection with any legal action against the relevant party
resulting from any willful misfeasance, bad faith or gross negligence in
the performance of obligations or duties under that Governing Document.
Neither we nor any master servicer, special servicer or manager for the
related trust will be under any obligation to appear in, prosecute or defend
any legal action unless:
o the action is related to the respective responsibilities of that party
under the Governing Document for the affected series of offered
certificates; and
o either--
1. that party is specifically required to bear the expense of the
action, or
2. the action will not, in its opinion, involve that party in any
ultimate expense or liability for which it would not be reimbursed
under the Governing Document for the affected series of offered
certificates.
However, we and each of those other parties may undertake any legal action that
may be necessary or desirable with respect to the enforcement or protection of
the rights and duties of the parties to the Governing Document for any series
of offered certificates and the interests of the certificateholders of that
series under that Government Document. In that event, the legal expenses and
costs of the action, and any liability resulting from the action, will be
expenses, costs and liabilities of the related trust and payable out of related
trust assets.
With limited exception, any person or entity--
o into which we or any related master servicer, special servicer or
manager may be merged or consolidated, or
o resulting from any merger or consolidation to which we or any related
master servicer, special servicer or manager is a party, or
o succeeding to our business or the business of any related master
servicer, special servicer or manager,
will be the successor of us or that master servicer, special servicer or
manager, as the case may be, under the Governing Document for a series of
offered certificates.
The compensation arrangements with respect to any master servicer, special
servicer or manager for any of our trusts will be set forth in the related
prospectus supplement. In general, that compensation will be payable out of the
related trust assets.
EVENTS OF DEFAULT
We will identify in related prospectus supplement the various events of
default under the Governing Document for each series of offered certificates
for which any related master servicer, special servicer or manager may be
terminated in that capacity.
AMENDMENT
The Governing Document for each series of offered certificates may be
amended by the parties thereto, without the consent of any of the holders of
those certificates, or of any non-offered certificates of the same series, for
the following reasons:
1. to cure any ambiguity;
2. to correct, modify or supplement any provision in the Governing Document
which may be inconsistent with any other provision in that document or
with the description of that document set forth in the related prospectus
supplement;
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3. to add any other provisions with respect to matters or questions arising
under the Governing Document that are not inconsistent with the existing
provisions of that document;
4. to the extent applicable, to relax or eliminate any requirement under
the Governing Document imposed by the provisions of the Internal Revenue
Code of 1986 relating to REMICs if the provisions of that Code are
amended or clarified so as to allow for the relaxation or elimination of
that requirement;
5. to relax or eliminate any requirement under the Governing Document
imposed by the Securities Act of 1933, as amended, or the rules under
that Act if that Act or those rules are amended or clarified so as to
allow for the relaxation or elimination of that requirement;
6. to comply with any requirements imposed by the Internal Revenue Code of
1986 or any final, temporary or, in some cases, proposed regulation,
revenue ruling, revenue procedure or other written official announcement
or interpretation relating to federal income tax laws, or to avoid a
prohibited transaction or reduce the incidence of any tax that would
arise from any actions taken with respect to the operation of any REMIC
created under the Governing Document;
7. to the extent applicable, to modify, add to or eliminate the transfer
restrictions relating to the certificates which are residual interests in
a REMIC; or
8. to otherwise modify or delete existing provisions of the Governing
Document.
However, no amendment of the Governing Document for any series of offered
certificates, covered solely by clauses 3. or 8. above, may adversely affect in
any material respect the interests of any holders of offered or non-offered
certificates of that series.
In general, the Governing Document for a series of offered certificates
may also be amended by the parties to that document, with the consent of the
holders of offered and non-offered certificates representing, in total, not
less than 662/3%, or any other percentage specified in the related prospectus
supplement, of all the voting rights allocated to those classes of that series
that are affected by the amendment. However, the Governing Document for a
series of offered certificates may not be amended to--
o reduce in any manner the amount of, or delay the timing of, payments
received on the related mortgage assets which are required to be
distributed on any offered or non-offered certificate of that series
without the consent of the holder of that certificate; or
o adversely affect in any material respect the interests of the holders of
any class of offered or non-offered certificates of that series in any
other manner without the consent of the holders of all certificates of
that class;
o modify the provisions of the Governing Document relating to amendments
of that document without the consent of the holders of all offered and
non-offered certificates of that series then outstanding; or
o modify the specified percentage of voting rights which is required to be
held by certificateholders to consent, approve or object to any
particular action under the Governing Document without the consent of the
holders of all offered and non-offered certificates of that series then
outstanding.
LIST OF CERTIFICATEHOLDERS
Upon written request of three or more certificateholders of record of any
series made for purposes of communicating with other holders of certificates of
the same series with respect to their rights under the related Governing
Document, the related trustee or other certificate registrar of that series
will afford the requesting certificateholders access during normal business
hours to the most recent list of certificateholders of that series. However,
the trustee may first require a copy of the communication that the requesting
certificateholders proposed to send.
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THE TRUSTEE
The trustee for each series of offered certificates will be named in the
related prospectus supplement. The commercial bank, national banking
association, banking corporation or trust company that serves as trustee for
any series of offered certificates may have typical banking relationships with
the us and our affiliates and with any of the other parties to the related
Governing Document and its affiliates.
DUTIES OF THE TRUSTEE
The trustee for each series of offered certificates will not--
o make any representation as to the validity or sufficiency of those
certificates, the related Governing Document or any underlying mortgage
asset or related document, or
o be accountable for the use or application by or on behalf of any other
party to the related Governing Document of any funds paid to that party
with respect to those certificates or the underlying mortgage assets.
If no event of default has occurred and is continuing under the related
Governing Document, the trustee for each series of offered certificates will be
required to perform only those duties specifically required under the related
Governing Document. However, upon receipt of any of the various certificates,
reports or other instruments required to be furnished to it under the related
Governing Document, the trustee must examine those documents and determine
whether they conform to the requirements of that Governing Document.
MATTERS REGARDING THE TRUSTEE
As and to the extent described in the related prospectus supplement, the
fees and normal disbursements of the trustee for any series of offered
certificates may be the expense of the related master servicer or other
specified person or may be required to be paid by the related trust assets.
The trustee for each series of offered certificates and each of its
directors, officers, employees and agent will be entitled to indemnification,
out of related trust assets, for any loss, liability or expense incurred by
that trustee or any of those other persons in connection with that trustee's
acceptance or administration of its trusts under the related Governing
Document. However, the indemnification of a trustee or any of its directors,
officers, emplyees and agents will not extend to any loss, liability or expense
incurred by reason of willful misfeasance, bad faith or gross negligence on the
part of the trustee in the performance of its obligations and duties under the
related Governing Document.
No trustee for any series of offered certificates will be liable for any
action reasonably taken, suffered or omitted by it in good faith and believed
by it to authorized by the related Governing Document.
No trustee for any series of offered certificates will be required to
expend or risk its own funds or otherwise incur any financial liability in the
performance of any of its duties under the related Governing Document, or in
the exercise of any of its rights or powers, if it has reasonable grounds for
believing that repayment of those funds or adequate indemnity against that risk
or liability is not reasonably assured to it.
The trustee for each series of offered certificates will be entitled to
execute any of its trusts or powers and perform any of its duties under the
related Governing Document, either directly or by or through agents or
attorneys. The trustee will not be responsible for any willful misconduct or
gross negligence on the part of any agent or attorney appointed by it with due
care.
RESIGNATION AND REMOVAL OF THE TRUSTEE
The trustee for any series of offered certificates may resign at any time.
We will be obligated to appoint a successor to a resigning trustee. We may also
remove the trustee for any series of offered certificates if that trustee
ceases to be eligible to continue as such under the related Governing Document
or if that trustee becomes insolvent. Unless we indicate otherwise in the
related prospectus supplement,
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the trustee for any series of offered certificates may also be removed at any
time by the holders of the offered and non-offered certificates of that series
evidencing not less than 51%, or any other percentage specified in the related
prospectus supplement, of the voting rights for that series. However, if the
removal was without cause, the certificateholders effecting the removal may be
responsible for any costs and expenses incurred by the terminated trustee in
connection with its removal. Any resignation or removal of a trustee and
appointment of a successor trustee will not become effective until acceptance
of the appointment by the successor trustee.
DESCRIPTION OF CREDIT SUPPORT
GENERAL
Credit support may be provided with respect to one or more classes of the
offered certificates of any series or with respect to the related mortgage
assets. That credit support may be in the form of any of the following:
o the subordination of one or more other classes of certificates of the
same series;
o the use of a letter of credit, a surety bond, an insurance policy, a
guarantee or a credit derivative;
o the establishment of one or more reserve funds; or
o any combination of the foregoing.
If and to the extent described in the related prospectus supplement, any
of the above forms of credit support may provide credit enhancement for
non-offered certificates, as well as offered certificates, or for more than one
series of certificates.
If you are the beneficiary of any particular form of credit support, that
credit support may not protect you against all risks of loss and will not
guarantee payment to you of all amounts to which you are entitled under your
offered certificates. If losses or shortfalls occur that exceed the amount
covered by that credit support or that are of a type not covered by that credit
support, you will bear your allocable share of deficiencies. Moreover, if that
credit support covers the offered certificates of more than one class or series
and total losses on the related mortgage assets exceed the amount of that
credit support, it is possible that the holders of offered certificates of
other classes and/or series will be disproportionately benefited by that credit
support to your detriment.
If you are the beneficiary of any particular form of credit support, we
will include in the related prospectus supplement a description of the
following:
o the nature and amount of coverage under that credit support;
o any conditions to payment not otherwise described in this prospectus;
o any conditions under which the amount of coverage under that credit
support may be reduced and under which that credit support may be
terminated or replaced; and
o the material provisions relating to that credit support.
Additionally, we will set forth in the related prospectus supplement
information with respect to the obligor, if any, under any instrument of credit
support.
SUBORDINATE CERTIFICATES
If and to the extent described in the related prospectus supplement, one
or more classes of certificates of any series may be subordinate to one or more
other classes of certificates of that series. If you purchase subordinate
certificates, your right to receive payments out of collections and advances on
the related trust assets on any payment date will be subordinated to the
corresponding rights of the holders of the more senior classes of certificates.
If and to the extent described in the related prospectus supplement, the
subordination of a class of certificates may not cover all types of losses or
shortfalls. In the related
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prospectus supplement, we will set forth information concerning the method and
amount of subordination provided by a class or classes of subordinate
certificates in a series and the circumstances under which that subordination
will be available.
If the mortgage assets in any trust established by us are divided into
separate groups, each supporting a separate class or classes of certificates of
the related series, credit support may be provided by cross-support provisions
requiring that payments be made on senior certificates evidencing interests in
one group of those mortgage assets prior to payments on subordinate
certificates evidencing interests in a different group of those mortgage
assets. We will describe in the related prospectus supplement the manner and
conditions for applying any cross-support provisions.
INSURANCE OR GUARANTEES WITH RESPECT TO MORTGAGE LOANS
The mortgage loans included in any trust established by us may be covered
for some default risks by insurance policies or guarantees. If so, we will
describe in the related prospectus supplement the nature of those default risks
and the extent of that coverage.
LETTER OF CREDIT
If and to the extent described in the related prospectus supplement,
deficiencies in amounts otherwise payable on a series of offered certificates
or select classes of those certificates will be covered by one or more letters
of credit, issued by a bank or other financial institution specified in the
related prospectus supplement. The issuer of a letter of credit will be
obligated to honor draws under that letter of credit in a total fixed dollar
amount, net of unreimbursed payments under the letter of credit, generally
equal to a percentage specified in the related prospectus supplement of the
total principal balance of some or all of the related mortgage assets as of the
date the related trust was formed or of the initial total principal balance of
one or more classes of certificates of the applicable series. The letter of
credit may permit draws only in the event of select types of losses and
shortfalls. The amount available under the letter of credit will, in all cases,
be reduced to the extent of the unreimbursed payments thereunder and may
otherwise be reduced as described in the related prospectus supplement. The
obligations of the letter of credit issuer under the letter of credit for any
series of offered certificates will expire at the earlier of the date specified
in the related prospectus supplement or the termination of the related trust.
CERTIFICATE INSURANCE AND SURETY BONDS
If and to the extent described in the related prospectus supplement,
deficiencies in amounts otherwise payable on a series of offered certificates
or select classes of those certificates will be covered by insurance policies
or surety bonds provided by one or more insurance companies or sureties. Those
instruments may cover, with respect to one or more classes of the offered
certificates of the related series, timely payments of interest and principal
or timely payments of interest and payments of principal on the basis of a
schedule of principal payments set forth in or determined in the manner
specified in the related prospectus supplement. We will describe in the related
prospectus supplement any limitations on the draws that may be made under any
of those instruments.
CREDIT DERIVATIVE
If and to the extent described in the related prospectus supplement,
deficiencies in amounts otherwise payable on a series of offered certificates
or select classes of those certificates will be covered by credit derivatives,
such as credit default swaps and total return swaps. A credit derivative is a
financial instrument designed to offset losses and shortfalls derived from the
credit risk of an underlying or reference asset or the credit risk of an
underlying or reference credit. We will describe in the related prospectus
supplement when and how payments are made under the particular instrument and
the specific credit risk that is being covered.
RESERVE FUNDS
If and to the extent described in the related prospectus supplement,
deficiencies in amounts otherwise payable on a series of offered certificates
or select classes of those certificates will be covered, to the extent
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of available funds, by one or more reserve funds in which cash, a letter of
credit, permitted investments, a demand note or a combination of the foregoing,
will be deposited, in the amounts specified in the related prospectus
supplement. If and to the extent described in the related prospectus
supplement, the reserve fund for the related series of offered certificates may
also be funded over time.
Amounts on deposit in any reserve fund for a series of offered
certificates will be applied for the purposes, in the manner, and to the extent
specified in the related prospectus supplement. If and to the extent described
in the related prospectus supplement, reserve funds may be established to
provide protection only against select types of losses and shortfalls.
Following each payment date for the related series of offered certificates,
amounts in a reserve fund in excess of any required balance may be released
from the reserve fund under the conditions and to the extent specified in the
related prospectus supplement.
CREDIT SUPPORT WITH RESPECT TO MBS
If and to the extent described in the related prospectus supplement, any
mortgage-backed security included in one of our trusts and/or the mortgage
loans that back that security may be covered by one or more of the types of
credit support described in this prospectus. We will specify in the related
prospectus supplement, as to each of those forms of credit support, the
information indicated above with respect to that mortgage-backed security, to
the extent that the information is material and available.
LEGAL ASPECTS OF MORTGAGE LOANS
Most, if not all, of the mortgage loans underlying a series of offered
certificates will be secured by multifamily and commercial properties in the
United States, its territories and possessions. However, some of those mortgage
loans may be secured by multifamily and commercial properties outside the
United States, its territories and possessions.
The following discussion contains general summaries of select legal
aspects of mortgage loans secured by multifamily and commercial properties in
the United States. Because these legal aspects are governed by applicable state
law, which may differ substantially from state to state, the summaries do not
purport to be complete, to reflect the laws of any particular state, or to
encompass the laws of all jurisdictions in which the security for the mortgage
loans underlying the offered certificates is situated. Accordingly, you should
be aware that the summaries are qualified in their entirety by reference to the
applicable laws of those states. See "Description of the Trust Assets--Mortgage
Loans."
If a significant percentage of mortgage loans underlying a series of
offered certificates, are secured by properties in a particular state, we will
discuss the relevant state laws, to the extent they vary materially from this
discussion, in the related prospectus supplement.
GENERAL
Each mortgage loan underlying a series of offered certificates will be
evidenced by a note or bond and secured by an instrument granting a security
interest in real property. The instrument granting a security interest in real
property may be a mortgage, deed of trust or a deed to secure debt, depending
upon the prevailing practice and law in the state in which that real property
is located. Mortgages, deeds of trust and deeds to secure debt are often
collectively referred to in this prospectus as "mortgages." A mortgage creates
a lien upon, or grants a title interest in, the real property covered by the
mortgage, and represents the security for the repayment of the indebtedness
customarily evidenced by a promissory note. The priority of the lien created or
interest granted will depend on--
o the terms of the mortgage,
o the terms of separate subordination agreements or intercreditor
agreements with others that hold interests in the real property,
o the knowledge of the parties to the mortgage, and
o in general, the order of recordation of the mortgage in the appropriate
public recording office.
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However, the lien of a recorded mortgage will generally be subordinate to
later-arising liens for real estate taxes and assessments and other charges
imposed under governmental police powers.
TYPES OF MORTGAGE INSTRUMENTS
There are two parties to a mortgage--
o a mortgagor, who is the owner of the encumbered interest in the real
property, and
o a mortgagee, who is the lender.
In general, the mortgagor is also the borrower.
In contrast, a deed of trust is a three-party instrument. The parties to a
deed of trust are--
o the trustor, who is the equivalent of a mortgagor,
o the trustee to whom the real property is conveyed, and
o the beneficiary for whose benefit the conveyance is made, who is the
lender.
Under a deed of trust, the trustor grants the property, irrevocably until
the debt is paid, in trust and generally with a power of sale, to the trustee
to secure repayment of the indebtedness evidenced by the related note.
A deed to secure debt typically has two parties. Under a deed to secure
debt, the grantor, who is the equivalent of a mortgagor, conveys title to the
real property to the grantee, who is the lender, generally with a power of
sale, until the debt is repaid.
Where the borrower is a land trust, there would be an additional party
because legal title to the property is held by a land trustee under a land
trust agreement for the benefit of the borrower. At origination of a mortgage
loan involving a land trust, the borrower may execute a separate undertaking to
make payments on the mortgage note. In no event is the land trustee personally
liable for the mortgage note obligation.
The mortgagee's authority under a mortgage, the trustee's authority under
a deed of trust and the grantee's authority under a deed to secure debt are
governed by:
o the express provisions of the related instrument,
o the law of the state in which the real property is located,
o various federal laws, and
o in some deed of trust transactions, the directions of the beneficiary.
LEASES AND RENTS
A mortgage that encumbers an income-producing property often contains an
assignment of rents and leases and/or may be accompanied by a separate
assignment of rents and leases. Under an assignment of rents and leases, the
borrower assigns to the lender the borrower's right, title and interest as
landlord under each lease and the income derived from each lease. However, the
borrower retains a revocable license to collect the rents, provided there is no
default and the rents are not directly paid to the lender. If the borrower
defaults, the license terminates and the lender is entitled to collect the
rents. Local law may require that the lender take possession of the property
and/or obtain a court-appointed receiver before becoming entitled to collect
the rents.
In most states, hotel and motel room rates are considered accounts
receivable under the UCC. Room rates are generally pledged by the borrower as
additional security for the loan when a mortgage loan is secured by a hotel or
motel. In general, the lender must file financing statements in order to
perfect its security interest in the room rates and must file continuation
statements, generally every five years, to maintain that perfection. Mortgage
loans secured by hotels or motels may be included in one of our trusts even if
the security interest in the room rates was not perfected or the requisite UCC
filings were allowed
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to lapse. A lender will generally be required to commence a foreclosure action
or otherwise take possession of the property in order to enforce its rights to
collect the room rates following a default, even if the lender's security
interest in room rates is perfected under applicable nonbankruptcy law.
In the bankruptcy setting, the lender will be stayed from enforcing its
rights to collect hotel and motel room rates. However, the room rates will
constitute cash collateral and cannot be used by the bankrupt borrower--
o without a hearing or the lender's consent, or
o unless the lender's interest in the room rates is given adequate
protection.
For purposes of the foregoing, the adequate protection may include a cash
payment for otherwise encumbered funds or a replacement lien on unencumbered
property, in either case equal in value to the amount of room rates that the
bankrupt borrower proposes to use. See "--Bankruptcy Laws" below.
PERSONALTY
Some types of income-producing real properties, such as hotels, motels and
nursing homes, may include personal property, which may, to the extent it is
owned by the borrower and not previously pledged, constitute a significant
portion of the property's value as security. The creation and enforcement of
liens on personal property are governed by the UCC. Accordingly, if a borrower
pledges personal property as security for a mortgage loan, the lender generally
must file UCC financing statements in order to perfect its security interest in
the personal property and must file continuation statements, generally every
five years, to maintain that perfection. Mortgage loans secured in part by
personal property may be included in one of our trusts even if the security
interest in the personal property was not perfected or the requisite UCC
filings were allowed to lapse.
FORECLOSURE
General. Foreclosure is a legal procedure that allows the lender to
recover its mortgage debt by enforcing its rights and available legal remedies
under the mortgage. If the borrower defaults in payment or performance of its
obligations under the note or mortgage, the lender has the right to institute
foreclosure proceedings to sell the real property security at public auction to
satisfy the indebtedness.
Foreclosure Procedures Vary From State to State. The two primary methods
of foreclosing a mortgage are--
o judicial foreclosure, involving court proceedings, and
o nonjudicial foreclosure under a power of sale granted in the mortgage
instrument.
Other foreclosure procedures are available in some states, but they are
either infrequently used or available only in limited circumstances.
A foreclosure action is subject to most of the delays and expenses of
other lawsuits if defenses are raised or counterclaims are interposed. A
foreclosure action sometimes requires several years to complete.
Judicial Foreclosure. A judicial foreclosure proceeding is conducted in a
court having jurisdiction over the mortgaged property. Generally, a lender
initiates the action by the service of legal pleadings upon--
o all parties having a subordinate interest of record in the real
property, and
o all parties in possession of the property, under leases or otherwise,
whose interests are subordinate to the mortgage.
Delays in completion of the foreclosure may occasionally result from
difficulties in locating defendants. When the lender's right to foreclose is
contested, the legal proceedings can be time-consuming. The court generally
issues a judgment of foreclosure and appoints a referee or other officer
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to conduct a public sale of the mortgaged property upon successful completion
of a judicial foreclosure proceeding. The proceeds of that public sale are used
to satisfy the judgment. The procedures that govern these public sales vary
from state to state.
Equitable and Other Limitations on Enforceability of Particular
Provisions. United States courts have traditionally imposed general equitable
principles to limit the remedies available to lenders in foreclosure actions.
These principles are generally designed to relieve borrowers from the effects
of mortgage defaults perceived as harsh or unfair. Relying on these principles,
a court may:
o alter the specific terms of a loan to the extent it considers necessary
to prevent or remedy an injustice, undue oppression or overreaching;
o require the lender to undertake affirmative actions to determine the
cause of the borrower's default and the likelihood that the borrower will
be able to reinstate the loan;
o require the lender to reinstate a loan or recast a payment schedule in
order to accommodate a borrower that is suffering from a temporary
financial disability; or
o limit the right of the lender to foreclose in the case of a nonmonetary
default, such as--
1. a failure to adequately maintain the mortgaged property, or
2. an impermissible further encumbrance of the mortgaged property.
Some courts have addressed the issue of whether federal or state
constitutional provisions reflecting due process concerns for adequate notice
require that a borrower receive notice in addition to statutorily-prescribed
minimum notice. For the most part, these cases have--
o upheld the reasonableness of the notice provisions, or
o found that a public sale under a mortgage providing for a power of sale
does not involve sufficient state action to trigger constitutional
protections.
In addition, some states may have statutory protection such as the right
of the borrower to reinstate its mortgage loan after commencement of
foreclosure proceedings but prior to a foreclosure sale.
Nonjudicial Foreclosure/Power of Sale. In states permitting nonjudicial
foreclosure proceedings, foreclosure of a deed of trust is generally
accomplished by a nonjudicial trustee's sale under a power of sale typically
granted in the deed of trust. A power of sale may also be contained in any
other type of mortgage instrument if applicable law so permits. A power of sale
under a deed of trust allows a nonjudicial public sale to be conducted
generally following--
o a request from the beneficiary/lender to the trustee to sell the
property upon default by the borrower, and
o notice of sale is given in accordance with the terms of the deed of
trust and applicable state law.
In some states, prior to a nonjudicial public sale, the trustee under the
deed of trust must--
o record a notice of default and notice of sale, and
o send a copy of those notices to the borrower and to any other party who
has recorded a request for a copy of them.
In addition, in some states, the trustee must provide notice to any other party
having an interest of record in the real property, including junior
lienholders. A notice of sale must be posted in a public place and, in most
states, published for a specified period of time in one or more newspapers.
Some states require a reinstatement period during which the borrower or junior
lienholder may have the right to cure the default by paying the entire actual
amount in arrears, without regard to the acceleration of the indebtedness, plus
the lender's expenses incurred in enforcing the obligation. In other states,
the borrower or the junior lienholder has only the right to pay off the entire
debt to prevent the foreclosure sale. Generally, state law governs the
procedure for public sale, the parties entitled to notice, the method of giving
notice and the applicable time periods.
