<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
DATE OF REPORT (DATE OF EARLIEST EVENT REPORTED): May 29, 1998
Morgan Stanley Capital I Inc. (as depositor under a Pooling and Servicing
Agreement to be dated as of June 1, 1998 providing for, inter alia, the issuance
of Commercial Mortgage Pass-Through Certificates, Series 1998-WF2)
Morgan Stanley Capital I Inc.
(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
Delaware 333-45467 13-3291626
(STATE OR OTHER JURISDICTION (COMMISSION) (I.R.S. EMPLOYER
OF INCORPORATION) FILE NUMBER) IDENTIFICATION NO.)
1585 Broadway, New York, New York 10036
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (212) 296-7000
-----------------------------------------
(FORMER NAME OR FORMER ADDRESS, IF CHANGED SINCE LAST REPORT)
Exhibit Index Located on Page 2
<PAGE> 2
Items 1 through 6 and Item 8 are not included because they are not applicable.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits
<TABLE>
<CAPTION>
Sequential
Numbered
Exhibit Exhibit
Number Page
- ------- ----------
<S> <C> <C>
99.1 ABS Term Sheet prepared by Morgan Stanley &
Co. Incorporated in connection with
Registrant's Commercial Mortgage
Pass-Through Certificates, Series 1998-WF2
</TABLE>
<PAGE> 3
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned thereunto duly authorized.
MORGAN STANLEY CAPITAL I INC.
By: /s/ Russell A. Rahbany
----------------------------------
Name: Russell A. Rahbany
Title: Vice President
Dated: May 29, 1998
<PAGE> 1
Exhibit 99.1
ABS Term Sheet
<PAGE> 2
MORGAN STANLEY [LOGO] May 29, 1998
Real Estate Debt Capital Markets
Mortgage/Asset Capital Markets
CMBS NEW ISSUE
PRELIMINARY TERM SHEET
-----------------------------------------
EXPECTED PRICING DATE: JUNE [ ], 1998
-----------------------------------------
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
AS DEPOSITOR
WELLS FARGO BANK, NATIONAL ASSOCIATION
AS MASTER SERVICER AND SELLER
MORGAN STANLEY MORTGAGE CAPITAL INC.
AS SELLER
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
-----------------------------------------
MORGAN STANLEY DEAN WITTER BEAR, STEARNS & CO. INC.
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY
<PAGE> 3
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
<TABLE>
<CAPTION>
RATING EXPECTED FINAL INITIAL
AMOUNT(1) SUBORDINATION (DCR/ AVERAGE PRINCIPAL DISTRIBUTION PASS-THROUGH
CLASS ($MM) LEVELS FITCH) LIFE(3) WINDOW(3)(4) DATE(3) RATE(5) (6)
----- ----------------- ------------- ------- ------- ------------ -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $ 221,000,000 26.00% AAA/AAA 5.42 1-113 11/15/07 [6.30]%
A-2 564,882,000 26.00 AAA/AAA 9.72 113-119 05/15/08 [6.53]
X 1,062,003,110(2) ---- AAA/AAA 9.84 ---- 04/15/23 [0.69](8)
B 53,100,000 21.00 AA/AA 9.96 119-120 06/15/08 [6.63]
C 47,790,000 16.50 A/A 10.00 120-120 06/15/08 [6.73]
D 53,100,000 11.50 BBB/BBB 11.47 120-161 11/15/11 NWAC - [0.19%]
E 21,240,000 9.50 BBB-/NR 14.30 161-175 01/15/13 NWAC - [0.05%]
F(7) 21,240,000 7.50 BB+/BB+ 14.78 175-179 05/15/13 [6.30]
G(7) 23,896,000 5.25 BB/BB 15.95 179-213 03/15/16 [6.30]
H(7) 10,620,000 4.25 BB-/BB- 18.47 213-230 08/15/17 [6.30]
J(7) 7,965,000 3.50 B+/B+ 19.40 230-233 11/15/17 [6.30]
K(7) 7,965,000 2.75 B/B 19.42 233-234 12/15/17 [6.30]
L(7) 15,930,000 1.25 NR/B- 20.45 234-268 10/15/20 [6.30]
M(7) 5,310,000 0.75 NR/CCC 23.06 268-285 03/15/22 [6.30]
N(7) 7,965,110 0.00 NR/NR 24.53 285-298 04/15/23 [6.30]
</TABLE>
T-1
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 4
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
Notes: (1) In the case of each such Class, subject to a permitted
variance of plus or minus 5%.
