<PAGE>
Filed Pursuant to Rule 424(b)(5)
Registration File No.: 333-72493
PROSPECTUS SUPPLEMENT DATED AUGUST 18, 2000 (TO PROSPECTUS DATED APRIL 24, 2000)
$337,309,603
RFMSI SERIES 2000-S10 TRUST
ISSUER
RESIDENTIAL FUNDING MORTGAGE SECURITIES I, INC.
DEPOSITOR
RESIDENTIAL FUNDING CORPORATION
MASTER SERVICER
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2000-S10
The trust will hold a pool of one- to four-family residential first mortgage
loans.
The trust will issue these classes of certificates that are offered under this
prospectus supplement:
o 13 classes of senior certificates
o 3 classes of subordinated certificates
Credit enhancement for all of these certificates will be provided by additional
subordination.
YOU SHOULD CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE S-11
IN THIS PROSPECTUS SUPPLEMENT.
NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THE OFFERED CERTIFICATES OR
DETERMINED THAT THIS PROSPECTUS SUPPLEMENT OR THE PROSPECTUS IS ACCURATE OR
COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
THE ATTORNEY GENERAL OF THE STATE OF NEW YORK HAS NOT PASSED ON OR ENDORSED THE
MERITS OF THIS OFFERING. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL.
Bear, Stearns & Co. Inc. will offer eleven classes of the senior certificates
and three classes of the subordinate certificates to the public at varying
prices to be determined at the time of sale. The proceeds to the depositor from
the sale of these underwritten certificates will be approximately 98.52% of the
principal balance of these underwritten certificates plus accrued interest,
before deducting expenses. There is no underwriting arrangement for the
remaining classes of offered certificates.
BEAR, STEARNS & CO. INC.
UNDERWRITER
<PAGE>
IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS
PROSPECTUS SUPPLEMENT AND THE PROSPECTUS
We provide information to you about the offered certificates in two separate
documents that provide progressively more detail:
- the prospectus, which provides general information, some of which may not
apply to your series of certificates; and
- this prospectus supplement, which describes the specific terms of your series
of certificates.
IF THE DESCRIPTION OF YOUR CERTIFICATES IN THIS PROSPECTUS SUPPLEMENT DIFFERS
FROM THE RELATED DESCRIPTION IN THE PROSPECTUS, YOU SHOULD RELY ON THE
INFORMATION IN THIS PROSPECTUS SUPPLEMENT.
The depositor's principal offices are located at 8400 Normandale Lake
Boulevard, Suite 600, Minneapolis, Minnesota 55437 and its telephone number is
(952) 832-7000.
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
Summary ...................................... S-3
Risk Factors ................................. S-11
Risk of Loss .......................... S-11
Limited Obligations ................... S-12
Liquidity Risks ....................... S-12
Special Yield and Prepayment
Considerations ........................ S-13
Introduction ................................. S-18
Description of the Mortgage Pool ............. S-18
General ............................... S-18
Mortgage Pool Characteristics ......... S-19
Primary Mortgage Insurance
and Primary Hazard
Insurance ............................. S-25
Additional Information ................ S-25
Description of the Certificates .............. S-26
General ............................... S-26
Book-Entry Registration of
Certain of the Offered
Certificates .......................... S-27
Glossary of Terms ..................... S-28
Interest Distributions ................ S-34
Principal Distributions on the
Senior Certificates ................... S-36
Principal Distributions on the
Retail Certificates ................... S-39
The Policy ............................ S-42
Principal Distributions on the
Class M Certificates ....................... S-43
Allocation of Losses;
Subordination ......................... S-45
Advances .............................. S-48
The Insurer .................................. S-49
</TABLE>
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
Certain Yield and Prepayment
Considerations ............................ S-51
General ............................... S-51
Principal Only Certificate and
Variable Strip Certificate
Yield Considerations .................. S-60
Class M-2 and Class M-3
Certificate Yield
Considerations ........................ S-61
Additional Yield Considerations
Applicable Solely to the
Residual Certificates ................. S-64
Pooling and Servicing Agreement .............. S-65
General ............................... S-65
The Master Servicer ................... S-65
Servicing and Other
Compensation and Payment
of Expenses ........................... S-70
Voting Rights ......................... S-70
Termination ........................... S-70
Material Federal Income Tax
Consequences .............................. S-72
Special Tax Considerations
Applicable to Residual
Certificates .......................... S-73
Method of Distribution ....................... S-74
Legal Opinions ............................... S-75
Experts ...................................... S-76
Ratings ...................................... S-76
Legal Investment ............................. S-76
ERISA Considerations ......................... S-77
Annex I ...................................... A-1
</TABLE>
S-2
<PAGE>
SUMMARY
The following summary is a very general overview of the offered
certificates and does not contain all of the information that you should
consider in making your investment decision. To understand all of the terms of
the offered certificates, you should read carefully this entire document and
the prospectus.
Issuer...................... RFMSI Series 2000-S10 Trust.
Title of securities......... Mortgage Pass-Through Certificates, Series
2000-S10.
Depositor................... Residential Funding Mortgage Securities I,
Inc., an affiliate of Residential Funding
Corporation.
Master servicer............. Residential Funding Corporation.
Trustee..................... Bank One, National Association.
Mortgage pool............... 987 fixed rate mortgage loans with an aggregate
principal balance of approximately $339,687,563
as of the cut-off date, secured by first liens on
one- to four-family residential properties.
Cut-off date................ August 1, 2000.
Closing date................ On or about August 25, 2000.
Distribution dates.......... Beginning on September 25, 2000 and thereafter
on the 25th of each month or, if the 25th is not
a business day, on the next business day.
Assumed final
distribution date........... August 25, 2030. The actual final distribution
date could be substantially earlier.
Form of certificates........ Book-entry: Class A-1 through Class A-10 and
Class M Certificates.
Physical: Class A-P, Class A-V and Class R
Certificates.
See "Description of the Certificates--Book-Entry
Registration of Certain of the Offered
Certificates" in this prospectus supplement.
S-3
<PAGE>
Minimum denominations....... Class A-1 through Class A-3, Class A-5, Class
A-7, Class A-8, Class A-P and Class M-1
Certificates: $25,000.
Class A-4, Class A-6, Class A-9 and Class A-10
Certificates: $1,000.
Class M-2 and Class M-3 Certificates: $250,000.
Class A-V and Class R Certificates: 20%
percentage interests.
Legal investment............ When issued, the Class A, Class R and Class M-1
Certificates will, and the Class M-2 and Class
M-3 Certificates will not, be "mortgage related
securities" for purposes of the Secondary
Mortgage Market Enhancement Act of 1984.
See "Legal Investment" in this prospectus
supplement and "Legal Investment Matters" in the
prospectus.
S-4
<PAGE>
<TABLE>
<CAPTION>
OFFERED CERTIFICATES
INITIAL
PASS- CERTIFICATE INITIAL
THROUGH PRINCIPAL RATING
CLASS RATE BALANCE (FITCH/S&P) DESIGNATIONS
<S> <C> <C> <C> <C>
CLASS A CERTIFICATES:
Senior/Accretion Directed/
A-1 7.75% $100,000,000 AAA/AAA Fixed Rate
Senior/Accretion Directed/
A-2 7.75% $ 75,000,000 AAA/AAA Fixed Rate
Senior/Accretion Directed/
A-3 7.75% $ 57,018,361 AAA/AAA Fixed Rate
Senior/Accretion Directed/
A-4 7.75% $ 1,750,000 AAA/AAA Retail/Fixed Rate
A-5 7.75% $ 17,688,306 AAA/AAA Senior/Accrual/Fixed Rate
Senior/Insured/Retail/
A-6 7.40% $ 24,500,000 AAA/AAA Fixed Rate
A-7 8.50% $ 9,473,333 AAA/AAA Senior/Fixed Rate
A-8 7.75% $ 33,750,000 AAA/AAA Senior/Lockout/Fixed Rate
Senior/Accretion Directed/
A-9 7.50% $ 3,000,000 AAA/AAA Retail/Fixed Rate
Senior/Accretion Directed/
A-10 8.00% $ 3,000,000 AAA/AAA Retail/Fixed Rate
A-P 0.00% $ 1,259,103 AAA/AAA Senior/Principal Only
Variable Senior/Interest Only/
A-V Rate $ 0 AAA/AAA Variable Rate
Total Class A Certificates: $326,439,103
CLASS R CERTIFICATES:
R 7.75% $ 100 AAA/AAA Senior/Residual/Fixed Rate
Total senior certificates: $326,439,203
CLASS M CERTIFICATES:
M-1 7.75% $ 6,794,100 AA/NA Mezzanine/Fixed Rate
M-2 7.75% $ 2,547,700 A/NA Mezzanine/Fixed Rate
M-3 7.75% $ 1,528,600 BBB/NA Mezzanine/Fixed Rate
Total Class M Certificates: $ 10,870,400
Total offered certificates: $337,309,603
NON-OFFERED CERTIFICATES
CLASS B CERTIFICATES:
B-1 7.75% $ 1,019,100 BB/NA Subordinate/Fixed Rate
B-2 7.75% $ 679,400 B/NA Subordinate/Fixed Rate
B-3 7.75% $ 679,460 NA/NA Subordinate/Fixed Rate
Total Class B Certificates: $ 2,377,960
======================================== ============
Total offered and
non-offered certificates: $339,687,563
</TABLE>
OTHER INFORMATION:
CLASS A-V:
Variable Rate: Varies according to the weighted average of the excess of the
net mortgage rate on each mortgage loan over 7.75%.
The Class A-V Certificates do not have a principal balance. For the purpose of
calculating interest payments, interest will accrue on a notional amount
initially equal to $339,687,563.
S-5
<PAGE>
THE TRUST
The depositor will establish a trust with respect to the Series 2000-S10
Certificates under a pooling and servicing agreement dated as of August 1,
2000, among the depositor, the master servicer and the trustee. On the closing
date, the depositor will deposit the pool of mortgage loans described in this
prospectus supplement into the trust Each certificate will represent a partial
ownership interest in the trust.
THE MORTGAGE POOL
The mortgage loans to be deposited into the trust have the following
characteristics as of the cut-off date:
<TABLE>
<CAPTION>
WEIGHTED
RANGE AVERAGE
------------------- --------------
<S> <C> <C>
Principal $26,075 to
balance $999,410 $344,162*
Mortgage
rate 6.750% to 9.750% 8.4728%
Remaining
maturity
(months) 239 to 360 358
</TABLE>
* Indicates average principal balance
For additional information regarding the mortgage pool see "Description of the
Mortgage Pool" in this prospectus supplement.
DISTRIBUTIONS ON THE OFFERED
CERTIFICATES
Amount available for monthly distribution. On each monthly distribution date,
the trustee will make distributions to investors. The amount available for
distribution will include:
o collections of monthly payments on the mortgage loans, including
prepayments and other unscheduled collections plus
o advances for delinquent payments minus
o the fees and expenses of the subservicers and the master servicer,
including reimbursement for advances, and the premium on the certificate
guaranty insurance policy.
See "Description of the Certificates---- Glossary of Terms----Available
Distribution Amount" in this prospectus supplement.
Priority of distributions. Distributions on the offered certificates will be
made from available amounts as described in this prospectus supplement as
follows:
o Distribution of interest to the interest-bearing senior certificates
o Distribution of principal to the Class A-P Certificates
o Distribution of principal to the remaining senior certificates entitled to
principal
o Payment to master servicer for certain unreimbursed advances
o Distribution to the Class M Certificates in the following order:
o Interest to the Class M-1 Certificates
o Principal to the Class M-1 Certificates
o Interest to the Class M-2 Certificates
o Principal to the Class M-2 Certificates
o Interest to the Class M-3 Certificates
o Principal to the Class M-3 Certificates
S-6
<PAGE>
Interest distributions. The amount of interest owed to each class of
interest-bearing certificates on each distribution date will equal:
o the pass-through rate for that class of certificates multiplied by
o the principal balance or notional amount of that class of certificates as
of the day immediately prior to the related distribution date multiplied by
o 1/12th minus
o the share of some types of interest shortfalls allocated to that class.
See "Description of the Certificates-- Interest Distributions" in this
prospectus supplement.
Allocations of principal. Principal distributions on the certificates will be
allocated among the various classes of offered certificates as described in
this prospectus supplement. Until the distribution date in September 2005, all
principal prepayments on the mortgage loans will be distributed among the
senior certificates, other than the Class A-8 Certificates and Class A-V
Certificates, unless the remaining interest-bearing senior certificates
entitled to principal distributions are no longer outstanding. Not all
outstanding senior certificates will receive principal on each distribution
date. The Class A-P Certificates receive only a portion of the principal
received from each mortgage loan that has a net mortgage rate of less than
7.75%. The Class A-V Certificates are not entitled to receive any principal
distributions.
See "Description of the Certificates-- Principal Distributions on the Senior
Certificates," "--Principal Distributions on the Retail Certificates" and
"--Principal Distributions on the Class M Certificates" in this prospectus
supplement.
CREDIT ENHANCEMENT
Allocation of losses. Most losses on the mortgage loans will be allocated in
full to the first class listed below with a principal balance greater than
zero:
o Class B-3
o Class B-2
o Class B-1
o Class M-3
o Class M-2
o Class M-1
When this occurs, the principal balance of the class to which the loss is
allocated is reduced, without a corresponding payment of principal.
If none of the Class M Certificates or Class B Certificates are outstanding,
losses on the mortgage loans will be allocated proportionately among the senior
certificates, subject to the special rules mentioned below. All of these losses
allocated to the Class A-6 Certificates will be covered by a certificate
guaranty insurance policy to be issued by Ambac Assurance Corporation. See
"Description of the Certificates--The Policy" in this prospectus supplement.
Not all losses will be allocated in the priority described in the third
preceding paragraph. Losses due to natural disasters such as floods and
earthquakes, fraud by a mortgagor, or bankruptcy of a mortgagor will be
allocated as described in the third
S-7
<PAGE>
preceding paragraph only up to specified amounts. Losses of these types in
excess of the specified amounts and losses due to other extraordinary events
will be allocated proportionately among all outstanding classes of certificates
except as stated in the following paragraph. Therefore, the Class M
Certificates and Class B Certificates do not act as credit enhancement for the
senior certificates for these losses. Any such losses allocated to the Class
A-6 Certificates will be covered by the certificate guaranty insurance policy.
See "Description of the Certificates--The Policy" in this prospectus
supplement.
Special loss allocation for Class A-P Certificates. Whenever losses are
allocated to the senior certificates, the Class A-P Certificates will share in
the loss only if the mortgage loan had a net mortgage rate less than 7.75%. In
that case, the Class A-P Certificates will bear a share of the loss equal to
their percentage interest in the principal of that mortgage loan.
See "Description of the Certificates-- Allocation of Losses; Subordination" in
this prospectus supplement.
Priority of distributions. All or a disproportionately large portion of
principal prepayments and other unscheduled payments of principal will be
allocated to the senior certificates as described in this prospectus supplement
during the first nine years after the closing date. This provides additional
credit enhancement for the senior certificates by reserving a greater portion
of the principal balances of the Class M Certificates and Class B Certificates
for absorption of losses.
ADVANCES
For any month, if the master servicer does not receive the full scheduled
payment on a mortgage loan, the master servicer will advance funds to cover the
amount of the scheduled payment that was not made. However, the master servicer
will advance funds only if it determines that the advance will be recoverable
from future payments or collections on that mortgage loan.
See "Description of the Certificates-- Advances" in this prospectus supplement.
OPTIONAL TERMINATION
On any distribution date on which the aggregate principal balance of the
mortgage loans is less than 10% of their aggregate principal balance as of the
cut-off date, the master servicer or the depositor will have the option to:
o purchase from the trust all remaining mortgage loans, causing an early
retirement of the certificates;
or
o purchase all the certificates.
Under either type of optional purchase, holders of the outstanding certificates
will receive the outstanding principal balance of the certificates in full with
accrued interest. However, any optional purchase of the remaining mortgage
loans may result in a shortfall to the holders of the most subordinate classes
of certificates outstanding, if the trust then holds properties acquired from
foreclosing upon defaulted loans. In either case, there will be no
reimbursement of principal reductions or related interest that resulted from
losses allocated to the certificates.
S-8
<PAGE>
See "Pooling and Servicing Agreement--Termination" in this prospectus
supplement and "The Pooling and Servicing Agreement--Termination; Retirement of
Certificates" in the prospectus.
RATINGS
When issued, the offered certificates will receive ratings which are not lower
than those listed in the table on page S-5 of this prospectus supplement. The
ratings on the offered certificates address the likelihood that holders of the
offered certificates will receive all distributions on the underlying mortgage
loans to which they are entitled. A security rating is not a recommendation to
buy, sell or hold a security and may be changed or withdrawn at any time by the
assigning rating agency. The ratings also do not address the rate of principal
prepayments on the mortgage loans. For example, the rate of prepayments, if
different than originally anticipated, could adversely affect the yield
realized by holders of the offered certificates or cause holders of the Class
A-V Certificates to fail to fully recover their initial investments.
See "Ratings" in this prospectus supplement.
LEGAL INVESTMENT
When issued, the Class A, Class R and Class M-1 Certificates will, and the
Class M-2 and Class M-3 Certificates will not, be "mortgage related securities"
for purposes of SMMEA. You should consult your legal advisors in determining
whether and to what extent the offered certificates constitute legal
investments for you.
See "Legal Investment" in this prospectus supplement for important information
concerning possible restrictions on ownership of the offered certificates by
regulated institutions.
ERISA CONSIDERATIONS
The Class A Certificates may be considered eligible for purchase by persons
investing assets of employee benefit plans or individual retirement accounts.
Sales of the Class M Certificates and the Class R Certificates to such plans or
retirement accounts are prohibited, except as permitted under "ERISA
Considerations" in this prospectus supplement. If you invest in a Class M
Certificate, you will be deemed to represent that you comply with the
restrictions described in this prospectus supplement.