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Public Sale. A third party may be unwilling to purchase a mortgaged
property at a public sale because of--
o the difficulty in determining the exact status of title to the property
due to, among other things, redemption rights that may exist, and
o the possibility that physical deterioration of the property may have
occurred during the foreclosure proceedings.
As a result of the foregoing, it is common for the lender to purchase the
mortgaged property and become its owner, subject to the borrower's right in
some states to remain in possession during a redemption period. In that case,
the lender will have both the benefits and burdens of ownership, including the
obligation to pay debt service on any senior mortgages, to pay taxes, to obtain
casualty insurance and to make repairs necessary to render the property
suitable for sale. The costs of operating and maintaining a commercial or
multifamily residential property may be significant and may be greater than the
income derived from that property. The lender also will commonly obtain the
services of a real estate broker and pay the broker's commission in connection
with the sale or lease of the property. Whether, the ultimate proceeds of the
sale of the property equal the lender's investment in the property depends upon
market conditions. Moreover, because of the expenses associated with acquiring,
owning and selling a mortgaged property, a lender could realize an overall loss
on the related mortgage loan even if the mortgaged property is sold at
foreclosure, or resold after it is acquired through foreclosure, for an amount
equal to the full outstanding principal amount of the loan plus accrued
interest.
The holder of a junior mortgage that forecloses on a mortgaged property
does so subject to senior mortgages and any other prior liens. In addition, it
may be obliged to keep senior mortgage loans current in order to avoid
foreclosure of its interest in the property. Furthermore, if the foreclosure of
a junior mortgage triggers the enforcement of a due-on-sale clause contained in
a senior mortgage, the junior mortgagee could be required to pay the full
amount of the senior mortgage indebtedness or face foreclosure.
Rights of Redemption. The purposes of a foreclosure action are--
o to enable the lender to realize upon its security, and
o to bar the borrower, and all persons who have interests in the property
that are subordinate to that of the foreclosing lender, from exercising
their equity of redemption.
The doctrine of equity of redemption provides that, until the property
encumbered by a mortgage has been sold in accordance with a properly conducted
foreclosure and foreclosure sale, those having interests that are subordinate
to that of the foreclosing lender have an equity of redemption and may redeem
the property by paying the entire debt with interest. Those having an equity of
redemption must generally be made parties to the foreclosure proceeding in
order for their equity of redemption to be terminated.
The equity of redemption is a common-law, nonstatutory right which should
be distinguished from post-sale statutory rights of redemption. In some states,
the borrower and foreclosed junior lienors are given a statutory period in
which to redeem the property after sale under a deed of trust or foreclosure of
a mortgage. In some states, statutory redemption may occur only upon payment of
the foreclosure sale price. In other states, redemption may be permitted if the
former borrower pays only a portion of the sums due. A statutory right of
redemption will diminish the ability of the lender to sell the foreclosed
property because the exercise of a right of redemption would defeat the title
of any purchaser through a foreclosure. Consequently, the practical effect of
the redemption right is to force the lender to maintain the property and pay
the expenses of ownership until the redemption period has expired. In some
states, a post-sale statutory right of redemption may exist following a
judicial foreclosure, but not following a trustee's sale under a deed of trust.
Anti-Deficiency Legislation. Some or all of the mortgage loans underlying
a series of offered certificates may be nonrecourse loans. Recourse in the case
of a default on a non-recourse mortgage loan will be limited to the mortgaged
property and any other assets that were pledged to secure the mortgage loan.
However, even if a mortgage loan by its terms provides for recourse to the
borrower's other assets,
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a lender's ability to realize upon those assets may be limited by state law.
For example, in some states, a lender cannot obtain a deficiency judgment
against the borrower following foreclosure or sale under a deed of trust. A
deficiency judgment is a personal judgment against the former borrower equal to
the difference between the net amount realized upon the public sale of the real
property and the amount due to the lender. Other statutes may require the
lender to exhaust the security afforded under a mortgage before bringing a
personal action against the borrower. In other states, the lender has the
option of bringing a personal action against the borrower on the debt without
first exhausting the security, but in doing so, the lender may be deemed to
have elected a remedy and thus may be precluded from foreclosing upon the
security. Consequently, lenders will usually proceed first against the security
in states where an election of remedy provision exists. Finally, other
statutory provisions limit any deficiency judgment to the excess of the
outstanding debt over the fair market value of the property at the time of the
sale. These other statutory provisions are intended to protect borrowers from
exposure to large deficiency judgments that might result from bidding at
below-market values at the foreclosure sale.
Leasehold Considerations. Some or all of the mortgage loans underlying a
series of offered certificates may be secured by a mortgage on the borrower's
leasehold interest under a ground lease. Leasehold mortgage loans are subject
to some risks not associated with mortgage loans secured by a lien on the fee
estate of the borrower. The most significant of these risks is that if the
borrower's leasehold were to be terminated upon a lease default, the leasehold
mortgagee would lose its security. This risk may be lessened if the ground
lease:
o requires the lessor to give the leasehold mortgagee notices of lessee
defaults and an opportunity to cure them,
o permits the leasehold estate to be assigned to and by the leasehold
mortgagee or the purchaser at a foreclosure sale, and
o contains other protective provisions typically required by prudent
lenders to be included in a ground lease.
Some mortgage loans underlying a series of offered certificates, however,
may be secured by ground leases which do not contain these provisions.
Cooperative Shares. Some or all of the mortgage loans underlying a series
of offered certificates may be secured by a security interest on the borrower's
ownership interest in shares, and the proprietary leases belonging to those
shares, allocable to cooperative dwelling units that may be vacant or occupied
by nonowner tenants. Loans secured in this manner are subject to some risks not
associated with mortgage loans secured by a lien on the fee estate of a
borrower in real property. Loans secured in this manner typically are
subordinate to the mortgage, if any, on the cooperative's building. That
mortgage, if foreclosed, could extinguish the equity in the building and the
proprietary leases of the dwelling units derived from ownership of the shares
of the cooperative. Further, transfer of shares in a cooperative is subject to
various regulations as well as to restrictions under the governing documents of
the cooperative. The shares may be canceled in the event that associated
maintenance charges due under the related proprietary leases are not paid.
Typically, a recognition agreement between the lender and the cooperative
provides, among other things, that the lender may cure a default under a
proprietary lease.
Under the laws applicable in many states, "foreclosure" on cooperative
shares is accomplished by a sale in accordance with the provisions of Article 9
of the UCC and the security agreement relating to the shares. Article 9 of the
UCC requires that a sale be conducted in a commercially reasonable manner,
which may be dependent upon, among other things, the notice given the debtor
and the method, manner, time, place and terms of the sale. Article 9 of the UCC
provides that the proceeds of the sale will be applied first to pay the costs
and expenses of the sale and then to satisfy the indebtedness secured by the
lender's security interest. A recognition agreement, however, generally
provides that the lender's right to reimbursement is subject to the right of
the cooperative corporation to receive sums due under the proprietary leases.
BANKRUPTCY LAWS
Operation of the U.S. Bankruptcy Code and related state laws may interfere
with or affect the ability of a lender to realize upon collateral or to enforce
a deficiency judgment. For example, under the U.S.
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Bankruptcy Code, virtually all actions, including foreclosure actions and
deficiency judgment proceedings, to collect a debt are automatically stayed
upon the filing of the bankruptcy petition. Often, no interest or principal
payments are made during the course of the bankruptcy case. The delay caused by
an automatic stay and its consequences can be significant. Also, under the U.S.
Bankruptcy Code, the filing of a petition in bankruptcy by or on behalf of a
junior lienor may stay the senior lender from taking action to foreclose out
the junior lien.
Under the U.S. Bankruptcy Code, the amount and terms of a mortgage loan
secured by a lien on property of the debtor may be modified provided that
substantive and procedural safeguards protective of the lender are met. A
bankruptcy court may, among other things--
o reduce the secured portion of the outstanding amount of the loan to the
then-current value of the property, thereby leaving the lender a general
unsecured creditor for the difference between the then-current value of
the property and the outstanding balance of the loan;
o reduce the amount of each scheduled payment, by means of a reduction in
the rate of interest and/or an alteration of the repayment schedule, with
or without affecting the unpaid principal balance of the loan;
o extend or shorten the term to maturity of the loan;
o permit the bankrupt borrower to cure of the subject loan default by
paying the arrearage over a number of years; or
o permit the bankrupt borrower, through its rehabilitative plan, to
reinstate the loan payment schedule even if the lender has obtained a
final judgment of foreclosure prior to the filing of the debtor's
petition.
Federal bankruptcy law may also interfere with or affect the ability of a
secured lender to enforce the borrower's assignment of rents and leases related
to the mortgaged property. A lender may be stayed from enforcing the assignment
under the U.S. Bankruptcy Code. In addition, the legal proceedings necessary to
resolve the issue could be time-consuming, and result in delays in the lender's
receipt of the rents. However, recent amendments to the U.S. Bankruptcy Code
may minimize the impairment of the lender's ability to enforce the borrower's
assignment of rents and leases. In addition to the inclusion of hotel revenues
within the definition of cash collateral as noted above, the amendments provide
that a pre-petition security interest in rents or hotel revenues is designed to
overcome those cases holding that a security interest in rents is unperfected
under the laws of some states until the lender has taken some further action,
such as commencing foreclosure or obtaining a receiver prior to activation of
the assignment of rents.
A borrower's ability to make payment on a mortgage loan may be impaired by
the commencement of a bankruptcy case relating to the tenant under a lease of
the related property. Under the U.S. Bankruptcy Code, the filing of a petition
in bankruptcy by or on behalf of a tenant results in a stay in bankruptcy
against the commencement or continuation of any state court proceeding for--
o past due rent,
o accelerated rent,
o damages, or
o a summary eviction order with respect to a default under the lease that
occurred prior to the filing of the tenant's bankruptcy petition.
In addition, the U.S. Bankruptcy Code generally provides that a trustee or
debtor-in-possession may, subject to approval of the court:
o assume the lease and either retain it or assign it to a third party, or
o reject the lease.
If the lease is assumed, the trustee, debtor-in-possession or assignee, if
applicable, must cure any defaults under the lease, compensate the lessor for
its losses and provide the lessor with adequate
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assurance of future performance. These remedies may be insufficient, and any
assurances provided to the lessor may be inadequate. If the lease is rejected,
the lessor will be treated, except potentially to the extent of any security
deposit, as an unsecured creditor with respect to its claim for damages for
termination of the lease. The U.S. Bankruptcy Code also limits a lessor's
damages for lease rejection to:
o the rent reserved by the lease without regard to acceleration for the
greater of one year, or 15%, not to exceed three years, of the remaining
term of the lease, plus
o unpaid rent to the earlier of the surrender of the property or the
lessee's bankruptcy filing.
ENVIRONMENTAL CONSIDERATIONS
General. A lender may be subject to environmental risks when taking a
security interest in real property. Of particular concern may be properties
that are or have been used for industrial, manufacturing, military or disposal
activity. Those environmental risks include the possible diminution of the
value of a contaminated property or, as discussed below, potential liability
for clean-up costs or other remedial actions that could exceed the value of the
property or the amount of the lender's loan. In some circumstances, a lender
may decide to abandon a contaminated real property as collateral for its loan
rather than foreclose and risk liability for clean-up costs.
Superlien Laws. Under the laws of many states, contamination on a property
may give rise to a lien on the property for clean-up costs. In several states,
that lien has priority over all existing liens, including those of existing
mortgages. In these states, the lien of a mortgage may lose its priority to
that superlien.
CERCLA. The federal Comprehensive Environmental Response, Compensation and
Liability Act of 1980, as amended, imposes strict liability on present and past
"owners" and "operators" of contaminated real property for the costs of
clean-up. A secured lender may be liable as an "owner" or "operator" of a
contaminated mortgaged property if agents or employees of the lender have
participated in the management of the property or the operations of the
borrower. Liability may exist even if the lender did not cause or contribute to
the contamination and regardless of whether the lender has actually taken
possession of the contaminated mortgaged property through foreclosure, deed in
lieu of foreclosure or otherwise. Moreover, liability is not limited to the
original or unamortized principal balance of a loan or to the value of the
property securing a loan. Excluded from CERCLA's definition of "owner" or
"operator," however, is a person who, without participating in the management
of the facility, holds indicia of ownership primarily to protect his security
interest. This is the so called "secured creditor exemption."
The Asset Conservation, Lender Liability and Deposit Insurance Act of 1996
amended, among other things, the provisions of CERCLA with respect to lender
liability and the secured creditor exemption. The Lender Liability Act offers
substantial protection to lenders by defining the activities in which a lender
can engage and still have the benefit of the secured creditor exemption. In
order for a lender to be deemed to have participated in the management of a
mortgaged property, the lender must actually participate in the operational
affairs of the property of the borrower. The Lender Liability Act provides that
"merely having the capacity to influence, or unexercised right to control"
operations does not constitute participation in management. A lender will lose
the protection of the secured creditor exemption only if--
o it exercises decision-making control over a borrower's environmental
compliance and hazardous substance handling and disposal practices, or
o assumes day-to-day management of operational functions of a mortgaged
property.
The Lender Liability Act also provides that a lender will continue to have
the benefit of the secured creditor exemption even if it forecloses on a
mortgaged property, purchases it at a foreclosure sale or accepts a
deed-in-lieu of foreclosure, provided that the lender seeks to sell that
property at the earliest practicable commercially reasonable time on
commercially reasonable terms.
Other Federal and State Laws. Many states have statutes similar to CERCLA,
and not all those statutes provide for a secured creditor exemption. In
addition, under federal law, there is potential liability relating to hazardous
wastes and underground storage tanks under the federal Resource Conservation
and Recovery Act.
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Some federal, state and local laws, regulations and ordinances govern the
management, removal, encapsulation or disturbance of asbestos-containing
materials. These laws, as well as common law standards, may--
o impose liability for releases of or exposure to asbestos-containing
materials, and
o provide for third parties to seek recovery from owners or operators of
real properties for personal injuries associated with those releases.
Federal legislation requires owners of residential housing constructed
prior to 1978 to disclose to potential residents or purchasers any known
lead-based paint hazards and will impose treble damages for any failure to
disclose. In addition, the ingestion of lead-based paint chips or dust
particles by children can result in lead poisoning. If lead-based paint hazards
exist at a property, then the owner of that property may be held liable for
injuries and for the costs of removal or encapsulation of the lead-based paint.
In a few states, transfers of some types of properties are conditioned
upon cleanup of contamination prior to transfer. In these cases, a lender that
becomes the owner of a property through foreclosure, deed in lieu of
foreclosure or otherwise, may be required to clean up the contamination before
selling or otherwise transferring the property.
Beyond statute-based environmental liability, there exist common law
causes of action related to hazardous environmental conditions on a property,
such as actions based on nuisance or on toxic tort resulting in death, personal
injury or damage to property. While it may be more difficult to hold a lender
liable under common law causes of action, unanticipated or uninsured
liabilities of the borrower may jeopardize the borrower's ability to meet its
loan obligations.
Federal, state and local environmental regulatory requirements change
often. It is possible that compliance with a new regulatory requirement could
impose significant compliance costs on a borrower. These costs may jeopardize
the borrower's ability to meet its loan obligations.
Additional Considerations. The cost of remediating hazardous substance
contamination at a property can be substantial. If a lender becomes liable, it
can bring an action for contribution against the owner or operator who created
the environmental hazard. However, that individual or entity may be without
substantial assets. Accordingly, it is possible that the costs could become a
liability of the related trust and occasion a loss to the related
certificateholders.
If the operations on a foreclosed property are subject to environmental
laws and regulations, the lender will be required to operate the property in
accordance with those laws and regulations. This compliance may entail
substantial expense, especially in the case of industrial or manufacturing
properties.
In addition, a lender may be obligated to disclose environmental
conditions on a property to government entities and/or to prospective buyers,
including prospective buyers at a foreclosure sale or following foreclosure.
This disclosure may decrease the amount that prospective buyers are willing to
pay for the affected property, sometimes substantially.
DUE-ON-SALE AND DUE-ON-ENCUMBRANCE PROVISIONS
Some or all of the mortgage loans underlying a series of offered
certificates may contain due-on-sale and due-on-encumbrance clauses that
purport to permit the lender to accelerate the maturity of the loan if the
borrower transfers or encumbers the a mortgaged property. In recent years,
court decisions and legislative actions placed substantial restrictions on the
right of lenders to enforce these clauses in many states. However, the Garn-St
Germain Depository Institutions Act of 1982 generally preempts state laws that
prohibit the enforcement of due-on-sale clauses and permits lenders to enforce
these clauses in accordance with their terms, subject to the limitations
prescribed in that Act and the regulations promulgated thereunder.
JUNIOR LIENS; RIGHTS OF HOLDERS OF SENIOR LIENS
Any of our trusts may include mortgage loans secured by junior liens,
while the loans secured by the related senior liens may not be included in that
trust. The primary risk to holders of mortgage loans secured by junior liens is
the possibility that adequate funds will not be received in connection with a
foreclosure of the related senior liens to satisfy fully both the senior loans
and the junior loan.
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In the event that a holder of a senior lien forecloses on a mortgaged
property, the proceeds of the foreclosure or similar sale will be applied as
follows:
o first, to the payment of court costs and fees in connection with the
foreclosure;
o second, to real estate taxes;
o third, in satisfaction of all principal, interest, prepayment or
acceleration penalties, if any, and any other sums due and owing to the
holder of the senior liens; and
o last, in satisfaction of all principal, interest, prepayment and
acceleration penalties, if any, and any other sums due and owing to the
holder of the junior mortgage loan.
SUBORDINATE FINANCING
Some mortgage loans underlying a series of offered certificates may not
restrict the ability of the borrower to use the mortgaged property as security
for one or more additional loans, or the restrictions may be unenforceable.
Where a borrower encumbers a mortgaged property with one or more junior liens,
the senior lender is subjected to the following additional risks:
o the borrower may have difficulty servicing and repaying multiple loans;
o if the subordinate financing permits recourse to the borrower, as is
frequently the case, and the senior loan does not, a borrower may have
more incentive to repay sums due on the subordinate loan;
o acts of the senior lender that prejudice the junior lender or impair the
junior lender's security, such as the senior lender's agreeing to an
increase in the principal amount of or the interest rate payable on the
senior loan, may create a superior equity in favor of the junior lender;
o if the borrower defaults on the senior loan and/or any junior loan or
loans, the existence of junior loans and actions taken by junior lenders
can impair the security available to the senior lender and can interfere
with or delay the taking of action by the senior lender; and
o the bankruptcy of a junior lender may operate to stay foreclosure or
similar proceedings by the senior lender.
DEFAULT INTEREST AND LIMITATIONS ON PREPAYMENTS
Notes and mortgages may contain provisions that obligate the borrower to
pay a late charge or additional interest if payments are not timely made. They
may also contain provisions that prohibit prepayments for a specified period
and/or condition prepayments upon the borrower's payment of prepayment premium,
fee or charge. In some states, there are or may be specific limitations upon
the late charges that a lender may collect from a borrower for delinquent
payments. Some states also limit the amounts that a lender may collect from a
borrower as an additional charge if the loan is prepaid. In addition, the
enforceability of provisions that provide for prepayment premiums, fees and
charges upon an involuntary prepayment is unclear under the laws of many
states.
APPLICABILITY OF USURY LAWS
Title V of the Depository Institutions Deregulation and Monetary Control
Act of 1980 provides that state usury limitations shall not apply to various
types of residential, including multifamily, first mortgage loans originated by
particular lenders after March 31, 1980. Title V authorized any state to
reimpose interest rate limits by adopting, before April 1, 1983, a law or
constitutional provision that expressly rejects application of the federal law.
In addition, even where Title V is not rejected, any state is authorized by the
law to adopt a provision limiting discount points or other charges on mortgage
loans covered by Title V. Some states have taken action to reimpose interest
rate limits and/or to limit discount points or other charges.
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AMERICANS WITH DISABILITIES ACT
Under Title III of the Americans with Disabilities Act of 1990 and rules
promulgated thereunder, in order to protect individuals with disabilities,
owners of public accommodations, such as hotels, restaurants, shopping centers,
hospitals, schools and social service center establishments, must remove
architectural and communication barriers which are structural in nature from
existing places of public accommodation to the extent "readily achievable." In
addition, under the ADA, alterations to a place of public accommodation or a
commercial facility are to be made so that, to the maximum extent feasible, the
altered portions are readily accessible to and usable by disabled individuals.
The "readily achievable" standard takes into account, among other factors, the
financial resources of the affected property owner, landlord or other
applicable person. In addition to imposing a possible financial burden on the
borrower in its capacity as owner or landlord, the ADA may also impose
requirements on a foreclosing lender who succeeds to the interest of the
borrower as owner or landlord. Furthermore, because the "readily achievable"
standard may vary depending on the financial condition of the owner or
landlord, a foreclosing lender that is financially more capable than the
borrower of complying with the requirements of the ADA may be subject to more
stringent requirements than those to which the borrower is subject.
SOLDIERS' AND SAILORS' CIVIL RELIEF ACT OF 1940
Under the terms of the Soldiers' and Sailors' Civil Relief Act of 1940, as
amended, a borrower who enters military service after the origination of the
borrower's mortgage loan, including a borrower who was in reserve status and is
called to active duty after origination of the mortgage loan, may not be
charged interest, including fees and charges, above an annual rate of 6% during
the period of the borrower's active duty status, unless a court orders
otherwise upon application of the lender. The Relief Act applies to individuals
who are members of the Army, Navy, Air Force, Marines, National Guard,
Reserves, Coast Guard and officers of the U.S. Public Health Service assigned
to duty with the military. Because the Relief Act applies to individuals who
enter military service, including reservists who are called to active duty,
after origination of the related mortgage loan, no information can be provided
as to the number of loans with individuals as borrowers that may be affected by
the Relief Act.
Application of the Relief Act would adversely affect, for an indeterminate
period of time, the ability of a master servicer or special servicer to collect
full amounts of interest on an affected mortgage loan. Any shortfalls in
interest collections resulting from the application of the Relief Act would
result in a reduction of the amounts payable to the holders of certificates of
the related series, and would not be covered by advances or, unless otherwise
specified in the related prospectus supplement, any form of credit support
provided in connection with the certificates. In addition, the Relief Act
imposes limitations that would impair the ability of a master servicer or
special servicer to foreclose on an affected mortgage loan during the
borrower's period of active duty status and, under some circumstances, during
an additional three month period after the active duty status ceases.
FORFEITURES IN DRUG AND RICO PROCEEDINGS
Federal law provides that property owned by persons convicted of
drug-related crimes or of criminal violations of the Racketeer Influenced and
Corrupt Organizations statute can be seized by the government if the property
was used in, or purchased with the proceeds of, those crimes. Under procedures
contained in the comprehensive Crime Control Act of 1984, the government may
seize the property even before conviction. The government must publish notice
of the forfeiture proceeding and may give notice to all parties "known to have
an alleged interest in the property," including the holders of mortgage loans.
A lender may avoid forfeiture of its interest in the property if it
establishes that--
o its mortgage was executed and recorded before commission of the crime
upon which the forfeiture is based, or
o the lender was, at the time of execution of the mortgage, "reasonably
without cause to believe" that the property was used in, or purchased
with the proceeds of, illegal drug or RICO activities.
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FEDERAL INCOME TAX CONSEQUENCES
GENERAL
This is a general discussion of the material federal income tax
consequences of owning the offered certificates. This discussion is directed to
certificateholders that hold the offered certificates as capital assets within
the meaning of Section 1221 of the Internal Revenue Code of 1986. It does not
discuss all federal income tax consequences that may be relevant to owners of
offered certificates, particularly as to investors subject to special treatment
under the Internal Revenue Code, including:
o banks,
o insurance companies, and
o foreign investors.
Further, this discussion and any legal opinions referred to in this
discussion are based on authorities that can change, or be differently
interpreted, with possible retroactive effect. No rulings have been or will be
sought from the IRS with respect to any of the federal income tax consequences
discussed below. Accordingly, the IRS may take contrary positions.
Investors and preparers of tax returns should be aware that under
applicable Treasury regulations a provider of advice on specific issues of law
is not considered an income tax return preparer unless the advice is--
o given with respect to events that have occurred at the time the advice
is rendered, and
o is directly relevant to the determination of an entry on a tax return.
Accordingly, even if this discussion addresses an issue regarding the tax
treatment of the owner of the offered certificates, investors should consult
their own tax advisors regarding that issue. Investors should do so not only as
to federal taxes, but also state and local taxes. See "State and Other Tax
Consequences."