(2) Class X Notional Amount is equal to the sum of all Certificate
Balances outstanding from time to time.
(3) Based on Maturity Assumptions described in the Prospectus
Supplement.
(4) Principal Window is the period (expressed in terms of months
and commencing with the month of the first Distribution Date)
during which distributions of principal are expected to be
made to the holders of each designated Class in accordance
with the Maturity Assumptions.
(5) Other than the Class X, Class D and Class E Certificates, each
Class of Certificates will accrue interest generally at a
fixed rate of interest except in limited circumstances as
described in the Prospectus Supplement.
(6) The pass-through rates shown are only for indicative purposes.
The final pass-through rates will be determined at pricing.
(7) To be offered privately.
(8) The Class X Notional Amount is equal to the sum of all
Certificate Balances outstanding from time to time. The
Pass-Through Rate on the Class X Certificates on each
Distribution Date will equal, in general, the weighted average
of the Class X Strip Rates for the respective Principal
Balance Certificates for such Distribution Date. The Class X
Strip Rate in respect of any Class of Principal Balance
Certificates will, in general, equal the excess, if any, of
the Weighted Average Net Mortgage Rate over the pass-through
rate applicable to such Class of Principal Balance
Certificates.
T-2
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 5
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
I. ISSUE CHARACTERISTICS
Issue Type: Public: Class X, A-1, A-2, B, C, D and E
Private (Rule 144A): Class F, G, H, J, K, L, M and N
Securities Offered: $961,112,000 monthly pay, multi-class sequential pay
commercial mortgage REMIC Pass-Through Certificates,
including four fixed-rate principal and interest
classes (A-1, A-2, B and C), two weighted average
coupon principal and interest classes (D and E) and one
variable rate interest only class (X).
Collateral: The collateral consists of a $1,062,003,110 pool of
fixed-rate commercial and multifamily Mortgage Loans
Sellers: Wells Fargo Bank, National Association and Morgan
Stanley Mortgage Capital Inc.
Lead Manager: Morgan Stanley & Co. Incorporated
Co-Manager: Bear, Stearns & Co. Inc. (Investment grade Classes
only)
Master Servicer: Wells Fargo Bank, National Association
Special Servicer: CRIIMI MAE Services Limited Partnership
Trustee: Norwest Bank Minnesota, National Association
Expected Pricing Date: On or about June [ ], 1998
Expected Closing Date: On or about June [ ], 1998
Distribution Dates: The 15th of each month, commencing July 15, 1998
Minimum Denominations: $5,000 for Class A Certificates; $50,000 for all other
Certificates (other than the Class R Certificates)
Settlement Terms: DTC, Euroclear and Cedel, same day funds, with accrued
interest
Legal/Regulatory Status: Class A-1, A-2 and X Certificates are expected
to be eligible for exemptive relief under ERISA. No
Class of Certificates is SMMEA eligible.
Risk Factors: THE CERTIFICATES INVOLVE A DEGREE OF RISK AND MAY NOT
BE SUITABLE FOR ALL INVESTORS. SEE THE "RISK FACTORS
AND OTHER SPECIAL CONSIDERATIONS" SECTION OF THE
PROSPECTUS SUPPLEMENT AND THE "RISK FACTORS" SECTION OF
THE PROSPECTUS.
T-3
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 6
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
II. STRUCTURE CHARACTERISTICS
The Certificates (other than the Class X, D, E and R Certificates) are
fixed-rate, monthly pay, multi-class, sequential pay REMIC Pass-Through
Certificates. The Class D and E Certificates are weighted average coupon REMIC
Pass-Through Certificates. The Class X Certificates are variable rate interest
only REMIC Pass-Through Certificates. All Classes of Certificates derive their
cash flows from the entire pool of Mortgage Loans.