See "ERISA Considerations" in this prospectus supplement and in the prospectus.
TAX STATUS
For federal income tax purposes, the depositor will elect to treat the trust as
a real estate mortgage investment conduit. The certificates, other than the
Class R Certificates, will represent ownership of regular interests in the
trust and will be treated as representing ownership of debt for federal income
tax purposes. You will be required to include in income all interest and
original issue discount, if any, on such certificates in accordance with the
accrual method of accounting regardless of your usual methods of accounting.
For federal income tax purposes, the Class R Certificates will be the sole
residual interest in the real estate mortgage investment conduit.
S-9
<PAGE>
For further information regarding the federal income tax consequences of
investing in the offered certificates, including important information
regarding the tax treatment of the Class R Certificates, see "Material Federal
Income Tax Consequences" in this prospectus supplement and in the prospectus.
S-10
<PAGE>
RISK FACTORS
The offered certificates are not suitable investments for all investors.
In particular, you should not purchase any class of offered certificates unless
you understand the prepayment, credit, liquidity and market risks associated
with that class.
The offered certificates are complex securities. You should possess,
either alone or together with an investment advisor, the expertise necessary to
evaluate the information contained in this prospectus supplement and the
prospectus in the context of your financial situation and tolerance for risk.
You should carefully consider, among other things, the following factors
in connection with the purchase of the offered certificates:
RISK OF LOSS
<TABLE>
<S> <C>
The return on your Losses on the mortgage loans may occur due to a wide variety
certificates may be of causes, including a decline in real estate values, and adverse
affected by losses on changes in the borrower's financial condition. A decline in real
the mortgage loans, estate values or economic conditions nationally or in the
which could occur regions where the mortgaged properties are concentrated may
due to a variety of increase the risk of losses on the mortgage loans.
causes.
The return on your One risk of investing in mortgage-backed securities is created
certificates may be by any concentration of the related properties in one or more
particularly sensitive geographic regions. Approximately 40.0% of the cut-off date
to changes in real principal balance of the mortgage loans are located in
estate markets in California. If the regional economy or housing market
specific regions. weakens in California, or in any other region having a
significant concentration of properties underlying the mortgage
loans, the mortgage loans in that region may experience high
rates of loss and delinquency, resulting in losses to
certificateholders. A region's economic condition and housing
market may be adversely affected by a variety of events,
including natural disasters such as earthquakes, hurricanes,
floods and eruptions, and civil disturbances such as riots.
</TABLE>
S-11
<PAGE>
<TABLE>
<S> <C>
The return on your The only credit enhancement for the senior certificates (other
certificates will be than the Class A-6 Certificates) will be the subordination
reduced if losses provided by the Class M Certificates and Class B Certificates.
exceed the credit Additional credit enhancement will be provided for the
enhancement Class A-6 Certificates by a certificate guaranty insurance
available to your policy. The only credit enhancement for the Class M
certificates. Certificates will be the subordination provided by the Class B
Certificates and by any class of Class M Certificates with a
lower payment priority. You should also be aware that the
credit enhancement provided for some types of losses is
limited, except in the case of the Class A-6 Certificates.
The value of your If the performance of the mortgage loans is substantially worse
certificates may be than assumed by the rating agencies, the ratings of any class of
reduced if losses are the certificates may be lowered in the future. This would
higher than expected. probably reduce the value of those certificates. None of the
depositor, the master servicer or any other entity will have any
obligation to supplement any credit enhancement, or to take
any other action to maintain any rating of the certificates.
LIMITED OBLIGATIONS
Payments on the The certificates represent interests only in the RFMSI
mortgage loans are Series 2000-S10 Trust. The certificates do not represent an
the primary source of ownership interest in or obligation of the depositor, the master
payments on your servicer or any of their affiliates. If proceeds from the assets of
certificates. the RFMSI Series 2000-S10 Trust are not sufficient to make all
payments provided for under the pooling and servicing
agreement, investors will have no recourse to the depositor,
the master servicer or any other entity, and will incur losses.
Losses allocated to the Class A-6 Certificates will be covered
by a certificate guaranty insurance policy.
LIQUIDITY RISKS
You may have to hold A secondary market for your certificates may not develop.
your certificates to Even if a secondary market does develop, it may not continue
maturity if their or it may be illiquid. Neither the underwriter nor any other
marketability is person will have any obligation to make a secondary market in
limited. your certificates. Illiquidity means you may not be able to find
a buyer to buy your securities readily or at prices that will
enable you to realize a desired yield. Illiquidity can have a
severe adverse effect on the market value of your certificates.
</TABLE>
S-12
<PAGE>
<TABLE>
<S> <C>
Any class of offered certificates may experience illiquidity,
although generally illiquidity is more likely for classes that are
especially sensitive to prepayment, credit or interest rate risk,
or that have been structured to meet the investment
requirements of limited categories of investors.
SPECIAL YIELD AND
PREPAYMENT
CONSIDERATIONS
The yield on your The yield to maturity on each class of offered certificates will
certificates will vary depend on a variety of factors, including:
depending on the rate
of prepayments.
o the rate and timing of principal payments on the mortgage
loans, including prepayments, defaults and liquidations, and
repurchases due to breaches of representations or warranties;
o the pass-through rate for that class;
o interest shortfalls due to mortgagor prepayments; and
o the purchase price of that class.
The rate of prepayments is one of the most important and
least predictable of these factors.
In general, if you purchase a certificate at a price higher than
its outstanding principal balance and principal distributions on
your certificate occur faster than you assumed at the time of
purchase, your yield will be lower than you anticipated.
Conversely, if you purchase a certificate at a price lower than
its outstanding principal balance and principal distributions on
that class occur more slowly than you assumed at the time of
purchase, your yield will be lower than you anticipated.
</TABLE>
S-13
<PAGE>
<TABLE>
<S> <C>
The rate of Since mortgagors, in most cases, can prepay their mortgage
prepayments on the loans at any time, the rate and timing of principal distributions
mortgage loans will on the offered certificates are highly uncertain. Generally,
vary depending on when market interest rates increase, borrowers are less likely
future market to prepay their mortgage loans. This could result in a slower
conditions, and other return of principal to you at a time when you might have been
factors. able to reinvest your funds at a higher rate of interest than the
pass-through rate on your class of certificates. On the other
hand, when market interest rates decrease, borrowers are
generally more likely to prepay their mortgage loans. This
could result in a faster return of principal to you at a time
when you might not be able to reinvest your funds at an
interest rate as high as the pass-through rate on your class of
certificates.
Refinancing programs, which may involve soliciting all or some
of the mortgagors to refinance their mortgage loans, may
increase the rate of prepayments on the mortgage loans. These
refinancing programs may be offered by the master servicer,
any subservicer or their affiliates, and may include streamlined
documentation programs as well as programs under which a
mortgage loan is modified to reduce the interest rate.
The yield on your The offered certificates of each class have different yield
certificates will be considerations and different sensitivities to the rate and timing
affected by the of principal distributions. The following is a general discussion
specific terms that of yield considerations and prepayment sensitivities of each
apply to that class, class.
discussed below.
Class A The Class A Certificates are subject to various priorities for
Certificates payment of principal. Distributions of principal on the Class A
Certificates with an earlier priority of payment will be affected
by the rates of prepayment of the mortgage loans early in the
life of the mortgage pool. Those classes of Class A Certificates
with a later priority of payment will be affected by the rates of
prepayment of the mortgage loans experienced both before
and after the commencement of principal distributions on
those classes, and will be more likely to be affected by losses
on the mortgage loans not covered by the credit enhancement.
See "Description of the Certificates--Principal Distributions on
the Senior Certificates" in this prospectus supplement.
</TABLE>
S-14
<PAGE>
<TABLE>
<S> <C>
Class A-5 Because the Class A-5 Certificates are not entitled to receive
Certificates any distributions of interest for some period of time, these
certificates will likely experience significant price and yield
volatility. Investors should consider whether this volatility is
suitable to their investment needs.
Class A-4, The Class A-4, Class A-6, Class A-9 and Class A-10
Class A-6, Certificates will receive a portion of principal payments after
Class A-9 and some of the other classes of Class A Certificates have received
Class A-10 principal payments. Therefore, an investor's yield on the Class
Certificates A-4, Class A-6, Class A-9 and Class A-10 Certificates will be
sensitive to the rate and timing of those distributions and
therefore those certificates would not be an appropriate
investment for any investor requiring a distribution of a
particular amount of principal or interest on a specific date or
dates. IN ADDITION TO THE CONSIDERATIONS DESCRIBED ABOVE,
INVESTORS IN THE CLASS A-4, CLASS A-6, CLASS A-9 AND CLASS A-10
CERTIFICATES SHOULD BE AWARE THAT THOSE CERTIFICATES MAY NOT BE
AN APPROPRIATE INVESTMENT FOR ALL PROSPECTIVE INVESTORS.
Investors in the Class A-4, Class A-6, Class A-9 and Class
A-10 Certificates should be aware that payments of principal
on those certificates will be allocated according to a random
lot procedure. Therefore it is highly uncertain that payments
will be made to any investor in those certificates on the date
desired by that investor.
See "Description of the Certificates--Principal Distributions on
the Retail Certificates" in this prospectus supplement.
Class A-6 Losses on mortgage loans that are allocated to the Class A-6
Certificates Certificates will be covered by the certificate guaranty
insurance policy provided by Ambac Assurance Corporation,
as described in this prospectus supplement. Additionally, some
interest shortfalls allocated to the Class A-6 Certificates will be
offset to the extent that funds are available in the reserve fund
described in this prospectus supplement and, to the extent that
funds are not so available, by the certificate guaranty
insurance policy.
See "Description of the Certificates--Interest Distributions" and
"--The Policy" in this prospectus supplement.
</TABLE>
S-15
<PAGE>
<TABLE>
<S> <C>
Class A-8 It is not expected that the Class A-8 Certificates will receive
Certificates any distributions of principal until the distribution date in
September 2005. Until the distribution date in
September 2009, the Class A-8 Certificates may receive a
portion of principal payments that is smaller than its pro rata
share of principal payments.
Class A-P The Class A-P Certificates will receive a portion of the
Certificates principal payments only on the mortgage loans that have net
mortgage rates lower than 7.75%. Therefore, the yield on the
Class A-P Certificates is extremely sensitive to the rate and
timing of principal prepayments and defaults on the mortgage
loans that have net mortgage rates lower than 7.75%.
Mortgage loans with lower mortgage rates are less likely to be
prepaid than mortgage loans with higher mortgage rates. If
prepayments of principal on the mortgage loans that have net
mortgage rates lower than 7.75% occur at a rate slower than
an investor assumed at the time of purchase, the investor's
yield will be adversely affected.
Class A-V The Class A-V Certificates will receive a portion of the
Certificates interest payments only from mortgage loans that have net
mortgage rates higher than 7.75%. Therefore, the yield on the
Class A-V Certificates will be extremely sensitive to the rate
and timing of principal prepayments and defaults on the
mortgage loans that have net mortgage rates higher than
7.75%.
Mortgage loans with higher mortgage rates are more likely to
be prepaid than mortgage loans with lower mortgage rates. If
the mortgage loans that have net mortgage rates higher than
7.75% are prepaid at a rate faster than an investor assumed at
the time of purchase, the yield to investors in the Class A-V
Certificates will be adversely affected. Investors in the
Class A-V Certificates should fully consider the risk that a
rapid rate of prepayments on the mortgage loans that have net
mortgage rates higher than 7.75% could result in the failure of
such investors to fully recover their investments.
Class M The yield to investors in each class of the Class M Certificates
Certificates will be sensitive to the rate and timing of losses on the
mortgage loans, if those losses are not covered by a more
subordinate class of Class M Certificates or the Class B
Certificates.
</TABLE>
S-16
<PAGE>
<TABLE>
<S> <C>
It is not expected that the Class M Certificates will receive any
distributions of principal prepayments until the distribution
date in September 2005. After that date, all or a
disproportionately large portion of principal prepayments on
the mortgage loans may be allocated to the senior certificates,
and none or a disproportionately small portion of principal
prepayments may be paid to the holders of the Class M
Certificates and Class B Certificates. As a result, the weighted
average lives of the Class M Certificates may be longer than
would otherwise be the case.
The recording of The mortgages or assignments of mortgage for some of the
mortgages in the mortgage loans have been or may be recorded in the name of
name of MERS may Mortgage Electronic Registration Systems, Inc., or MERS,
affect the yield on the solely as nominee for the originator and its successors and
certificates. assigns. Subsequent assignments of those mortgages are
registered electronically through the MERS (Registered Trademark) System.
However, if MERS discontinues the MERS (Registered Trademark) System and it
becomes necessary to record an assignment of the mortgage to
the trustee, then any related expenses shall be paid by the
trust and will reduce the amount available to pay principal of
and interest on the outstanding class or classes of certificates
with the lowest payment priorities.
The recording of mortgages in the name of MERS is a new
practice in the mortgage lending industry. Public recording
officers and others may have limited, if any, experience with
lenders seeking to foreclose mortgages, assignments of which
are registered with MERS. Accordingly, delays and additional
costs in commencing, prosecuting and completing foreclosure
proceedings and conducting foreclosure sales of the mortgaged
properties could result. Those delays and additional costs
could in turn delay the distribution of liquidation proceeds to
certificateholders and increase the amount of losses on the
mortgage loans.
For additional information regarding MERS and the MERS (Registered Trademark)
System, see "Description of the Mortgage Pool--Mortgage Pool
Characteristics" and "Certain Yield and Prepayment
Considerations" in this prospectus supplement and "Description
of the Certificates--Assignment of Trust Assets" in the
prospectus.
</TABLE>
S-17
<PAGE>
INTRODUCTION
The depositor will establish a trust with respect to Series 2000-S10 on
the closing date, under a series supplement, dated as of August 1, 2000, to the
standard terms of pooling and servicing agreement, dated as of December 1,
1999, among the depositor, the master servicer and the trustee. On the closing
date, the depositor will deposit into the trust a pool of mortgage loans, that
in the aggregate will constitute a mortgage pool, secured by one- to
four-family residential properties with terms to maturity of not more than 30
years.
Some capitalized terms used in this prospectus supplement have the
meanings given below under "Description of the Certificates--Glossary of Terms"
or in the prospectus under "Glossary."
DESCRIPTION OF THE MORTGAGE POOL
GENERAL
The mortgage pool will consist of 987 mortgage loans with an aggregate
principal balance outstanding as of the cut-off date, after deducting payments
of principal due on the cut-off date, of approximately $339,687,563. The
mortgage loans are secured by first liens on fee simple interests in one- to
four-family residential real properties and, in the case of four of the
mortgage loans, an interest in shares issued by a cooperative apartment
corporation and the related proprietary lease. The property securing the
mortgage loan is referred to as the mortgaged property. The mortgage pool will
consist of conventional, fixed-rate, fully-amortizing, level monthly payment
first mortgage loans with terms to maturity of not more than 30 years from the
date of origination or modification. With respect to mortgage loans which have
been modified, references in this prospectus supplement to the date of
origination shall be deemed to be the date of the most recent modification. All
percentages of the mortgage loans described in this prospectus supplement are
approximate percentages by aggregate principal balance as of the cut-off date
unless otherwise indicated.
All of the mortgage loans were purchased by the depositor through its
affiliate, Residential Funding, from unaffiliated sellers as described in this
prospectus supplement and in the prospectus, except in the case of 6.7% of the
mortgage loans, which were purchased by the depositor through its affiliate,
Residential Funding, from HomeComings Financial Network, Inc., a wholly-owned
subsidiary of the master servicer. 0.9% of the mortgage loans were purchased
from and are being or will be subserviced by GMAC Mortgage Corporation, an
affiliate of the master servicer. 18.4% and 11.2% of the mortgage loans were
purchased from and are being subserviced by Citicorp Mortgage, Inc. and First
Nationwide Mortgage, respectively, each an unaffiliated seller. Except as
described in the preceding sentence, no unaffiliated seller sold more than
10.1% of the mortgage loans to Residential Funding. 39.5% of the mortgage loans
are being or will be subserviced by HomeComings Financial Network, Inc.
Under the terms of the pooling and servicing agreement, the depositor will
assign the representations and warranties made by the related sellers of the
mortgage loans to the trustee for the benefit of the certificateholders and
will also make limited representations and warranties regarding the mortgage
loans as of the date of issuance of the certificates. To the best of the
depositor's knowledge, none of the mortgage loans were sold to Residential
Funding by unaffiliated sellers that are institutions which are currently in
receivership or conservatorship or involved in other insolvency or bankruptcy
proceedings, or are no longer in existence.
To the extent that any seller of the mortgage loans does not repurchase a
mortgage loan in the event of a breach of its representations and warranties
with respect to that mortgage loan, neither the depositor nor Residential
Funding will be required to repurchase the mortgage loan unless:
o the breach also constitutes a breach of one of the depositor's or
Residential Funding's representations and warranties with respect to that
mortgage loan and
o the breach materially and adversely affects the interests of the
certificateholders in any such mortgage loan.
S-18
<PAGE>
In addition, neither the depositor nor Residential Funding will be
required to repurchase any mortgage loan in the event of a breach of its
representations and warranties with respect to that mortgage loan if the
substance of any such breach also constitutes fraud in the origination of the
affected mortgage loan. A limited amount of losses on mortgage loans as to
which there was fraud in the origination of those mortgage loans will be
covered by the subordination provided by the Class M Certificates and Class B
Certificates as described in this prospectus supplement under "Description of
the Certificates--Allocation of Losses; Subordination" and all such losses
allocated to the Class A-6 Certificates will be covered by the certificate
guaranty insurance policy. See "Description of the Certificates--The Policy" in
this prospectus supplement.