The following discussion addresses securities of three general types:
o REMIC certificates, representing interests in a trust, or a portion of
the assets of that trust, as to which a specified person or entity will
make a real estate mortgage investment conduit, or REMIC, election under
Sections 860A through 860G of the Internal Revenue Code;
o FASIT certificates, representing interests in a trust, or a portion of
the assets of that trust, as to which a specified person or entity will
make a financial asset securitization investment trust, or FASIT,
election within the meaning of Section 860L(a) of the Internal Revenue
Code; and
o grantor trust certificates, representing interests in a trust, or a
portion of the assets of that trust, as to which no REMIC or FASIT
election will be made.
We will indicate in the prospectus supplement for each series of offered
certificates whether the related trustee, another party to the related
Governing Document or an agent appointed by that trustee or other party will
act as tax administrator for the related trust. If the related tax
administrator is required to make a REMIC or FASIT election, we also will
identify in the related prospectus supplement all regular interests, residual
interests and/or ownership interests, as applicable, in the resulting REMIC or
FASIT.
The following discussion is limited to certificates offered under this
prospectus. In addition, this discussion applies only to the extent that the
related trust holds only mortgage loans. If a trust holds assets other than
mortgage loans, such as mortgage-backed securities, we will disclose in the
related prospectus supplement the tax consequences associated with those other
assets being included. In addition, if agreements other than guaranteed
investment contracts are included in a trust to provide interest rate
protection for the related offered certificates, the anticipated material tax
consequences associated with those agreements also will be discussed in the
related prospectus supplement. See "Description of the Trust
Assets--Arrangements Providing Reinvestment, Interest Rate and Currency Related
Protection."
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The following discussion is based in part on the rules governing original
issue discount in Sections 1271-1273 and 1275 of the Internal Revenue Code and
in the Treasury regulations issued under those sections. It is also based in
part on the rules governing REMICs in Sections 860A-860G of the Internal
Revenue Code and in the Treasury regulations issued under those sections. The
regulations relating to original issue discount do not adequately address all
issues relevant to, and in some instances provide that they are not applicable
to, securities such as the offered certificates.
REMICS
General. With respect to each series of offered certificates as to which
the related tax administrator will make a REMIC election, our counsel will
deliver its opinion generally to the effect that, assuming compliance with all
provisions of the related Governing Document, and subject to any other
assumptions set forth in the opinion:
o the related trust, or the relevant designated portion of the trust, will
qualify as a REMIC, and
o those offered certificates will represent--
1. regular interests in the REMIC, or
2. residual interests in the REMIC.
Any and all offered certificates representing interests in a REMIC will be
either--
o REMIC regular certificates, representing regular interests in the REMIC,
or
o REMIC residual certificates, representing residual interests in the
REMIC.
If an entity electing to be treated as a REMIC fails to comply with the
ongoing requirements of the Internal Revenue Code for REMIC status, it may lose
its REMIC status. If so, the entity may become taxable as a corporation.
Therefore, the related certificates may not be given the tax treatment
summarized below. Although the Internal Revenue Code authorizes the Treasury
Department to issue regulations providing relief in the event of an inadvertent
termination of REMIC status, the Treasury Department has not done so. Any
relief mentioned above, moreover, may be accompanied by sanctions. These
sanctions could include the imposition of a corporate tax on all or a portion
of a trust's income for the period in which the requirements for REMIC status
are not satisfied. The Governing Document with respect to each REMIC will
include provisions designed to maintain its status as a REMIC under the
Internal Revenue Code.
Characterization of Investments in REMIC Certificates. Unless we state
otherwise in the related prospectus supplement, the offered certificates that
are REMIC certificates will be treated as--
o "real estate assets" within the meaning of Section 856(c)(5)(B) of the
Internal Revenue Code in the hands of a real estate investment trust, and
o "loans secured by an interest in real property" or other assets
described in Section 7701(a)(19)(C) of the Internal Revenue Code in the
hands of a thrift institution,
in the same proportion that the assets of the related REMIC are so treated.
However, to the extent that the REMIC assets constitute mortgage loans on
property not used for residential or other prescribed purposes, the related
offered certificates will not be treated as assets qualifying under Section
7701(a)(19)(C). If 95% or more of the assets of the REMIC qualify for any of
the foregoing characterizations at all times during a calendar year, the
related offered certificates will qualify for the corresponding status in their
entirety for that calendar year.
In addition, offered certificates that are REMIC regular certificates will
be:
o "qualified mortgages" within the meaning of Section 860G(a)(3) of the
Internal Revenue Code in the hands of another REMIC; and
o "permitted assets" under Section 860L(c)(1)(G) for a FASIT.
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Finally, interest, including original issue discount, on offered
certificates that are REMIC regular certificates, and income allocated to
offered certificates that are REMIC residual certificates, will be interest
described in Section 856(c)(3)(B) of the Internal Revenue Code if received by a
real estate investment trust, to the extent that these certificates are treated
as "real estate assets" within the meaning of Section 856(c)(5)(B) of the
Internal Revenue Code.
The related tax administrator will determine the percentage of the REMIC's
assets that constitute assets described in the above-referenced sections of the
Internal Revenue Code with respect to each calendar quarter based on the
average adjusted basis of each category of the assets held by the REMIC during
that calendar quarter. The related tax administrator will report those
determinations to certificateholders in the manner and at the times required by
applicable Treasury regulations.
The assets of the REMIC will include, in addition to mortgage loans--
o collections on mortgage loans held pending payment on the related
offered certificates, and
o any property acquired by foreclosure held pending sale, and may include
amounts in reserve accounts.
It is unclear whether property acquired by foreclosure held pending sale,
and amounts in reserve accounts, would be considered to be part of the mortgage
loans, or whether these assets otherwise would receive the same treatment as
the mortgage loans for purposes of the above-referenced sections of the
Internal Revenue Code. In addition, in some instances, the mortgage loans may
not be treated entirely as assets described in those sections of the Internal
Revenue Code. If so, we will describe in the related prospectus supplement
those mortgage loans that are characterized differently. The Treasury
regulations do provide, however, that cash received from collections on
mortgage loans held pending payment is considered part of the mortgage loans
for purposes of Section 856(c)(5)(B) of the Internal Revenue Code, relating to
real estate investment trusts.
To the extent a REMIC certificate represents ownership of an interest in a
mortgage loan that is secured in part by the related borrower's interest in a
bank account, that mortgage loan is not secured solely by real estate.
Accordingly:
o a portion of that certificate may not represent ownership of "loans
secured by an interest in real property" or other assets described in
Section 7701(a)(19)(C) of the Internal Revenue Code;
o a portion of that certificate may not represent ownership of "real
estate assets" under Section 856(c)(5)(B) of the Internal Revenue Code;
and
o the interest on that certificate may not constitute "interest on
obligations secured by mortgages on real property" within the meaning of
Section 856(c)(3)(B) of the Internal Revenue Code.
Tiered REMIC Structures. For some series of REMIC certificates, the
related tax administrator may make two or more REMIC elections as to the
related trust for federal income tax purposes. As to each of these series of
REMIC certificates, our counsel will opine that each portion of the related
trust as to which a REMIC election is to be made will qualify as a REMIC. Each
of these series will be treated as one REMIC solely for purposes of
determining:
o whether the related REMIC certificates will be "real estate assets"
within the meaning of Section 856(c)(5)(B) of the Internal Revenue Code,
o whether the related REMIC certificates will be "loans secured by an
interest in real property" under Section 7701(a)(19)(C) of the Internal
Revenue Code, and
o whether the interest/income on the related REMIC certificates is
interest described in Section 856(c)(3)(B) of the Internal Revenue Code.
Taxation of Owners of REMIC Regular Certificates.
General. Except as otherwise stated in this discussion, the Internal
Revenue Code treats REMIC regular certificates as debt instruments issued by
the REMIC and not as ownership interests in the
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REMIC or its assets. Holders of REMIC regular certificates that otherwise
report income under the cash method of accounting must nevertheless report
income with respect to REMIC regular certificates under the accrual method.
Original Issue Discount. Some REMIC regular certificates may be issued
with original issue discount within the meaning of Section 1273(a) of the
Internal Revenue Code. Any holders of REMIC regular certificates issued with
original issue discount generally will have to include original issue discount
in income as it accrues, in accordance with a constant yield method, prior to
the receipt of the cash attributable to that income. The IRS has issued
regulations under Section 1271 to 1275 of the Internal Revenue Code generally
addressing the treatment of debt instruments issued with original issue
discount. Section 1272(a)(6) of the Internal Revenue Code provides special
rules applicable to the accrual of original issue discount on, among other
things, REMIC regular certificates. The Treasury Department has not issued
regulations under that section. You should be aware, however, that Section
1272(a)(6) and the regulations under Sections 1271 to 1275 of the Internal
Revenue Code do not adequately address all issues relevant to, or are not
applicable to, prepayable securities such as the offered certificates. We
recommend that you consult with your own tax advisor concerning the tax
treatment of your offered certificates.
The Internal Revenue Code requires, in computing the accrual of original
issue discount on REMIC regular certificates, that a reasonable assumption be
used concerning the rate at which borrowers will prepay the mortgage loans held
by the related REMIC. Further, adjustments must be made in the accrual of that
original issue discount to reflect differences between the prepayment rate
actually experienced and the assumed prepayment rate. The prepayment assumption
is to be determined in a manner prescribed in Treasury regulations that the
Treasury Department has not yet issued. The Committee Report indicates that the
regulations should provide that the prepayment assumption used with respect to
a REMIC regular certificate is determined once, at initial issuance, and must
be the same as that used in pricing. The prepayment assumption used in
reporting original issue discount for each series of REMIC regular certificates
will be consistent with this standard and will be disclosed in the related
prospectus supplement. However, neither we nor any other person will make any
representation that the mortgage loans underlying any series of REMIC regular
certificates will in fact prepay at a rate conforming to the prepayment
assumption or at any other rate or that the IRS will not challenge on audit the
prepayment assumption used.
The original issue discount, if any, on a REMIC regular certificate will
be the excess of its stated redemption price at maturity over its issue price.
The issue price of a particular class of REMIC regular certificates will
be the first cash price at which a substantial amount of those certificates are
sold, excluding sales to bond houses, brokers and underwriters. If less than a
substantial amount of a particular class of REMIC regular certificates is sold
for cash on or prior to the related date of initial issuance of those
certificates, the issue price for that class will be the fair market value of
that class on the date of initial issuance.
Under the Treasury regulations, the stated redemption price of a REMIC
regular certificate is equal to the total of all payments to be made on that
certificate other than qualified stated interest. Qualified stated interest is
interest that is unconditionally payable at least annually, during the entire
term of the instrument, at:
o a single fixed rate,
o a "qualified floating rate,"
o an "objective rate,"
o a combination of a single fixed rate and one or more "qualified floating
rates,"
o a combination of a single fixed rate and one "qualified inverse floating
rate," or
o a combination of "qualified floating rates" that does not operate in a
manner that accelerates or defers interest payments on the REMIC regular
certificate.
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In the case of REMIC regular certificates bearing adjustable interest
rates, the determination of the total amount of original issue discount and the
timing of the inclusion of that discount will vary according to the
characteristics of those certificates. If the original issue discount rules
apply to those certificates, we will describe in the related prospectus
supplement the manner in which those rules will be applied with respect to
those certificates in preparing information returns to the certificateholders
and the IRS.
Some classes of REMIC regular certificates may provide that the first
interest payment with respect to those certificates be made more than one month
after the date of initial issuance, a period that is longer than the subsequent
monthly intervals between interest payments. Assuming the accrual period for
original issue discount is the monthly period that ends on each payment date,
then, as a result of this long first accrual period, some or all interest
payments may be required to be included in the stated redemption price of the
REMIC regular certificate and accounted for as original issue discount. Because
interest on REMIC regular certificates must in any event be accounted for under
an accrual method, applying this analysis would result in only a slight
difference in the timing of the inclusion in income of the yield on the REMIC
regular certificates.
In addition, if the accrued interest to be paid on the first payment date
is computed with respect to a period that begins prior to the date of initial
issuance, a portion of the purchase price paid for a REMIC regular certificate
will reflect that accrued interest. In those cases, information returns
provided to the certificateholders and the IRS will be based on the position
that the portion of the purchase price paid for the interest accrued prior to
the date of initial issuance is treated as part of the overall cost of the
REMIC regular certificate. Therefore, the portion of the interest paid on the
first payment date in excess of interest accrued from the date of initial
issuance to the first payment date is included in the stated redemption price
of the REMIC regular certificate. However, the Treasury regulations state that
all or some portion of this accrued interest may be treated as a separate
asset, the cost of which is recovered entirely out of interest paid on the
first payment date. It is unclear how an election to do so would be made under
these regulations and whether this election could be made unilaterally by a
certificateholder.
Notwithstanding the general definition of original issue discount,
original issue discount on a REMIC regular certificate will be considered to be
de minimis if it is less than 0.25% of the stated redemption price of the
certificate multiplied by its weighted average maturity. For this purpose, the
weighted average maturity of a REMIC regular certificate is computed as the sum
of the amounts determined, as to each payment included in the stated redemption
price of the certificate, by multiplying:
o the number of complete years, rounding down for partial years, from the
date of initial issuance, until that payment is expected to be made,
presumably taking into account the prepayment assumption, by
o a fraction--
1. the numerator of which is the amount of the payment, and
2. the denominator of which is the stated redemption price at maturity of
the certificate.
Under the Treasury regulations, original issue discount of only a de
minimis amount, other than de minimis original issue discount attributable to a
so-called "teaser" interest rate or an initial interest holiday, will be
included in income as each payment of stated principal is made, based on the
product of:
o the total amount of the de minimis original issue discount, and
o a fraction--
1. the numerator of which is the amount of the principal payment, and
2. the denominator of which is the outstanding stated principal amount of
the subject REMIC regular certificate.
The Treasury regulations also would permit you to elect to accrue de
minimis original issue discount into income currently based on a constant yield
method. See "--REMICs--Taxation of Owners of REMIC Regular Certificates--Market
Discount" below for a description of that election under the applicable
Treasury regulations.
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If original issue discount on a REMIC regular certificate is in excess of
a de minimis amount, the holder of the certificate must include in ordinary
gross income the sum of the daily portions of original issue discount for each
day during its taxable year on which it held the certificate, including the
purchase date but excluding the disposition date. In the case of an original
holder of a REMIC regular certificate, the daily portions of original issue
discount will be determined as described below in this "Original Issue
Discount" subsection.
As to each accrual period, the related tax administrator will calculate
the original issue discount that accrued during that accrual period. For these
purposes, an accrual period is, unless we otherwise state in the related
prospectus supplement, the period that begins on a date that corresponds to a
payment date, or in the case of the first accrual period, begins on the date of
initial issuance, and ends on the day preceding the immediately following
payment date. The portion of original issue discount that accrues in any
accrual period will equal the excess, if any, of:
o the sum of--
1. the present value, as of the end of the accrual period, of all of the
payments remaining to be made on the subject REMIC regular certificate,
if any, in future periods, presumably taking into account the
prepayment assumption, and
2. the payments made on that certificate during the accrual period of
amounts included in the stated redemption price, over
o the adjusted issue price of the subject REMIC regular certificate at the
beginning of the accrual period.
The adjusted issue price of a REMIC regular certificate is:
o the issue price of the certificate, increased by
o the total amount of original issue discount previously accrued on the
certificate, reduced by
o the amount of all prior payments of amounts included in its stated
redemption price.
The present value of the remaining payments referred to in item 1. of the
second preceding sentence will be calculated:
o assuming that payments on the REMIC regular certificate will be received
in future periods based on the related mortgage loans being prepaid at a
rate equal to the prepayment assumption;
o using a discount rate equal to the original yield to maturity of the
certificate, based on its issue price and the assumption that the related
mortgage loans will be prepaid at a rate equal to the prepayment
assumption; and
o taking into account events, including actual prepayments, that have
occurred before the close of the accrual period.
The original issue discount accruing during any accrual period, computed
as described above, will be allocated ratably to each day during the accrual
period to determine the daily portion of original issue discount for that day.
A subsequent purchaser of a REMIC regular certificate that purchases the
certificate at a cost, excluding any portion of that cost attributable to
accrued qualified stated interest, that is less than its remaining stated
redemption price, will also be required to include in gross income the daily
portions of any original issue discount with respect to the certificate.
However, the daily portion will be reduced, if the cost is in excess of its
adjusted issue price, in proportion to the ratio that the excess bears to the
total original issue discount remaining to be accrued on the certificate. The
adjusted issue price of a REMIC regular certificate, as of any date of
determination, equals the sum of:
o the adjusted issue price or, in the case of the first accrual period,
the issue price, of the certificate at the beginning of the accrual
period which includes that date of determination, and
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o the daily portions of original issue discount for all days during that
accrual period prior to that date of determination.
If the foregoing method for computing original issue discount results in a
negative amount of original issue discount as to any accrual period with
respect to a REMIC regular certificate held by you, the amount of original
issue discount accrued for that accrual period will be zero. You may not deduct
the negative amount currently. Instead, you will only be permitted to offset it
against future positive original issue discount, if any, attributable to the
certificate. Although not free from doubt, it is possible that you may be
permitted to recognize a loss to the extent your basis in the certificate
exceeds the maximum amount of payments that you could ever receive with respect
to the certificate. However, the loss may be a capital loss, which is limited
in its deductibility. The foregoing considerations are particularly relevant to
certificates that have no, or a disproportionately small, amount of principal
because they can have negative yields if the mortgage loans held by the related
REMIC prepay more quickly than anticipated. See "Risk Factors--The Investment
Performance of Your Offered Certificate Will Depend Upon Payments, Defaults and
Losses on the Underlying Mortgage Loans."
The Treasury regulations in some circumstances permit the holder of a debt
instrument to recognize original issue discount under a method that differs
from that used by the issuer. Accordingly, it is possible that you may be able
to select a method for recognizing original issue discount that differs from
that used by the trust in preparing reports to you and the IRS. Prospective
purchasers of the REMIC regular certificates should consult their tax advisors
concerning the tax treatment of these certificates in this regard.
Market Discount. You will be considered to have purchased a REMIC regular
certificate at a market discount if--
o in the case of a certificate issued without original issue discount, you
purchased the certificate at a price less than its remaining stated
principal amount, or
o in the case of a certificate issued with original issue discount, you
purchased the certificate at a price less than its adjusted issue price.
If you purchase a REMIC regular certificate with more than a de minimis
amount of market discount, you will recognize gain upon receipt of each payment
representing stated redemption price. Under Section 1276 of the Internal
Revenue Code, you generally will be required to allocate the portion of each
payment representing some or all of the stated redemption price first to
accrued market discount not previously included in income. You must recognize
ordinary income to that extent. You may elect to include market discount in
income currently as it accrues rather than including it on a deferred basis in
accordance with the foregoing. If made, this election will apply to all market
discount bonds acquired by you on or after the first day of the first taxable
year to which this election applies.
The Treasury regulations also permit you to elect to accrue all interest
and discount, including de minimis market or original issue discount, in income
as interest, and to amortize premium, based on a constant yield method. Your
making this election with respect to a REMIC regular certificate with market
discount would be deemed to be an election to include currently market discount
in income with respect to all other debt instruments with market discount that
you acquire during the taxable year of the election or thereafter, and possibly
previously acquired instruments. Similarly, your making this election as to a
certificate acquired at a premium would be deemed to be an election to amortize
bond premium, with respect to all debt instruments having amortizable bond
premium that you own or acquire. See "--REMICs--Taxation of Owners of REMIC
Regular Certificates--Premium" below.
Each of the elections described above to accrue interest and discount, and
to amortize premium, with respect to a certificate on a constant yield method
or as interest would be irrevocable except with the approval of the IRS.
However, market discount with respect to a REMIC regular certificate will
be considered to be de minimis for purposes of Section 1276 of the Internal
Revenue Code if the market discount is less than 0.25% of the remaining stated
redemption price of the certificate multiplied by the number of complete
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years to maturity remaining after the date of its purchase. In interpreting a
similar rule with respect to original issue discount on obligations payable in
installments, the Treasury regulations refer to the weighted average maturity
of obligations. It is likely that the same rule will be applied with respect to
market discount, presumably taking into account the prepayment assumption. If
market discount is treated as de minimis under this rule, it appears that the
actual discount would be treated in a manner similar to original issue discount
of a de minimis amount. See "--REMICs--Taxation of Owners of REMIC Regular
Certificates--Original Issue Discount" above. This treatment would result in
discount being included in income at a slower rate than discount would be
required to be included in income using the method described above.
Section 1276(b)(3) of the Internal Revenue Code specifically authorizes
the Treasury Department to issue regulations providing for the method for
accruing market discount on debt instruments, the principal of which is payable
in more than one installment. Until regulations are issued by the Treasury
Department, the relevant rules described in the Committee Report apply. The
Committee Report indicates that in each accrual period, you may accrue market
discount on a REMIC regular certificate held by you, at your option:
o on the basis of a constant yield method,
o in the case of a certificate issued without original issue discount, in
an amount that bears the same ratio to the total remaining market
discount as the stated interest paid in the accrual period bears to the
total amount of stated interest remaining to be paid on the certificate
as of the beginning of the accrual period, or
o in the case of a certificate issued with original issue discount, in an
amount that bears the same ratio to the total remaining market discount
as the original issue discount accrued in the accrual period bears to the
total amount of original issue discount remaining on the certificate at
the beginning of the accrual period.
The prepayment assumption used in calculating the accrual of original
issue discount is also used in calculating the accrual of market discount.
To the extent that REMIC regular certificates provide for monthly or other
periodic payments throughout their term, the effect of these rules may be to
require market discount to be includible in income at a rate that is not
significantly slower than the rate at which the discount would accrue if it
were original issue discount. Moreover, in any event a holder of a REMIC
regular certificate generally will be required to treat a portion of any gain
on the sale or exchange of the certificate as ordinary income to the extent of
the market discount accrued to the date of disposition under one of the
foregoing methods, less any accrued market discount previously reported as
ordinary income.
Further, Section 1277 of the Internal Revenue Code may require you to
defer a portion of your interest deductions for the taxable year attributable
to any indebtedness incurred or continued to purchase or carry a REMIC regular
certificate purchased with market discount. For these purposes, the de minimis
rule referred to above applies. Any deferred interest expense would not exceed
the market discount that accrues during the related taxable year and is, in
general, allowed as a deduction not later than the year in which the related
market discount is includible in income. If you have elected, however, to
include market discount in income currently as it accrues, the interest
deferral rule described above would not apply.
Premium. A REMIC regular certificate purchased at a cost, excluding any
portion of the cost attributable to accrued qualified stated interest, that is
greater than its remaining stated redemption price will be considered to be
purchased at a premium. You may elect under Section 171 of the Internal Revenue
Code to amortize the premium under the constant yield method over the life of
the certificate. If you elect to amortize bond premium, bond premium would be
amortized on a constant yield method and would be applied as an offset against
qualified stated interest. If made, this election will apply to all debt
instruments having amortizable bond premium that you own or subsequently
acquire. The IRS has issued regulations on the amortization of bond premium,
but they specifically do not apply to holders of REMIC regular certificates.
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The Treasury regulations also permit you to elect to include all interest,
discount and premium in income based on a constant yield method, further
treating you as having made the election to amortize premium generally. See
"--Taxation of Owners of REMIC Regular Certificates--Market Discount" above.
The Committee Report states that the same rules that apply to accrual of market
discount and require the use of a prepayment assumption in accruing market
discount with respect to REMIC regular certificates without regard to whether
those certificates have original issue discount, will also apply in amortizing
bond premium under Section 171 of the Internal Revenue Code.
Whether you will be treated as holding a REMIC regular certificate with
amortizable bond premium will depend on--
o the purchase price paid for your offered certificate, and
o the payments remaining to be made on your offered certificate at the
time of its acquisition by you.
If you acquire an interest in any class of REMIC regular certificates
issued at a premium, you should consider consulting your own tax advisor
regarding the possibility of making an election to amortize the premium.
Realized Losses. Under Section 166 of the Internal Revenue Code, if you
are either a corporate holder of a REMIC regular certificate and or a
noncorporate holder of a REMIC regular certificate that acquires the
certificate in connection with a trade or business, you should be allowed to
deduct, as ordinary losses, any losses sustained during a taxable year in which
your offered certificate becomes wholly or partially worthless as the result of
one or more realized losses on the related mortgage loans. However, if you are
a noncorporate holder that does not acquire a REMIC regular certificate in
connection with a trade or business, it appears that--
o you will not be entitled to deduct a loss under Section 166 of the
Internal Revenue Code until your offered certificate becomes wholly
worthless, which is when its principal balance has been reduced to zero,
and
o the loss will be characterized as a short-term capital loss.