[BAR GRAPH]
T-4
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 7
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
Interest Distributions: Each Class of Certificates (other than the Class R
Certificates) will be entitled on each Distribution
Date to interest accrued at its Pass-Through Rate on
the outstanding Certificate Balance or Notional Amount
of such Class, as applicable.
Pass-Through Rates: Class A-1: [6.30]%
Class A-2: [6.53]%
Class B: [6.63]%
Class C: [6.73]%
Class D: NWAC - [0.19]%
Class E: NWAC - [0.05]%
Class F: [6.30]%
Class G: [6.30]%
Class H: [6.30]%
Class J: [6.30]%
Class K: [6.30]%
Class L: [6.30]%
Class M: [6.30]%
Class N: [6.30]%
Class X: See footnote 8 on page T-1.
The Pass-Through Rate for each class of Principal
Balance Certificates for any Distribution Date will not
exceed the Weighted Average Net Mortgage Rate ("NWAC")
for such Distribution Date.
Principal Distributions: Principal will be distributed on each Distribution Date
to the most senior Class (i.e., the Class with the
earliest alphabetical/numerical Class designation) of
the Principal Balance Certificates outstanding, until
its Certificate Balance is reduced to zero (sequential
order). If, due to losses, the Certificate Balances of
the Class B through Class N Certificates are reduced to
zero or Appraisal Reductions exceed the aggregate
Certificate Balance of the Subordinate Certificates,
payments of principal to the Class A-1 and A-2
Certificates will be made on a pro rata basis.
Prepayment Premium Prepayment Premiums (to the extent received) will be
Allocation: allocated among the Class X Certificates and the
Principal Balance Certificates (other than Classes F,
G, H, J, K, L, M and N) entitled to distributions in
respect of principal on any Distribution Date, as
described in the Prospectus Supplement under
"DESCRIPTION OF THE CERTIFICATES - Distributions of
Prepayment Premiums."
Credit Enhancement: Each Class of Certificates (other than Classes A-1, A-2
and X) will be subordinate to all other Classes with an
earlier alphabetical Class designation.
T-5
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 8
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
Advancing: The Master Servicer and the Trustee (in that
order) will each be obligated to make P&I
Advances and Servicing Advances, including
delinquent property taxes and insurance, but
only to the extent that such Advances are
deemed recoverable.
Realized Losses and Expense Realized Losses and Expense Losses, if any,
Losses: will be allocated to the Class N, Class M,
Class L, Class K, Class J, Class H, Class G,
Class F, Class E, Class D, Class C and Class B
Certificates, in that order, and then to
Classes A-1 and A-2 and, with respect to
losses allocated to interest, Class X
Certificates, pro rata, in each case reducing
amounts payable thereto. Any interest
shortfall of any Class of Certificates will
result in unpaid interest for such Class
which, together with interest thereon
compounded monthly at one-twelfth the
applicable Pass-Through Rate for such Class,
will be payable in subsequent periods, subject
to available funds.
Prepayment Interest Shortfalls: For any Distribution Date, any Net Aggregate
Prepayment Interest Shortfall not offset by
the Servicing Fee (less the amount payable to
Sub-Servicers for such Distribution Date),
will generally be allocated pro rata to each
Class of Certificates in proportion to its
entitlement to interest.
Appraisal Reductions: An appraisal reduction generally will be
created in the amount, if any, by which the
Principal Balance of a Specially Serviced
Mortgage Loan (plus other amounts overdue in
connection with such loan) exceeds 90% of the
appraised value of the related Mortgaged
Property. The Appraisal Reduction Amount will
reduce proportionately the amount of P&I
Advances for such loan, which reduction will
result, in general, in a reduction of interest
distributable to the most subordinate Class of
Principal Balance Certificate outstanding.