MORTGAGE POOL CHARACTERISTICS
None of the mortgage loans will have been originated prior to February 23,
1998 or will have a maturity date later than August 1, 2030. No mortgage loan
will have a remaining term to maturity as of the cut-off date of less than 239
months. The weighted average remaining term to maturity of the mortgage loans
as of the cut-off date will be approximately 358 months. The weighted average
original term to maturity of the mortgage loans as of the cut-off date will be
approximately 360 months. As used in this prospectus supplement the remaining
term to maturity means, as of any date of determination and with respect to any
mortgage loan, the number of months equaling the number of scheduled monthly
payments necessary to reduce the then-current Stated Principal Balance of that
mortgage loan to zero, assuming the related mortgagor will make all scheduled
monthly payments but no prepayments, on the mortgage loan thereafter.
The original mortgages for some of the mortgage loans have been, or in the
future may be, at the sole discretion of the master servicer, recorded in the
name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as
nominee for the originator and its successors and assigns, and subsequent
assignments of those mortgages have been, or in the future may be, at the sole
discretion of the master servicer, registered electronically through the MERS
(Registered Trademark) System. In some other cases, the original mortgage was
recorded in the name of the originator of the mortgage loan, record ownership
was later assigned to MERS, solely as nominee for the owner of the mortgage
loan, and subsequent assignments of the mortgage were, or in the future may be,
at the sole discretion of the master servicer, registered electronically
through the MERS (Registered Trademark) System. For each of these mortgage
loans, MERS serves as mortgagee of record on the mortgage solely as a nominee
in an administrative capacity on behalf of the trustee, and does not have any
interest in the mortgage loan. For additional information regarding the
recording of mortgages in the name of MERS see "Certain Yield and Prepayment
Considerations--General" in this prospectus supplement and "Description of the
Certificates--Assignment of Trust Assets" in the prospectus.
As of the cut-off date, none of the mortgage loans will be one month or
more delinquent in payment of principal and interest. For a description of the
methodology used to categorize mortgage loans as delinquent, see "Pooling and
Servicing Agreement--The Master Servicer" in this prospectus supplement.
Approximately 0.2% of the mortgage loans will be Buy-Down Mortgage Loans.
No mortgage loan provides for deferred interest or negative amortization.
Five mortgage loans, representing approximately 0.8% of the aggregate
principal balance of the mortgage loans, are Pledged Asset Mortgage Loans. See
"The Trusts--The Mortgage Loans" in the prospectus.
For purposes of the table below entitled "Original Loan-To-Value Ratios,"
the LTV ratio of each Pledged Asset Mortgage Loan was calculated by reducing
the principal balance of the Pledged Asset Mortgage Loan by the amount of
Pledged Assets with respect to that mortgage loan.
Included below is a table showing the Credit Scores for some mortgagors.
Credit Scores are obtained by many mortgage lenders in connection with mortgage
loan applications to help assess a borrower's credit-worthiness. In addition,
Credit Scores may be obtained by Residential Funding after the origination of a
mortgage loan if the seller does not provide to Residential Funding a Credit
Score. Credit Scores are
S-19
<PAGE>
obtained from credit reports provided by various credit reporting
organizations, each of which may employ differing computer models and
methodologies. The Credit Score is designed to assess a borrower's credit
history at a single point in time, using objective information currently on
file for the borrower at a particular credit reporting organization.
Information utilized to create a Credit Score may include, among other things,
payment history, delinquencies on accounts, levels of outstanding indebtedness,
length of credit history, types of credit, and bankruptcy experience. Credit
Scores range from approximately 350 to approximately 840, with higher scores
indicating an individual with a more favorable credit history compared to an
individual with a lower score. However, a Credit Score purports only to be a
measurement of the relative degree of risk a borrower represents to a lender,
i.e., a borrower with a higher score is statistically expected to be less
likely to default in payment than a borrower with a lower score. In addition,
it should be noted that Credit Scores were developed to indicate a level of
default probability over a two-year period, which does not correspond to the
life of a mortgage loan. Furthermore, Credit Scores were not developed
specifically for use in connection with mortgage loans, but for consumer loans
in general, and assess only the borrower's past credit history. Therefore, a
Credit Score does not take into consideration the differences between mortgage
loans and consumer loans generally, or the specific characteristics of the
related mortgage loan, for example, the LTV ratio, the collateral for the
mortgage loan, or the debt to income ratio. There can be no assurance that the
Credit Scores of the mortgagors will be an accurate predictor of the likelihood
of repayment of the related mortgage loans or that any mortgagor's Credit Score
would not be lower if obtained as of the date of this prospectus supplement.
CREDIT SCORE DISTRIBUTION
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
CREDIT SCORE RANGE MORTGAGE LOANS BALANCE MORTGAGE POOL
------------------------ ---------------- -------------- --------------
<S> <C> <C> <C>
620 - 639 .............. 37 $10,402,468 3.06
640 - 659 .............. 55 15,847,958 4.67
660 - 679 .............. 61 20,653,457 6.08
680 - 699 .............. 105 34,073,411 10.03
700 - 719 .............. 115 40,988,196 12.07
720 - 739 .............. 137 49,161,308 14.47
740 - 759 .............. 171 60,301,109 17.75
760 - 779 .............. 176 63,046,994 18.56
780 - 799 .............. 111 38,517,903 11.34
800 or Greater ......... 19 6,694,760 1.97
--- ----------- -----
Total Pool ............. 987 339,687,563 100.00
=== =========== ======
</TABLE>
S-20
<PAGE>
Set forth below is a description of some additional characteristics of the
mortgage loans as of the cut-off date unless otherwise indicated. All
percentages of the mortgage loans are approximate percentages by aggregate
principal balance as of the cut-off date unless otherwise indicated. Unless
otherwise specified, all principal balances of the mortgage loans are as of the
cut-off date and are rounded to the nearest dollar.
MORTGAGE RATES
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
MORTGAGE RATES (%) MORTGAGE LOANS BALANCE MORTGAGE POOL
----------------------- ---------------- --------------- --------------
<S> <C> <C> <C>
6.750 - 6.874 ......... 1 $ 244,081 0.07%
6.875 - 6.999 ......... 2 767,746 0.23
7.000 - 7.124 ......... 8 2,800,582 0.82
7.125 - 7.249 ......... 4 1,971,216 0.58
7.250 - 7.374 ......... 1 277,952 0.08
7.375 - 7.499 ......... 2 551,696 0.16
7.500 - 7.624 ......... 2 531,211 0.16
7.625 - 7.749 ......... 2 624,637 0.18
7.750 - 7.874 ......... 4 1,329,554 0.39
7.875 - 7.999 ......... 21 6,781,671 2.00
8.000 - 8.124 ......... 51 18,501,635 5.45
8.125 - 8.249 ......... 52 17,962,294 5.29
8.250 - 8.374 ......... 91 35,262,655 10.38
8.375 - 8.499 ......... 148 53,579,278 15.77
8.500 - 8.624 ......... 174 61,580,234 18.13
8.625 - 8.749 ......... 138 50,370,035 14.83
8.750 - 8.874 ......... 113 38,062,991 11.21
8.875 - 8.999 ......... 97 31,848,549 9.38
9.000 - 9.124 ......... 32 8,698,005 2.56
9.125 - 9.249 ......... 18 3,472,081 1.02
9.250 - 9.374 ......... 12 2,886,082 0.85
9.375 - 9.499 ......... 1 263,732 0.08
9.500 - 9.624 ......... 5 738,165 0.22
9.625 - 9.749 ......... 1 83,520 0.02
9.750 - 9.874 ......... 7 497,962 0.15
--- ------------ -----
Total ................. 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
As of the cut-off date, the weighted average mortgage rate will be
approximately 8.4728% per annum.
S-21
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
ORIGINAL MORTGAGE LOAN BALANCE MORTGAGE LOANS BALANCE MORTGAGE LOANS
-------------------------------- ---------------- --------------- ---------------
<S> <C> <C> <C>
$ 0 - 100,000............ 40 $ 2,822,816 0.83%
100,001 - 200,000 ........... 68 10,267,034 3.02
200,001 - 300,000 ........... 268 74,564,049 21.95
300,001 - 400,000 ........... 375 129,275,874 38.06
400,001 - 500,000 ........... 135 60,911,490 17.93
500,001 - 600,000 ........... 50 27,511,090 8.10
600,001 - 700,000 ........... 45 29,111,872 8.57
700,001 - 800,000 ........... 2 1,489,574 0.44
800,001 - 900,000 ........... 2 1,734,979 0.51
900,001 - 1,000,000 ........... 2 1,998,784 0.59
--- ------------ -----
Total .......................... 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
As of the cut-off date, the average unpaid principal balance will be
approximately $344,162.
ORIGINAL LTV RATIO
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
ORIGINAL LTV RATIO (%) MORTGAGE LOANS BALANCE MORTGAGE LOANS
------------------------ ---------------- -------------- ---------------
<S> <C> <C> <C>
0.01 - 50.00 .......... 46 $ 16,524,399 4.86%
50.01 - 55.00 .......... 29 10,178,035 3.00
55.01 - 60.00 .......... 40 15,316,811 4.51
60.01 - 65.00 .......... 57 19,864,708 5.85
65.01 - 70.00 .......... 83 31,106,687 9.16
70.01 - 75.00 .......... 101 32,675,024 9.62
75.01 - 80.00 .......... 501 181,231,250 53.35
80.01 - 85.00 .......... 13 3,923,022 1.15
85.01 - 90.00 .......... 66 19,567,995 5.76
90.01 - 95.00 .......... 51 9,299,632 2.74
--- ------------ -----
Total .................. 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
The weighted average LTV ratio at origination of the Mortgage Loans will
be 74.61%.
S-22
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
STATE MORTGAGE LOANS BALANCE MORTGAGE LOANS
----------------------- ---------------- --------------- ---------------
<S> <C> <C> <C>
California ............ 367 $135,818,540 39.98%
New York .............. 78 28,301,293 8.33
Virginia .............. 49 16,920,760 4.98
Texas ................. 51 16,713,157 4.92
Florida ............... 48 15,337,044 4.52
New Jersey ............ 36 13,970,985 4.11
Massachusetts ......... 33 11,708,615 3.45
Colorado .............. 36 10,905,639 3.21
Other (1) ............. 289 90,011,529 26.50
--- ------------ -----
Total ................. 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
----------
(1) Other includes states and the District of Columbia with under 3%
concentrations individually.
No more than 0.7% will be secured by mortgaged properties located in any
one zip code area in California and no more than 0.9% will be secured by
mortgaged properties located in any one zip code area outside California.
MORTGAGE LOAN PURPOSE
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE MORTGAGE LOANS
----------------------------- ---------------- --------------- ---------------
<S> <C> <C> <C>
Purchase .................... 804 $279,545,862 82.30%
Rate/Term Refinance ......... 128 42,874,162 12.62
Equity Refinance ............ 55 17,267,538 5.08
--- ------------ -----
Total ....................... 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
The weighted average LTV ratio at origination of rate and term refinance
mortgage loans will be 71.40%. The weighted average LTV ratio at origination of
equity refinance mortgage loans will be 61.77%.
MORTGAGE LOAN DOCUMENTATION TYPES
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
DOCUMENTATION TYPE MORTGAGE LOANS BALANCE MORTGAGE LOANS
------------------------------- ---------------- --------------- ---------------
<S> <C> <C> <C>
Full Documentation ............ 887 $310,219,609 91.32%
Reduced Documentation ......... 100 29,467,954 8.68
--- ------------ -----
Total ......................... 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
The weighted average LTV ratio at origination which were underwritten
under a reduced loan documentation program will be 64.45%. No more than 54.6%
of such reduced loan documentation mortgage loans will be secured by mortgaged
properties located in California.
S-23
<PAGE>
OCCUPANCY TYPES
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
OCCUPANCY TYPE MORTGAGE LOANS BALANCE MORTGAGE LOANS
--------------------------- ---------------- --------------- ---------------
<S> <C> <C> <C>
Primary Residence ......... 959 $329,899,669 97.12%
Second/Vacation ........... 28 9,787,894 2.88
--- ------------ -----
Total ..................... 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
MORTGAGED PROPERTY TYPES
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE MORTGAGE LOANS
---------------------------------------------- ---------------- --------------- ---------------
<S> <C> <C> <C>
Single-family detached ....................... 713 $248,636,225 73.20%
Planned Unit Developments (detached) ......... 213 72,313,363 21.29
Two- to four-family units .................... 9 2,557,931 0.75
Condo Low-Rise (less than 5 stories) ......... 27 7,564,358 2.23
Condo Mid-Rise (5 to 8 stories) .............. 2 654,806 0.19
Condo High-Rise (9 stories or more) .......... 6 2,959,992 0.87
Townhouse .................................... 2 659,793 0.19
Planned Unit Developments (attached) ......... 11 3,164,288 0.93
Cooperative Units ............................ 4 1,176,806 0.35
--- ------------ -----
Total ........................................ 987 $339,687,563 100.00%
=== ============ ======
</TABLE>
NET MORTGAGE RATES OF DISCOUNT MORTGAGE LOANS
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL PERCENT OF
NET MORTGAGE RATE (%) MORTGAGE LOANS BALANCE MORTGAGE POOL
----------------------- ---------------- ------------- --------------
<S> <C> <C> <C>
6.470 ................. 2 $ 883,359 0.26%
6.595 ................. 2 767,746 0.23
6.720 ................. 7 2,161,304 0.64
6.845 ................. 4 1,971,216 0.58
6.970 ................. 1 277,952 0.08
7.095 ................. 2 551,696 0.16
7.220 ................. 2 531,211 0.16
7.345 ................. 3 920,683 0.27
7.470 ................. 7 2,574,718 0.76
7.595 ................. 23 7,377,817 2.17
7.720 ................. 57 21,114,813 6.22
-- ----------- ----
Total ................. 110 $39,132,515 11.52%
=== =========== =====
</TABLE>
As of the cut-off date, the weighted average of the Discount Fractions of
the Discount Mortgage Loans was approximately 3.21753692%.
Certain aspects of the Cooperative Loans included in the mortgage pool
differ from those of other types of mortgage loans. See "Certain Legal Aspects
of Mortgage Loans--The Mortgage Loans--Cooperative Loans" in the prospectus.
S-24
<PAGE>
PRIMARY MORTGAGE INSURANCE AND PRIMARY HAZARD INSURANCE
Each mortgage loan is required to be covered by a standard hazard
insurance policy, which is referred to as a primary hazard insurance policy. In
addition, to the best of the depositor's knowledge, each mortgage loan with an
LTV ratio at origination in excess of 80% will be insured by a primary mortgage
insurance policy, which is referred to as a primary insurance policy, covering
at least 30% of the principal balance of the mortgage loan at origination if
the LTV ratio is between 95.00% and 90.01%, except with respect to two mortgage
loans with an LTV ratio between 95.00% and 90.01% which will each have a
primary insurance policy covering at least 25% of the balance of that mortgage
loan at origination, at least 25% of the balance if the LTV ratio is between
90.00% and 85.01%, except with respect to one mortgage loan with an LTV ratio
between 90.00% and 85.01% which will have a primary insurance policy covering
at least 20% of the balance of that mortgage loan at origination, and at least
12% of the balance if the LTV ratio is between 85.00% and 80.01%. Five Pledged
Asset Mortgage Loans representing approximately 0.8% of the aggregate principal
balance of the mortgage loans will be secured by Pledged Assets in addition to
the related mortgaged property and in lieu of any primary mortgage insurance.
Substantially all of the primary insurance policies were issued by General
Electric Mortgage Insurance Corporation, Mortgage Guaranty Insurance
Corporation, Triad Guaranty, United Guaranty Residential Insurance Company, PMI
Mortgage Insurance Company, Commonwealth Mortgage Assurance Company or Republic
Mortgage Insurance Company, which collectively are the primary insurers. Each
primary insurer has a claims paying ability currently acceptable to the rating
agencies that have been requested to rate the certificates; however, there is
no assurance as to the actual ability of any primary insurer to pay claims. See
"Insurance Policies on Mortgage Loans" in the prospectus.
ADDITIONAL INFORMATION
The description in this prospectus supplement of the mortgage pool and the
mortgaged properties is based upon the mortgage pool as constituted at the
close of business on the cut-off date, as adjusted for the scheduled principal
payments due on or before the cut-off date. Prior to the issuance of the
offered certificates, mortgage loans may be removed from the mortgage pool as a
result of incomplete documentation or otherwise, if the depositor deems that
removal necessary or appropriate. A limited number of other mortgage loans may
be added to the mortgage pool prior to the issuance of the offered
certificates. The depositor believes that the information in this prospectus
supplement will be substantially representative of the characteristics of the
mortgage pool as it will be constituted at the time the offered certificates
are issued although the range of mortgage rates and maturities and some other
characteristics of the mortgage loans in the mortgage pool may vary.
A current report on Form 8-K will be available to purchasers of the
offered certificates and will be filed, together with the pooling and servicing
agreement, with the Securities and Exchange Commission within fifteen days
after the initial issuance of the offered certificates. In the event mortgage
loans are removed from or added to the mortgage pool as described in the
preceding paragraph, that removal or addition will be noted in the current
report.
S-25
<PAGE>
DESCRIPTION OF THE CERTIFICATES
GENERAL
The Series 2000-S10 Mortgage Pass-Through Certificates will include the
following thirteen classes of Senior Certificates:
- Class A-1 Certificates;
- Class A-2 Certificates;
- Class A-3 Certificates;
- Class A-4 Certificates;
- Class A-5 Certificates, or the Accrual Certificates;
- Class A-6 Certificates, or the Insured Certificates;
- Class A-7 Certificates;
- Class A-8 Certificates, or the Lockout Certificates;
- Class A-9 Certificates;
- Class A-10 Certificates, and together with the Class A-4 Certificates,
Class A-6 Certificates and Class A-9 Certificates, the Retail
Certificates;
- Class A-P Certificates, or the Principal Only Certificates;
- Class A-V Certificates, or the Variable Strip Certificates; and
- Class R Certificates, or the Residual Certificates.