You will also have to accrue interest and original issue discount with
respect to your REMIC regular certificate, without giving effect to any
reductions in payments attributable to defaults or delinquencies on the related
mortgage loans, until it can be established that those payment reductions are
not recoverable. As a result, your taxable income in a period could exceed your
economic income in that period. If any of those amounts previously included in
taxable income are not ultimately received due to a loss on the related
mortgage loans, you should be able to recognize a loss or reduction in income.
However, the law is unclear with respect to the timing and character of this
loss or reduction in income.
Taxation of Owners of REMIC Residual Certificates.
General. Although a REMIC is a separate entity for federal income tax
purposes, the Internal Revenue Code does not subject a REMIC to entity-level
taxation, except with regard to prohibited transactions and the other
transactions described under "--REMICs--Prohibited Transactions Tax and Other
Taxes" below. Rather, a holder of REMIC residual certificates must generally
take in income the taxable income or net loss of the related REMIC.
Accordingly, the Internal Revenue Code treats the REMIC residual certificates
much differently than it would if they were direct ownership interests in the
related mortgage loans or as debt instruments issued by the related REMIC.
Holders of REMIC residual certificates generally will be required to
report their daily portion of the taxable income or, subject to the limitations
noted in this discussion, the net loss of the related REMIC for each day during
a calendar quarter that they own those certificates. For this purpose, the
taxable income or net loss of the REMIC will be allocated to each day in the
calendar quarter ratably using a "30 days per month/90 days per quarter/360
days per year" convention unless we otherwise disclose in the related
prospectus supplement. These daily amounts then will be allocated among the
holders of the REMIC residual certificates in proportion to their respective
ownership interests on that day. Any amount
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included in the certificateholders' gross income or allowed as a loss to them
by virtue of this paragraph will be treated as ordinary income or loss. The
taxable income of the REMIC will be determined under the rules described below
in "--REMICs--Taxation of Owners of REMIC Residual Certificates--Taxable Income
of the REMIC." Holders of REMIC residual certificates must report the taxable
income of the related REMIC without regard to the timing or amount of cash
payments by the REMIC until the REMIC's termination. Income derived from the
REMIC residual certificates will be "portfolio income" for the purposes of the
limitations under Section 469 of the Internal Revenue Code on the deductibility
of "passive losses."
A holder of a REMIC residual certificate that purchased the certificate
from a prior holder also will be required to report on its federal income tax
return amounts representing its daily share of the taxable income, or net loss,
of the related REMIC for each day that it holds the REMIC residual certificate.
These daily amounts generally will equal the amounts of taxable income or net
loss determined as described above. The Committee Report indicates that
modifications of the general rules may be made, by regulations, legislation or
otherwise to reduce, or increase, the income of a holder of a REMIC residual
certificate. These modifications would occur when a holder purchases the REMIC
residual certificate from a prior holder at a price other than the adjusted
basis that the REMIC residual certificate would have had in the hands of an
original holder of that certificate. The Treasury regulations, however, do not
provide for these modifications.
Any payments that you receive from the seller of a REMIC residual
certificate in connection with the acquisition of that certificate will be
income to you. Although it is possible that these payments would be includible
in income immediately upon receipt, the IRS might assert that you should
include these payments in income over time according to an amortization
schedule or according to some other method. Because of the uncertainty
concerning the treatment of these payments, we recommend that you consult your
tax advisor concerning the treatment of these payments for income tax purposes.
Tax liability with respect to the amount of income that holders of REMIC
residual certificates will be required to report, will often exceed the amount
of cash payments received from the related REMIC for the corresponding period.
Consequently, you should have--
o other sources of funds sufficient to pay any federal income taxes due as
a result of your ownership of REMIC residual certificates, or
o unrelated deductions against which income may be offset.
See, however, the rules discussed below relating to:
o excess inclusions,
o residual interests without significant value, and
o noneconomic residual interests.
The fact that the tax liability associated with this income allocated to you
may exceed the cash payments received by you for the corresponding period may
significantly and adversely affect their after-tax rate of return. This
disparity between income and payments may not be offset by corresponding losses
or reductions of income attributable to your REMIC residual certificates until
subsequent tax years. Even then, the extra income may not be completely offset
due to changes in the Internal Revenue Code, tax rates or character of the
income or loss. Therefore, REMIC residual certificates will ordinarily have a
negative value at the time of issuance. See "Risk Factors--'Residual Interests'
in a 'Real Estate Mortgage Investment Conduit' Have Adverse Tax Consequences."
Taxable Income of the REMIC. The taxable income of a REMIC will equal:
o the income from the mortgage loans and other assets of the REMIC; plus
o any cancellation of indebtedness income due to the allocation of
realized losses to those REMIC certificates constituting regular
interests in the REMIC; less
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o the following items--
1. the deductions allowed to the REMIC for interest, including original
issue discount but reduced by any premium on issuance, on any class of
REMIC certificates constituting regular interests in the REMIC, whether
offered or not,
2. amortization of any premium on the mortgage loans held by the REMIC,
3. bad debt losses with respect to the mortgage loans held by the REMIC,
and
4. except as described below in this "Taxable Income of the REMIC"
subsection, servicing, administrative and other expenses.
For purposes of determining its taxable income, a REMIC will have an
initial aggregate basis in its assets equal to the sum of the issue prices of
all REMIC certificates, or in the case of REMIC certificates not sold
initially, their fair market values. The aggregate basis will be allocated
among the mortgage loans and the other assets of the REMIC in proportion to
their respective fair market values. The issue price of any REMIC certificates
offered hereby will be determined in the manner described above under
"--REMICs--Taxation of Owners of REMIC Regular Certificates--Original Issue
Discount." The issue price of a REMIC certificate received in exchange for an
interest in mortgage loans or other property will equal the fair market value
of the interests in the mortgage loans or other property. Accordingly, if one
or more classes of REMIC certificates are retained initially rather than sold,
the related tax administrator may be required to estimate the fair market value
of these interests in order to determine the basis of the REMIC in the mortgage
loans and other property held by the REMIC.
Subject to possible application of the de minimis rules, the method of
accrual by a REMIC of original issue discount income and market discount income
with respect to mortgage loans that it holds will be equivalent to the method
for accruing original issue discount income for holders of REMIC regular
certificates. That method is a constant yield method taking into account the
prepayment assumption. However, a REMIC that acquires loans at a market
discount must include that market discount in income currently, as it accrues,
on a constant yield basis. See "--REMICs--Taxation of Owners of REMIC Regular
Certificates" above, which describes a method for accruing the discount income
that is analogous to that required to be used by a REMIC as to mortgage loans
with market discount that it holds.
A REMIC will acquire a mortgage loan with discount, or premium, to the
extent that the REMIC's basis, determined as described in the preceding
paragraph, is different from its stated redemption price. Discount will be
includible in the income of the REMIC as it accrues, in advance of receipt of
the cash attributable to that income, under a method similar to the method
described above for accruing original issue discount on the REMIC regular
certificates. A REMIC probably will elect under Section 171 of the Internal
Revenue Code to amortize any premium on the mortgage loans that it holds.
Premium on any mortgage loan to which this election applies may be amortized
under a constant yield method, presumably taking into account the prepayment
assumption.
A REMIC will be allowed deductions for interest, including original issue
discount, on all of the certificates that constitute regular interests in the
REMIC, whether or not offered hereby, as if those certificates were
indebtedness of the REMIC. Original issue discount will be considered to accrue
for this purpose as described above under "--REMICs--Taxation of Owners of
REMIC Regular Certificates--Original Issue Discount." However, the de minimis
rule described in that section will not apply in determining deductions.
If a class of REMIC regular certificates is issued at a price in excess of
the stated redemption price of that class, the net amount of interest
deductions that are allowed to the REMIC in each taxable year with respect to
those certificates will be reduced by an amount equal to the portion of that
excess that is considered to be amortized in that year. It appears that this
excess should be amortized under a constant yield method in a manner analogous
to the method of accruing original issue discount described above under
"--REMICs--Taxation of Owners of REMIC Regular Certificates--Original Issue
Discount."
As a general rule, the taxable income of a REMIC will be determined as if
the REMIC were an individual having the calendar year as its taxable year and
using the accrual method of accounting.
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However, no item of income, gain, loss or deduction allocable to a prohibited
transaction will be taken into account. See "--REMICs--Prohibited Transactions
Tax and Other Taxes" below. Further, the limitation on miscellaneous itemized
deductions imposed on individuals by Section 67 of the Internal Revenue Code
will not be applied at the REMIC level so that the REMIC will be allowed full
deductions for servicing, administrative and other noninterest expenses in
determining its taxable income. All those expenses will be allocated as a
separate item to the holders of the related REMIC certificates, subject to the
limitation of Section 67 of the Internal Revenue Code. See "--REMICs--Taxation
of Owners of REMIC Residual Certificates--Possible Pass-Through of
Miscellaneous Itemized Deductions" below. If the deductions allowed to the
REMIC exceed its gross income for a calendar quarter, the excess will be the
net loss for the REMIC for that calendar quarter.
Basis Rules, Net Losses and Payments. The adjusted basis of a REMIC
residual certificate will be equal to:
o the amount paid for that REMIC residual certificate,
o increased by, amounts included in the income of the holder of that REMIC
residual certificate, and
o decreased, but not below zero, by payments made, and by net losses
allocated, to the holder of that REMIC residual certificate.
A holder of a REMIC residual certificate is not allowed to take into
account any net loss for any calendar quarter to the extent that the net loss
exceeds the adjusted basis to that holder as of the close of that calendar
quarter, determined without regard to that net loss. Any loss that is not
currently deductible by reason of this limitation may be carried forward
indefinitely to future calendar quarters and, subject to the same limitation,
may be used only to offset income from the REMIC residual certificate.
Any payment on a REMIC residual certificate will be treated as a
nontaxable return of capital to the extent it does not exceed the holder's
adjusted basis in the REMIC residual certificate. To the extent a payment on a
REMIC residual certificate exceeds the holder's adjusted basis, it will be
treated as gain from the sale of that REMIC residual certificate.
A holder's basis in a REMIC residual certificate will initially equal the
amount paid for the certificate and will be increased by that holder's
allocable share of taxable income of the related REMIC. However, these
increases in basis may not occur until the end of the calendar quarter, or
perhaps the end of the calendar year, with respect to which the related REMIC's
taxable income is allocated to that holder. To the extent the initial basis of
the holder of a REMIC residual certificate is less than the payments to that
holder, and increases in the initial basis either occur after these payments
or, together with the initial basis, are less than the amount of these
payments, gain will be recognized to that holder on these payments. This gain
will be treated as gain from the sale of its REMIC residual certificate.
The effect of these rules is that a holder of a REMIC residual certificate
may not amortize its basis in a REMIC residual certificate, but may only
recover its basis:
o through payments,
o through the deduction of any net losses of the REMIC, or
o upon the sale of its REMIC residual certificate. See "--REMICs--Sales of
REMIC Certificates" below.
For a discussion of possible modifications of these rules that may require
adjustments to income of a holder of a REMIC residual certificate other than an
original holder see "--REMICs--Taxation of Owners of REMIC Residual
Certificates--General" above. These adjustments could require a holder of a
REMIC residual certificate to account for any difference between the cost of
the certificate to the holder and the adjusted basis of the certificate would
have been in the hands of an original holder.
Excess Inclusions. Any excess inclusions with respect to a REMIC residual
certificate will be subject to federal income tax in all events. In general,
the excess inclusions with respect to a REMIC residual certificate for any
calendar quarter will be the excess, if any, of:
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o the daily portions of REMIC taxable income allocable to that
certificate, over
o the sum of the daily accruals for each day during the quarter that the
certificate was held by that holder.
The daily accruals of a holder of a REMIC residual certificate will be
determined by allocating to each day during a calendar quarter its ratable
portion of a numerical calculation. That calculation is the product of the
adjusted issue price of the REMIC residual certificate at the beginning of the
calendar quarter and 120% of the long-term Federal rate in effect on the date
of initial issuance. For this purpose, the adjusted issue price of a REMIC
residual certificate as of the beginning of any calendar quarter will be equal
to:
o the issue price of the certificate, increased by
o the sum of the daily accruals for all prior quarters, and decreased, but
not below zero, by
o any payments made with respect to the certificate before the beginning
of that quarter.
The issue price of a REMIC residual certificate is the initial offering
price to the public at which a substantial amount of the REMIC residual
certificates were sold, but excluding sales to bond houses, brokers and
underwriters or, if no sales have been made, their initial value. The long-term
Federal rate is an average of current yields on Treasury securities with a
remaining term of greater than nine years, computed and published monthly by
the IRS.
Although it has not done so, the Treasury Department has authority to
issue regulations that would treat the entire amount of income accruing on a
REMIC residual certificate as excess inclusions if the REMIC residual interest
evidenced by that certificate is considered not to have significant value.
For holders of REMIC residual certificates, excess inclusions:
o will not be permitted to be offset by deductions, losses or loss
carryovers from other activities,
o will be treated as unrelated business taxable income to an otherwise
tax-exempt organization, and
o will not be eligible for any rate reduction or exemption under any
applicable tax treaty with respect to the 30% United States withholding
tax imposed on payments to holders of REMIC residual certificates that
are foreign investors. See, however, "--REMICs--Foreign Investors in
REMIC Certificates" below.
Furthermore, for purposes of the alternative minimum tax:
o excess inclusions will not be permitted to be offset by the alternative
tax net operating loss deduction, and
o alternative minimum taxable income may not be less than the taxpayer's
excess inclusions.
This last rule has the effect of preventing non-refundable tax credits
from reducing the taxpayer's income tax to an amount lower than the alternative
minimum tax on excess inclusions.
In the case of any REMIC residual certificates held by a real estate
investment trust, or REIT, the total excess inclusions with respect to these
REMIC residual certificates will be allocated among the shareholders of the
REIT in proportion to the dividends received by the shareholders from the REIT.
Any amount so allocated will be treated as an excess inclusion with respect to
a REMIC residual certificate as if held directly by the shareholder. The total
excess inclusions referred to in the previous sentence will be reduced, but not
below zero, by any REIT taxable income, within the meaning of Section 857(b)(2)
of the Internal Revenue Code, other than any net capital gain. Treasury
regulations yet to be issued could apply a similar rule to:
o regulated investment companies,
o common trusts, and
o some cooperatives.
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The Treasury regulations, however, currently do not address this subject.
Noneconomic REMIC Residual Certificates. Under the Treasury regulations,
transfers of noneconomic REMIC residual certificates will be disregarded for
all federal income tax purposes if "a significant purpose of the transfer was
to enable the transferor to impede the assessment or collection of tax." If a
transfer is disregarded, the purported transferor will continue to remain
liable for any taxes due with respect to the income on the noneconomic REMIC
residual certificate. The Treasury regulations provide that a REMIC residual
certificate is noneconomic unless, based on the prepayment assumption and on
any required or permitted clean up calls, or required liquidation provided for
in the related Governing Document:
o the present value of the expected future payments on the REMIC residual
certificate equals at least the present value of the expected tax on the
anticipated excess inclusions, and
o the transferor reasonably expects that the transferee will receive
payments with respect to the REMIC residual certificate at or after the
time the taxes accrue on the anticipated excess inclusions in an amount
sufficient to satisfy the accrued taxes.
The present value calculation referred to above is calculated using the
applicable Federal rate for obligations whose term ends on the close of the
last quarter in which excess inclusions are expected to accrue with respect to
the REMIC residual certificate. This rate is computed and published monthly by
the IRS.
Accordingly, all transfers of REMIC residual certificates that may
constitute noneconomic residual interests will be subject to restrictions under
the terms of the related Governing Document that are intended to reduce the
possibility of any transfer being disregarded. These restrictions will require
an affidavit:
o from each party to the transfer, stating that no purpose of the transfer
is to impede the assessment or collection of tax,
o from the prospective transferee, providing representations as to its
financial condition, and
o from the prospective transferor, stating that it has made a reasonable
investigation to determine the transferee's historic payment of its debts
and ability to continue to pay its debts as they come due in the future.
The Treasury recently issued proposed regulations that would revise this
safe harbor. The proposed regulations would make the safe harbor unavailable
unless the present value of the anticipated tax liabilities associated with
holding the residual interest did not exceed the sum of:
o the present value of any consideration given to the transferee to
acquire the interest,
o the present value of the expected future distributions on the interest,
and
o the present value of the anticipated tax savings associated with the
holding of the interest as the REMIC generates losses.
Present values would be computed using a discount rate equal to an applicable
Federal rate, except that if a transferee could demonstrate that it borrowed
regularly in the course of its trade or business substantial funds at a lower
rate from unrelated third parties, that lower rate could be used as the
discount rate.
It is not clear when those regulations would be effective. Although the
text of the proposed regulations states that they would be effective on
February 4, 2000, the preamble to the proposed regulations says that these
regulations will apply to transfers of REMIC residual interests made after the
date the final regulations are published in the Federal Register. The Treasury
Department is anticipated to issue clarification with regard to these
conflicting statements regarding the effective date of the proposed regulations
shortly.
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Prior to purchasing a REMIC residual certificate, prospective purchasers
should consider the possibility that a purported transfer of a REMIC residual
certificate to another party at some future date may be disregarded in
accordance with the above-described rules. This would result in the retention
of tax liability by the transferor with respect to that purported transfer.
We will disclose in the related prospectus supplement whether the offered
REMIC residual certificates may be considered noneconomic residual interests
under the Treasury regulations. However, we will base any disclosure that a
REMIC residual certificate will not be considered noneconomic upon various
assumptions. Further, we will make no representation that a REMIC residual
certificate will not be considered noneconomic for purposes of the
above-described rules.
See "--REMICs--Foreign Investors in REMIC Certificates" below for
additional restrictions applicable to transfers of REMIC residual certificates
to foreign persons.
Mark-to-Market Rules. Regulations under Section 475 of the Internal
Revenue Code require that a securities dealer mark to market securities held
for sale to customers. This mark-to-market requirement applies to all
securities owned by a dealer, except to the extent that the dealer has
specifically identified a security as held for investment. These regulations
provide that for purposes of this mark-to-market requirement, a REMIC residual
certificate is not treated as a security for purposes of Section 475 of the
Internal Revenue Code. Thus, a REMIC residual certificate is not subject to the
mark-to-market rules. We recommend that prospective purchasers of a REMIC
residual certificate consult their tax advisors regarding these regulations.
Transfers of REMIC Residual Certificates to Investors That are Foreign
Persons. Unless we otherwise state in the related prospectus supplement,
transfers of REMIC residual certificates to investors that are foreign persons
under the Internal Revenue Code will be prohibited under the related Governing
Documents.
If transfers of REMIC residual certificates to investors that are foreign
persons are permitted under the related Governing Documents, and such a
transfer takes place, then it is possible that the transfer will be disregarded
for all federal tax purposes. The applicable Treasury regulations provide that
a transfer of a REMIC residual certificate that has "tax avoidance potential"
to a non-U.S. Person will be disregarded for all federal tax purposes, unless
the transferee's income is effectively connected with the conduct of a trade or
business within the United States. A REMIC residual certificate is deemed to
have tax avoidance potential unless, at the time of the transfer--
o the future value of expected distributions equals at least 30% of the
anticipated excess inclusions after the transfer, and
o the transferor reasonably expects that the transferee will receive
sufficient distributions from the REMIC at or after the time at which the
excess inclusions accrue and prior to the end of the next succeeding
taxable year for the accumulated withholding tax liability to be paid.
If the non-U.S. Person transfers the REMIC residual certificate back to a
U.S. Person, the transfer will be disregarded and the foreign transferor will
continue to be treated as the owner unless arrangements are made so that the
transfer does not have the effect of allowing the transferor to avoid tax on
accrued excess inclusions.
Pass-Through of Miscellaneous Itemized Deductions. Fees and expenses of a
REMIC generally will be allocated to the holders of the related REMIC residual
certificates. The applicable Treasury regulations indicate, however, that in
the case of a REMIC that is similar to a single class grantor trust, all or a
portion of these fees and expenses should be allocated to the holders of the
related REMIC regular certificates. Unless we state otherwise in the related
prospectus supplement, however, these fees and expenses will be allocated to
holders of the related REMIC residual certificates in their entirety and not to
the holders of the related REMIC regular certificates.
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If the holder of a REMIC certificate receives an allocation of fees and
expenses in accordance with the preceding discussion, and if that holder is:
o an individual,
o an estate or trust, or
o a Pass-Through Entity beneficially owned by one or more individuals,
estates or trusts,
then--
o an amount equal to this individual's, estate's or trust's share of these
fees and expenses will be added to the gross income of this holder, and
o the individual's, estate's or trust's share of these fees and expenses
will be treated as a miscellaneous itemized deduction allowable subject
to the limitation of Section 67 of the Internal Revenue Code, which
permits the deduction of these fees and expenses only to the extent they
exceed, in total, 2% of a taxpayer's adjusted gross income.
In addition, Section 68 of the Internal Revenue Code provides that the
amount of itemized deductions otherwise allowable for an individual whose
adjusted gross income exceeds a specified amount will be reduced by the lesser
of:
o 3% of the excess of the individual's adjusted gross income over the
specified amount, or
o 80% of the amount of itemized deductions otherwise allowable for the
taxable year.
Furthermore, in determining the alternative minimum taxable income of a
holder of a REMIC certificate that is--
o an individual,
o an estate or trust, or
o a Pass-Through Entity beneficially owned by one or more individuals,
estates or trusts,
no deduction will be allowed for the holder's allocable portion of servicing
fees and other miscellaneous itemized deductions of the REMIC, even though an
amount equal to the amount of these fees and other deductions will be included
in the holder's gross income.
The amount of additional taxable income reportable by holders of REMIC
certificates that are subject to the limitations of either Section 67 or
Section 68 of the Internal Revenue Code, or the complete disallowance of the
related expenses for alternative minimum tax purposes, may be substantial.
Accordingly, REMIC certificates to which these expenses are allocated will
generally not be appropriate investments for--
o an individual,
o an estate or trust, or
o a Pass-Through Entity beneficially owned by one or more individuals,
estates or trusts.
We recommend that those prospective investors consult with their tax
advisors prior to making an investment in a REMIC certificate to which these
expenses are allocated.
Sales of REMIC Certificates. If a REMIC certificate is sold, the selling
certificateholder will recognize gain or loss equal to the difference between
the amount realized on the sale and its adjusted basis in the REMIC
certificate. The adjusted basis of a REMIC regular certificate generally will
equal:
o the cost of the certificate to that certificateholder, increased by
o income reported by that certificateholder with respect to the
certificate, including original issue discount and market discount
income, and reduced, but not below zero, by
o payments on the certificate received by that certificateholder and by
that amortized premium.
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The adjusted basis of a REMIC residual certificate will be determined as
described above under "--REMICs--Taxation of Owners of REMIC Residual
Certificates--Basis Rules, Net Losses and Distributions." Except as described
below in this "--Sales of REMIC Certificates" subsection, any gain or loss from
your sale of a REMIC certificate will be capital gain or loss, provided that
you hold the certificate as a capital asset within the meaning of Section 1221
of the Internal Revenue Code, which is generally property held for investment.
In addition to the recognition of gain or loss on actual sales, the
Internal Revenue Code requires the recognition of gain, but not loss, upon the
constructive sale of an appreciated financial position. A constructive sale of
an appreciated financial position occurs if a taxpayer enters into a
transaction or series of transactions that have the effect of substantially
eliminating the taxpayer's risk of loss and opportunity for gain with respect
to the financial instrument. Debt instruments that--
o entitle the holder to a specified principal amount,
o pay interest at a fixed or variable rate, and
o are not convertible into the stock of the issuer or a related party,
cannot be the subject of a constructive sale for this purpose. Because most
REMIC regular certificates meet this exception, Section 1259 will not apply to
most REMIC regular certificates. However, REMIC regular certificates that have
no, or a disproportionately small, amount of principal, can be the subject of a
constructive sale.
Finally, a taxpayer may elect to have net capital gain taxed at ordinary
income rates rather than capital gains rates in order to include the net
capital gain in total net investment income for the taxable year. A taxpayer
would do so because of the rule that limits the deduction of interest on
indebtedness incurred to purchase or carry property held for investment to a
taxpayer's net investment income.