An Appraisal Reduction will be reduced to zero
as of the date the related Mortgage Loan has
been brought current for at least three
consecutive months, paid in full, liquidated,
repurchased or otherwise disposed of.
Operating Adviser: The Operating Adviser, which may be appointed
by the Controlling Class, will have the right
to advise the Special Servicer with respect to
certain actions regarding Specially Serviced
Mortgage Loans. Examples include the right to
make certain modifications, foreclose, sell,
bring an REO Property into environmental
compliance or accept substitute or additional
collateral.
Controlling Class: The Controlling Class will generally be the
most subordinate Class of Certificates
outstanding at any time or, if the Certificate
Balance of such Class is less than 50% (or for
Class N, 20%) of the initial Certificate
Balance of such Class, the next most
subordinate Class of Principal Balance
Certificates.
T-6
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 9
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
Special Servicer: In general, the Special Servicer has the right
to modify the terms of a Specially Serviced
Mortgage Loan if it determines that such
modification would increase the net present
value of the proceeds to the Trust, provided
that the Special Servicer generally may not
extend the maturity date of a Mortgage Loan
beyond two years prior to the Final Rated
Distribution Date, grant more than three
one-year extensions of the maturity date of a
Mortgage Loan which has a below market rate,
reduce the Mortgage Rate to a rate below the
market rate or defer interest due in excess of
10% of the Scheduled Principal Balance of such
Mortgage Loan.
Optional Termination: The Depositor, then the Master Servicer, then
the Special Servicer and then the holder of a
majority of the R-I Certificates will have the
option to purchase, in whole but not in part,
the remaining assets of the Trust on or after
the Distribution Date on which the aggregate
Certificate Balance of all Classes of
Certificates then outstanding is less than or
equal to 1% of the Initial Pool Balance. Such
purchase price will generally be at a price
equal to the unpaid aggregate Scheduled
Principal Balance of the Mortgage Loans, plus
accrued and unpaid interest and unreimbursed
Advances.
Reports to Certificateholders: The Trustee will prepare and deliver monthly
Certificateholder Reports. The Special
Servicer will prepare and deliver to the
Trustee a monthly Special Servicer Report
summarizing the status of each Specially
Serviced Mortgage Loan. The Master Servicer
and the Special Servicer will prepare and
deliver to the Trustee an annual report
setting forth, among other things, the debt
service coverage ratios for each Mortgage
Loan, as available. Each of the reports will
be available to the Certificateholders. A
report containing information regarding the
Mortgage Loans will be available
electronically.
T-7
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 10
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
III. ORIGINATORS Wells Fargo
The Mortgage Pool includes 152 Mortgage Loans,
representing approximately 59.2% of the Initial Pool
Balance, originated by Wells Fargo, National
Association ("Wells Fargo").
Founded in 1852, Wells Fargo & Company is the holding
company for Wells Fargo. Wells Fargo provides a full
range of banking services to individual,
agri-business, real estate, commercial and small
business customers.
For the year ended December 31, 1997 and for the year
ended December 31, 1996, Wells Fargo & Company
reported, on a consolidated basis, net income of
$1,155MM and $1,071MM, respectively.
As of December 31, 1997 and as of December 31, 1996
Wells Fargo & Company reported, on a consolidated
basis, total assets of $97.5Bn and $108.9Bn,
respectively and total capital (Tier 1 & 2) of $9.2Bn
and $10.0Bn, respectively.
As of December 31, 1997 Wells Fargo and its
subsidiaries serviced a portfolio of multifamily and
commercial mortgage loans totaling approximately
$15.2Bn, of which $3.0Bn was for third parties.
The Loans originated by Wells Fargo were originated
through Wells Fargo's Capital Markets Group ("Capital
Markets Group"). The Capital Markets Group maintains
loan production offices in six metropolitan areas in
California and nine other cities nationwide. The group
is staffed with approximately 20 originators and
approximately 20 underwriters and is supported by
Wells Fargo's Appraisal and Real Estate Technical
Services (RETECHS) personnel.