The Class A-1 Certificates, Class A-2 Certificates, Class A-3
Certificates, Class A-4 Certificates, Class A-9 Certificates and Class A-10
Certificates are collectively referred to in this prospectus supplement as the
Accretion Directed Certificates. In addition to the Senior Certificates, the
Series 2000-S10 Mortgage Pass-Through Certificates will also include six
classes of subordinate certificates which are designated as the Class M-1
Certificates, Class M-2 Certificates, Class M-3 Certificates, Class B-1
Certificates, Class B-2 Certificates and Class B-3 Certificates. Only the
Senior Certificates and Class M Certificates are offered hereby. See "Index of
Principal Definitions" in the prospectus for the meanings of capitalized terms
and acronyms not otherwise defined in this prospectus supplement.
The Insured Certificates will be entitled to the benefits of a certificate
guaranty insurance policy, or the policy, to be issued by Ambac Assurance
Corporation, referred to in this prospectus supplement as the insurer. The
insurer shall be subrogated to the rights of each holder of an Insured
Certificate to receive distributions, as applicable, on those Insured
Certificates to the extent of any payment by the insurer under the policy.
The certificates will evidence the entire beneficial ownership interest in
the trust. The trust will consist of:
- the mortgage loans;
- the assets as from time to time that are identified as deposited in
respect of the mortgage loans in the Custodial Account and in the
Certificate Account and belonging to the trust;
- property acquired by foreclosure of the mortgage loans or deed in lieu
of foreclosure;
- any applicable primary insurance policies and primary hazard insurance
policies; and
- all proceeds of any of the foregoing.
The Senior Certificates will evidence in the aggregate an initial
beneficial ownership interest of approximately 96.10% in the trust. The Class
M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3 Certificates will
each evidence in the aggregate an initial beneficial ownership interest of
approximately 2.00%, 0.75%, 0.45%, 0.30%, 0.20% and 0.20%, respectively, in the
trust.
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The Senior Certificates, other than the Class A-P, Class A-V and Class R
Certificates, and the Class M Certificates will be available only in book-entry
form through facilities of The Depository Trust Company, and are collectively
referred to as the DTC registered certificates. The DTC registered certificates
will be issued, maintained and transferred on the book-entry records of DTC and
its participants. The DTC registered certificates, other than the Retail
Certificates, will be issued in minimum denominations of $25,000, or $250,000
in the case of the Class M-2 Certificates and Class M-3 Certificates, and
integral multiples of $1 in excess thereof. The Retail Certificates will be
issued in minimum denominations of $1,000 and integral multiples of $1,000 in
excess thereof. The Class A-P Certificates will be issued in registered,
certificated form in minimum denominations of $25,000 and integral multiples of
$1,000 in excess thereof, except for one Class A-P Certificate evidencing the
sum of an authorized denomination thereof and the remainder of the aggregate
initial Certificate Principal Balance of such class of certificates. The
Variable Strip Certificates and Residual Certificates will be issued in
registered, certificated form in minimum denominations of a 20% percentage
interest, except, in the case of one Class R Certificate, as otherwise
described in this prospectus supplement under "Material Federal Income Tax
Consequences."
The DTC registered certificates will be represented by one or more
certificates registered in the name of the nominee of DTC. The depositor has
been informed by DTC that DTC's nominee will be Cede & Co. No beneficial owner
will be entitled to receive a certificate of any class in fully registered
form, or a definitive certificate, except as described in this prospectus
supplement under "--Book-Entry Registration of Certain of the Offered
Certificates--Definitive Certificates." Unless and until definitive
certificates are issued for the DTC registered certificates under the limited
circumstances described in this prospectus supplement:
- all references to actions by certificateholders with respect to the DTC
registered certificates shall refer to actions taken by DTC upon
instructions from its participants, and
- all references in this prospectus supplement to distributions, notices,
reports and statements to certificateholders with respect to the DTC
registered certificates shall refer to distributions, notices, reports and
statements to DTC or Cede, as the registered holder of the DTC registered
certificates, for distribution to beneficial owners by DTC in accordance
with DTC procedures.
BOOK-ENTRY REGISTRATION OF CERTAIN OF THE OFFERED CERTIFICATES
General. Beneficial owners that are not participants or indirect
participants but desire to purchase, sell or otherwise transfer ownership of,
or other interests in, the related DTC registered certificates may do so only
through participants and indirect participants. In addition, beneficial owners
will receive all distributions of principal of and interest on the related DTC
registered certificates from the paying agent through DTC and participants.
Accordingly, beneficial owners may experience delays in their receipt of
payments. Unless and until definitive certificates are issued for the related
DTC registered certificates, it is anticipated that the only registered
certificateholder of the DTC registered certificates will be Cede, as nominee
of DTC. Beneficial owners will not be recognized by the trustee or the master
servicer as certificateholders, as the term is used in the pooling and
servicing agreement, and beneficial owners will be permitted to receive
information furnished to certificateholders and to exercise the rights of
certificateholders only indirectly through DTC, its participants and indirect
participants.
Under the rules, regulations and procedures creating and affecting DTC and
its operations, DTC is required to make book-entry transfers of DTC registered
certificates among participants and to receive and transmit distributions of
principal of, and interest on, the DTC registered certificates. Participants
and indirect participants with which beneficial owners have accounts with
respect to the DTC registered certificates similarly are required to make
book-entry transfers and receive and transmit distributions on behalf of their
respective beneficial owners. Accordingly, although beneficial owners will not
possess physical certificates evidencing their interests in the DTC registered
certificates, DTC's rules provide a mechanism by which beneficial owners,
through their participants and indirect participants, will receive
distributions and will be able to transfer their interests in the DTC
registered certificates.
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None of the depositor, the master servicer or the trustee will have any
liability for any actions taken by DTC or its nominee, including, without
limitation, actions for any aspect of the records relating to or payments made
on account of beneficial ownership interests in the DTC registered certificates
held by Cede, as nominee for DTC, or for maintaining, supervising or reviewing
any records relating to such beneficial ownership interests.
Definitive Certificates. Definitive certificates will be issued to
beneficial owners or their nominees, respectively, rather than to DTC or its
nominee, only under the limited conditions described in the prospectus under
"Description of the Certificates--Form of Certificates."
Upon the occurrence of an event described in the prospectus in the third
paragraph under "Description of the Certificates--Form of Certificates," the
trustee is required to notify, through DTC, participants who have ownership of
DTC registered certificates as indicated on the records of DTC of the
availability of definitive certificates for their DTC registered certificates.
Upon surrender by DTC of the definitive certificates representing the DTC
registered certificates and upon receipt of instructions from DTC for
re-registration, the trustee will reissue the DTC registered certificates as
definitive certificates issued in the respective principal amounts owned by
individual beneficial owners, and thereafter the trustee and the master
servicer will recognize the holders of the definitive certificates as
certificateholders under the pooling and servicing agreement.
For additional information regarding DTC and the DTC registered
certificates, see "Description of the Certificates--Form of Certificates" in
the prospectus.
GLOSSARY OF TERMS
The following terms are given the meanings shown below to help describe
the cash flows on the certificates:
ACCRETION TERMINATION DATE--The earlier to occur of (i) the distribution
date on which the Certificate Principal Balance of the Class A-1 Certificates
has been reduced to zero and (ii) the Credit Support Depletion Date.
ACCRUAL DISTRIBUTION AMOUNT--On each distribution date preceding the
Accretion Termination Date, an amount equal to the amount of Accrued
Certificate Interest on the Class A-5 Certificates for such date which will be
added to the Certificate Principal Balance of the Class A-5 Certificates and
distributed to the holders of the Class A-1, Class A-2, Class A-3, Class A-4,
Class A-9 and Class A-10 Certificates, in the manner and priority set forth in
this prospectus supplement, as principal in reduction of the Certificate
Principal Balances of the Class A-1, Class A-2, Class A-3, Class A-4, Class A-9
and Class A-10 Certificates. The amount that is added to the Certificate
Principal Balance of the Class A-5 Certificates will accrue interest at a rate
of 7.75% per annum. On each distribution date on or after the Accretion
Termination Date, the entire Accrued Certificate Interest on the Class A-5
Certificates for that date will be payable to the holders of the Class A-5
Certificates, as interest, to the extent not required to fully reduce the
Certificate Principal Balance of the Class A-1 Certificates to zero on the
Accretion Termination Date; provided, however, that if the Accretion
Termination Date is the Credit Support Depletion Date, the entire Accrual
Distribution Amount for that date will be payable as interest to the holders of
the Class A-5 Certificates.
ACCRUED CERTIFICATE INTEREST--With respect to any distribution date, an
amount equal to (a) in the case of each class of offered certificates, other
than the Variable Strip Certificates and Principal Only Certificates, interest
accrued during the related Interest Accrual Period on the Certificate Principal
Balance of the certificates of that class immediately prior to that
distribution date at the related pass-through rate and (b) in the case of the
Variable Strip Certificates, interest accrued during the related Interest
Accrual Period on the related Notional Amount immediately prior to that
distribution date at the then-applicable pass-through rate on that class for
that distribution date; in each case less interest shortfalls, if any,
allocated thereto for that distribution date to the extent not covered with
respect to the Senior Certificates by the subordination provided by the Class B
Certificates and Class M Certificates and, only with respect to the Insured
Certificates, by the additional credit enhancement provided by the Reserve Fund
and the policy, as applicable, after depletion of any applicable subordination
and, with
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respect to the Class M Certificates to the extent not covered by the
subordination provided by the Class B Certificates and any class or classes of
Class M Certificates having a lower payment priority, including in each case:
(i) any Prepayment Interest Shortfall to the extent not covered by the
master servicer as described in this prospectus supplement under
"Description of the Certificates--Interest Distributions";
(ii) the interest portions of Realized Losses, including Excess Special
Hazard Losses, Excess Fraud Losses, Excess Bankruptcy Losses and
Extraordinary Losses not allocated through subordination;
(iii) the interest portion of any Advances that were made with respect to
delinquencies that were ultimately determined to be Excess Special Hazard
Losses, Excess Fraud Losses, Excess Bankruptcy Losses or Extraordinary
Losses; and
(iv) any other interest shortfalls not covered by subordination,
including interest shortfalls relating to the Soldiers' and Sailors' Civil
Relief Act of 1940, or Relief Act, or similar legislation or regulations,
all allocated as described below.
Any reductions will be allocated among the holders of all classes of
certificates in proportion to the respective amounts of Accrued Certificate
Interest that would have been payable on that distribution date absent these
reductions. In the case of each class of Class M Certificates, Accrued
Certificate Interest on that class will be further reduced by the allocation of
the interest portion of certain losses thereto, if any, as described below
under "--Allocation of Losses; Subordination." Accrued Certificate Interest on
each class of Senior Certificates will be distributed on a pro rata basis.
Accrued Certificate Interest on each class of certificates is calculated on the
basis of a 360-day year consisting of twelve 30-day months.
AVAILABLE DISTRIBUTION AMOUNT--For any distribution date, an amount equal
to the aggregate of:
- the aggregate amount of scheduled payments on the mortgage loans due on
the related due date and received on or prior to the related determination
date, after deduction of the related master servicing fees and any
subservicing fees, which are collectively referred to as the servicing
fees and the premium on the certificate guaranty insurance policy;
- all unscheduled payments, including mortgagor prepayments on the
mortgage loans, Insurance Proceeds, Liquidation Proceeds and proceeds from
repurchases of and substitutions for the mortgage loans occurring during
the preceding calendar month; and
- all Advances made for that distribution date, in each case net of
amounts reimbursable therefrom to the master servicer and any subservicer.
In addition to the foregoing amounts, with respect to unscheduled
collections, not including mortgagor prepayments, the master servicer may elect
to treat such amounts as included in the Available Distribution Amount for the
distribution date in the month of receipt, but is not obligated to do so. As
described in this prospectus supplement under "--Principal Distributions on the
Senior Certificates," any amount with respect to which such election is so made
shall be treated as having been received on the last day of the preceding
calendar month for the purposes of calculating the amount of principal and
interest distributions to any class of certificates. With respect to any
distribution date, the due date is the first day of the month in which that
distribution date occurs and the determination date is the 20th day of the
month in which that distribution date occurs or, if that day is not a business
day, the immediately succeeding business day.
CERTIFICATE PRINCIPAL BALANCE--For any offered certificate as of any date
of determination, an amount equal to the initial Certificate Principal Balance
of that certificate, plus, in the case of the Accrual Certificates, an amount
equal to the Accrued Certificate Interest added to the Certificate Principal
Balance of the Accrual Certificates on each distribution date on or prior to
the Accretion Termination Date, reduced by the aggregate of (a) all amounts
allocable to principal previously distributed with respect to that certificate
and (b) any reductions in the Certificate Principal Balance of that certificate
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deemed to have occurred in connection with allocations of Realized Losses in
the manner described in this prospectus supplement, provided that, after the
Certificate Principal Balances of the Class B Certificates have been reduced to
zero, the Certificate Principal Balance of any certificate of the class of
Class M Certificates outstanding with the lowest payment priority shall equal
the percentage interest evidenced thereby multiplied by the excess, if any, of
(i) the then-aggregate Stated Principal Balance of all of the mortgage loans
over (ii) the then-aggregate Certificate Principal Balance of all other classes
of certificates then outstanding, not taking into consideration any reduction
in the Certificate Principal Balances of the Retail Certificates due to
withdrawals of funds from the related Rounding Accounts.
CLASS A-P COLLECTION SHORTFALL--With respect to each Final Disposition of
a Discount Mortgage Loan in connection with each distribution date or any prior
distribution date, the extent that the amount included under clause (iii) of
the definition of Class A-P Distribution Amount for that distribution date was
less than the amount described in (a) under clause (iii) of the definition of
Class A-P Distribution Amount. Notwithstanding any other provision of this
prospectus supplement, any distribution relating to any Class A-P Collection
Shortfall, to the extent not covered by any amounts otherwise distributable to
the Class B-3 Certificates, shall result in a reduction of the amount of
principal distributions on that distribution date on (i) first, the Class B-1
Certificates and Class B-2 Certificates and (ii) second, the Class M
Certificates, in each case in reverse order of their payment priority.
CLASS A-P DISTRIBUTION AMOUNT--On each distribution date, a distribution
allocable to principal made to holders of the Class A-P Certificates from the
Available Distribution Amount remaining after the Senior Interest Distribution
Amount, other than the Accrual Distribution Amount, is distributed, equal to
the aggregate of:
(i) the related Discount Fraction of the principal portion of the
scheduled monthly payment on each Discount Mortgage Loan due on the related
due date, whether or not received on or prior to the related determination
date, less the Discount Fraction of the principal portion of any related
Debt Service Reductions which together with other Bankruptcy Losses are in
excess of the Bankruptcy Amount;
(ii) the related Discount Fraction of the principal portion of all
unscheduled collections on each Discount Mortgage Loan received during the
preceding calendar month, other than amounts received in connection with a
Final Disposition of a Discount Mortgage Loan described in clause (iii)
below, including full and partial mortgagor prepayments, repurchases of
Discount Mortgage Loans or, in the case of a substitution, amounts
representing a principal adjustment, as required by the pooling and
servicing agreement, Liquidation Proceeds and Insurance Proceeds, to the
extent applied as recoveries of principal;
(iii) in connection with the Final Disposition of a Discount Mortgage
Loan that did not result in any Excess Special Hazard Losses, Excess Fraud
Losses, Excess Bankruptcy Losses or Extraordinary Losses, an amount equal
to the lesser of (a) the applicable Discount Fraction of the Stated
Principal Balance of that Discount Mortgage Loan immediately prior to that
distribution date and (b) the aggregate amount of collections on that
Discount Mortgage Loan to the extent applied as recoveries of principal;
(iv) any amounts allocable to principal for any previous distribution
date calculated pursuant to clauses (i) through (iii) above that remain
undistributed; and
(v) an amount equal to the aggregate of the Class A-P Collection
Shortfalls, less any amounts paid under this clause on a prior distribution
date, until paid in full; provided, that distributions under this clause
(v) shall only be made to the extent of Eligible Funds (as described in the
definition of Eligible Funds) on any distribution date.
CLASS M PERCENTAGE--With respect to the Class M-1, Class M-2 and Class M-3
Certificates and any distribution date, a percentage that will initially equal
approximately 2.01%, 0.75% and 0.45%, respectively, and each will in no event
exceed 100%. The Class M-1, Class M-2 and Class M-3 Percentages will each be
adjusted for each distribution date to be the percentage equal to the
Certificate Principal Balance of the related class of Class M Certificates
immediately prior to that distribution date divided by the
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aggregate Stated Principal Balance of all of the mortgage loans, other than the
related Discount Fraction of each Discount Mortgage Loan, immediately prior to
that distribution date. The initial Class M-1, Class M-2 and Class M-3
Percentages are greater than the initial percentage interests in the trust
evidenced by the Class M-1, Class M-2 and Class M-3 Certificates, respectively,
because the Class M-1, Class M-2 and Class M-3 Percentages are calculated
without regard to the Discount Fraction of the Stated Principal Balance of each
Discount Mortgage Loan.
CREDIT SUPPORT DEPLETION DATE--The first distribution date on which the
Senior Percentage equals 100%.
DECEASED HOLDER--A beneficial owner of a Retail Certificate who was a
natural person living at the time that holder's interest was acquired and whose
executor or other authorized representative causes to be furnished to the
participant, evidence of death satisfactory to the participant and any tax
waivers requested by the participant.
DISCOUNT FRACTION--With respect to each Discount Mortgage Loan, a
fraction, expressed as a percentage, the numerator of which is 7.75% minus the
Net Mortgage Rate for such Discount Mortgage Loan and the denominator of which
is 7.75%. The Class A-P Certificates will be entitled to payments based on the
Discount Fraction of the Discount Mortgage Loans.
DISCOUNT MORTGAGE LOAN--Any mortgage loan with a Net Mortgage Rate less
than 7.75% per annum.