As of the date of this prospectus, the Internal Revenue Code provides for
lower rates as to long-term capital gains than those applicable to the
short-term capital gains and ordinary income recognized or received by
individuals. No similar rate differential exists for corporations. In addition,
the distinction between a capital gain or loss and ordinary income or loss is
relevant for other purposes to both individuals and corporations.
Gain from the sale of a REMIC regular certificate that might otherwise be
a capital gain will be treated as ordinary income to the extent that the gain
does not exceed the excess, if any, of:
o the amount that would have been includible in the seller's income with
respect to that REMIC regular certificate assuming that income had
accrued on the certificate at a rate equal to 110% of the applicable
Federal rate determined as of the date of purchase of the certificate,
which is a rate based on an average of current yields on Treasury
securities having a maturity comparable to that of the certificate based
on the application of the prepayment assumption to the certificate, over
o the amount of ordinary income actually includible in the seller's income
prior to that sale.
In addition, gain recognized on the sale of a REMIC regular certificate by
a seller who purchased the certificate at a market discount will be taxable as
ordinary income in an amount not exceeding the portion of that discount that
accrued during the period the certificate was held by the seller, reduced by
any market discount included in income under the rules described above under
"--REMICs--Taxation of Owners of REMIC Regular Certificates--Market Discount"
and "--Premium."
REMIC certificates will be "evidences of indebtedness" within the meaning
of Section 582(c)(1) of the Internal Revenue Code, so that gain or loss
recognized from the sale of a REMIC certificate by a bank or thrift institution
to which that section of the Internal Revenue Code applies will be ordinary
income or loss.
A portion of any gain from the sale of a REMIC regular certificate that
might otherwise be capital gain may be treated as ordinary income to the extent
that a holder holds the certificate as part of a "conversion transaction"
within the meaning of Section 1258 of the Internal Revenue Code. A conversion
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transaction generally is one in which the taxpayer has taken two or more
positions in the same or similar property that reduce or eliminate market risk,
if substantially all of the taxpayer's return is attributable to the time value
of the taxpayer's net investment in that transaction. The amount of gain so
realized in a conversion transaction that is recharacterized as ordinary income
generally will not exceed the amount of interest that would have accrued on the
taxpayer's net investment at 120% of the appropriate applicable Federal rate at
the time the taxpayer enters into the conversion transaction, subject to
appropriate reduction for prior inclusion of interest and other ordinary income
items from the transaction.
Except as may be provided in Treasury regulations yet to be issued, a loss
realized on the sale of a REMIC residual certificate will be subject to the
"wash sale" rules of Section 1091 of the Internal Revenue Code, if during the
period beginning six months before, and ending six months after, the date of
that sale the seller of that certificate:
o reacquires that same REMIC residual certificate,
o acquires any other residual interest in a REMIC, or
o acquires any similar interest in a taxable mortgage pool, as defined in
Section 7701(i) of the Internal Revenue Code.
In that event, any loss realized by the holder of a REMIC residual certificate
on the sale will not be recognized or deductible currently, but instead will be
added to that holder's adjusted basis in the newly-acquired asset.
Prohibited Transactions Tax and Other Taxes. The Internal Revenue Code
imposes a tax on REMICs equal to 100% of the net income derived from prohibited
transactions. In general, subject to specified exceptions, a prohibited
transaction includes:
o the disposition of a non-defaulted mortgage loan,
o the receipt of income from a source other than a mortgage loan or other
permitted investments,
o the receipt of compensation for services, or
o the gain from the disposition of an asset purchased with collections on
the mortgage loans for temporary investment pending payment on the REMIC
certificates.
It is not anticipated that any REMIC will engage in any prohibited
transactions as to which it would be subject to this tax.
In addition, some contributions to a REMIC made after the day on which the
REMIC issues all of its interests could result in the imposition of a tax on
the REMIC equal to 100% of the value of the contributed property. The related
Governing Document will include provisions designed to prevent the acceptance
of any contributions that would be subject to this tax.
REMICs also are subject to federal income tax at the highest corporate
rate on Net Income From Foreclosure Property, determined by reference to the
rules applicable to REITs. The related Governing Documents may permit the
special servicer to conduct activities with respect to a mortgaged property
acquired by one of our trusts in a manner that causes the trust to incur this
tax, if doing so would, in the reasonable discretion of the special servicer,
maximize the net after-tax proceeds to certificateholders. However, under no
circumstance may the special servicer allow the acquired mortgaged property to
cease to be a "permitted investment" under Section 860G(a)(5) of the Internal
Revenue Code.
Unless we otherwise disclose in the related prospectus supplement, it is
not anticipated that any material state or local income or franchise tax will
be imposed on any REMIC.
Unless we state otherwise in the related prospectus supplement, and to the
extent permitted by then applicable laws, any tax on prohibited transactions,
particular contributions or Net Income From Foreclosure Property, and any state
or local income or franchise tax, that may be imposed on the REMIC will be
borne by the related trustee, tax administrator, master servicer, special
servicer or manager, in any case out of its own funds, provided that--
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o the person has sufficient assets to do so, and
o the tax arises out of a breach of that person's obligations under the
related Governing Document.
Any tax not borne by one of these persons would be charged against the
related trust resulting in a reduction in amounts payable to holders of the
related REMIC certificates.
Tax and Restrictions on Transfers of REMIC Residual Certificates to
Particular Organizations. If a REMIC residual certificate is transferred to a
Disqualified Organization, a tax will be imposed in an amount equal to the
product of:
o the present value of the total anticipated excess inclusions with
respect to the REMIC residual certificate for periods after the transfer,
and
o the highest marginal federal income tax rate applicable to corporations.
The value of the anticipated excess inclusions is discounted using the
applicable Federal rate for obligations whose term ends on the close of the
last quarter in which excess inclusions are expected to accrue with respect to
the REMIC residual certificate.
The anticipated excess inclusions must be determined as of the date that
the REMIC residual certificate is transferred and must be based on:
o events that have occurred up to the time of the transfer,
o the prepayment assumption, and
o any required or permitted clean up calls or required liquidation
provided for in the related Governing Document.
The tax on transfers to Disqualified Organizations generally would be
imposed on the transferor of the REMIC residual certificate, except when the
transfer is through an agent for a Disqualified Organization. In that case, the
tax would instead be imposed on the agent. However, a transferor of a REMIC
residual certificate would in no event be liable for the tax with respect to a
transfer if:
o the transferee furnishes to the transferor an affidavit that the
transferee is not a Disqualified Organization, and
o as of the time of the transfer, the transferor does not have actual
knowledge that the affidavit is false.
In addition, if a Pass-Through Entity includes in income excess inclusions
with respect to a REMIC residual certificate, and a Disqualified Organization
is the record holder of an interest in that entity, then a tax will be imposed
on that entity equal to the product of:
o the amount of excess inclusions on the certificate that are allocable to
the interest in the Pass-Through Entity held by the Disqualified
Organization, and
o the highest marginal federal income tax rate imposed on corporations.
A Pass-Through Entity will not be subject to this tax for any period,
however, if each record holder of an interest in that Pass-Through Entity
furnishes to that Pass-Through Entity:
o the holder's social security number and a statement under penalties of
perjury that the social security number is that of the record holder, or
o a statement under penalties of perjury that the record holder is not a
Disqualified Organization.
For taxable years beginning on or after January 1, 1998, if an Electing
Large Partnership holds a REMIC residual certificate, all interests in the
Electing Large Partnership are treated as held by Disqualified Organizations
for purposes of the tax imposed on pass-through entities described in the
second preceding paragraph. This tax on Electing Large Partnerships must be
paid even if each record holder of an interest in that partnership provides a
statement mentioned in the prior paragraph.
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In addition, a person holding an interest in a Pass-Through Entity as a
nominee for another person will, with respect to that interest, be treated as a
Pass-Through Entity.
Moreover, an entity will not qualify as a REMIC unless there are
reasonable arrangements designed to ensure that:
o the residual interests in the entity are not held by Disqualified
Organizations, and
o the information necessary for the application of the tax described in
this prospectus will be made available.
We will include in the related Governing Document restrictions on the
transfer of REMIC residual certificates and other provisions that are intended
to meet this requirement, and we will discuss those restrictions and provisions
in any prospectus supplement relating to the offering of any REMIC residual
certificate.
Termination. A REMIC will terminate immediately after the payment date
following receipt by the REMIC of the final payment with respect to the related
mortgage loans or upon a sale of the REMIC's assets following the adoption by
the REMIC of a plan of complete liquidation. The last payment on a REMIC
regular certificate will be treated as a payment in retirement of a debt
instrument. In the case of a REMIC residual certificate, if the last payment on
that certificate is less than the REMIC residual certificateholder's adjusted
basis in the certificate, that holder should, but may not, be treated as
realizing a capital loss equal to the amount of that difference.
Reporting and Other Administrative Matters. Solely for purposes of the
administrative provisions of the Internal Revenue Code, a REMIC will be treated
as a partnership and holders of the related REMIC residual certificates will be
treated as partners. Unless we otherwise state in the related prospectus
supplement, the related tax administrator will file REMIC federal income tax
returns on behalf of the REMIC, and will be designated as and will act as or on
behalf of the tax matters person with respect to the REMIC in all respects. The
related tax administrator may hold at least a nominal amount of REMIC residual
certificates.
As, or as agent for, the tax matters person, the related tax
administrator, subject to applicable notice requirements and various
restrictions and limitations, generally will have the authority to act on
behalf of the REMIC and the holders of the REMIC residual certificates in
connection with the administrative and judicial review of the REMIC's--
o income,
o deductions
o gains,
o losses, and
o classification as a REMIC.
Holders of REMIC residual certificates generally will be required to
report these REMIC items consistently with their treatment on the related
REMIC's tax return. In addition, these holders may in some circumstances be
bound by a settlement agreement between the related tax administrator, as, or
as agent for, the tax matters person, and the IRS concerning any REMIC item.
Adjustments made to the REMIC's tax return may require these holders to make
corresponding adjustments on their returns. An audit of the REMIC's tax return,
or the adjustments resulting from that audit, could result in an audit of a
holder's return.
No REMIC will be registered as a tax shelter under Section 6111 of the
Internal Revenue Code. Any person that holds a REMIC residual certificate as a
nominee for another person may be required to furnish to the related REMIC, in
a manner to be provided in Treasury regulations, the name and address of that
other person, as well as other information.
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Reporting of interest income, including any original issue discount, with
respect to REMIC regular certificates is required annually, and may be required
more frequently under Treasury regulations. These information reports generally
are required to be sent or made readily available through electronic means to
individual holders of REMIC regular certificates and the IRS. Holders of REMIC
regular certificates that are--
o corporations,
o trusts,
o securities dealers, and
o various other non-individuals,
will be provided interest and original issue discount income information and
the information set forth in the following paragraphs. This information will be
provided upon request in accordance with the requirements of the applicable
regulations. The information must be provided by the later of:
o 30 days after the end of the quarter for which the information was
requested, or
o two weeks after the receipt of the request.
The REMIC must also comply with rules requiring a REMIC regular
certificate issued with original issue discount to disclose on its face the
amount of original issue discount and the issue date, and requiring that
information to be reported to the IRS. Reporting with respect to REMIC residual
certificates, including--
o income,
o excess inclusions,
o investment expenses, and
o relevant information regarding qualification of the REMIC's assets,
will be made as required under the Treasury regulations, generally on a
quarterly basis.
As applicable, the REMIC regular certificate information reports will
include a statement of the adjusted issue price of the REMIC regular
certificate at the beginning of each accrual period. In addition, the reports
will include information required by regulations with respect to computing the
accrual of any market discount. Because exact computation of the accrual of
market discount on a constant yield method would require information relating
to the holder's purchase price that the REMIC may not have, the regulations
only require that information pertaining to the appropriate proportionate
method of accruing market discount be provided. See "--REMICs--Taxation of
Owners of REMIC Regular Certificates--Market Discount."
Unless we otherwise specify in the related prospectus supplement, the
responsibility for complying with the foregoing reporting rules will be borne
by the related tax administrator for the subject REMIC.
Backup Withholding with Respect to REMIC Certificates. Payments of
interest and principal, as well as payments of proceeds from the sale of REMIC
certificates, may be subject to the backup withholding tax under Section 3406
of the Internal Revenue Code at a rate of 31% if recipients of these payments:
o fail to furnish to the payor information regarding, among other things,
their taxpayer identification numbers, or
o otherwise fail to establish an exemption from this tax.
Any amounts deducted and withheld from a payment to a recipient would be
allowed as a credit against the recipient's federal income tax. Furthermore,
penalties may be imposed by the IRS on a recipient of payments that is required
to supply information but that does not do so in the proper manner.
Foreign Investors in REMIC Certificates. Unless we otherwise disclose in
the related prospectus supplement, a holder of a REMIC regular certificate that
is--
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o a foreign person, and
o not subject to federal income tax as a result of any direct or indirect
connection to the United States in addition to its ownership of that
certificate,
will normally not be subject to United States federal income or withholding tax
with respect to a payment on a REMIC regular certificate. To avoid withholding
or tax, that holder must comply with applicable identification requirements.
These requirements include delivery of a statement, signed by the
certificateholder under penalties of perjury, certifying that the
certificateholder is a foreign person and providing the name and address of the
certificateholder.
On October 6, 1997, the Treasury Department issued new regulations that
modify the withholding, backup withholding and information reporting rules
described above. These regulations, as modified, will generally be effective
for investments made after December 31, 2000, subject to applicable transition
rules. Prospective investors are urged to consult their own tax advisors
regarding these regulations.
For these purposes, a foreign person is anyone other than a U.S. Person.
It is possible that the IRS may assert that the foregoing tax exemption
should not apply with respect to a REMIC regular certificate held by a person
or entity that owns directly or indirectly a 10% or greater interest in the
related REMIC residual certificates. If the holder does not qualify for
exemption, payments of interest, including payments in respect of accrued
original issue discount, to that holder may be subject to a tax rate of 30%,
subject to reduction under any applicable tax treaty.
It is possible, under regulations promulgated under Section 881 of the
Internal Revenue Code concerning conduit financing transactions, that the
exemption from withholding taxes described above may also not be available to a
holder who is a foreign person and either--
o owns 10% or more of one or more underlying mortgagors, or
o if the holder is a controlled foreign corporation, is related to one or
more mortgagors in the applicable trust.
Further, it appears that a REMIC regular certificate would not be included
in the estate of a nonresident alien individual and would not be subject to
United States estate taxes. However, it is recommended that certificateholders
who are nonresident alien individuals consult their tax advisors concerning
this question.
Unless we otherwise state in the related prospectus supplement, the
related Governing Document will prohibit transfers of REMIC residual
certificates to investors that are:
o foreign persons, or
o United States persons, if classified as a partnership under the Internal
Revenue Code, unless all of their beneficial owners are United States
persons.
FASITS
General. An election may be made to treat the trust for a series of
offered certificates or specified assets of that trust, as a financial asset
securitization investment trust, or FASIT, within the meaning of Section
860L(a) of the Internal Revenue Code. The election would be noted in the
applicable prospectus supplement. If a FASIT election is made, the offered
certificates will be designated as classes of regular interests in that FASIT,
and there will be one class of ownership interest in the FASIT. With respect to
each series of offered certificates as to which the related tax administrator
makes a FASIT election, and assuming, among other things--
o the making of an appropriate election, and
o compliance with the related Governing Document,
our counsel will deliver its opinion generally to the effect that:
o the relevant assets will qualify as a FASIT,
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o those offered certificates will be FASIT regular certificates,
representing FASIT regular interests in the FASIT, and
o one class of certificates of the same series will be the FASIT ownership
certificates, representing the sole class of ownership interest in the
FASIT.
Only FASIT regular certificates are offered by this prospectus. If so
specified in the applicable prospectus supplement, a portion of the trust for a
series of certificates as to no FASIT election is made may be treated as a
grantor trust for federal income tax purposes. See "--Grantor Trusts."
On February 4, 2000, the Treasury Department issued proposed regulations
relating to FASITs. References to the "FASIT proposed regulations" in this
discussion refer to those proposed regulations. The proposed regulations have
not been adopted as final and, in general, are not proposed to be effective as
of the date of this prospectus. They nevertheless are indicative of the rules
the Treasury Department currently views as appropriate with regard to the FASIT
provisions.
Characterization of Investments in FASIT Regular Certificates. FASIT
regular certificates held by a real estate investment trust will constitute
"real estate assets" within the meaning of Section 856(c)(4)(A) of the Internal
Revenue Code and interest on the FASIT regular certificates will be considered
"interest on obligations secured by mortgages on real property or on interests
in real property" within the meaning of Section 856(c)(3)(B) of the Internal
Revenue Code in the same proportion, for both purposes, that the assets and
income of the FASIT would be so treated. FASIT regular certificates held by a
domestic building and loan association will be treated as "regular interest[s]
in a FASIT" under Section 7701(a)(19)(C)(xi) of the Internal Revenue Code, but
only in the proportion that the FASIT holds "loans secured by an interest in
real property which is residential real property" within the meaning of Section
7701(a)(19)(C)(v) of the Internal Revenue Code. For this purpose, mortgage
loans secured by multifamily residential housing should qualify. It is also
likely that mortgage loans secured by health care related facilities would
qualify as "loans secured by an interest in health institutions or facilities,
including structures designed or used primarily for residential purposes for
persons under care" within the meaning of Section 7701(a)(19)(C)(vii) of the
Internal Revenue Code. If at all times 95% or more of the assets of the FASIT
or the income on those assets qualify for the foregoing treatments, the FASIT
regular certificates will qualify for the corresponding status in their
entirety. Mortgage loans which have been defeased with Treasury obligations and
the income from those loans will not qualify for the foregoing treatments.
Accordingly, the FASIT regular certificates may not be a suitable investment
for you if you require a specific amount or percentage of assets or income
meeting the foregoing treatments. For purposes of Section 856(c)(4)(A) of the
Internal Revenue Code, payments of principal and interest on a mortgage loan
that are reinvested pending distribution to holders of FASIT regular
certificates should qualify for that treatment. FASIT regular certificates held
by a regulated investment company will not constitute "government securities"
within the meaning of Section 851(b)(4)(A)(i) of the Internal Revenue Code.
FASIT regular certificates held by various financial institutions will
constitute an "evidence of indebtedness" within the meaning of Section
582(c)(1) of the Internal Revenue Code.
Qualification as a FASIT.
General. In order to qualify as a FASIT, the trust for a series of offered
certificates or specified assets of that trust must comply with the
requirements set forth in the Internal Revenue Code on an ongoing basis. The
FASIT must fulfill an asset test, which requires that substantially all of the
assets of the FASIT, as of, and at all times following, the close of the third
calendar month beginning after the FASIT's startup day, which for purposes of
this discussion is the date of the initial issuance of the FASIT regular
certificates, be permitted assets for a FASIT.
Permitted assets for a FASIT include--
o cash or cash equivalents,
o specified types of debt instruments, other than debt instruments issued
by the owner of the FASIT or a related party, and contracts to acquire
those debt instruments,
o hedges and contracts to acquire hedges,
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o foreclosure property, and
o regular interests in another FASIT or in a REMIC.
As discussed below in this "--Qualification as a FASIT" subsection, specified
restrictions apply to each type of permitted asset.
Under the FASIT proposed regulations, the "substantially all" requirement
would be met if at all times the aggregate adjusted basis of the permitted
assets is more than 99 percent of the aggregate adjusted basis of all the
assets held by the FASIT, including assets deemed to be held by the FASIT under
Section 860I(b)(2) of the Internal Revenue Code because they support a regular
interest in the FASIT.
The FASIT provisions also require the FASIT ownership interest to be held
only by some fully taxable domestic corporations and do not recognize transfers
of high-yield regular interests to taxpayers other than fully taxable domestic
corporations or other FASITs. The related Governing Document will provide that
no legal or beneficial interest in the ownership interest or in any class or
classes of certificates that we determine to be high-yield regular interests
may be transferred or registered unless all applicable conditions designed to
prevent violation of this requirement are met.
Permitted Assets. The proposed regulations enumerate the types of debt
that qualify as permitted assets for a FASIT. The FASIT provisions provide that
permitted debt instruments must bear interest, if any, at a fixed or qualified
variable rate. Under the FASIT proposed regulations, the definition of debt
permitted to be held by a FASIT, would include--
o REMIC regular interests,
o regular interests of other FASITs,
o inflation indexed debt instruments,
o credit card receivables, and
o some stripped bonds and coupons.
However, under the FASIT proposed regulations, equity linked debt instruments
and defaulted debt instruments would not be permitted assets for a FASIT. In
addition, a FASIT may not hold--
o debt of the owner of the FASIT ownership interest,
o debt guaranteed by the owner of the FASIT ownership interest in
circumstances such that the owner is in substance the primary obligor on
the debt instrument, or
o debt issued by third parties that is linked to the performance or
payments of debt instruments issued by the owner or a related person, are
not permitted assets.
Finally, debt that is traded on an established securities market and subject to
a foreign withholding tax is not a permitted asset for a FASIT.
Permitted hedges include interest rate or foreign currency notional
principal contracts, letters of credit, insurance, guarantees of payment
default and similar instruments. These hedges must be reasonably required to
guarantee or hedge against the FASIT's risks associated with being the obligor
on interests issued by the FASIT. The FASIT proposed regulations do not include
a list of specified permitted hedges or guarantees, but rather focus on the
intended function of a hedge and permit the contract to offset the following
risk factors:
o fluctuations in market interest rates;
o fluctuations in currency exchange rates;
o the credit quality of, or default on, the FASIT's assets or debt
instruments underlying the FASIT's assets; and
o the receipt of payments on the FASIT's assets earlier or later than
originally anticipated.
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The FASIT proposed regulations prohibit a hedge or guarantee from
referencing assets other than permitted assets, indices, economic indicators or
financial averages that are not both widely disseminated and designed to
correlate closely with the changes in one or more of the risk factors described
above. However, under the FASIT proposed regulations, FASIT owners will be able
to hold hedges or guarantees inside a FASIT that do not relate to the already
issued regular interests, or to assets the FASIT already holds, if the FASIT
expects to issue regular interests, or expects to hold assets, that are related
to the hedge or guarantee in question. The proposed regulations also place
restrictions on hedges and guarantees entered into with the holder of the FASIT
ownership interest or a related party.
Property acquired in connection with the default or imminent default of a
debt instrument held by a FASIT may qualify both as foreclosure property and as
a type of permitted asset under the FASIT provisions. It will in general
continue to qualify as foreclosure property during a grace period that runs
until the end of the third taxable year beginning after the taxable year in
which the FASIT acquires the foreclosure property. Under the FASIT proposed
regulations, if the foreclosure property also would qualify as another type of
permitted asset, it may be held beyond the close of that grace period. However,
at the close of the grace period, gain, if any, on the property must be
recognized as if the property had been contributed by the owner of the FASIT on
that date. In addition, the FASIT proposed regulations provide that, after the
close of the grace period, disposition of the foreclosure property is
potentially subject to a 100% prohibited transactions tax, without the benefit
of an exception to this tax applicable to sales of foreclosure property.
Permitted Interests. In addition to the foregoing, interests in a FASIT
also must meet specified requirements. All of the interests in a FASIT must be
either of the following:
o a single class of ownership interest, or
o one or more classes of regular interests.
An ownership interest is an interest in a FASIT other than a regular
interest that is issued on the startup day, is designated an ownership interest
and is held by a single, fully-taxable, domestic corporation. A regular
interest is an interest in a FASIT that is issued on or after the startup day
with fixed terms, is designated as a regular interest, and--
1. unconditionally entitles the holder to receive a specified principal
amount or other similar amount,
2. provides that interest payments or other similar amounts, if any, at
or before maturity either are payable based on a fixed rate or a
qualified variable rate,
3. has a stated maturity of not longer than 30 years,
4. has an issue price not greater than 125% of its stated principal
amount, and
5. has a yield to maturity not greater than 5 percentage points higher
than the applicable Federal rate, as defined in Section 1274(d) of the
Internal Revenue Code, for Treasury obligations of a similar maturity.
A regular interest that is described in the preceding sentence except that
it fails to meet one or more of requirements 1, 4 or 5, is a high-yield regular
interest. Further, to be a high-yield regular interest, an interest that fails
requirement 2 must consist of a specified portion of the interest payments on
the permitted assets, determined by reference to the rules related to permitted
rates for REMIC regular interests that have no, or a disproportionately small,
amount of principal. An interest in a FASIT may be treated as a regular
interest even if payments of principal with respect to that interest are
subordinated to payments on other regular interests or the ownership interest
in the FASIT, and are contingent on--
o the absence of defaults or delinquencies on permitted assets,
o lower than reasonably expected returns on permitted assets,
o unanticipated expenses incurred by the FASIT, or
o prepayment interest shortfalls.