Commercial and multifamily mortgage loans originated
for securitization by Wells Fargo and its subsidiaries
are generally serviced by Wells Fargo. Wells Fargo has
been approved as a master and special servicer by all
four rating agencies. Wells Fargo has completed three
previous conduit securitizations.
Morgan Stanley Mortgage Capital Inc.
The Mortgage Pool includes 74 Mortgage Loans,
representing approximately 40.8% of the Initial Pool
Balance, either acquired or originated by or on behalf
of Morgan Stanley Mortgage Capital Inc. ("MSMC"). MSMC
is a subsidiary of Morgan Stanley & Co. Incorporated
that was formed to originate and purchase mortgage
loans secured by commercial and multifamily real
estate.
T-8
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 11
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
IV. COLLATERAL DESCRIPTION
Summary: The Mortgage Pool consists of a $1,062,003,110 pool of
226 fixed-rate, first lien, mortgage loans secured by
first liens on commercial and multifamily properties
located throughout 32 states and the District of
Columbia. As of the Cut-Off Date, the Mortgage Loans
have a weighted average mortgage rate of 7.259% and a
weighted average remaining term to maturity of 137
months. See the Appendices to the Prospectus
Supplement for more detailed collateral information.
T-9
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 12
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
T-10
This information is being delivered to a specific number of prospective
sophisticated investors in order to assist them in determining whether they have
an interest in the type of security described herein. It has been prepared
solely for information purposes and is not an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any trading strategy. No representation or warranty can be given
with respect to the accuracy or completeness of the information, or with respect
to the terms of any future offer of securities conforming to the terms hereof.
Any such offer of securities would be made pursuant to a definitive Prospectus
or Private Placement Memorandum, as the case may be, prepared by the issuer
which could contain material information not contained herein and to which the
prospective purchasers are referred. In the event of any such offering, this
information shall be deemed superseded, amended and supplemented in its entirety
by such Prospectus or Private Placement Memorandum. Such Prospectus or Private
Placement Memorandum will contain all material information in respect of any
securities offered thereby and any decision to invest in such securities should
be made solely in reliance upon such Prospectus or Private Placement Memorandum.
Certain assumptions may have been made in this analysis which have resulted in
any returns detailed herein. No representation is made that any returns
indicated will be achieved. Changes to the assumptions may have a material
impact on any returns detailed. Morgan Stanley & Co. Incorporated disclaims any
and all liability relating to this information, including without limitation any
express or implied representations and warranties for, statements contained in,
and omissions from, this information. Additional information is available upon
request. Morgan Stanley & Co. Incorporated and others associated with it may
have positions in, and may effect transaction in, securities and instruments of
issuers mentioned herein and may also perform or seek to perform investment
banking services for the issuers of such securities and instruments. Past
performance is not necessarily indicative of future results. Price and
availability are subject to change without notice. To our readers worldwide: In
addition, please note that this publication has been issued by Morgan Stanley &
Co. Incorporated, approved by Morgan Stanley International Limited, a member of
The Securities and Futures Authority, any by Morgan Stanley Japan Ltd. We
recommend that such investors obtain the advice of their Morgan Stanley & Co.
Incorporated, Morgan Stanley International or Morgan Stanley Japan Ltd.
representative about the investments concerned.
NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES
AND FUTURES AUTHORITY
<PAGE> 13
$961,112,000
(APPROXIMATE)
MORGAN STANLEY CAPITAL I INC.