ELIGIBLE FUNDS--On any distribution date, the portion, if any, of the
Available Distribution Amount remaining after reduction by the sum of the
Senior Interest Distribution Amount, the Senior Principal Distribution Amount,
determined without regard to clause (iv) of its definition, the Class A-P
Distribution Amount, determined without regard to clause (v) of its definition,
and the aggregate amount of Accrued Certificate Interest on the Class M, Class
B-1 and Class B-2 Certificates.
EXCESS BANKRUPTCY LOSSES--Bankruptcy Losses in excess of the Bankruptcy
Amount.
EXCESS FRAUD LOSSES--Fraud Losses in excess of the Fraud Loss Amount.
EXCESS SPECIAL HAZARD LOSSES--Special Hazard Losses in excess of the
Special Hazard Amount.
EXCESS SUBORDINATE PRINCIPAL AMOUNT--With respect to any distribution date
on which the Certificate Principal Balance of the most subordinate class or
classes of certificates then outstanding is to be reduced to zero and on which
Realized Losses are to be allocated to that class or those classes, the amount,
if any, by which (i) the amount of principal that would otherwise be
distributable on that class or those classes of certificates on that
distribution date is greater than (ii) the excess, if any, of the aggregate
Certificate Principal Balance of that class or those classes of certificates
immediately prior to that distribution date over the aggregate amount of
Realized Losses to be allocated to that class or those classes of certificates
on that distribution date, as reduced by any amount calculated pursuant to
clause (v) of the definition of "Class A-P Distribution Amount."
FINAL DISPOSITION--With respect to a defaulted mortgage loan, a Final
Disposition is deemed to have occurred upon a determination by the master
servicer that it has received all Insurance Proceeds, Liquidation Proceeds and
other payments or cash recoveries which the master servicer reasonably and in
good faith expects to be finally recoverable with respect to the mortgage loan.
GUARANTEED DISTRIBUTION--With respect to the Insured Certificates
together, (i) one full month's interest on the Certificate Principal Balance of
the Insured Certificates at the respective pass-through rate indicated in the
table on page S-5 in this prospectus supplement, net of (a) any Prepayment
Interest Shortfalls allocated to the Insured Certificates offset by the master
servicer or covered by the Reserve Fund, and (b) any interest shortfalls
relating to the Relief Act allocated to the Insured Certificates, (ii) the
principal portion of any Realized Loss allocated to the Insured Certificates
and (iii) the Certificate Principal Balance of the Insured Certificates to the
extent unpaid on the final distribution date or earlier termination of the
trust pursuant to the terms of the pooling and servicing agreement.
INTEREST ACCRUAL PERIOD--For all classes of certificates, the calendar
month preceding the month in which the distribution date occurs.
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LOCKOUT PERCENTAGE--For any distribution date occurring prior to the
distribution date in September 2005, 0%. For any distribution date occurring
after the first five years following the closing date, a percentage determined
as follows:
- for any distribution date during the sixth year after the closing date,
30%;
- for any distribution date during the seventh year after the closing
date, 40%;
- for any distribution date during the eighth year after the closing date,
60%;
- for any distribution date during the ninth year after the closing date,
80%; and
- for any distribution date thereafter, 100%.
NON-DISCOUNT MORTGAGE LOAN--The mortgage loans other than the Discount
Mortgage Loans.
NOTIONAL AMOUNT--As of any date of determination, the Notional Amount of
the Variable Strip Certificates is equal to the aggregate Stated Principal
Balance of the mortgage loans immediately prior to that date. Reference to a
Notional Amount with respect to any Variable Strip Certificate is solely for
convenience in specific calculations and does not represent the right to
receive any distributions allocable to principal.
PREFERENCE AMOUNT--With respect to the Insured Certificates, any payment
of a Guaranteed Distribution on an Insured Certificate which has become due for
payment under the pooling and servicing agreement and which is made to a holder
of an Insured Certificate by or on behalf of the trustee which has been deemed
a preferential transfer and theretofore recovered from the holder of an Insured
Certificate pursuant to the United States Bankruptcy Code in accordance with a
final, nonappealable order of a court of competent jurisdiction.
RESERVE FUND--A fund established at the time of the issuance of the
certificates solely for the benefit of the Insured Certificates by an initial
deposit into the Reserve Fund of approximately $24,500 by the underwriter. The
Reserve Fund will be maintained by the trustee in a separate account. The
Reserve Fund will be beneficially owned by the underwriter and will not be an
asset of the trust. A withdrawal will be made on each distribution date from
amounts on deposit in the Reserve Fund, to the extent funds are available
therein, to cover any Prepayment Interest Shortfalls allocated to the Insured
Certificates that were not offset by the master servicer. Once the Reserve Fund
has been reduced to zero, the policy will cover any Prepayment Interest
Shortfalls allocated to the Insured Certificates that were not offset by the
master servicer. The balance of any amount remaining in the Reserve Fund on the
distribution date on which the Certificate Principal Balance of the Insured
Certificates has been reduced to zero will be distributed to the underwriter.
ROUNDING ACCOUNT--With respect to each class of Retail Certificates, a
separate non-interest bearing account to be established on the closing date for
each class of Retail Certificates with a $999.99 deposit by the underwriter in
each account.
SENIOR ACCELERATED DISTRIBUTION PERCENTAGE--For any distribution date
occurring prior to the distribution date in September 2005, 100%. The Senior
Accelerated Distribution Percentage for any distribution date occurring after
the first five years following the closing date will be as follows:
- for any distribution date during the sixth year after the closing date,
the Senior Percentage for that distribution date plus 70% of the
Subordinate Percentage for that distribution date;
- for any distribution date during the seventh year after the closing
date, the Senior Percentage for that distribution date plus 60% of the
Subordinate Percentage for that distribution date;
- for any distribution date during the eighth year after the closing date,
the Senior Percentage for that distribution date plus 40% of the
Subordinate Percentage for that distribution date;
- for any distribution date during the ninth year after the closing date,
the Senior Percentage for that distribution date plus 20% of the
Subordinate Percentage for that distribution date; and
- for any distribution date thereafter, the Senior Percentage for that
distribution date.
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If on any distribution date the Senior Percentage exceeds the initial Senior
Percentage, the Senior Accelerated Distribution Percentage for that
distribution date will once again equal 100%.
Any scheduled reduction to the Senior Accelerated Distribution Percentage
shall not be made as of any distribution date unless either:
(a)(i)(X) the outstanding principal balance of mortgage loans delinquent
60 days or more averaged over the last six months, as a percentage of the
aggregate outstanding Certificate Principal Balance of the Class M
Certificates and Class B Certificates, is less than 50% or (Y) the
outstanding principal balance of mortgage loans delinquent 60 days or more
averaged over the last six months, as a percentage of the aggregate
outstanding principal balance of all mortgage loans averaged over the last
six months, does not exceed 2%, and
(ii) Realized Losses on the mortgage loans to date for that distribution
date, if occurring during the sixth, seventh, eighth, ninth or tenth year,
or any year thereafter, after the closing date, are less than 30%, 35%,
40%, 45% or 50%, respectively, of the sum of the initial Certificate
Principal Balances of the Class M Certificates and Class B Certificates; or
(b)(i)the outstanding principal balance of mortgage loans delinquent 60
days or more averaged over the last six months, as a percentage of the
aggregate outstanding principal balance of all mortgage loans averaged over
the last six months, does not exceed 4%, and
(ii) Realized Losses on the mortgage loans to date for that distribution
date, if occurring during the sixth, seventh, eighth, ninth or tenth year,
or any year thereafter, after the Closing Date, are less than 10%, 15%,
20%, 25% or 30%, respectively, of the sum of the initial Certificate
Principal Balances of the Class M Certificates and Class B Certificates.
Notwithstanding the foregoing, upon reduction of the Certificate Principal
Balances of the Senior Certificates, other than the Class A-P Certificates, to
zero, the Senior Accelerated Distribution Percentage will equal 0%.
SENIOR INTEREST DISTRIBUTION AMOUNT--The aggregate amount of Accrued
Certificate Interest to be distributed to the holders of the Senior
Certificates for that distribution date, including the Accrual Distribution
Amount.
SENIOR PERCENTAGE--As of each distribution date, the percentage equal to
the aggregate Certificate Principal Balance of the Senior Certificates, other
than the Class A-P Certificates, immediately prior to that distribution date
divided by the aggregate Stated Principal Balance of all of the mortgage loans,
other than the Discount Fraction of the Discount Mortgage Loans, immediately
prior to that distribution date. The Senior Percentage will initially equal
approximately 96.09% and will in no event exceed 100%. The initial Senior
Percentage is less than the initial percentage interest in the trust evidenced
by the Senior Certificates in the aggregate because that percentage is
calculated without regard to either the Certificate Principal Balance of the
Class A-P Certificates or the Discount Fraction of the Stated Principal Balance
of each Discount Mortgage Loan.
SENIOR PRINCIPAL DISTRIBUTION AMOUNT--With respect to any distribution
date, the lesser of (a) the balance of the Available Distribution Amount
remaining after the Senior Interest Distribution Amount and Class A-P
Distribution Amount have been distributed and (b) the sum of:
(i) the product of (A) the then-applicable Senior Percentage and (B) the
aggregate of the following amounts:
(1) the principal portion of all scheduled monthly payments on the
mortgage loans, other than the related Discount Fraction of the
principal portion of those payments with respect to each Discount
Mortgage Loan, due on the related due date, whether or not received on
or prior to the related determination date, less the principal portion
of Debt Service Reductions, other than the related Discount Fraction of
the principal portion of the Debt Service Reductions with respect to
each Discount Mortgage Loan, which together with other Bankruptcy Losses
are in excess of the Bankruptcy Amount;
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(2) the principal portion of all proceeds of the repurchase of a
mortgage loan or, in the case of a substitution, amounts representing a
principal adjustment, other than the related Discount Fraction of the
principal portion of those proceeds with respect to each Discount
Mortgage Loan, as required by the pooling and servicing agreement during
the preceding calendar month; and
(3) the principal portion of all other unscheduled collections
received during the preceding calendar month, other than full and
partial mortgagor prepayments and any amounts received in connection
with a Final Disposition of a mortgage loan described in clause (ii)
below, to the extent applied as recoveries of principal, other than the
related Discount Fraction of the principal portion of those unscheduled
collections, with respect to each Discount Mortgage Loan;
(ii) in connection with the Final Disposition of a mortgage loan (x) that
occurred in the preceding calendar month and (y) that did not result in any
Excess Special Hazard Losses, Excess Fraud Losses, Excess Bankruptcy Losses
or Extraordinary Losses, an amount equal to the lesser of:
(1) the then-applicable Senior Percentage of the Stated Principal
Balance of the mortgage loan, other than the related Discount Fraction
of the Stated Principal Balance, with respect to a Discount Mortgage
Loan; and
(2) the then-applicable Senior Accelerated Distribution Percentage of
the related unscheduled collections, including Insurance Proceeds and
Liquidation Proceeds, to the extent applied as recoveries of principal,
in each case other than the portion of the collections, with respect to
a Discount Mortgage Loan, included in clause (iii) of the definition of
Class A-P Distribution Amount;
(iii) the then-applicable Senior Accelerated Distribution Percentage of
the aggregate of all full and partial mortgagor prepayments made by the
respective mortgagors of the mortgage loans during the preceding calendar
month, other than the related Discount Fraction of mortgagor prepayments,
with respect to each Discount Mortgage Loan;
(iv) any Excess Subordinate Principal Amount for that distribution date;
and
(v) any amounts allocable to principal for any previous distribution
date calculated pursuant to clauses (i) through (iii) above that remain
undistributed to the extent that any of those amounts are not attributable
to Realized Losses which were allocated to the Class M Certificates or
Class B Certificates.
SUBORDINATE PERCENTAGE--As of any date of determination a percentage equal
to 100% minus the Senior Percentage as of that date.
INTEREST DISTRIBUTIONS
Holders of each class of Senior Certificates other than the Principal Only
Certificates will be entitled to receive interest distributions in an amount
equal to the Accrued Certificate Interest on that class on each distribution
date, to the extent of the Available Distribution Amount for that distribution
date, commencing on the first distribution date in the case of all classes of
Senior Certificates entitled to interest distributions, other than the Accrual
Certificates, and commencing on the Accretion Termination Date in the case of
the Accrual Certificates.
Holders of each class of Class M Certificates will be entitled to receive
interest distributions in an amount equal to the Accrued Certificate Interest
on that class on each distribution date, to the extent of the Available
Distribution Amount for that distribution date after distributions of interest
and principal to the Senior Certificates, reimbursements for some Advances to
the master servicer and distributions of interest and principal to any class of
Class M Certificates having a higher payment priority.
As described in the definition of "Accrued Certificate Interest", Accrued
Certificate Interest on each class of certificates is subject to reduction in
the event of specified interest shortfalls allocable thereto. However, in the
event that any such interest shortfall is allocated to the Insured
Certificates, the amount of such allocated interest shortfall will be drawn
under the policy and distributed to the holders of the Insured Certificates;
provided that:
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- no such draw will be made against, and therefore the Insured
Certificates will not be protected against, any such shortfall caused by
the Relief Act; and
- no such draw will be made in respect of any interest shortfall otherwise
covered by the Reserve Fund.
Notwithstanding the foregoing, if payments were not made as required under the
policy, any interest shortfalls may be allocated to the Insured Certificates as
set forth in the definition of "Accrued Certificate Interest."
The Principal Only Certificates are not entitled to distributions of
interest.
Prepayment Interest Shortfalls will result because interest on prepayments
in full is distributed only to the date of prepayment, and because no interest
is distributed on prepayments in part, as these prepayments in part are applied
to reduce the outstanding principal balance of the related mortgage loans as of
the due date in the month of prepayment.
However, with respect to any distribution date, any Prepayment Interest
Shortfalls resulting from prepayments in full during the preceding calendar
month will be offset by the master servicer, but only to the extent those
Prepayment Interest Shortfalls do not exceed an amount equal to the lesser of
(a) one-twelfth of 0.125% of the Stated Principal Balance of the mortgage loans
immediately preceding that distribution date and (b) the sum of the master
servicing fee payable to the master servicer for its master servicing
activities and reinvestment income received by the master servicer on amounts
payable with respect to that distribution date. Prepayment Interest Shortfalls
resulting from partial prepayments will not be offset by the master servicer
from master servicing compensation or otherwise. No assurance can be given that
the master servicing compensation available to cover Prepayment Interest
Shortfalls will be sufficient therefor See "Pooling and Servicing
Agreement--Servicing and Other Compensation and Payment of Expenses" in this
prospectus supplement.
If on any distribution date the Available Distribution Amount is less than
Accrued Certificate Interest on the Senior Certificates for that distribution
date, the shortfall will be allocated among the holders of all classes of
Senior Certificates in proportion to the respective amounts of Accrued
Certificate Interest for that distribution date. In addition, the amount of any
such interest shortfalls that are covered by subordination, specifically,
interest shortfalls not described in clauses (i) through (iv) in the definition
of Accrued Certificate Interest, will be unpaid Accrued Certificate Interest
and will be distributable to holders of the certificates of those classes
entitled to those amounts on subsequent distribution dates, in each case to the
extent of available funds after interest distributions as required in this
prospectus supplement.
These interest shortfalls could occur, for example, if delinquencies on
the mortgage loans were exceptionally high and were concentrated in a
particular month and Advances by the master servicer did not cover the
shortfall. Any amounts so carried forward will not bear interest. Any interest
shortfalls will not be offset by a reduction in the servicing compensation of
the master servicer or otherwise, except to the limited extent described in the
second preceding paragraph with respect to Prepayment Interest Shortfalls
resulting from prepayments in full.
Notwithstanding the foregoing, in the case of the Insured Certificates, to
the extent that Prepayment Interest Shortfalls are not offset by the master
servicer as described in the third preceding paragraph and are not otherwise
covered by the Reserve Fund, such interest shortfalls shall be covered by the
policy. See "--The Policy" in this prospectus supplement.
On or prior to the distribution date on which the Accretion Termination
Date occurs, interest shortfalls allocated to the Accrual Certificates will
reduce the amount that is added to the Certificate Principal Balance of those
certificates in respect of Accrued Certificate Interest on that distribution
date, and will result in a corresponding reduction of the amount available for
distributions relating to principal on the Accretion Directed Certificates and
will cause the Certificate Principal Balance of those certificates to be
reduced to zero later than would otherwise be the case. See "Certain Yield and
Prepayment
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<PAGE>
Considerations" in this prospectus supplement. Any interest shortfalls
allocated to the Accrual Certificates will cause the Certificate Principal
Balance of those certificates to be less than would otherwise be the case and
will reduce the amount of Accrued Certificate Interest that will accrue on
those certificates after that distribution date.
The pass-through rates on all classes of offered certificates, other than
the Variable Strip and Principal Only Certificates, are fixed and are listed on
page S-5 of this prospectus supplement.
The pass-through rate on the Variable Strip Certificates on each
distribution date will equal the weighted average, as of the due date in the
month preceding the month in which that distribution date occurs, of the pool
strip rates on each of the mortgage loans in the mortgage pool. The pool strip
rate on any mortgage loan is equal to its Net Mortgage Rate minus 7.75%, but
not less than 0.00%. As of the cut-off date, the pool strip rates on the
mortgage loans range between 0.00% and 1.67% per annum. The initial
pass-through rate on the Variable Strip Certificates is 0.4190% per annum.
As described in this prospectus supplement, the Accrued Certificate
Interest allocable to each class of certificates, other than the Principal Only
Certificates, which are not entitled to distributions of interest, is based on
the Certificate Principal Balance of that class or, in the case of the Variable
Strip Certificates, on the Notional Amount thereof.
At the option of the initial holder of the Variable Strip Certificates,
any Variable Strip Certificate can be exchanged by that holder for one or more
Variable Strip Certificates that represent, in the aggregate, the same Notional
Amount, and the pass-through rate and Notional Amount of each Variable Strip
Certificate so exchanged will be based on the pool strip rates and Stated
Principal Balances of the mortgage loans corresponding to that Variable Strip
Certificate.