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Cessation of FASIT. If an entity fails to comply with one or more of the
ongoing requirements of the Internal Revenue Code for status as a FASIT during
any taxable year, the Internal Revenue Code provides that the entity or
applicable portion of that entity, will not be treated as a FASIT thereafter.
In this event, any entity that holds mortgage loans and is the obligor with
respect to debt obligations with two or more maturities will be classified,
presumably, as a taxable mortgage pool under general federal income tax
principles, and the FASIT regular certificates may be treated as equity
interests in the entity. Under the FASIT proposed regulations, the underlying
arrangement generally cannot reelect FASIT status and any election a FASIT
owner made, other than the FASIT election, and any method of accounting adopted
with respect to the FASIT assets, binds the underlying arrangement as if the
underlying arrangement itself had made those elections or adopted that method.
In the case of an inadvertent cessation of a FASIT, under the FASIT proposed
regulations, the Commissioner of the IRS may grant relief from the adverse
consequences of that cessation, subject to those adjustments as the
Commissioner may require the FASIT and all holders of interests in the FASIT to
accept with respect to the period in which the FASIT failed to qualify as such.
Under the proposed FASIT regulation, apart from failure to qualify as a
FASIT, a FASIT may not revoke its election or cease to be a FASIT without the
consent of the Commissioner of the IRS.
Regular interest holders, in the case of cessation of a FASIT, are treated
as exchanging their FASIT regular interests for new interests in the underlying
arrangement. The FASIT proposed regulations would classify the new interests
under general principles of Federal income tax law, for example, as interests
in debt instruments, as interest in a partnership or interests in an entity
subject to corporate taxation, depending on what the classification of those
interests would have been in the absence of a FASIT election. On the deemed
receipt of that new interest, under the FASIT proposed regulations, you would
be required to mark the new interests to market and to recognize gain, but
would not be permitted to recognize loss, as though the old interest had been
sold for an amount equal to the fair market value of the new interest. Your
basis in the new interest deemed received in the underlying arrangement would
equal your basis in the FASIT regular interest exchanged for it, increased by
any gain you recognized on the deemed exchange.
Taxation of FASIT Regular Certificates. The FASIT regular certificates
generally will be treated for federal income tax purposes as newly-originated
debt instruments. In general, subject to the discussion below concerning
high-yield interests:
o interest, original issue discount and market discount on a FASIT regular
certificate will be treated as ordinary income to the holder of that
certificate, and
o principal payments, other than principal payments that do not exceed
accrued market discount, on a FASIT regular certificate will be treated
as a return of capital to the extent of the holder's basis allocable
thereto.
You must use the accrual method of accounting with respect to FASIT
regular certificate, regardless of the method of accounting you otherwise use.
Except as set forth in the applicable prospectus supplement and in the
immediately following discussion concerning high-yield interests, the
discussions above under the headings "--REMICs--Taxation of Owners of REMIC
Regular Certificates--Original Issue Discount," "--Market Discount,"
"--Premium," and "--Realized Losses" will apply to the FASIT regular
certificates. The discussion under the headings "--REMICs--Sale of REMIC
Regular Certificates" will also apply to the FASIT regular certificates, except
that the treatment of a portion of the gain on a REMIC regular interest as
ordinary income to the extent the yield on those certificates did not exceed
110% of the applicable Federal rate will not apply.
High Yield Interests; Anti-Avoidance Excise Taxes on Tiered
Arrangements. The taxable income, and the alternative minimum taxable income,
of any holder of a high-yield interest may not be less than the taxable income
from all high-yield interests and FASIT ownership interests that it holds,
together with any excess inclusions with respect to REMIC residual interests
that it owns.
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High yield interests may only be held by fully taxable, domestic C
corporations or another FASIT. Any attempted transfer of a high-yield interest
to any other type of taxpayer will be disregarded, and the transferor will be
required to include in its gross income the amount of income attributable to
the high-yield interest notwithstanding its attempted transfer. The related
Governing Document will contain provisions and procedures designed to assure
that, in general, only domestic C corporations or other FASITs may acquire
high-yield interests. There is an exception allowing non-corporate taxpayers
that hold high-yield interest exclusively for sale to customers in the ordinary
course of business to do so, subject to an excise tax imposed at the corporate
income tax rate if the holder ceases to be a dealer or begins to hold the
high-yield interest for investment. Unless otherwise specified in the
prospectus supplement, the related Governing Document will also allow those
holders to hold high-yield interests.
To prevent the avoidance of these rules through tiered arrangements, an
excise tax is imposed on any Pass-Through Entity, which, under the FASIT
proposed regulations, includes a REMIC, that:
o holds any FASIT regular interest, whether or not that FASIT regular
interest is a high-yield interest; and
o issues a debt or equity interest that is--
1. supported by that FASIT regular interest, and
2. has a yield, higher than the yield on that FASIT regular interest,
that would cause that debt or equity interest to be a high yield
interest if it had been issued by a FASIT.
Under the statute, the amount of that tax, which is imposed on the Pass-Through
Entity, is the highest corporate income tax rate applied to the income of the
holder of the debt or equity interest properly attributable to the FASIT
regular interest that supports it. The proposed FASIT regulations provide that
the tax is an excise tax that must be paid on or before the due date of the
Pass-Through Entity's tax return for the taxable year in which it issues that
debt or equity interest. This appears to contemplate a one-time payment on all
future income from the FASIT regular interest that is projected to be properly
attributable to the debt or equity interest it supports. It is not clear how
this amount is to be determined.
Prohibited Transactions and Other Taxes. Income or gain from prohibited
transactions by a FASIT are taxable to the holder of the ownership interest in
that FASIT at a 100% rate. Prohibited transactions generally include, under the
FASIT statutory provisions and proposed FASIT regulations:
o the receipt of income from other than permitted assets;
o the receipt of compensation for services;
o the receipt of any income derived from a loan originated by the FASIT;
or
o the disposition of a permitted asset, including disposition in
connection with a cessation of FASIT status, other than for--
1. foreclosure, default, or imminent default of a qualified mortgage,
2. bankruptcy or insolvency of the FASIT,
3. substitution for another permitted debt instrument or distribution of
the debt instrument to the holder of the ownership interest to reduce
overcollateralization, but only if a principal purpose of acquiring
the debt instrument which is disposed of was not the recognition of
gain, or the reduction of a loss, on the withdrawn asset as a result
of an increase in the market value of the asset after its acquisition
by the FASIT, or
4. the retirement of a class of FASIT regular interests.
The proposed regulations presume that some transactions will be loan
originations, but also provide safe harbors for loans originated by the FASIT.
The proposed safe harbors apply in the following circumstances:
o if the FASIT acquires the loan from an established securities market as
described in Treasury regulation Sections 1.1273-2(f)(2) through (4),
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o if the FASIT acquires the loan more than one year after the loan was
issued,
o if the FASIT acquires the loan from a person that regularly originates
similar loans in the ordinary course of business,
o if the FASIT receives any new loan from the same obligor in exchange for
the obligor's original loan in the context of a work out, and
o when the FASIT makes a loan under a contract or agreement in the nature
of a line of credit the FASIT is permitted to hold.
The FASIT provisions generally exclude from prohibited transactions the
substitution of a debt instruments for another debt instrument which is a
permitted asset and the distribution of a debt instrument contributed by the
holder of the ownership interest to that holder in order to reduce
over-collateralization of the FASIT. In addition, the FASIT proposed
regulations also exclude transactions involving the disposition of hedges from
the category of prohibited transactions. However, the proposed regulations deem
a distribution of debt to be carried out principally to recognize gain, and to
be a prohibited transaction, if the owner or related person sells the
substituted or distributed debt instrument at a gain within 180 days of the
substitution or distribution. It is unclear the extent to which tax on those
transactions could be collected from the FASIT directly under the applicable
statutes rather than from the holder of the ownership interest. However, under
the related Governing Document, any prohibited transactions tax that is not
payable by a party thereto as a result of its own actions will be paid by the
FASIT. It is not anticipated that the FASIT will engage in any prohibited
transactions.
Taxation of Foreign Investors. The federal income tax treatment of
non-U.S. Persons who own FASIT regular certificates that are not high-yield
interests is the same as that described above under "--REMICs--Foreign
Investors in REMIC Regular Certificates." However, if you are a non-U.S. Person
and you hold a regular interest, either directly or indirectly, in a FASIT, you
should note that under the FASIT proposed regulations, interest paid or accrued
on a debt instrument held by the FASIT is treated as being received by you
directly from a conduit debtor for purposes of Subtitle A of the Internal
Revenue Code and the regulations thereunder if:
o you are a 10% shareholder of an obligor on a debt instrument held by the
FASIT;
o you are a controlled foreign corporation to which an obligor on a debt
instrument held by the FASIT is a related person; or
o you are related to such an obligor that is a corporation or partnership,
in general, having common ownership to a greater than 50% extent.
If you believe you may be in one of these categories, you should consult
with your tax advisors, in particular concerning the possible imposition of
United States withholding taxes at a 30% rate on interest paid with respect to
a FASIT regular interest under these circumstances.
High-yield FASIT regular certificates may not be sold to or beneficially
owned by non-U.S. Persons. Any purported transfer to a non-U.S. Person will be
null and void and, upon the related trustee's discovery of any purported
transfer in violation of this requirement, the last preceding owner of those
FASIT regular certificates will be restored to ownership as completely as
possible. The last preceding owner will, in any event, be taxable on all income
with respect to those FASIT regular certificates for federal income tax
purposes. The related Governing Document will provide that, as a condition to
transfer of a high-yield FASIT regular certificate, the proposed transferee
must furnish an affidavit as to its status as a U.S. Person and otherwise as a
permitted transferee.
Backup Withholding. Payments made on the FASIT regular certificates, and
proceeds from the sale of the FASIT regular certificates to or through some
brokers, may be subject to a backup withholding tax under Section 3406 of the
Internal Revenue Code in the same manner as described under "--REMICs--Backup
Withholding with Respect to REMIC Certificates" above.
Reporting Requirements. Reports of accrued interest, OID, if any, and
information necessary to compute the accrual of any market discount on the
FASIT regular certificates will be made annually to the IRS and to investors in
the same manner as described above under "--REMICs--Reporting and Other
Administrative Matters" above.
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GRANTOR TRUSTS
Classification of Grantor Trusts. With respect to each series of grantor
trust certificates, our counsel will deliver its opinion to the effect that,
assuming compliance with all provisions of the related Governing Document, the
related trust, or relevant portion of that trust, will be classified as a
grantor trust under subpart E, part I of subchapter J of the Internal Revenue
Code and not as a partnership or an association taxable as a corporation.
A grantor trust certificate may be classified as either of the following
types of certificate:
o a grantor trust fractional interest certificate representing an
undivided equitable ownership interest in the principal of the mortgage
loans constituting the related grantor trust, together with interest on
those loans at a pass-through rate; or
o a grantor trust strip certificate representing ownership of all or a
portion of the difference between--
1. interest paid on the mortgage loans constituting the related grantor
trust, minus
2. the sum of:
o normal administration fees, and
o interest paid to the holders of grantor trust fractional interest
certificates issued with respect to that grantor trust
A grantor trust strip certificate may also evidence a nominal ownership
interest in the principal of the mortgage loans constituting the related
grantor trust.
Characterization of Investments in Grantor Trust Certificates.
Grantor Trust Fractional Interest Certificates. Unless we otherwise
disclose in the related prospectus supplement, any offered certificates that
are grantor trust fractional interest certificates will generally represent
interests in:
o "loans. . . secured by an interest in real property" within the meaning
of Section 7701(a)(19)(C)(v) of the Internal Revenue Code, but only to
the extent that the underlying mortgage loans have been made with respect
to property that is used for residential or other prescribed purposes;
o "obligation[s] (including any participation or certificate of beneficial
ownership therein) which. . . [are] principally secured by an interest in
real property" within the meaning of Section 860G(a)(3) of the Internal
Revenue Code;
o "permitted assets" within the meaning of Section 860L(a)(1)(C) of the
Internal Revenue Code; and
o "real estate assets" within the meaning of Section 856(c)(5)(B) of the
Internal Revenue Code.
In addition, interest on offered certificates that are grantor trust
fractional interest certificates will, to the same extent, be considered
"interest on obligations secured by mortgages on real property or on interests
in real property" within the meaning of Section 856(c)(3)(B) of the Internal
Revenue Code.
Grantor Trust Strip Certificates. Even if grantor trust strip certificates
evidence an interest in a grantor trust--
o consisting of mortgage loans that are "loans. . . secured by an interest
in real property" within the meaning of Section 7701(a)(19)(C)(v) of the
Internal Revenue Code,
o consisting of mortgage loans that are "real estate assets" within the
meaning of Section 856(c)(5)(B) of the Internal Revenue Code, and
o the interest on which is "interest on obligations secured by mortgages
on real property" within the meaning of Section 856(c)(3)(A) of the
Internal Revenue Code,
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it is unclear whether the grantor trust strip certificates, and the income from
those certificates, will be so characterized. We recommend that prospective
purchasers to which the characterization of an investment in grantor trust
strip certificates is material consult their tax advisors regarding whether the
grantor trust strip certificates, and the income from those certificates, will
be so characterized.
The grantor trust strip certificates will be:
o "obligation[s] (including any participation or certificate of beneficial
ownership therein) which. . . [are] principally secured by an interest in
real property" within the meaning of Section 860G(a)(3)(A) of the
Internal Revenue Code, and
o in general, "permitted assets" within the meaning of Section
860L(a)(1)(C) of the Internal Revenue Code.
Taxation of Owners of Grantor Trust Fractional Interest Certificates
General. Holders of a particular series of grantor trust fractional
interest certificates generally:
o will be required to report on their federal income tax returns their
shares of the entire income from the underlying mortgage loans, including
amounts used to pay reasonable servicing fees and other expenses, and
o will be entitled to deduct their shares of any reasonable servicing fees
and other expenses.
Because of stripped interests, market or original issue discount, or
premium, the amount includible in income on account of a grantor trust
fractional interest certificate may differ significantly from interest paid or
accrued on the underlying mortgage loans.
Section 67 of the Internal Revenue Code allows an individual, estate or
trust holding a grantor trust fractional interest certificate directly or
through some types of pass-through entities a deduction for any reasonable
servicing fees and expenses only to the extent that the total of the holder's
miscellaneous itemized deductions exceeds two percent of the holder's adjusted
gross income.
Section 68 of the Internal Revenue Code reduces the amount of itemized
deductions otherwise allowable for an individual whose adjusted gross income
exceeds a specified amount by the lesser of:
o 3% of the excess of the individual's adjusted gross income over that
amount, and
o 80% of the amount of itemized deductions otherwise allowable for the
taxable year.
The amount of additional taxable income reportable by holders of grantor
trust fractional interest certificates who are subject to the limitations of
either Section 67 or Section 68 of the Internal Revenue Code may be
substantial. Further, certificateholders, other than corporations, subject to
the alternative minimum tax may not deduct miscellaneous itemized deductions in
determining their alternative minimum taxable income.
Although it is not entirely clear, it appears that in transactions in
which multiple classes of grantor trust certificates, including grantor trust
strip certificates, are issued, any fees and expenses should be allocated among
those classes of grantor trust certificates. The method of this allocation
should recognize that each class benefits from the related services. In the
absence of statutory or administrative clarification as to the method to be
used, we currently expect that information returns or reports to the IRS and
certificateholders will be based on a method that allocates these fees and
expenses among classes of grantor trust certificates with respect to each
period based on the payments made to each class during that period.
The federal income tax treatment of grantor trust fractional interest
certificates of any series will depend on whether they are subject to the
stripped bond rules of Section 1286 of the Internal Revenue Code. Grantor trust
fractional interest certificates may be subject to those rules if:
o a class of grantor trust strip certificates is issued as part of the
same series, or
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o we or any of our affiliates retain, for our or its own account or for
purposes of resale, a right to receive a specified portion of the
interest payable on an underlying mortgage loan.
Further, the IRS has ruled that an unreasonably high servicing fee
retained by a seller or servicer will be treated as a retained ownership
interest in mortgage loans that constitutes a stripped coupon. We will include
in the related prospectus supplement information regarding servicing fees paid
out of the assets of the related trust to:
o a master servicer,
o a special servicer,
o any sub-servicer, or
o their respective affiliates.
If Stripped Bond Rules Apply. If the stripped bond rules apply, each
grantor trust fractional interest certificate will be treated as having been
issued with original issue discount within the meaning of Section 1273(a) of
the Internal Revenue Code. This is subject, however, to the discussion below
regarding:
o the treatment of some stripped bonds as market discount bonds, and
o de minimis market discount.
See "--Grantor Trust Funds--Taxation of Owners of Grantor Trust Fractional
Interest Certificates--Market Discount" below.
Under the stripped bond rules, the holder of a grantor trust fractional
interest certificate, whether a cash or accrual method taxpayer, will be
required to report interest income from its grantor trust fractional interest
certificate for each month. The amount of reportable interest income must equal
the income that accrues on the certificate in that month calculated under a
constant yield method, in accordance with the rules of the Internal Revenue
Code relating to original issue discount.
The original issue discount on a grantor trust fractional interest
certificate will be the excess of the certificate's stated redemption price
over its issue price. The issue price of a grantor trust fractional interest
certificate as to any purchaser will be equal to the price paid by that
purchaser of the grantor trust fractional interest certificate. The stated
redemption price of a grantor trust fractional interest certificate will be the
sum of all payments to be made on that certificate, other than qualified stated
interest, if any, and the certificate's share of reasonable servicing fees and
other expenses.
See "--Grantor Trust Funds--Taxation of Owners of Grantor Trust Fractional
Interest Certificates--If Stripped Bond Rules Do Not Apply" for a definition of
"qualified stated interest." In general, the amount of that income that accrues
in any month would equal the product of:
o the holder's adjusted basis in the grantor trust fractional interest
certificate at the beginning of the related month, as defined in
"--Grantor Trust Funds--Sales of Grantor Trust Certificates," and
o the yield of that grantor trust fractional interest certificate to the
holder.
The yield would be computed as the rate, that, if used to discount the
holder's share of future payments on the related mortgage loans, would cause
the present value of those future payments to equal the price at which the
holder purchased the certificate. This rate is compounded based on the regular
interval between payment dates. In computing yield under the stripped bond
rules, a certificateholder's share of future payments on the related mortgage
loans will not include any payments made with respect to any ownership interest
in those mortgage loans retained by us, a master servicer, a special servicer,
a sub-servicer or our or their respective affiliates, but will include the
certificateholder's share of any reasonable servicing fees and other expenses.
With respect to some categories of debt instruments, Section 1272(a)(6) of
the Internal Revenue Code requires the use of a reasonable prepayment
assumption in accruing original issue discount, and adjustments in the accrual
of original issue discount when prepayments do not conform to the prepayment
assumption.
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Legislation enacted in 1997 extended the scope of that section to any pool
of debt instruments the yield on which may be affected by reason of
prepayments, effective for taxable years beginning after enactment. The precise
application of this legislation is unclear in some respects. For example, it is
uncertain whether a prepayment assumption will be applied collectively to all a
taxpayer's investments in pools of debt instruments, or on an
investment-by-investment basis. Similarly, it is not clear whether the assumed
prepayment rate as to investments in grantor trust fractional interest
certificates is to be determined based on conditions at the time of the first
sale of the certificate or, with respect to any holder, at the time of purchase
of the certificate by that holder.
We recommend that certificateholders consult their tax advisors concerning
reporting original issue discount with respect to grantor trust fractional
interest certificates.
In the case of a grantor trust fractional interest certificate acquired at
a price equal to the principal amount of the related mortgage loans allocable
to that certificate, the use of a prepayment assumption generally would not
have any significant effect on the yield used in calculating accruals of
interest income. In the case, however, of a grantor trust fractional interest
certificate acquired at a price less than or greater than the principal amount,
respectively, the use of a reasonable prepayment assumption would increase or
decrease the yield. Therefore, the use of this prepayment assumption would
accelerate or decelerate, respectively, the reporting of income.
In the absence of statutory or administrative clarification, we currently
expect that information reports or returns to the IRS and certificateholders
will be based on:
o a prepayment assumption determined when certificates are offered and
sold hereunder, which we will disclose in the related prospectus
supplement, and
o a constant yield computed using a representative initial offering price
for each class of certificates.
However, neither we nor any other person will make any representation
that--
o the mortgage loans in any of our trusts will in fact prepay at a rate
conforming to the prepayment assumption used or any other rate, or
o the prepayment assumption will not be challenged by the IRS on audit.
Certificateholders also should bear in mind that the use of a
representative initial offering price will mean that the information returns or
reports that we send, even if otherwise accepted as accurate by the IRS, will
in any event be accurate only as to the initial certificateholders of each
series who bought at that price.
Under Treasury Regulation Section 1.1286-1, some stripped bonds are to be
treated as market discount bonds. Accordingly, any purchaser of that bond is to
account for any discount on the bond as market discount rather than original
issue discount. This treatment only applies, however, if immediately after the
most recent disposition of the bond by a person stripping one or more coupons
from the bond and disposing of the bond or coupon:
o there is no original issue discount or only a de minimis amount of
original issue discount, or
o the annual stated rate of interest payable on the original bond is no
more than one percentage point lower than the gross interest rate payable
on the related mortgage loans, before subtracting any servicing fee or
any stripped coupon.
If interest payable on a grantor trust fractional interest certificate is
more than one percentage point lower than the gross interest rate payable on
the related mortgage loans, we will disclose that fact in the related
prospectus supplement. If the original issue discount or market discount on a
grantor trust fractional interest certificate determined under the stripped
bond rules is less than the product of:
o 0.25% of the stated redemption price, and
o the weighted average maturity of the related mortgage loans,
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then the original issue discount or market discount will be considered to be de
minimis. Original issue discount or market discount of only a de minimis amount
will be included in income in the same manner as de minimis original issue
discount and market discount described in "--Grantor Trust Funds--Taxation of
Owners of Grantor Trust Fractional Interest Certificates--If Stripped Bond
Rules Do Not Apply" and "--Market Discount" below.
If Stripped Bond Rules Do Not Apply. Subject to the discussion below on
original issue discount, if the stripped bond rules do not apply to a grantor
trust fractional interest certificate, the certificateholder will be required
to report its share of the interest income on the related mortgage loans in
accordance with the certificateholder's normal method of accounting. In that
case, the original issue discount rules will apply, even if the stripped bond
rules do not apply, to a grantor trust fractional interest certificate to the
extent it evidences an interest in mortgage loans issued with original issue
discount.
The original issue discount, if any, on mortgage loans will equal the
difference between:
o the stated redemption price of the mortgage loans, and
o their issue price.
For a definition of "stated redemption price," see "--REMICs--Taxation of
Owners of REMIC Regular Certificates--Original Issue Discount" above. In
general, the issue price of a mortgage loan will be the amount received by the
borrower from the lender under the terms of the mortgage loan. If the borrower
separately pays points to the lender that are not paid for services provided by
the lender, such as commitment fees or loan processing costs, the amount of
those points paid reduces the issue price.
The stated redemption price of a mortgage loan will generally equal its
principal amount. The determination as to whether original issue discount will
be considered to be de minimis will be calculated using the same test as in the
REMIC discussion. See "--REMICs--Taxation of Owners of REMIC Regular
Certificates--Original Issue Discount" above.
In the case of mortgage loans bearing adjustable or variable interest
rates, we will describe in the related prospectus supplement the manner in
which these rules will be applied with respect to the mortgage loans by the
related trustee or master servicer, as applicable, in preparing information
returns to certificateholders and the IRS.
If original issue discount is in excess of a de minimis amount, all
original issue discount with respect to a mortgage loan will be required to be
accrued and reported in income each month, based on a constant yield. Under
legislation enacted in 1997, Section 1272(a)(6) of the Internal Revenue Code
requires that a prepayment assumption be used in computing yield with respect
to any pool of debt instruments, the yield on which may be affected by
prepayments. The precise application of this legislation is unclear in some
respects. For example, it is uncertain whether a prepayment assumption will be
applied collectively to all a taxpayer's investments in pools of debt
instruments, or will be applied on an investment-by-investment basis.
Similarly, it is not clear whether the assumed prepayment rate as to
investments in grantor trust fractional interest certificates is to be
determined based on conditions at the time of the first sale of the certificate
or, with respect to any holder, at the time of purchase of the certificate by
that holder. We recommend that certificateholders consult their own tax
advisors concerning reporting original issue discount with respect to grantor
trust fractional interest certificates.