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 1998-WF2
SELLER
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
- -------------- ------- ------------- ------
<S> <C> <C> <C>
Wells Fargo 152 629,008,512 59.23
Morgan Stanley 74 432,994,598 40.77
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
CUT-OFF DATE BALANCES ($)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
less than or
equal to 1MM 17 14,490,058 1.36
1MM - 2MM 55 84,941,832 8.00
2MM - 3MM 39 94,882,063 8.93
3MM - 4MM 36 127,558,369 12.01
4MM - 5MM 30 134,053,605 12.62
5MM - 6MM 11 60,058,111 5.66
6MM - 7MM 3 20,067,624 1.89
7MM - 8MM 5 38,157,105 3.59
8MM - 9MM 8 69,003,875 6.50
9MM - 10MM 2 18,467,421 1.74
10MM - greater than or
equal to 20 400,323,046 37.70
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 543,018 Max: 51,891,079 Average: 4,699,129
STATES
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
California 99 393,937,735 37.09
Colorado 11 76,140,032 7.17
New Jersey 3 58,145,852 5.48
Florida 15 57,975,271 5.46
D.C 1 51,891,079 4.89
Other 97 423,913,141 39.92
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
PROPERTY TYPE
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
Retail 60 276,822,001 26.07
Multifamily 61 274,904,331 25.89
Office 25 188,135,629 17.72
Hospitality 20 125,573,430 11.82
Industrial 37 97,485,000 9.18
Self Storage 13 48,490,255 4.57
Mobile Home 8 27,907,616 2.63
Other 2 22,684,848 2.14
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
MORTGAGE RATES (%)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
6.001 - 7.000 64 300,506,311 28.30
7.001 - 8.000 154 706,039,068 66.48
8.001 - 9.000 8 55,457,731 5.22
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 6.540 Max: 8.350 WAC: 7.259
ORIGINAL TERMS TO STATED MATURITY (MOS)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
less than or
equal to 84 7 39,079,637 3.68
85 - 120 177 801,529,876 75.47
121 - 144 2 21,802,092 2.05
145 - 180 24 77,691,215 7.32
181 - 240 15 70,009,212 6.59
241 - 300 1 51,891,079 4.89
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 59 Max: 300 Wtd Avg: 140
REMAINING TERMS TO STATED MATURITY (MOS)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
less than or
equal to 60 5 29,231,118 2.75
61 - 84 2 9,848,519 0.93
85 - 120 177 801,529,876 75.47
121 - 180 26 99,493,306 9.37
181 - 240 15 70,009,212 6.59
241 - 300 1 51,891,079 4.89
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 55 Max: 298 Wtd Avg: 137
BALLOON LOANS
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
Yes 201 944,724,296 88.96
No 25 117,278,815 11.04
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
DEBT SERVICE COVERAGE RATIOS (X)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
1.00 - 1.14 2 2,989,723 0.28
1.15 - 1.24 12 56,710,239 5.34
1.25 - 1.34 24 202,168,383 19.04
1.35 - 1.49 75 367,566,465 34.61
1.50 - 1.74 56 211,868,927 19.95
1.75 - 1.99 30 107,559,271 10.13
2.00 greater than
or equal to 27 113,140,102 10.65
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 1.06 Max: 5.25 Wtd Avg: 1.57
CUT-OFF DATE LOAN-TO-VALUE RATIOS (%)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
20.1 - 30.0 3 21,731,520 2.05
30.1 - 40.0 5 11,507,116 1.08
40.1 - 50.0 19 45,686,258 4.30
50.1 - 60.0 37 151,142,826 14.23
60.1 - 70.0 85 381,596,176 35.93
70.1 - 80.0 73 439,670,072 41.40
80.1 - 90.0 4 10,669,142 1.00
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 20.1 Max: 85.8 Wtd Avg: 66.6
BALLOON LOAN-TO-VALUE RATIOS (%)
<TABLE>
<CAPTION>
NO. CURRENT
OF PRINCIPAL
LOANS BALANCE %
----- ------------- ------
<S> <C> <C> <C>
0.0 17 35,402,205 3.33
0.1 - 10.0 8 81,876,609 7.71
10.1 - 20.0 3 5,271,012 0.50
20.1 - 30.0 5 21,861,292 2.06
30.1 - 40.0 18 68,201,567 6.42
40.1 - 50.0 44 168,846,330 15.90
50.1 - 60.0 69 284,774,443 26.81
60.1 - 70.0 55 363,624,310 34.24
70.1 - 80.0 7 32,145,342 3.03
--- ------------- ------
TOTAL: 226 1,062,003,110 100.00
--- ------------- ------
</TABLE>
Min: 0.0 Max: 75.5 Wtd Avg: 49.5