PRINCIPAL DISTRIBUTIONS ON THE SENIOR CERTIFICATES
The holders of the Senior Certificates, other than the Variable Strip
Certificates which are not entitled to distributions of principal, will be
entitled to receive on each distribution date, in the priority described in
this prospectus supplement and to the extent of the portion of the Available
Distribution Amount remaining after the distribution of the Senior Interest
Distribution Amount, other than the Accrual Distribution Amount, a distribution
allocable to principal equal to the Senior Principal Distribution Amount, the
Class A-P Distribution Amount and the Accrual Distribution Amount.
Distributions of principal on the Senior Certificates on each distribution
date will be made, after distribution of the Senior Interest Distribution
Amount, other than the Accrual Distribution Amount, as follows:
(a) Prior to the occurrence of the Credit Support Depletion Date:
(i) the Class A-P Distribution Amount shall be distributed to the
Class A-P Certificates, in reduction of the Certificate Principal
Balance thereof, until the Certificate Principal Balance thereof has
been reduced to zero;
(ii) an amount equal to the Accrual Distribution Amount shall be
distributed, concurrently, as follows, until the Certificate Principal
Balance of the Class A-1 Certificates has been reduced to zero:
(A) 62.184027411% to the Class A-1 Certificates; and
(B) 37.815972589%, in the following order of priority:
(1) first, concurrently, as follows, until the Certificate
Principal Balance of the Class A-2 Certificates has been reduced
to zero:
(a) 59.005404895% to the Class A-2 Certificates; and
(b) 40.994595105%, in the following order of priority:
(i) first, to the Class A-3 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero; and
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<PAGE>
(ii) second, concurrently, to the Class A-4, Class A-9
and Class A-10 Certificates, on a pro rata basis in
accordance with their respective outstanding Certificate
Principal Balances; and
(2) second, in the following order of priority:
(a) first, to the Class A-3 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero;
(b) second, concurrently, to the Class A-4, Class A-9 and
Class A-10 Certificates, on a pro rata basis in accordance
with their respective outstanding Certificate Principal
Balances, until the Certificate Principal Balances thereof
have been reduced to zero;
(iii) the Senior Principal Distribution Amount shall be distributed to
the Lockout Certificates, in reduction of the Certificate Principal
Balance thereof, in an amount equal to the Lockout Percentage of the
Lockout Certificates' pro rata share (based on the Certificate Principal
Balance thereof relative to the aggregate Certificate Principal Balance
of all of the Certificates (other than the Principal Only Certificates))
of the aggregate of the collections described in clauses (i), (ii),
(iii) and (v) of the definition of Senior Principal Distribution Amount
without any application of the Senior Percentage or Senior Accelerated
Distribution Percentage;
provided that, if the aggregate of the amounts set forth in clauses (i),
(ii), (iii) and (v) of the definition of Senior Principal Distribution
Amount is more than the balance of the Available Distribution Amount
remaining after the Senior Interest Distribution Amount and the Class A-P
Distribution Amount have been distributed, the amount paid to the Lockout
Certificates pursuant to this clause (iii) shall be reduced by an amount
equal to the Lockout Certificates' pro rata share (based on the
Certificate Principal Balance thereof relative to the aggregate
Certificate Principal Balance of all classes of Senior Certificates
(other than the Principal Only Certificates)) of such difference;
(iv) the balance of the Senior Principal Distribution Amount remaining
after the distributions, if any, described in clause (iii) above shall
be distributed to the Class R Certificates, until the Certificate
Principal Balance thereof has been reduced to zero;
(v) an amount equal to $33,973.33 of the balance of the Senior
Principal Distribution Amount remaining after the distributions, if any,
described in clauses (iii) and (iv) above shall be distributed for each
distribution date commencing on the distribution date in September 2003,
concurrently, to the Class A-6 Certificates and Class A-7 Certificates,
on a pro rata basis in accordance with their respective outstanding
Certificate Principal Balances (plus any amount described in this clause
(v) remaining unpaid from any previous distribution date), until the
Certificate Principal Balances thereof have been reduced to zero;
(vi) the balance of the Senior Principal Distribution Amount remaining
after the distributions, if any, described in clauses (iii) through (v)
above shall be distributed, concurrently, as follows:
(A) 69.332563060%, in the following order of priority:
(1) first, concurrently, as follows, until the Certificate
Principal Balance of the Class A-1 Certificates has been reduced
to zero:
(a) 62.184027411% to the Class A-1 Certificates; and
(b) 37.815972589%, in the following order of priority:
(i) first, concurrently as follows, until the
Certificate Principal Balance of the Class A-2
Certificates has been reduced to zero:
(1) 59.005404895% to the Class A-2 Certificates; and
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<PAGE>
(2) 40.994595105%, in the following order of
priority:
(a) first, to the Class A-3 Certificates, until
the Certificate Principal Balance thereof has been
reduced to zero;
(b) second, concurrently, to the Class A-4, Class
A-9 and Class A-10 Certificates, on a pro rata
basis in accordance with their respective
outstanding Certificate Principal Balances; and
(ii) second, in the following order of priority:
(1) first, to the Class A-3 Certificates, until the
Certificate Principal Balance thereof has been reduced
to zero; and
(2) second, concurrently, to the Class A-4, Class A-9
and Class A-10 Certificates, on a pro rata basis in
accordance with their respective outstanding
Certificate Principal Balances, until the Certificate
Principal Balances thereof have been reduced to zero;
and
(2) second, to the Class A-5 Certificates, until the
Certificate Principal Balance thereof has been reduced to zero;
(B) 30.667436940%, in the following order of priority:
(1) first, concurrently, as follows until the Certificate
Principal Balance of the Class A-2 Certificates has been reduced
to zero:
(a) 59.005404895% to the Class A-2 Certificates; and
(b) 40.994595105%, in the following order of priority:
(i) first, to the Class A-3 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero; and
(ii) second, concurrently, to the Class A-4, Class A-9
and Class A-10 Certificates, on a pro rata basis in
accordance with their respective outstanding Certificate
Principal Balances; and
(2) second, in the following order of priority:
(a) first, to the Class A-3 Certificates, until the
Certificate Principal Balance thereof has been reduced to
zero; and
(b) second, concurrently, to the Class A-4, Class A-9 and
Class A-10 Certificates, on a pro rata basis in accordance
with their respective outstanding Certificate Principal
Balances, until the Certificate Principal Balances thereof
have been reduced to zero;
(vii) the balance of the Senior Principal Distribution Amount
remaining after the distributions, if any, described in clauses (iii)
through (vi) above shall be distributed concurrently, to the Class A-6
Certificates and Class A-7 Certificates, on a pro rata basis in
accordance with their respective outstanding Certificate Principal
Balances, until the Certificate Principal Balances thereof have been
reduced to zero; and
(viii) the balance of the Senior Principal Distribution Amount
remaining after the distributions, if any, described in clauses (iii)
through (vii) above shall be distributed to the Lockout Certificates,
until the Certificate Principal Balance thereof has been reduced to
zero.
(b) On or after the occurrence of the Credit Support Depletion Date, all
priorities relating to distributions as described in clause (a) above
relating to principal among the Senior Certificates, other than the Class
A-P Certificates, will be disregarded. Instead, an amount equal to the
Discount Fraction of the principal portion of scheduled and unscheduled
payments received or advanced relating to Discount Mortgage Loans will be
distributed to the Class A-P Certificates, and the Senior
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<PAGE>
Principal Distribution Amount will be distributed to the Senior
Certificates remaining, other than the Class A-P Certificates, pro rata in
accordance with their respective outstanding Certificate Principal Balances
and the Senior Interest Distribution Amount will be distributed as
described under "Interest Distributions."
(c) After reduction of the Certificate Principal Balances of the Senior
Certificates, other than the Class A-P Certificates, to zero but prior to
the Credit Support Depletion Date, the Senior Certificates, other than the
Class A-P Certificates, will be entitled to no further distributions of
principal and the Available Distribution Amount will be paid solely to the
holders of the Class A-P, Variable Strip, Class M and Class B Certificates,
in each case as described in this prospectus supplement.
PRINCIPAL DISTRIBUTIONS ON THE RETAIL CERTIFICATES
General. Beneficial owners of each class of Retail Certificates have the
right to request that distributions of principal be made with respect to their
certificates on any distribution date on which that class of certificates is
entitled to receive distributions of principal. As to distributions of
principal among holders of each class of Retail Certificates, Deceased Holders
who request distributions will be entitled to first priority, and beneficial
owners of that class of Retail Certificates other than Deceased Holders,
referred to as Living Holders, who request distributions will be entitled to a
second priority.
Prospective certificateholders in a class of Retail Certificates should be
aware that distributions of principal on those certificates may be
significantly earlier or later than the date that may be desired by that
certificateholder. All such requested distributions are subject to the
priorities described below under "--Priority of Requested Distributions" and
are further subject to the limitation that they be made (i) only in lots equal
to integral multiples of $1,000 of the related initial Certificate Principal
Balance, each such certificate referred to as an Individual Retail Certificate
and (ii) only to the extent that the portion of the Senior Principal
Distribution Amount allocated to the related class of Retail Certificates on
the applicable distribution date (plus any amounts available from the related
Rounding Account) provides sufficient funds for such requested distributions.
To the extent that amounts available for distributions in respect of principal
on the related Retail Certificates on any distribution date exceed the
aggregate amount of the requests made by Deceased Holders and Living Holders
for principal distributions applicable to that distribution date, such excess
amounts will be distributed to the beneficial owners of that class of Retail
Certificates by random lot, as described below under "--Mandatory Distributions
of Principal on the Retail Certificates."
On each distribution date on which amounts are available for distributions
in reduction of the Certificate Principal Balance of any class of Retail
Certificates, the aggregate amount allocable to such distributions for that
class will be rounded, as necessary, to an amount equal to an integral multiple
of $1,000, except as provided below, in accordance with the limitations set
forth in this prospectus supplement. Such rounding will be accomplished on the
first distribution date on which distributions of principal on a Retail
Certificate are made by withdrawing from the related Rounding Account the
amount of funds, if any, needed to round the amount otherwise available for
that distribution with respect to the related class of Retail Certificates
upward to the next higher integral multiple of $1,000. On each succeeding
distribution date on which distributions of principal on the Retail
Certificates are to be made, the aggregate amount allocable to the Retail
Certificates will be applied first to repay any funds withdrawn from the
related Rounding Account on the prior distribution date, and then the remainder
of such allocable amount, if any, will be similarly rounded upward through
another withdrawal from the related Rounding Account and distributed in
reduction of the Certificate Principal Balance of that class of Retail
Certificates. This process will continue on succeeding distribution dates until
the Certificate Principal Balance of the related Retail Certificates has been
reduced to zero. Thus, the aggregate distribution made in reduction of the
Certificate Principal Balance of any class of Retail Certificates on each
distribution date may be slightly more or less than would be the case in the
absence of such rounding procedures, but such difference will be no more than
$999.99 on any distribution date. Under no circumstances will the sum of all
distributions made in reduction of the Certificate Principal Balance of any
class of Retail Certificates, through any distribution date, be less than the
sum of such distributions
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<PAGE>
that would have resulted in the absence of such rounding procedures. The Class
R Certificates will be entitled to any amount remaining in the applicable
Rounding Account after the Certificate Principal Balance of related class of
Retail Certificates has been reduced to zero.
Notwithstanding any provisions in this prospectus supplement to the
contrary, on each distribution date following the first distribution date on
which any Realized Losses are allocated to the Retail Certificates, including
any Realized Losses allocated to the Insured Certificates for which payment is
not made under the policy, distribution in reduction of the Certificate
Principal Balance of a class of Retail Certificates will be made pro rata among
the holders of that class of Retail Certificates in accordance with the related
outstanding Certificate Principal Balance and will not be made in integral
multiples of $1,000 or pursuant to requested distributions or mandatory
distributions by random lot.
There is no assurance that a beneficial owner of a Retail Certificate who
has submitted a request for a distribution will receive the distribution at any
particular time after the distribution is requested, since there can be no
assurance that funds will be available for making those distributions on any
particular distribution date, or, even if funds are available for making
principal distributions on the Retail Certificates, that such distributions
will be made to any particular beneficial owner whether that beneficial owner
is a Deceased Holder or a Living Holder. Also, due to the procedure for
mandatory distributions described below under "--Mandatory Distributions of
Principal on the Retail Certificates," there can be no assurance that on any
distribution date on which the funds available for distribution in respect of
principal of the Retail Certificates exceed the aggregate amount of
distributions requested by beneficial owners of certificates of that class, any
particular beneficial owner will receive a principal distribution from those
excess funds. THUS, THE TIMING OF DISTRIBUTIONS IN REDUCTION OF THE CERTIFICATE
PRINCIPAL BALANCE FOR ANY PARTICULAR RETAIL CERTIFICATE, WHETHER OR NOT THE
SUBJECT OF A REQUEST FOR DISTRIBUTION BY A DECEASED HOLDER OR A LIVING HOLDER,
IS HIGHLY UNCERTAIN AND MAY BE MADE EARLIER OR LATER THAN THE DATE THAT MAY BE
DESIRED BY A BENEFICIAL OWNER OF THAT CERTIFICATE.
Priority of Requested Distributions. Subject to the limitations described
in this prospectus supplement, including the timing and the order of the
receipt of the request for distributions as described below under "--Procedure
for Requested Distributions," beneficial owners of the Retail Certificates have
the right to request that distributions be made in reduction of the Certificate
Principal Balance of those certificates. On each distribution date on which
distributions in reduction of the Certificate Principal Balance of each class
of Retail Certificates are made, those distributions will be made in the
following order of priority among the beneficial owners of that class: (i) any
request by a Deceased Holder, in an amount up to but not exceeding $100,000 per
request; and (ii) any request by a Living Holder, in an amount up to but not
exceeding $10,000 per request. Thereafter, distributions will be made as
provided in clauses (i) and (ii) above up to a second $100,000 and $10,000,
respectively. This sequence of priorities will be repeated for each request for
principal distributions made by the beneficial owners of each class of Retail
Certificates until all such requests have been honored.
Procedure for Requested Distributions. Under the current procedures of
DTC, a beneficial owner may request that distributions in reduction of the
Certificate Principal Balance of its Retail Certificates be made on a
distribution date by delivering a written request for those distributions to
the participant or indirect participant that maintains the beneficial owner's
account with respect to that class of Retail Certificates so that such request
is received by the trustee from DTC on DTC's "participant terminal system" on
or before the close of business on the last business day of the month next
preceding the month in which the related distribution date occurs, or the
record date for such distribution date. In the case of a request on behalf of a
Deceased Holder, appropriate evidence of death and any tax waivers are required
to be forwarded to the participant under separate cover. Furthermore, those
requests of Deceased Holders that are incomplete may not be honored by the
participant. The participant shall forward a certification satisfactory to the
trustee certifying the death of the beneficial owner and the receipt of the
appropriate death and tax waivers. The participant should in turn make the
request of DTC (or, in the case of an indirect participant, such firm must
notify the related participant of such request, which participant should make
the request of DTC) on DTC's participant terminal system. The trustee will not
accept a request from a person other than DTC. DTC may establish such
procedures as it deems fair and equitable to establish the order of receipt of
requests for those requests for distributions received by it on
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<PAGE>
the same day. None of the master servicer, the depositor or the trustee shall
be liable for any delay by DTC, any participant or any indirect participant in
the delivery of requests for distributions or withdrawals of those
distributions to the trustee or for any changes made to the procedures
described herein by DTC, any participant or any indirect participant. Requests
for distributions are to be honored in the order of their receipt (subject to
the priorities described in the previous paragraph). The exact procedures to be
followed by the trustee for purposes of determining the order of receipt of
such requests will be those established from time to time by DTC. Requests for
distributions of principal received by DTC and forwarded to the trustee on
DTC's participant terminal system after the record date for such distribution
date and requests for principal distributions received in a timely manner but
not accepted with respect to a given distribution date, will be treated as
requests for distributions on the next succeeding distribution date and each
succeeding distribution date thereafter until each request is accepted or is
withdrawn as described below. Each request for distributions in reduction of
the Certificate Principal Balance of a Retail Certificate submitted by a
beneficial owner of that certificate will be held on DTC's participant terminal
system until such request has been accepted by the trustee or has been
withdrawn by the participant in writing. Each Individual Retail Certificate
covered by that request will continue to bear interest at the related
pass-through rate through the Interest Accrual Period related to such
distribution date.
In the case of a request on behalf of a Deceased Holder, the related
participant shall forward certification satisfactory to the trustee certifying
the death of the beneficial owner and the receipt of the appropriate death and
tax waivers. Retail Certificates beneficially owned by tenants by the entirety,
joint tenants or tenants in common will be considered to be beneficially owned
by a single owner. The death of a tenant by the entirety, joint tenant or
tenant in common will be deemed to be the death of the beneficial owner, and
the Retail Certificates so beneficially owned will be eligible to request
priority with respect to distributions in reduction of the Certificate
Principal Balance of those certificates, subject to the limitations stated in
this prospectus supplement. The Retail Certificates beneficially owned by a
trust will be considered to be beneficially owned by each beneficiary of the
trust to the extent of such beneficiary's beneficial interest in that trust,
but in no event will a trust's beneficiaries collectively be deemed to be
beneficial owners of a number of Individual Retail Certificates greater than
the number of Individual Retail Certificates of a particular class of Retail
Certificates of which such trust is the owner. The death of a beneficiary of a
trust will be deemed to be the death of a beneficial owner of the Retail
Certificates beneficially owned by the trust but only to the extent of such
beneficiary's beneficial interest in that trust. The death of an individual who
was a tenant by the entirety, joint tenant or tenant in common in a tenancy
which is the beneficiary of a trust will be deemed to be the death of the
beneficiary of the trust. The death of a person who, during his or her
lifetime, was entitled to substantially all of the beneficial ownership
interests in Retail Certificates will be deemed to be the death of the
beneficial owner of those certificates regardless of the registration of
ownership, if that beneficial interest can be established to the satisfaction
of the participant. Such beneficial interest will be deemed to exist in typical
cases of street name or nominee ownership, ownership by a trustee, ownership
under the Uniform Gift to Minors Act and community property or other joint
ownership arrangements between a husband and wife. Beneficial interest shall
include the power to sell, transfer or otherwise dispose of a Retail
Certificate and the right to receive the proceeds therefrom, as well as
interest and distributions of principal with respect thereto. As used in this
prospectus supplement, a request for a distribution in reduction of the
Certificate Principal Balance of a Retail Certificate by a Deceased Holder
shall mean a request by the personal representative, surviving tenant by the
entirety, surviving joint tenant or a surviving tenant in common of the
Deceased Holder.