A purchaser of a grantor trust fractional interest certificate may
purchase the grantor trust fractional interest certificate at a cost less than
the certificate's allocable portion of the total remaining stated redemption
price of the underlying mortgage loans. In that case, the purchaser will also
be required to include in gross income the certificate's daily portions of any
original issue discount with respect to those mortgage loans. However, each
daily portion will be reduced, if the cost of the grantor trust fractional
interest certificate to the purchaser is in excess of the certificate's
allocable portion of the aggregate adjusted issue prices of the underlying
mortgage loans. The reduction will be approximately in proportion to the ratio
that the excess bears to the certificate's allocable portion of the total
original issue discount remaining to be accrued on those mortgage loans.
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The adjusted issue price of a mortgage loan on any given day equals the sum
of:
o the adjusted issue price or the issue price, in the case of the first
accrual period, of the mortgage loan at the beginning of the accrual
period that includes that day, and
o the daily portions of original issue discount for all days during the
accrual period prior to that day.
The adjusted issue price of a mortgage loan at the beginning of any
accrual period will equal:
o the issue price of the mortgage loan, increased by
o the total amount of original issue discount with respect to the mortgage
loan that accrued in prior accrual periods, and reduced by
o the amount of any payments made on the mortgage loan in prior accrual
periods of amounts included in its stated redemption price.
In the absence of statutory or administrative clarification, we currently
expect that information reports or returns to the IRS and certificateholders
will be based on:
o a prepayment assumption determined when the certificates are offered and
sold hereunder and disclosed in the related prospectus supplement, and
o a constant yield computed using a representative initial offering price
for each class of certificates.
However, neither we nor any other person will make any representation
that--
o the mortgage loans will in fact prepay at a rate conforming to the
prepayment assumption or any other rate, or
o the prepayment assumption will not be challenged by the IRS on audit.
Certificateholders also should bear in mind that the use of a
representative initial offering price will mean that the information returns or
reports, even if otherwise accepted as accurate by the IRS, will in any event
be accurate only as to the initial certificateholders of each series who bought
at that price.
Market Discount. If the stripped bond rules do not apply to a grantor
trust fractional interest certificate, a certificateholder may be subject to
the market discount rules of Sections 1276 through 1278 of the Internal Revenue
Code to the extent an interest in a mortgage loan is considered to have been
purchased at a market discount. A mortgage loan is considered to have been
purchased at a market discount if--
o in the case of a mortgage loan issued without original issue discount,
it is purchased at a price less than its remaining stated redemption
price, or
o in the case of a mortgage loan issued with original issue discount, it
is purchased at a price less than its adjusted issue price.
If market discount is in excess of a de minimis amount, the holder
generally must include in income in each month the amount of the discount that
has accrued, under the rules described in the next paragraph, through that
month that has not previously been included in income. The inclusion will be
limited, in the case of the portion of the discount that is allocable to any
mortgage loan, to the payment of stated redemption price on the mortgage loan
that is received by or, for accrual method certificateholders, due to the trust
in that month. A certificateholder may elect to include market discount in
income currently as it accrues, under a constant yield method based on the
yield of the certificate to the holder, rather than including it on a deferred
basis in accordance with the foregoing under rules similar to those described
in "--REMICs--Taxation of Owners of REMIC Regular Interests--Market Discount"
above.
Section 1276(b)(3) of the Internal Revenue Code authorizes the Treasury
Department to issue regulations providing for the method for accruing market
discount on debt instruments, the principal of which is payable in more than
one installment. Until the time that regulations are issued by the Treasury
Department, the relevant rules described in the Committee Report apply. Under
those rules, in each accrual period, you may accrue market discount on the
underlying mortgage loans, at your option:
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o on the basis of a constant yield method,
o in the case of a mortgage loan issued without original issue discount,
in an amount that bears the same ratio to the total remaining market
discount as the stated interest paid in the accrual period bears to the
total stated interest remaining to be paid on the mortgage loan as of the
beginning of the accrual period, or
o in the case of a mortgage loan issued with original issue discount, in
an amount that bears the same ratio to the total remaining market
discount as the original issue discount accrued in the accrual period
bears to the total original issue discount remaining at the beginning of
the accrual period.
Under legislation enacted in 1997, Section 1272(a)(6) of the Internal
Revenue Code requires that a prepayment assumption be used in computing the
accrual of original issue discount with respect to any pool of debt
instruments, the yield on which may be affected by prepayments. Because the
mortgage loans will be a pool described in that section, it appears that the
prepayment assumption used, or that would be used, in calculating the accrual
of original issue discount, if any, is also to be used in calculating the
accrual of market discount. However, the precise application of the new
legislation is unclear in some respects. For example, it is uncertain whether a
prepayment assumption will be applied collectively to all of a taxpayer's
investments in pools of debt instruments, or on an investment-by-investment
basis. Similarly, it is not clear whether the assumed prepayment rate is to be
determined at the time of the first sale of the grantor trust fractional
interest certificate, or with respect to any holder, at the time of that
holder's purchase of the grantor trust fractional interest certificate.
We recommend that certificateholders consult their own tax advisors
concerning accrual of market discount with respect to grantor trust fractional
interest certificates. Certificateholders should also refer to the related
prospectus supplement to determine whether and in what manner the market
discount will apply to the underlying mortgage loans purchased at a market
discount.
To the extent that the underlying mortgage loans provide for periodic
payments of stated redemption price, you may be required to include market
discount in income at a rate that is not significantly slower than the rate at
which that discount would be included in income if it were original issue
discount.
Market discount with respect to mortgage loans may be considered to be de
minimis and, if so, will be includible in income under de minimis rules similar
to those described under "--REMICs--Taxation of Owners of REMIC Regular
Certificates--Original Issue Discount" above.
Further, under the rules described under "--REMICs--Taxation of Owners of
REMIC Regular Certificates--Market Discount" above, any discount that is not
original issue discount and exceeds a de minimis amount may require the
deferral of interest expense deductions attributable to accrued market discount
not yet includible in income, unless an election has been made to report market
discount currently as it accrues. This rule applies without regard to the
origination dates of the underlying mortgage loans.
Premium. If a certificateholder is treated as acquiring the underlying
mortgage loans at a premium, which is a price in excess of their remaining
stated redemption price, the certificateholder may elect under Section 171 of
the Internal Revenue Code to amortize the portion of that premium allocable to
mortgage loans originated after September 27, 1985 using a constant yield
method. Amortizable premium is treated as an offset to interest income on the
related debt instrument, rather than as a separate interest deduction. However,
premium allocable to mortgage loans originated before September 28, 1985 or to
mortgage loans for which an amortization election is not made, should:
o be allocated among the payments of stated redemption price on the
mortgage loan, and
o be allowed as a deduction as those payments are made or, for an accrual
method certificateholder, due.
It appears that a prepayment assumption should be used in computing
amortization of premium allowable under Section 171 of the Internal Revenue
Code similar to that described for calculating the accrual of market discount
of grantor trust fractional interest certificates. See "--Grantor Trust
Funds--Taxation of Owners of Grantor Trust Fractional Interest
Certificates--Market Discount" above.
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Taxation of Owners of Grantor Trust Strip Certificates. The stripped
coupon rules of Section 1286 of the Internal Revenue Code will apply to the
grantor trust strip certificates. Except as described above under "--Grantor
Trust Funds--Taxation of Owners of Grantor Trust Fractional Interest
Certificates--If Stripped Bond Rules Apply," no regulations or published
rulings under Section 1286 of the Internal Revenue Code have been issued and
some uncertainty exists as to how it will be applied to securities, such as the
grantor trust strip certificates. Accordingly, we recommend that you consult
your tax advisors concerning the method to be used in reporting income or loss
with respect to those certificates.
The Treasury regulations promulgated under the original discount rules do
not apply to stripped coupons, although they provide general guidance as to how
the original issue discount sections of the Internal Revenue Code will be
applied.
Under the stripped coupon rules, it appears that original issue discount
will be required to be accrued in each month on the grantor trust strip
certificates based on a constant yield method. In effect, you would include as
interest income in each month an amount equal to the product of your adjusted
basis in the grantor trust strip certificate at the beginning of that month and
the yield of the grantor trust strip certificate to you. This yield would be
calculated based on:
o the price paid for that grantor trust strip certificate by you, and
o the projected payments remaining to be made on that grantor trust strip
certificate at the time of the purchase, plus
o an allocable portion of the projected servicing fees and expenses to be
paid with respect to the underlying mortgage loans.
See "--Grantor Trust Funds--Taxation of Owners of Grantor Trust Fractional
Interest Certificates--If Stripped Bond Rules Apply" above.
As noted above, Section 1272(a)(6) of the Internal Revenue Code requires
that a prepayment assumption be used in computing the accrual of original issue
discount with respect to some categories of debt instruments. The Internal
Revenue Code also requires adjustments be made in the amount and rate of
accrual of that discount when prepayments do not conform to the prepayment
assumption. It appears that those provisions would apply to grantor trust strip
certificates. It is uncertain whether the assumed prepayment rate would be
determined based on:
o conditions at the time of the first sale of the grantor trust strip
certificate or,
o with respect to any subsequent holder, at the time of purchase of the
grantor trust strip certificate by that holder.
If the method for computing original issue discount under Section
1272(a)(6) results in a negative amount of original issue discount as to any
accrual period with respect to a grantor trust strip certificate, the amount of
original issue discount allocable to that accrual period will be zero. That is,
no current deduction of the negative amount will be allowed to you. You will
instead only be permitted to offset that negative amount against future
positive original issue discount, if any, attributable to that certificate.
Although not free from doubt, it is possible that you may be permitted to
deduct a loss to the extent his or her basis in the certificate exceeds the
maximum amount of payments you could ever receive with respect to that
certificate. However, the loss may be a capital loss, which is limited in its
deductibility. The foregoing considerations are particularly relevant to
grantor trust certificates with no, or disproportionately small, amounts of
principal, which can have negative yields under circumstances that are not
default related. See "Risk Factors--The Investment Performance of Your Offered
Certificates Depend on Payments, Defaults and Losses on the Underlying Mortgage
Loans".
The accrual of income on the grantor trust strip certificates will be
significantly slower using a prepayment assumption than if yield is computed
assuming no prepayments. In the absence of statutory or administrative
clarification, we currently expect that information returns or reports to the
IRS and certificateholders will be based on:
o the prepayment assumption we will disclose in the related prospectus
supplement, and
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o a constant yield computed using a representative initial offering price
for each class of certificates.
However, neither we nor any other person will make any representation
that--
o the mortgage loans in any of our trusts will in fact prepay at a rate
conforming to the prepayment assumption or at any other rate or
o the prepayment assumption will not be challenged by the IRS on audit.
We recommend that prospective purchasers of the grantor trust strip
certificates consult their tax advisors regarding the use of the prepayment
assumption.
Certificateholders also should bear in mind that the use of a
representative initial offering price will mean that the information returns or
reports, even if otherwise accepted as accurate by the IRS, will in any event
be accurate only as to the initial certificateholders of each series who bought
at that price.
Sales of Grantor Trust Certificates. Any gain or loss recognized on the
sale or exchange of a grantor trust certificate by an investor who holds that
certificate as a capital asset, will be capital gain or loss, except as
described below in this "--Sales of Grantor Trust Certificates" subsection. The
amount recognized equals the difference between:
o the amount realized on the sale or exchange of a grantor trust
certificate, and
o its adjusted basis.
The adjusted basis of a grantor trust certificate generally will equal:
o its cost, increased by
o any income reported by the seller, including original issue discount and
market discount income, and reduced, but not below zero, by
o any and all previously reported losses, amortized premium, and payments
with respect to that grantor trust certificate.
As of the date of this prospectus, the Internal Revenue Code provides for
lower rates as to long-term capital gains, than those applicable to the
short-term capital gains and ordinary income realized or received by
individuals. No similar rate differential exists for corporations. In addition,
the distinction between a capital gain or loss and ordinary income or loss
remains relevant for other purposes.
Gain or loss from the sale of a grantor trust certificate may be partially
or wholly ordinary and not capital in some circumstances. Gain attributable to
accrued and unrecognized market discount will be treated as ordinary income.
Gain or loss recognized by banks and other financial institutions subject to
Section 582(c) of the Internal Revenue Code will be treated as ordinary income.
Furthermore, a portion of any gain that might otherwise be capital gain
may be treated as ordinary income to the extent that the grantor trust
certificate is held as part of a "conversion transaction" within the meaning of
Section 1258 of the Internal Revenue Code. A conversion transaction generally
is one in which the taxpayer has taken two or more positions in the same or
similar property that reduce or eliminate market risk, if substantially all of
the taxpayer's return is attributable to the time value of the taxpayer's net
investment in the transaction. The amount of gain realized in a conversion
transaction that is recharacterized as ordinary income generally will not
exceed the amount of interest that would have accrued on the taxpayer's net
investment at 120% of the appropriate applicable Federal rate at the time the
taxpayer enters into the conversion transaction, subject to appropriate
reduction for prior inclusion of interest and other ordinary income items from
the transaction.
The Internal Revenue Code requires the recognition of gain upon the
constructive sale of an appreciated financial position. A constructive sale of
an appreciated financial position occurs if a taxpayer enters into a
transaction or series of transactions that have the effect of substantially
eliminating the taxpayer's risk of loss and opportunity for gain with respect
to the financial instrument. Debt instruments that--
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o entitle the holder to a specified principal amount,
o pay interest at a fixed or variable rate, and
o are not convertible into the stock of the issuer or a related party,
cannot be the subject of a constructive sale for this purpose. Because most
grantor trust certificates meet this exception, this Section will not apply to
most grantor trust certificates. However, some grantor trust certificates have
no, or a disproportionately small amount of, principal and these certificates
can be the subject of a constructive sale.
Finally, a taxpayer may elect to have net capital gain taxed at ordinary
income rates rather than capital gains rates in order to include the net
capital gain in total net investment income for the relevant taxable year. This
election would be done for purposes of the rule that limits the deduction of
interest on indebtedness incurred to purchase or carry property held for
investment to a taxpayer's net investment income.
Grantor Trust Reporting. Unless otherwise provided in the related
prospectus supplement, the related tax administrator will furnish or make
readily available through electronic means to each holder of a grantor trust
certificate with each payment a statement setting forth the amount of the
payment allocable to principal on the underlying mortgage loans and to interest
on those loans at the related pass-through rate. In addition, the related tax
administrator will furnish, within a reasonable time after the end of each
calendar year, to each person or entity that was the holder of a grantor trust
certificate at any time during that year, information regarding:
o the amount of servicing compensation received by a master servicer or
special servicer, and
o all other customary factual information the reporting party deems
necessary or desirable to enable holders of the related grantor trust
certificates to prepare their tax returns.
The reporting party will furnish comparable information to the IRS as and
when required by law to do so.
Because the rules for accruing discount and amortizing premium with
respect to grantor trust certificates are uncertain in various respects, there
is no assurance the IRS will agree with the information reports of those items
of income and expense. Moreover, those information reports, even if otherwise
accepted as accurate by the IRS, will in any event be accurate only as to the
initial certificateholders that bought their certificates at the representative
initial offering price used in preparing the reports.
On August 13, 1998, the Service published proposed regulations, which
will, when effective, establish a reporting framework for interests in "widely
held fixed investment trusts" similar to that for regular interests in REMICs.
A widely-held fixed investment trust is defined as any entity classified as a
"trust" under Treasury Regulation Section 301.7701-4(c) in which any interest
is held by a middleman, which includes, but is not limited to:
o a custodian of a person's account,
o a nominee, and
o a broker holding an interest for a customer in street name.
These regulations are proposed to be effective for calendar years
beginning on or after the date that the final regulations are published in the
Federal Register.
Backup Withholding. In general, the rules described under
"--REMICs--Backup Withholding with Respect to REMIC Certificates" above will
also apply to grantor trust certificates.
Foreign Investors. In general, the discussion with respect to REMIC
regular certificates under "--REMICs--Foreign Investors in REMIC Certificates"
above applies to grantor trust certificates. However, unless we otherwise
specify in the related prospectus supplement, grantor trust certificates will
be eligible for exemption from U.S. withholding tax, subject to the conditions
described in the discussion above, only to the extent the related mortgage
loans were originated after July 18, 1984.
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To the extent that interest on a grantor trust certificate would be exempt
under Sections 871(h)(1) and 881(c) of the Internal Revenue Code from United
States withholding tax, and the certificate is not held in connection with a
certificateholder's trade or business in the United States, the certificate
will not be subject to United States estate taxes in the estate of a
nonresident alien individual.
STATE AND OTHER TAX CONSEQUENCES
In addition to the federal income tax consequences described in "Federal
Income Tax Consequences," potential investors should consider the state and
local tax consequences concerning the offered certificates. State tax law may
differ substantially from the corresponding federal law, and the discussion
above does not purport to describe any aspect of the tax laws of any state or
other jurisdiction. Therefore, we recommend that prospective investors consult
their tax advisors with respect to the various tax consequences of investments
in the offered certificates.
ERISA CONSIDERATIONS
GENERAL
The Employee Retirement Income Security Act of 1974, as amended, and the
Internal Revenue Code of 1986 impose various requirements on--
o ERISA Plans, and
o persons that are fiduciaries with respect to ERISA Plans,
in connection with the investment of the assets of an ERISA Plan. For purposes
of this discussion, ERISA Plans may include individual retirement accounts and
annuities, Keogh plans and collective investment funds and separate accounts,
including as applicable, insurance company general accounts, in which other
ERISA Plans are invested.
Governmental plans and, if they have not made an election under Section
410(d) of the Internal Revenue Code of 1986, church plans are not subject to
ERISA requirements. Accordingly, assets of those plans may be invested in the
offered certificates without regard to the considerations described below in
this "ERISA Considerations" section, subject to the provisions of other
applicable federal and state law. Any of those plans which is qualified and
exempt from taxation under Sections 401(a) and 501(a) of the Internal Revenue
Code of 1986, however, is subject to the prohibited transaction rules in
Section 503 of that Code.
ERISA imposes general fiduciary requirements on a fiduciary that is
investing the assets of an ERISA Plan, including--
o investment prudence and diversification, and
o compliance with the investing ERISA Plan's governing the documents.
Section 406 of ERISA and Section 4975 of the Internal Revenue Code of 1986
also prohibit a broad range of transactions involving the assets of an ERISA
Plan and a Party in Interest with respect to that ERISA Plan, unless a
statutory or administrative exemption exists.
The types of transactions between ERISA Plans and Parties in Interest that
are prohibited include:
o sales, exchanges or leases of property;
o loans or other extensions of credit; and
o the furnishing of goods and services.
Parties in Interest that participate in a prohibited transaction may be
subject to an excise tax imposed under Section 4975 of the Internal Revenue
Code of 1986 or a penalty imposed under Section 502(i) of ERISA, unless a
statutory or administrative exemption is available. In addition, the persons
involved in the prohibited transaction may have to cancel the transaction and
pay an amount to the affected ERISA
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Plan for any losses realized by that ERISA Plan or profits realized by those
persons. In addition, individual retirement accounts involved in the prohibited
transaction may be disqualified which would result in adverse tax consequences
to the owner of the account.
PLAN ASSET REGULATIONS
An ERISA Plan's investment in offered certificates may cause the
underlying mortgage assets and other assets of the related trust to be deemed
assets of that ERISA Plan. Section 2510.3-101 of the Plan Asset Regulations
provides that when an ERISA Plan acquires an equity interest in an entity, the
assets that ERISA Plan or arrangement include both that equity interest and an
undivided interest in each of the underlying assets of the entity, unless an
exception applies. One exemption is that the equity participation in the entity
by benefit plan investors, which include both ERISA Plans and some employee
benefit plans not subject to ERISA, is not significant. The equity
participation by benefit plan investors will be significant on any date if 25%
or more of the value of any class of equity interests in the entity is held by
benefit plan investors. The percentage owned by benefit plan investors is
determined by excluding the investments of the following persons:
1. those with discretionary authority or control over the assets of the
entity,
2. those who provide investment advice directly or indirectly for a fee
with respect to the assets of the entity, and
3. those who are affiliates of the persons described in the preceding
clauses 1. and 2.
In the case of one of our trusts, investments by us, by the related
trustee, the related master servicer, the related special servicer or any other
party with discretionary authority over the related trust assets, or by the
affiliates of these persons, will be excluded.
A fiduciary of an investing ERISA Plan is any person who--
o has discretionary authority or control over the management or
disposition of the assets of that ERISA Plan, or
o provides investment advice with respect to the assets of that ERISA Plan
for a fee.
If the mortgage and other assets included in one of our trusts are ERISA
Plan assets, then any party exercising management or discretionary control
regarding those assets, such as the related trustee, master servicer or special
servicer, or affiliates of any of these parties, may be--
o deemed to be a fiduciary with respect to the investing ERISA Plan, and
o subject to the fiduciary responsibility provisions of ERISA.
In addition, if the mortgage and other assets included in one of our trusts are
ERISA Plan assets, then the operation of that trust may involve prohibited
transactions under ERISA or the Internal Revenue Code of 1986. For example, if
a borrower with respect to a mortgage loan in that trust is a Party in Interest
to an investing ERISA Plan, then the purchase by that ERISA Plan of offered
certificates evidencing interests in that trust, could be a prohibited loan
between that ERISA Plan and the Party in Interest.
The Plan Asset Regulations provide that where an ERISA Plan purchases a
"guaranteed governmental mortgage pool certificate," the assets of that ERISA
Plan include the certificate but do not include any of the mortgages underlying
the certificate. The Plan Asset Regulations include in the definition of a
"guaranteed governmental mortgage pool certificate" some certificates issued
and/or guaranteed by Freddie Mac, Ginnie Mae and Fannie Mae, but do not include
certificates issued or guaranteed by Farmer Mac. Accordingly, even if these
types of mortgaged-backed securities, other than the Farmer Mac certificates,
were deemed to be assets of an ERISA Plan, the underlying mortgages would not
be treated as assets of that ERISA Plan. Private label mortgage participations,
mortgage pass-through certificates, Farmer Mac certificates or other
mortgage-backed securities are not "guaranteed governmental mortgage pool
certificates" within the meaning of the Plan Asset Regulations.
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In addition, the acquisition or holding of offered certificates by or on
behalf of an ERISA Plan could give rise to a prohibited transaction if we or
the related trustee, master servicer or special servicer or any related
underwriter, sub-servicer, tax administrator, manager, borrower or obligor
under any credit enhancement mechanism, or one of their affiliates, is or
becomes a Party in Interest with respect to an investing ERISA Plan.
If you are the fiduciary of an ERISA Plan, you should consult your counsel
and review the ERISA discussion in the related prospectus supplement before
purchasing any offered certificates.
PROHIBITED TRANSACTION EXEMPTIONS
If you are an ERISA Plan fiduciary, then, in connection with your deciding
whether to purchase any of the offered certificates on behalf of an ERISA Plan,
you should consider the availability of one of the following prohibited
transaction class exemptions issued by the U.S. Department of Labor:
o Prohibited Transaction Class Exemption 75-1, which exempts particular
transactions involving ERISA Plans and broker-dealers, reporting dealers
and banks;
o Prohibited Transaction Class Exemption 90-1, which exempts particular
transactions between insurance company separate accounts and Parties in
Interest;
o Prohibited Transaction Class Exemption 91-38, which exempts particular
transactions between bank collective investment funds and Parties in
Interest;
o Prohibited Transaction Class Exemption 84-14, which exempts particular
transactions effected on behalf of an ERISA Plan by a "qualified
professional asset manager;"
o Prohibited Transaction Class Exemption 95-60, which exempts particular
transactions between insurance company general accounts and Parties in
Interest; and
o Prohibited Transaction Class Exemption 96-23, which exempts particular
transactions effected on behalf of an ERISA Plan by an "in-house asset
manager."
We cannot provide any assurance that any of these class exemptions will
apply with respect to any particular investment by or on behalf of an ERISA
Plan in any class of offered certificates. Furthermore, even if any of them
were deemed to apply, that particular class exemption may not apply to all
transactions that could occur in connection with the investment. The prospectus
supplement with respect to the offered certificates of any series may contain
additional information regarding the availability of other exemptions, with
respect to those certificates.