With respect to Retail Certificates as to which beneficial owners have
requested distributions to be made on a particular distribution date and on
which distributions of principal are being made, the trustee will notify DTC
prior to that distribution date whether, and the extent to which, those
certificates have been accepted for distributions. Participants and indirect
participants holding Retail Certificates are required to forward such notices
to the beneficial owners of those certificates. Individual Retail Certificates
that have been accepted for a distribution will be due and payable on the
applicable distribution date and will cease to bear interest after the Interest
Accrual Period related to such distribution date.
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Any beneficial owner of a Retail Certificate who has requested a
distribution may withdraw its request by so notifying in writing the
participant or indirect participant that maintains that beneficial owner's
account. In the event that such account is maintained by an indirect
participant, the indirect participant must notify the related participant which
in turn must forward the withdrawal of such request, on DTC's participant
terminal system. If that notice of withdrawal of a request for distribution has
not been received on DTC's participant terminal system on or before the record
date for such distribution date, the previously made request for distribution
will be irrevocable with respect to the making of distributions in reduction of
the Certificate Principal Balance of that Retail Certificate on the applicable
distribution date.
Mandatory Distributions of Principal on the Retail Certificates. To the
extent, if any, that distributions in reduction of the Certificate Principal
Balance of a class of Retail Certificates on a distribution date exceed the
outstanding Certificate Principal Balance of that class of Retail Certificates
with respect to which distribution requests have been received by the
applicable record date, additional Retail Certificates in lots equal to
Individual Retail Certificates for that class will be selected to receive
principal distributions in accordance with the then-applicable established
random lot procedures of DTC, and the then-applicable established procedures of
the participants and indirect participants, which may or may not be by random
lot. No prior notice will be provided by the depositor, the master servicer or
the trustee to the beneficial owners of the Retail Certificates for those
distributions made by random lot. Investors may ask those participants or
indirect participants what allocation procedures they use. Participants and
indirect participants holding Retail Certificates selected for mandatory
distributions of principal are required to provide notice of those mandatory
distributions to the affected beneficial owners.
THE POLICY
The following summary of the provisions of the certificate guaranty
insurance policy, referred to in this prospectus supplement as the policy, to
be issued by the insurer does not purport to be complete and is qualified in
its entirety by reference to the policy.
Simultaneously with the issuance of the certificates, the insurer will
deliver the policy to the trustee for the benefit of each holder of the Class
A-6 Certificates. Under the policy, the insurer unconditionally and irrevocably
guarantees to the trustee for the benefit of each holder of Class A-6
Certificates the full and complete payment of (i) the Guaranteed Distribution
on each distribution date and (ii) the amount of any distribution of principal
or interest to any holder of a certificate of that class which distribution
subsequently is avoided in whole or in part as a preference payment under
applicable law.
As provided by the policy, the insurer will pay any amount payable
thereunder, other than Preference Amounts, no later than 12:00 noon, New York
City time, on the later of the distribution date on which the related
Guaranteed Distribution is due or the business day following receipt in New
York, New York on a business day by the insurer of a notice; provided that, if
the notice is received after 12:00 noon, New York City time, on that business
day, it will be deemed to be received on the following business day. If any
such notice is not in proper form or is otherwise insufficient for the purpose
of making a claim under the policy, it shall be deemed not to have been
received for purposes of this paragraph, and the insurer shall promptly so
advise the trustee and the trustee may submit an amended notice.
The insurer will pay any Preference Amount when due to be paid pursuant to
the order referred to below, but in any event on the distribution date next
following receipt on a business day by the insurer of (i) a certified copy of a
final, non-appealable order, referred to as an order, of a court or other body
exercising jurisdiction in such insolvency proceeding to the effect that the
trustee or the holder of a Class A-6 Certificate is required to return such
Preference Amount paid during the term of the policy because such payments were
avoided as a preferential transfer or otherwise rescinded or required to be
restored by the trustee or the holder of a Class A-6 Certificate, (ii) a
certificate by or on behalf of the trustee that the order has been entered and
is not subject to any stay, (iii) an assignment, in form and substance
satisfactory to the insurer, duly executed and delivered by the trustee,
irrevocably assigning to the insurer all rights and claims of the trustee or
the holder of a Class A-6 Certificate relating to or arising under the pooling
and servicing agreement against the estate of the trustee or otherwise with
respect to such Preference Amount and (iv) a notice of nonpayment appropriately
completed and executed by the
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trustee. Such payment shall be disbursed to the receiver, conservator,
debtor-in-possession or trustee in bankruptcy named in the order, and not to
the trustee or the holder of a Class A-6 Certificate, as applicable, directly,
unless the trustee or the holder of a Class A-6 Certificate, as applicable, has
made a payment of the Preference Amount to the court or such receiver,
conservator, debtor-in-possession or trustee in bankruptcy named in the order,
in which case the insurer will pay the trustee on behalf of the holder of a
Class A-6 Certificate, subject to the delivery of (a) the items referred to in
clauses (i), (ii), (iii) and (iv) above to the insurer and (b) evidence
satisfactory to the insurer that payment has been made to such court or
receiver, conservator, debtor-in-possession or trustee in bankruptcy named in
the order.
Under the policy, "business day" means any day other than (i) a Saturday
or Sunday or (ii) a day on which banking institutions in the City of New York,
New York or Chicago, Illinois are authorized or obligated by law or executive
order to be closed.
"Notice" as used in this sections means the telephonic or telegraphic
notice, promptly confirmed in writing by telecopy substantially in the form
required pursuant to the policy, the original of which is subsequently
delivered by registered or certified mail, from the trustee specifying the
Guaranteed Distribution which will be due and owing on the applicable
distribution date.
The insurer's obligations under the policy in respect of Guaranteed
Distributions will be discharged to the extent funds are transferred to the
trustee as provided in the policy whether or not such funds are properly
applied by the trustee.
The insurer will be subrogated to the rights of each holder of a Class A-6
Certificate to receive distributions on Class A-6 Certificates to the extent of
any payment by the insurer under the policy.
The terms of the policy cannot be modified or altered by any other
agreement or instrument, or by the merger, consolidation or dissolution of the
depositor. The policy may not be cancelled or revoked prior to payment in full
of the Class A-6 Certificates. The policy is governed by the laws of the State
of New York.
PRINCIPAL DISTRIBUTIONS ON THE CLASS M CERTIFICATES
Holders of each class of the Class M Certificates will be entitled to
receive on each distribution date, to the extent of the portion of the
Available Distribution Amount remaining after:
- the sum of the Senior Interest Distribution Amount, Class A-P
Distribution Amount and Senior Principal Distribution Amount is
distributed;
- reimbursement is made to the master servicer for some Advances remaining
unreimbursed following the final liquidation of the related mortgage loan
to the extent described below under "Advances";
- the aggregate amount of Accrued Certificate Interest and principal
required to be distributed to any class of Class M Certificates having a
higher payment priority on that distribution date is distributed to
holders of that class of Class M Certificates; and
- the aggregate amount of Accrued Certificate Interest required to be
distributed to that class of Class M Certificates on that distribution
date is distributed to those Class M Certificates,
a distribution allocable to principal in the sum of the following:
(i) the product of (A) the then-applicable related Class M Percentage and
(B) the aggregate of the following amounts:
(1) the principal portion of all scheduled monthly payments on the
mortgage loans, other than the related Discount Fraction of the
principal portion of those payments with respect to a Discount Mortgage
Loan, due on the related due date, whether or not received on or prior
to the related determination date, less the principal portion of Debt
Service Reductions, other than the related Discount Fraction of the
principal portion of the Debt Service Reductions with respect to a
Discount Mortgage Loan, which together with other Bankruptcy Losses are
in excess of the Bankruptcy Amount;
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(2) the principal portion of all proceeds of the repurchase of a
mortgage loan or, in the case of a substitution, amounts representing a
principal adjustment, other than the related Discount Fraction of the
principal portion of the proceeds with respect to a Discount Mortgage
Loan, as required by the pooling and servicing agreement during the
preceding calendar month; and
(3) the principal portion of all other unscheduled collections
received during the preceding calendar month, other than full and
partial mortgagor prepayments and any amounts received in connection
with a Final Disposition of a mortgage loan described in clause (ii)
below, to the extent applied as recoveries of principal, other than the
related Discount Fraction of the principal amount of those unscheduled
collections, with respect to a Discount Mortgage Loan;
(ii) that class' pro rata share, based on the Certificate Principal
Balance of each class of Class M Certificates and Class B Certificates then
outstanding, of all amounts received in connection with the Final
Disposition of a mortgage loan, other than the related Discount Fraction of
those amounts with respect to a Discount Mortgage Loan, (x) that occurred
during the preceding calendar month and (y) that did not result in any
Excess Special Hazard Losses, Excess Fraud Losses, Excess Bankruptcy Losses
or Extraordinary Losses, to the extent applied as recoveries of principal
and to the extent not otherwise payable to the Senior Certificates;
(iii) the portion of full and partial mortgagor prepayments, other than
the Discount Fraction of those mortgagor prepayments with respect to a
Discount Mortgage Loan, made by the respective mortgagors during the
preceding calendar month allocable to that class of Class M Certificates as
described in the third succeeding paragraph;
(iv) if that class is the most senior class of certificates then
outstanding, an amount equal to the Excess Subordinate Principal Amount, if
any; and
(v) any amounts allocable to principal for any previous distribution date
calculated pursuant to clauses (i) through (iii) above that remain
undistributed to the extent that any of those amounts are not attributable
to Realized Losses which were allocated to any class of Class M
Certificates with a lower payment priority or the Class B Certificates.
References in this prospectus supplement to "payment priority" of the
Class M Certificates refer to a payment priority among those classes of
certificates as follows: first, to the Class M-1 Certificates; second, to the
Class M-2 Certificates; and third, to the Class M-3 Certificates.
As to each class of Class M Certificates, on any distribution date, any
Accrued Certificate Interest thereon remaining unpaid from any previous
distribution date will be distributable to the extent of available funds.
Notwithstanding the foregoing, if the Certificate Principal Balances of the
Class B Certificates have been reduced to zero, on any distribution date, with
respect to the class of Class M Certificates outstanding on that distribution
date with the lowest payment priority, Accrued Certificate Interest thereon
remaining unpaid from any previous distribution date, except in the limited
circumstances provided in the pooling and servicing agreement, will not be
distributable.
All mortgagor prepayments not otherwise distributable to the Senior
Certificates will be allocated on a pro rata basis among the class of Class M
Certificates with the highest payment priority then outstanding and each other
class of Class M Certificates and Class B Certificates for which certain loss
levels established for that class in the pooling and servicing agreement have
not been exceeded. The related loss level on any distribution date would be
satisfied as to any Class M-2, Class M-3 or Class B Certificates, respectively,
only if the sum of the current percentage interests in the mortgage pool
evidenced by that class and each class, if any, subordinate thereto were at
least equal to the sum of the initial percentage interests in the mortgage pool
evidenced by that class and each class, if any, subordinate thereto.
As stated above under "--Principal Distributions on the Senior
Certificates," the Senior Accelerated Distribution Percentage will be 100%
during the first five years after the closing date, unless the Certificate
Principal Balances of the Senior Certificates, other than the Class A-P
Certificates, are reduced to zero before the end of that five-year period, and
will thereafter equal 100% whenever the Senior Percentage exceeds the initial
Senior Percentage. Furthermore, as described in this prospectus supplement, the
Senior
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Accelerated Distribution Percentage will exceed the Senior Percentage during
the sixth through ninth years following the closing date, and scheduled
reductions to the Senior Accelerated Distribution Percentage may be postponed
due to the loss and delinquency experience of the mortgage loans. Accordingly,
each class of the Class M Certificates will not be entitled to any mortgagor
prepayments for at least the first five years after the closing date, unless
the Certificate Principal Balances of the Senior Certificates (other than the
Class A-P Certificates) have been reduced to zero before the end of such
period, and may receive no mortgagor prepayments or a disproportionately small
portion of mortgagor prepayments relative to the related Class M Percentage
during certain periods after this five year period. See "--Principal
Distributions on the Senior Certificates" in this prospectus supplement.
ALLOCATION OF LOSSES; SUBORDINATION
The subordination provided to the Senior Certificates by the Class B
Certificates and Class M Certificates and the subordination provided to each
class of Class M Certificates by the Class B Certificates and by any class of
Class M Certificates subordinate thereto will cover Realized Losses on the
mortgage loans that are Defaulted Mortgage Losses, Fraud Losses, Bankruptcy
Losses and Special Hazard Losses. Any Realized Losses which are not Excess
Special Hazard Losses, Excess Fraud Losses, Excess Bankruptcy Losses or
Extraordinary Losses will be allocated as follows:
- first, to the Class B Certificates;
- second, to the Class M-3 Certificates;
- third, to the Class M-2 Certificates; and
- fourth, to the Class M-1 Certificates
in each case until the Certificate Principal Balance of that class of
certificates has been reduced to zero; and thereafter, if any Realized Loss is
on a Discount Mortgage Loan, to the Class A-P Certificates in an amount equal
to the related Discount Fraction of the principal portion of the Realized Loss
until the Certificate Principal Balance of the Class A-P Certificates has been
reduced to zero, and the remainder of the Realized Losses and the entire amount
of Realized Losses on Non-Discount Mortgage Loans will be allocated among all
the remaining classes of Senior Certificates on a pro rata basis.
Any allocation of a Realized Loss, other than a Debt Service Reduction, to
a certificate will be made by reducing:
- its Certificate Principal Balance, in the case of the principal portion
of the Realized Loss, in each case until the Certificate Principal Balance
of that class has been reduced to zero, and
- the Accrued Certificate Interest thereon, in the case of the interest
portion of the Realized Loss, by the amount so allocated as of the
distribution date occurring in the month following the calendar month in
which the Realized Loss was incurred.
In addition, any allocation of a Realized Loss to a Class M Certificate may
also be made by operation of the payment priority to the Senior Certificates
described under "--Principal Distributions on the Senior Certificates" and any
class of Class M Certificates with a higher payment priority.
As used in this prospectus supplement, subordination refers to the
provisions discussed above for the sequential allocation of Realized Losses
among the various classes, as well as all provisions effecting those
allocations including the priorities for distribution of cash flows in the
amounts described in this prospectus supplement.
As described in the prospectus, in some circumstances the master servicer
may permit a servicing modification--the modification of a defaulted mortgage
loan to reduce the applicable mortgage rate or to reduce its outstanding
principal amount. Any principal reduction of this type shall constitute a
Realized Loss at the time of the reduction, and the amount by which each
monthly payment is reduced by any mortgage rate reduction shall constitute a
Realized Loss in the month in which each such reduced monthly payment is due.
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Servicing modification reductions shall be allocated when incurred (as
provided above) in the same manner as other Realized Losses as described in
this prospectus supplement. Any Advances made on any mortgage loan will be
reduced to reflect any related servicing modifications previously made. No
servicing modification will have the effect of reducing the mortgage rate below
the sum of the servicing fee rate and the pool strip rate as in effect at the
cut-off date. The mortgage rate and Net Mortgage Rate as to any mortgage loan
will be deemed not reduced by any servicing modification, so that the
calculation of Accrued Certificate Interest payable on the offered certificates
will not be affected by the servicing modification.
Allocations of the principal portion of Debt Service Reductions to each
class of Class M Certificates and Class B Certificates will result from the
priority of distributions of the Available Distribution Amount as described in
this prospectus supplement, which distributions shall be made first to the
Senior Certificates, second to the Class M Certificates in the order of their
payment priority and third to the Class B Certificates. An allocation of the
interest portion of a Realized Loss as well as the principal portion of Debt
Service Reductions will not reduce the level of subordination, as that term is
defined in this prospectus supplement, until an amount in respect thereof has
been actually disbursed to the Senior Certificateholders or the Class M
Certificateholders, as applicable.
The holders of the offered certificates will not be entitled to any
additional payments with respect to Realized Losses from amounts otherwise
distributable on any classes of certificates subordinate thereto, except in
limited circumstances in respect of any Excess Subordinate Principal Amount, or
in the case of Class A-P Collection Shortfalls, to the extent of Eligible
Funds. Accordingly, the subordination provided to the Senior Certificates,
other than the Class A-P Certificates, and to each class of Class M
Certificates by the respective classes of certificates subordinate thereto with
respect to Realized Losses allocated on any distribution date will be effected
primarily by increasing the Senior Percentage, or the respective Class M
Percentage, of future distributions of principal of the remaining mortgage
loans. Because the Discount Fraction of each Discount Mortgage Loan will not
change over time, the protection from losses provided to the Class A-P
Certificates by the Class M Certificates and Class B Certificates is limited to
the prior right of the Class A-P Certificates to receive distributions in
respect of principal as described in this prospectus supplement. Furthermore,
principal losses on the mortgage loans that are not covered by subordination
will be allocated to the Class A-P Certificates only to the extent they occur
on a Discount Mortgage Loan and only to the extent of the related Discount
Fraction of those losses. The allocation of principal losses on the Discount
Mortgage Loans may result in those losses being allocated in an amount that is
greater or less than would have been the case had those losses been allocated
in proportion to the Certificate Principal Balance of the Class A-P
Certificates. Thus, the Senior Certificates, other than the Class A-P
Certificates, will bear the entire amount of losses that are not allocated to
the Class M Certificates and Class B Certificates, other than the amount
allocable to the Class A-P Certificates, which losses will be allocated among
all classes of Senior Certificates, other than the Class A-P Certificates, as
described in this prospectus supplement.