UNDERWRITER'S EXEMPTION
It is expected that Lehman Brothers Inc. will be the sole underwriter or
the lead or co-lead managing underwriter in each underwritten offering of
certificates made by this prospectus. The U.S. Department of Labor issued
Prohibited Transaction Exemption 91-14 to a predecessor in interest to Lehman
Brothers Inc. Subject to the satisfaction of the conditions specified in that
exemption, PTE 91-14, as amended, including by PTE 97-34, generally exempts
from the application of the prohibited transaction provisions of ERISA and the
Internal Revenue Code of 1986, various transactions relating to, among other
things--
o the servicing and operation of some mortgage assets pools, such as the
types of mortgage asset pools that will be included in our trusts, and
o the purchase, sale and holding of some certificates evidencing interests
in those pools that are underwritten by Lehman Brothers Inc. or any
person affiliated with Lehman Brothers Inc., such as particular classes
of the offered certificates.
The related prospectus supplement will state whether PTE 91-14 is or may
be available with respect to any offered certificates underwritten by Lehman
Brothers Inc.
INSURANCE COMPANY GENERAL ACCOUNTS
The Small Business Job Protection Act of 1996 added a new Section 401(c)
to ERISA, which provides relief from the fiduciary and prohibited transaction
provisions of ERISA and the Internal
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Revenue Code of 1986 for transactions involving an insurance company general
account. This exemption is in addition to any exemption that may be available
under prohibited transaction class exemption 95-60 for the purchase and holding
of offered certificates by an insurance company general account.
Under Section 401(c) of ERISA, the U.S. Department of Labor issued a final
regulation on January 5, 2000, providing guidance for determining, in cases
where insurance policies supported by an insurer's general account are issued
to or for the benefit of an ERISA Plan on or before December 31, 1998, which
general account assets are ERISA Plan assets. That regulation generally
provides that, if the specified requirements are satisfied with respect to
insurance policies issued on or before December 31, 1998, the assets of an
insurance company general account will not be ERISA Plan assets.
Any assets of an insurance company general account which support insurance
policies issued to an ERISA Plan after December 31, 1998, or issued to an ERISA
Plan on or before December 31, 1998 for which the insurance company does not
comply with the requirements set forth in the final regulation under Section
401(c) of ERISA, may be treated as ERISA Plan assets. In addition, because
Section 401(c) of ERISA and the regulation issued under Section 401(c) of ERISA
do not relate to insurance company separate accounts, separate account assets
are still treated as ERISA Plan assets, invested in the separate account. If
you are an insurance company are contemplating the investment of general
account assets in offered certificates, you should consult your legal counsel
as to the applicability of Section 401(c) of ERISA.
CONSULTATION WITH COUNSEL
If you are a fiduciary for an ERISA Plan and you intend to purchase
offered certificates on behalf of or with assets of that ERISA Plan, you
should:
o consider your general fiduciary obligations under ERISA, and
o consult with your legal counsel as to--
1. the potential applicability of ERISA and the Internal Revenue Code of
1986 to that investment, and
2. the availability of any prohibited transaction exemption in
connection with that investment.
TAX EXEMPT INVESTORS
An ERISA Plan that is exempt from federal income taxation under Section
501 of the Internal Revenue Code of 1986 will be subject to federal income
taxation to the extent that its income is "unrelated business taxable income"
within the meaning of Section 512 of the Internal Revenue Code of 1986. All
excess inclusions of a REMIC allocated to a REMIC residual certificate held by
a tax-exempt ERISA Plan will be considered unrelated business taxable income
and will be subject to federal income tax.
See "Federal Income Tax Consequences--REMICs--Taxation of Owners of REMIC
Residual Certificates--Excess Inclusions" in this prospectus.
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LEGAL INVESTMENT
If and to the extent specified in the related prospectus supplement, the
offered certificates of any series may constitute mortgage related securities
for purposes of the Secondary Mortgage Market Enhancement Act of 1984. Mortgage
related securities are legal investments for entities--
o that are created or existing under the laws of the United States or any
state, including the District of Columbia and Puerto Rico, and
o whose authorized investments are subject to state regulations,
to the same extent that, under applicable law, obligations issued by or
guaranteed as to principal and interest by the United States or any of its
agencies or instrumentalities are legal investments for those entities.
Prior to December 31, 1996, classes of offered certificates would be
mortgage related securities for purposes of SMMEA only if they:
o were rated in one of the two highest rating categories by at least one
nationally recognized statistical rating organization; and
o evidenced interests in a trust consisting of loans directly secured by a
first lien on a single parcel of real estate upon which is located a
dwelling or mixed residential and commercial structure, which loans had
been originated by the types of originators specified in SMMEA.
Further, under SMMEA as originally enacted, if a state enacted legislation
on or before October 3,1991 that specifically limited the legal investment
authority of any entities referred to in the preceding paragraph with respect
to mortgage related securities under that definition, offered certificates
would constitute legal investments for entities subject to the legislation only
to the extent provided in that legislation.
Effective December 31, 1996, the definition of "mortgage related
securities" was modified to include among the types of loans to which the
securities may relate, loans secured by "one or more parcels of real estate
upon which is located one or more commercial structures." In addition, the
related legislative history states that this expanded definition includes
multifamily loans secured by more than one parcel of real estate upon which is
located more than one structure. Until September 23, 2001, any state may enact
legislation limiting the extent to which mortgage related securities under this
expanded definition would constitute legal investments under that state's laws.
SMMEA also amended the legal investment authority of federally chartered
depository institutions as follows:
o federal savings and loan associations and federal savings banks may
invest in, sell or otherwise deal with mortgage related securities
without limitation as to the percentage of their assets represented by
those securities; and
o federal credit unions may invest in mortgage related securities and
national banks may purchase mortgage related securities for their own
account without regard to the limitations generally applicable to
investment securities prescribed in 12 U.S.C. 24 (Seventh),
subject in each case to the regulations that the applicable federal regulatory
authority may prescribe.
Effective December 31, 1996, the OCC amended 12 C.F.R. Part 1 to authorize
national banks to purchase and sell for their own account, without limitation
as to a percentage of the bank's capital and surplus, but subject to compliance
with general standards concerning "safety and soundness" and retention of
credit information in 12 C.F.R. Section 1.5, some Type IV securities, which
are defined in 12 C.F.R. Section 1.2(1) to include some commercial
mortgage-related securities and residential mortgage-related securities. As
defined, "commercial mortgage-related security" and "residential
mortgage-related security" mean, in relevant part, a mortgage related security
within the meaning of SMMEA, provided that, in the case of a commercial
mortgage-related security, it "represents ownership of a promissory note or
certificate of interest or participation that is directly secured by a first
lien on one or more parcels of real
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estate upon which one or more commercial structures are located and that is
fully secured by interests in a pool of loans to numerous obligors." In the
absence of any rule or administrative interpretation by the OCC defining the
term "numerous obligors," we make no representation as to whether any class of
offered certificates will qualify as commercial mortgage-related securities,
and thus as Type IV securities, for investment by national banks.
The NCUA has adopted rules, codified at 12 C.F.R. Part 703, which permit
federal credit unions to invest in mortgage related securities under limited
circumstances, other than stripped mortgage related securities, residual
interests in mortgage related securities and commercial mortgage related
securities, unless the credit union has obtained written approval from the NCUA
to participate in the investment pilot program described in 12 C.F.R. Section
703.140.
The OTS has issued Thrift Bulletin 13a (December 1, 1998), "Management of
Interest Rate Risk, Investment Securities, and Derivatives Activities," which
thrift institutions subject to the jurisdiction of the OTS should consider
before investing in any of the offered certificates.
All depository institutions considering an investment in the offered
certificates should review the "Supervisory Policy Statement on Investment
Securities and End-User Derivatives Activities" of the Federal Financial
Institutions Examination Council, which has been adopted by the Board of
Governors of the Federal Reserve System, the FDIC, the OCC and the OTS
effective May 26, 1998, and by the NCUA effective October 1, 1998. That
statement sets forth general guidelines which depository institutions must
follow in managing risks, including market, credit, liquidity, operational
(transaction), and legal risks, applicable to all securities, including
mortgage pass-through securities and mortgage-derivative products used for
investment purposes.
There may be other restrictions on your ability either to purchase one or
more classes of offered certificates of any series or to purchase offered
certificates representing more than a specified percentage of your assets. We
make no representations as to the proper characterization of any class of
offered certificates for legal investment or other purposes. Also, we make no
representations as to the ability of particular investors to purchase any class
of offered certificates under applicable legal investment restrictions. These
uncertainties may adversely affect the liquidity of any class of offered
certificates. Accordingly, if your investment activities are subject to legal
investment laws and regulations, regulatory capital requirements or review by
regulatory authorities, you should consult with your legal advisor in
determining whether and to what extent--
o the offered certificates of any class and series constitute legal
investments or are subject to investment, capital or other restrictions;
and
o if applicable, SMMEA has been overridden in your State.
USE OF PROCEEDS
Unless otherwise specified in the related prospectus supplement, the net
proceeds to be received from the sale of the offered certificates of any series
will be applied by us to the purchase of assets for the related trust or will
be used by us to cover expenses related to that purchase and the issuance of
those certificates. We expect to sell the offered certificates from time to
time, but the timing and amount of offerings of those certificates will depend
on a number of factors, including the volume of mortgage assets acquired by us,
prevailing interest rates, availability of funds and general market conditions.
METHOD OF DISTRIBUTION
The certificates offered by this prospectus and the related prospectus
supplements will be offered in series through one or more of the methods
described in the next paragraph. The prospectus supplement prepared for the
offered certificates of each series will describe the method of offering being
utilized for those certificates and will state the net proceeds to us from the
sale of those certificates.
We intend that offered certificates will be offered through the following
methods from time to time. We further intend that offerings may be made
concurrently through more than one of these methods or
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that an offering of the offered certificates of a particular series may be made
through a combination of two or more of these methods. The methods are as
follows:
1. by negotiated firm commitment or best efforts underwriting and public
offering by one or more underwriters specified in the related
prospectus supplement;
2. by placements by us with institutional investors through dealers; and
3. by direct placements by us with institutional investors.
In addition, if specified in the related prospectus supplement, the
offered certificates of a series may be offered in whole or in part to the
seller of the mortgage assets that would back those certificates. Furthermore,
the related trust assets for any series of offered certificates may include
other securities, the offering of which was registered under the registration
statement of which this prospectus is a part.
If underwriters are used in a sale of any offered certificates, other than
in connection with an underwriting on a best efforts basis, the offered
certificates will be acquired by the underwriters for their own account. These
certificates may be resold from time to time in one or more transactions,
including negotiated transactions, at fixed public offering prices or at
varying prices to be determined at the time of sale or at the time of
commitment therefor. The managing underwriter or underwriters with respect to
the offer and sale of offered certificates of a particular series will be
described on the cover of the prospectus supplement relating to the series and
the members of the underwriting syndicate, if any, will be named in the
relevant prospectus supplement.
Underwriters may receive compensation from us or from purchasers of the
offered certificates in the form of discounts, concessions or commissions.
Underwriters and dealers participating in the payment of the offered
certificates may be deemed to be underwriters in connection with those
certificates. In addition, any discounts or commissions received by them from
us and any profit on the resale of those offered certificates by them may be
deemed to be underwriting discounts and commissions under the Securities Act of
1933, as amended.
It is anticipated that the underwriting agreement pertaining to the sale
of the offered certificates of any series will provide that--
o the obligations of the underwriters will be subject to various
conditions precedent,
o the underwriters will be obligated to purchase all the certificates if
any are purchased, other than in connection with an underwriting on a
best efforts basis, and
o in limited circumstances, we will indemnify the several underwriters and
the underwriters will indemnify us against civil liabilities relating to
disclosure in our registration statement, this prospectus or any of the
related prospectus supplements, including liabilities under the
Securities Act of 1933, as amended, or will contribute to payments
required to be made with respect to any liabilities.
The prospectus supplement with respect to any series offered by placements
through dealers will contain information regarding the nature of the offering
and any agreements to be entered into between us and purchasers of offered
certificates of that series.
We anticipate that the offered certificates will be sold primarily to
institutional investors. Purchasers of offered certificates, including dealers,
may, depending on the facts and circumstances of the purchases, be deemed to be
"underwriters" within the meaning of the Securities Act of 1933, as amended, in
connection with reoffers and sales by them of offered certificates. Holders of
offered certificates should consult with their legal advisors in this regard
prior to any reoffer or sale.
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LEGAL MATTERS
Unless otherwise specified in the related prospectus supplement,
particular legal matters in connection with the certificates of each series,
including some federal income tax consequences, will be passed upon for us by--
o Sidley & Austin;
o Cadwalader, Wickersham & Taft;
o Skadden, Arps, Slate, Meagher & Flom; or
o Thacher, Proffitt & Wood.
FINANCIAL INFORMATION
A new trust will be formed with respect to each series of offered
certificates. None of those trusts will engage in any business activities or
have any assets or obligations prior to the issuance of the related series of
offered certificates. Accordingly, no financial statements with respect to any
trust will be included in this prospectus or in the related prospectus
supplement. We have determined that our financial statements will not be
material to the offering of any offered certificates.
RATING
It is a condition to the issuance of any class of offered certificates
that, at the time of issuance, at least one nationally recognized statistical
rating organization has rated those certificates in one of its generic rating
categories which signifies investment grade. Typically, the four highest rating
categories, within which there may be sub-categories or gradations indicating
relative standing, signify investment grade.
Ratings on mortgage pass-through certificates address the likelihood of
receipt by the holders of all payments of interest and/or principal to which
they are entitled. These ratings address the structural, legal and
issuer-related aspects associated with the certificates, the nature of the
underlying mortgage assets and the credit quality of any third-party credit
enhancer. The rating(s) on a class of offered certificates will not represent
any assessment of--
o whether the price paid for those certificates is fair;
o whether those certificates are a suitable investment for any particular
investor;
o the tax attributes of those certificates or of the related trust;
o the yield to maturity or, if they have principal balances, the average
life of those certificates;
o the likelihood or frequency of prepayments of principal on the
underlying mortgage loans;
o the degree to which the amount or frequency of prepayments on the
underlying mortgage loans might differ from those originally anticipated;
o whether or to what extent the interest payable on those certificates may
be reduced in connection with interest shortfalls resulting from the
timing of voluntary prepayments;
o the likelihood that any amounts other than interest at the related
mortgage interest rates and principal will be received with respect to
the underlying mortgage loans; or
o if those certificates provide solely or primarily for payments of
interest, whether the holders, despite receiving all payments of interest
to which they are entitled, would ultimately recover their initial
investments in those certificates.
A security rating is not a recommendation to buy, sell or hold securities
and may be subject to revision or withdrawal at any time by the assigning
rating organization. Each security rating should be evaluated independently of
any other security rating.
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GLOSSARY
The following capitalized terms will have the respective meanings assigned
to them in this "Glossary" section whenever they are used in this prospectus.
"ADA" means the Americans with Disabilities Act of 1990, as amended.
"CERCLA" means the federal Comprehensive Environmental Response,
Compensation and Liability Act of 1980, as amended.
"COMMITTEE REPORT" means the Conference Committee Report accompanying the
Tax Reform Act of 1986.
"CPR" means an assumed constant rate of prepayment each month, which is
expressed on a per annum basis, relative to the then outstanding principal
balance of a pool of mortgage loans for the life of those loans.
"DISQUALIFIED ORGANIZATION" means:
o the United States,
o any State or political subdivision of the United States,
o any foreign government,
o any international organization,
o any agency or instrumentality of the foregoing, except for
instrumentalities described in Section 168(h)(2)(D) of the Internal
Revenue Code or the Freddie Mac,
o any organization, other than a cooperative described in Section 521 of
the Internal Revenue Code, that is exempt from federal income tax, except
if it is subject to the tax imposed by Section 511 of the Internal
Revenue Code, or
o any organization described in Section 1381(a)(2)(C) of the Internal
Revenue Code.
"ECS" means Euroclear Clearance System, S.C., a Belgian cooperative
corporation.
"ELECTING LARGE PARTNERSHIP" means any partnership having more than 100
members during the preceding tax year which elects to apply simplified
reporting provisions under the Internal Revenue Code of 1986, except for some
service partnerships and commodity pools.
"ERISA PLAN" means any employee benefit plan, or other retirement plan,
arrangement or account, that is subject to the fiduciary responsibility
provisions of the Employee Retirement Income Security Act of 1974, as amended,
and Section 4975 of the Internal Revenue Code of 1986.
"EUROCLEAR OPERATOR" means Morgan Guaranty Trust Company of New York,
Brussels, Belgium office, as operator of the Euroclear System.
"EUROCLEAR TERMS AND CONDITIONS" means the Terms and Conditions Governing
Use of Euroclear and the related Operating Procedures of the Euroclear System
and, to the extent that it applies to the operation of the Euroclear System,
Belgian law.
"FANNIE MAE" means the Federal National Mortgage Association.
"FARMER MAC" means the Federal Agricultural Mortgage Corporation.
"FASIT " means a financial asset securitization trust, within the meaning
of, and formed in accordance with, the Small Business Job Protection Act of
1996 and Sections 860I through 860L of the Internal Revenue Code of 1986.
"FDIC" means the Federal Deposit Insurance Corporation.
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"FINANCIAL INTERMEDIARY" means a brokerage firm, bank, thrift institution
or other financial intermediary that maintains an account of a beneficial owner
of securities.
"FREDDIE MAC" means the Federal Home Loan Mortgage Association.
"GINNIE MAE" means the Government National Mortgage Association.
"GOVERNING DOCUMENT" means the pooling and servicing agreement or other
similar agreement or collection of agreements, which governs the issuance of a
series of offered certificates.
"IRS" means the Internal Revenue Service.
"LENDER LIABILITY ACT" means the Asset Conservation Lender Liability and
Deposit Insurance Act of 1996, as amended.
"NET INCOME FROM FORECLOSURE PROPERTY" means income from foreclosure
property other than qualifying rents and other qualifying income for a REIT.
"NCUA" means the National Credit Union Administration.
"OCC" means the Office of the Comptroller of the Currency.
"OTS" means the Office of Thrift Supervision.
"PARTY IN INTEREST" means any person that is a "party in interest" within
the meaning of ERISA or a "disqualified person" within the meaning of the
Internal Revenue Code of 1986.
"PASS-THROUGH ENTITY" means any:
o regulated investment company,
o real estate investment trust,
o trust,
o partnership, or
o other entities described in Section 860E(e)(6) of the Internal Revenue
Code.
"PLAN ASSET REGULATIONS" means the regulations of the U.S. Department of
Labor promulgated under the Employee Retirement Income Security Act of 1974, as
amended.
"REIT " means a real estate investment trust within the meaning of Section
856(a) of the Internal Revenue Code of 1986.
"RELIEF ACT" means the Soldiers' and Sailors' Relief Act of 1940, as
amended.
"REMIC" means a real estate mortgage investment conduit, within the
meaning of, and formed in accordance with, the Tax Reform Act of 1986 and
Sections 860A through 860G of the Internal Revenue Code of 1986.
"SEC" means the Securities and Exchange Commission.
"SPA" means standard prepayment assumption.
"UCC" means, for any jurisdiction, the Uniform Commercial Code as in
effect in that jurisdiction.
"U.S. PERSON" means:
o a citizen or resident of the United States;
o a corporation, partnership or other entity created or organized in, or
under the laws of, the United States or any political subdivision of the
United States;
o an estate whose income from sources without the United States is
includible in gross income for United States federal income tax purposes
regardless of its connection with the conduct of a trade or business
within the United States; or
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o a trust as to which--
1. a court in the United States is able to exercise primary supervision
over the administration of the trust, and
2. one or more United States persons have the authority to control all
substantial decisions of the trust.
In addition, to the extent provided in the Treasury Regulations, a trust
will be a U.S. Person if it was in existence on August 20, 1996 and it elected
to be treated as a U.S. Person.
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The attached diskette contains one spreadsheet file that can be put on a
user-specified hard drive or network drive. This spreadsheet file is
"LBUBS00C4". The spreadsheet file "LBUBS00C4" is a Microsoft Excel(1), Version
5.0 spreadsheet. The file provides, in electronic format, some of the
statistical information that appears under the caption "Description of the
Mortgage Pool" in, and on Annexes A-1, A-2, A-3 and B to, this prospectus
supplement. Defined terms used, but not otherwise defined, in the spreadsheet
file will have the respective meanings assigned to them in this prospectus
supplement. All the information contained in the spreadsheet file is subject to
the same limitations and qualifications contained in this prospectus
supplement. Prospective investors are strongly urged to read this prospectus
supplement and accompanying prospectus in its entirety prior to accessing the
spreadsheet file.
--------
(1) Microsoft Excel is a registered trademark of Microsoft Corporation.
<PAGE>
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PROSPECTUS SUPPLEMENT
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
Important Notice About the Information Contained in
this Prospectus Supplement, the Accompanying
Prospectus and the Related Registration Statement ..... S-3
Summary of Prospectus Supplement ......................... S-6
Risk Factors ............................................. S-27
Capitalized Terms Used in this Prospectus Supplement ..... S-34
Forward-Looking Statements ............................... S-34
Description of the Mortgage Pool ......................... S-35
Servicing of the Underlying Mortgage Loans ............... S-59
Description of the Offered Certificates .................. S-79
Yield and Maturity Considerations ........................ S-97
Use of Proceeds .......................................... S-101
Federal Income Tax Consequences .......................... S-101
ERISA Considerations ..................................... S-104
Legal Investment ......................................... S-107
Method of Distribution ................................... S-107
Legal Matters ............................................ S-108
Ratings .................................................. S-109
Glossary ................................................. S-110
ANNEX A-1--Certain Characteristics of the
Underlying Mortgage Loans ............................. A-1-1
ANNEX A-2--Certain Monetary Terms of the
Underlying Mortgage Loans ............................. A-2-1
ANNEX A-3--Certain Information Regarding Reserves......... A-3-1
ANNEX B--Certain Information Regarding Multifamily
Properties ............................................ B-1
ANNEX C-1--Price/Yield Tables ............................ C-1-1
ANNEX C-2--Decrement Tables .............................. C-2-1
ANNEX D--Form of Delinquent Loan Status Report ........... D-1
ANNEX E--Form of Historical Loan Modification
Report ................................................ E-1
ANNEX F--Form of Historical Liquidation Report ........... F-1
ANNEX G--Form of REO Status Report ....................... G-1
ANNEX H--Form of Servicer Watch List ..................... H-1
ANNEX I--Form of Operating Statement Analysis
Report ................................................ I-1
ANNEX J--Form of NOI Adjustment Worksheet ................ J-1
ANNEX K--Form of Loan Payment Notification Report......... K-1
ANNEX L--Form of Comparative Financial Status
Report ................................................ L-1
PROSPECTUS
Important Notice About the Information Presented in
this Prospectus ....................................... 3
Available Information; Incorporation by Reference ........ 3
Summary of Prospectus .................................... 4
Risk Factors ............................................. 12
Capitalized Terms Used in this Prospectus ................ 29
Description of the Trust Assets .......................... 29
Yield and Maturity Considerations ........................ 51
Structured Asset Securities Corporation .................. 56
Description of the Certificates .......................... 57
Description of the Governing Documents ................... 66
Description of Credit Support ............................ 74
Legal Aspects of Mortgage Loans .......................... 76
Federal Income Tax Consequences .......................... 87
State and Other Tax Consequences ......................... 125
ERISA Considerations ..................................... 125
Legal Investment ......................................... 129
Use of Proceeds .......................................... 130
Method of Distribution ................................... 130
Legal Matters ............................................ 132
Financial Information .................................... 132
Rating ................................................... 132
Glossary ................................................. 133
</TABLE>
UNTIL DECEMBER 26, 2000, ALL DEALERS THAT EFFECT TRANSACTIONS IN THE
OFFERED CERTIFICATES, WHETHER OR NOT PARTICIPATING IN THIS OFFERING, MAY BE
REQUIRED TO DELIVER THIS PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS.
THIS DELIVERY REQUIREMENT IS IN ADDITION TO THE OBLIGATION OF DEALERS TO
DELIVER THIS PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS WHEN ACTING
AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD ALLOTMENTS OR SUBSCRIPTIONS.
$921,633,000
(APPROXIMATE)
LB-UBS COMMERCIAL MORTGAGE
TRUST 2000-C4
(DEPOSITOR)
CLASS A-1, CLASS A-2, CLASS B, CLASS C,
CLASS D, CLASS E, CLASS F AND CLASS G
SERIES 2000-C4 COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
-----------------------------------------------------------------
PROSPECTUS SUPPLEMENT
-----------------------------------------------------------------
LEHMAN BROTHERS
UBS WARBURG LLC
DEUTSCHE BANC ALEX. BROWN
September 21, 2000
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