Because the Class A-P Certificates are entitled to receive in connection
with the Final Disposition of a Discount Mortgage Loan, on any distribution
date, an amount equal to all unpaid Class A-P Collection Shortfalls to the
extent of Eligible Funds on that distribution date, shortfalls in distributions
of principal on any class of Class M Certificates could occur under some
circumstances, even if that class is not the most subordinate class of
certificates then outstanding.
Any Excess Special Hazard Losses, Excess Fraud Losses, Excess Bankruptcy
Losses, Extraordinary Losses or other losses of a type not covered by
subordination on Non-Discount Mortgage Loans will be allocated on a pro rata
basis among the Senior Certificates, other than the Class A-P Certificates,
Class M Certificates and Class B Certificates. Any Realized Losses so allocated
to the Senior Certificates or Class M Certificates will be allocated without
priority among the various classes of Senior Certificates, other than the Class
A-P Certificates, or Class M Certificates. The principal portion of these
losses on Discount Mortgage Loans will be allocated to the Class A-P
Certificates in an amount equal to their related Discount Fraction, and the
remainder of the losses on Discount Mortgage Loans will be allocated among the
remaining certificates on a pro rata basis.
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An allocation of a Realized Loss on a "pro rata basis" among two or more
classes of certificates means an allocation to each of those classes of
certificates on the basis of its then outstanding Certificate Principal Balance
prior to giving effect to distributions to be made on that distribution date in
the case of an allocation of the principal portion of a Realized Loss, or based
on the Accrued Certificate Interest thereon in respect of that distribution
date in the case of an allocation of the interest portion of a Realized Loss;
provided that in determining the Certificate Principal Balance of the Accrual
Certificates for the purpose of allocating any portion of a Realized Loss to
that certificate, the Certificate Principal Balance of that certificate shall
be deemed to be the lesser of:
- the original Certificate Principal Balance of that certificate and
- the Certificate Principal Balance of that certificate prior to giving
effect to distributions to be made on that distribution date.
In order to maximize the likelihood of distribution in full of the Senior
Interest Distribution Amount, Class A-P Distribution Amount and Senior
Principal Distribution Amount, on each distribution date, holders of Senior
Certificates have a right to distributions of the Available Distribution Amount
that is prior to the rights of the holders of the Class M Certificates and
Class B Certificates, to the extent necessary to satisfy the Senior Interest
Distribution Amount, Class A-P Distribution Amount and Senior Principal
Distribution Amount. Similarly, holders of the Class M Certificates have a
right to distributions of the Available Distribution Amount prior to the rights
of holders of the Class B Certificates, and holders of any class of Class M
Certificates with a higher payment priority have a right to distributions of
the Available Distribution Amount prior to the rights of holders of any class
of Class M Certificates with a lower payment priority.
The application of the Senior Accelerated Distribution Percentage, when it
exceeds the Senior Percentage, to determine the Senior Principal Distribution
Amount will accelerate the amortization of the Senior Certificates in the
aggregate, other than the Class A-P Certificates, relative to the actual
amortization of the mortgage loans. The Class A-P Certificates will not receive
more than the Discount Fraction of any unscheduled payment relating to a
Discount Mortgage Loan. To the extent that the Senior Certificates in the
aggregate, other than the Class A-P Certificates, are amortized faster than the
mortgage loans, in the absence of offsetting Realized Losses allocated to the
Class M Certificates and Class B Certificates, the percentage interest
evidenced by the Senior Certificates in the trust will be decreased, with a
corresponding increase in the interest in the trust evidenced by the Class M
Certificates and Class B Certificates, thereby increasing, relative to their
respective Certificate Principal Balances, the subordination afforded the
Senior Certificates by the Class M Certificates and Class B Certificates
collectively. In addition, if losses on the mortgage loans exceed the amounts
described in this prospectus supplement under "--Principal Distributions on the
Senior Certificates," a greater percentage of full and partial mortgagor
prepayments will be allocated to the Senior Certificates in the aggregate,
other than the Class A-P Certificates, than would otherwise be the case,
thereby accelerating the amortization of the Senior Certificates relative to
the Class M Certificates and Class B Certificates.
The priority of payments, including principal prepayments, among the Class
M Certificates, as described in this prospectus supplement, also has the effect
during some periods, in the absence of losses, of decreasing the percentage
interest evidenced by any class of Class M Certificates with a higher payment
priority, thereby increasing, relative to its Certificate Principal Balance,
the subordination afforded to that class of the Class M Certificates by the
Class B Certificates and any class of Class M Certificates with a lower payment
priority.
The Special Hazard Amount shall initially be equal to $3,396,876. As of
any date of determination following the cut-off date, the Special Hazard Amount
shall equal $3,396,876 less the sum of (A) any amounts allocated through
subordination relating to Special Hazard Losses and (B) the Adjustment Amount.
The Adjustment Amount will be equal to an amount calculated under the terms of
the pooling and servicing agreement.
The Fraud Loss Amount shall initially be equal to $3,396,876. As of any
date of determination after the cut-off date, the Fraud Loss Amount shall equal
(X) prior to the third anniversary of the cut-off date
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an amount equal to 1.00% of the aggregate principal balance of all of the
mortgage loans as of the cut-off date minus the aggregate amounts allocated
through Subordination with respect to Fraud Losses up to that date of
determination and (Y) from the third to the fifth anniversary of the cut-off
date, an amount equal to (1) the lesser of (a) the Fraud Loss Amount as of the
most recent anniversary of the cut-off date and (b) 0.50% of the aggregate
principal balance of all of the mortgage loans as of the most recent
anniversary of the cut-off date minus (2) the aggregate amounts allocated
through subordination with respect to Fraud Losses since the most recent
anniversary of the cut-off date up to that date of determination. On and after
the fifth anniversary of the cut-off date, the Fraud Loss Amount shall be zero
and Fraud Losses shall not be allocated through subordination.
The Bankruptcy Amount will initially be equal to $128,736. As of any date
of determination on or after the first anniversary of the cut-off date, the
Bankruptcy Amount will equal the excess, if any, of (1) the lesser of (a) the
Bankruptcy Amount as of the business day next preceding the most recent
anniversary of the cut-off date and (b) an amount calculated under the terms of
the pooling and servicing agreement, which amount as calculated will provide
for a reduction in the Bankruptcy Amount, over (2) the aggregate amount of
Bankruptcy Losses allocated solely to the Class M Certificates or Class B
Certificates through subordination since that anniversary.
Notwithstanding the foregoing, the provisions relating to subordination
will not be applicable in connection with a Bankruptcy Loss so long as the
master servicer has notified the trustee in writing that:
- the master servicer is diligently pursuing any remedies that may exist
in connection with the representations and warranties made regarding the
related mortgage loan; and
- either:
- the related mortgage loan is not in default with regard to payments
due thereunder; or
- delinquent payments of principal and interest under the related
mortgage loan and any premiums on any applicable primary hazard
insurance policy and any related escrow payments relating to that
mortgage loan are being advanced on a current basis by the master
servicer or a subservicer.
The Special Hazard Amount, Fraud Loss Amount and Bankruptcy Amount may be
further reduced as described in the prospectus under "Subordination."
Notwithstanding the foregoing, with respect to the Insured Certificates,
the policy will cover the interest and principal portions of all Realized
Losses allocated thereto. See "The Policy" in this prospectus supplement. If
payments are not made as required under the policy, Realized Losses allocated
to the Insured Certificates will be borne by the holders of such certificates.
ADVANCES
Prior to each distribution date, the master servicer is required to make
Advances which were due on the mortgage loans on the immediately preceding due
date and delinquent on the business day next preceding the related
determination date.
These Advances are required to be made only to the extent they are deemed
by the master servicer to be recoverable from related late collections,
Insurance Proceeds, Liquidation Proceeds or amounts otherwise payable to the
holders of the Class B Certificates or Class M Certificates. The purpose of
making these Advances is to maintain a regular cash flow to the
certificateholders, rather than to guarantee or insure against losses. The
master servicer will not be required to make any Advances with respect to
reductions in the amount of the monthly payments on the mortgage loans due to
Debt Service Reductions or the application of the Relief Act or similar
legislation or regulations. Any failure by the master servicer to make an
Advance as required under the pooling and servicing agreement will constitute
an event of default thereunder, in which case the trustee, as successor master
servicer, will be obligated to make any Advance, in accordance with the terms
of the pooling and servicing agreement.
All Advances will be reimbursable to the master servicer on a first
priority basis from either (a) late collections, Insurance Proceeds and
Liquidation Proceeds from the mortgage loan as to which such
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unreimbursed Advance was made or (b) as to any Advance that remains
unreimbursed in whole or in part following the final liquidation of the related
mortgage loan, from any amounts otherwise distributable on any of the Class B
Certificates or Class M Certificates; provided, however, that any Advances that
were made with respect to delinquencies which ultimately were determined to be
Excess Special Hazard Losses, Excess Fraud Losses, Excess Bankruptcy Losses or
Extraordinary Losses are reimbursable to the master servicer out of any funds
in the Custodial Account prior to distributions on any of the certificates and
the amount of those losses will be allocated as described in this prospectus
supplement. The effect of these provisions on any class of the Class M
Certificates is that, with respect to any Advance which remains unreimbursed
following the final liquidation of the related mortgage loan, the entire amount
of the reimbursement for that Advance will be borne first by the holders of the
Class B Certificates or any class of Class M Certificates having a lower
payment priority to the extent that the reimbursement is covered by amounts
otherwise distributable to those classes, and then by the holders of that class
of Class M Certificates, except as provided above, to the extent of the amounts
otherwise distributable to them.
In addition, if the Certificate Principal Balances of the Class M
Certificates and Class B Certificates have been reduced to zero, any Advances
previously made which are deemed by the master servicer to be nonrecoverable
from related late collections, Insurance Proceeds and Liquidation Proceeds may
be reimbursed to the master servicer out of any funds in the Custodial Account
prior to distributions on the Senior Certificates.
THE INSURER
The following information has been supplied by Ambac Assurance
Corporation, the insurer, for inclusion in this prospectus supplement. No
representation is made by the depositor, the master servicer, the underwriter
or any of their affiliates as to the accuracy or completeness of the
information.
The insurer is a Wisconsin-domiciled stock insurance corporation regulated
by the Office of the Commissioner of Insurance of the State of Wisconsin and
licensed to do business in 50 states, the District of Columbia, the
Commonwealth of Puerto Rico and the Territory of Guam. The insurer primarily
insures newly-issued municipal and structured finance obligations. The insurer
is a wholly owned subsidiary of Ambac Financial Group, Inc. (formerly, AMBAC
Inc.), a 100% publicly-held company. Moody's Investors Service, Inc., Standard
& Poor's and Fitch have each assigned a triple-A financial strength rating to
the insurer.
The consolidated financial statements of the insurer and subsidiaries as
of December 31, 1999 and December 31, 1998 and for each of the years in the
three-year period ended December 31, 1999 prepared in accordance with generally
accepted accounting principles, included in the Annual Report on Form 10-K of
Ambac Financial Group, Inc. (which was filed with the Commission on March 30,
2000; Commission File Number 1-10777), and the unaudited consolidated financial
statements of the insurer and subsidiaries as of June 30, 2000 and for the
periods ending June 30, 2000 and June 30, 1999, included in the Quarterly
Report on Form 10-Q of Ambac Financial Group, Inc., for the period ended June
30, 2000 (which was filed with the Commission on August 11, 2000), are hereby
incorporated by reference into this prospectus supplement and shall be deemed
to be a part of this prospectus supplement. Any statement contained in a
document incorporated in this prospectus supplement by reference shall be
modified or superseded for the purposes of this prospectus supplement to the
extent that a statement contained in this prospectus supplement by reference in
this prospectus supplement also modifies or supersedes the statement. Any
statement so modified or superseded shall not be deemed, except as so modified
or superseded, to constitute a part of this prospectus supplement.
All financial statements of the insurer and subsidiaries included in
documents filed by Ambac Financial Group, Inc. with the Commission pursuant to
Section 13(a), 13(c), 14 or 15(d) of the Exchange Act, subsequent to the date
of this prospectus supplement and prior to the termination of the offering of
the certificates shall be deemed to be incorporated by reference into this
prospectus supplement and to be a part hereof from the respective dates of
filing the documents.
The following table sets forth the capitalization of the insurer as of
December 31, 1998, December 31, 1999 and June 30, 2000, in conformity with
generally accepted accounting principles.
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AMBAC ASSURANCE CORPORATION
CAPITALIZATION TABLE
(DOLLARS IN MILLIONS)
<TABLE>
<CAPTION>
DECEMBER 31, DECEMBER 31, JUNE 30,
-------------- -------------- ------------
1998 1999 2000
-------------- -------------- ------------
(UNAUDITED)
<S> <C> <C> <C>
Unearned premiums ................................... $1,303 $1,442 $1,452
Other liabilities ................................... 548 524 504
------ ------ ------
Total liabilities .................................. 1,851 1,966 1,956
------ ------ ------
Stockholder's equity:
Common Stock ....................................... 82 82 82
Additional paid-in capital ......................... 541 752 753
Accumulated other comprehensive income
(loss) ........................................... 138 (92) (46)
Retained earnings .................................. 1,405 1,674 1,834
------ ------ ------
Total stockholder's equity ......................... 2,166 2,416 2,623
------ ------ ------
Total liabilities and stockholder's equity ......... $4,017 $4,382 $4,579
====== ====== ======
</TABLE>
For additional financial information concerning the insurer, see the
audited financial statements of the insurer incorporated by reference in this
prospectus supplement. Copies of the financial statements of the insurer
incorporated by reference and copies of the insurer's annual statement for the
year ended December 31, 1999 prepared in accordance with statutory accounting
standards are available, without charge, from the insurer. The address of the
insurer's administrative offices and its telephone number are One State Street
Plaza, 19th Floor, New York, New York 10004 and (212) 668-0340.
The insurer makes no representation regarding the certificates or the
advisability of investing in the certificates and makes no representation
regarding, nor has it participated in the preparation of, this prospectus
supplement other than the information supplied by the insurer and presented
under the headings "The Insurer" and "Description of the Certificates--The
Policy" in this prospectus supplement and in the financial statements
incorporated in this prospectus supplement by reference.
S-50
<PAGE>
CERTAIN YIELD AND PREPAYMENT CONSIDERATIONS
GENERAL
The yields to maturity and the aggregate amount of distributions on the
offered certificates will be affected by the rate and timing of principal
payments on the mortgage loans and the amount and timing of mortgagor defaults
resulting in Realized Losses. The yields may be adversely affected by a higher
or lower than anticipated rate of principal payments on the mortgage loans in
the trust. The rate of principal payments on the mortgage loans will in turn be
affected by the amortization schedules of the mortgage loans, the rate and
timing of mortgagor prepayments on the mortgage loans by the mortgagors,
liquidations of defaulted mortgage loans and purchases of mortgage loans due to
breaches of some representations and warranties.
The timing of changes in the rate of prepayments, liquidations and
purchases of the mortgage loans may, and the timing of Realized Losses will,
significantly affect the yield to an investor, even if the average rate of
principal payments experienced over time is consistent with an investor's
expectation. In addition, the rate of prepayments of the mortgage loans and the
yield to investors on the certificates may be affected by refinancing programs,
which may include general or targeted solicitations, as described under
"Maturity and Prepayment Considerations" in the prospectus. Since the rate and
timing of principal payments on the mortgage loans will depend on future events
and on a variety of factors, as described in this prospectus supplement and in
the prospectus under "Yield Considerations" and "Maturity and Prepayment
Considerations", no assurance can be given as to the rate or the timing of
principal payments on the offered certificates.
The mortgage loans in most cases may be prepaid by the mortgagors at any
time without payment of any prepayment fee or penalty. Nevertheless, a portion
of the mortgage loans provide for payment of a prepayment charge, which may
have a substantial effect on the rate of prepayment of those mortgage loans.
Most of the mortgage loans contain due-on-sale clauses. As described under
"Description of the Certificates--Principal Distributions on the Senior
Certificates" and "--Principal Distributions on the Class M Certificates" in
this prospectus supplement, during specified periods all or a
disproportionately large percentage of principal prepayments on the mortgage
loans will be allocated among the Senior Certificates, other than the Lockout
Certificates and the Class A-P Certificates, and during specified periods no
principal prepayments or, relative to the related Class M Percentage, a
disproportionately small portion of principal prepayments on the mortgage loans
will be distributed to the Lockout Certificates and to each class of Class M
Certificates. In addition to the foregoing, if on any distribution date, the
loss level established for the Class M-2 Certificates or Class M-3 Certificates
is exceeded and a class of Class M Certificates having a higher payment
priority is then outstanding, the Class M-2 Certificates or Class M-3
Certificates, as the case may be, will not receive distributions relating to
principal prepayments on that distribution date. Furthermore, if the
Certificate Principal Balances of the Senior Certificates, other than the
Lockout Certificates and the Class A-P Certificates, have been reduced to zero,
the Lockout Certificates may, under some circumstances, receive all mortgagor
prepayments made during the preceding calendar month to the extent not paid to
the Class A-P Certificates.
Prepayments, liquidations and purchases of the mortgage loans will result
in distributions to holders of the offered certificates of principal amounts
which would otherwise be distributed over the remaining terms of the mortgage
loans. Factors affecting prepayment, including defaults and liquidations, of
mortgage loans include changes in mortgagors' housing needs, job transfers,
unemployment, mortgagors' net equity in the mortgaged properties, changes in
the value of the mortgaged properties, mortgage market interest rates,
solicitations and servicing decisions. In addition, if prevailing mortgage
rates fell significantly below the mortgage rates on the mortgage loans, the
rate of prepayments, including refinancings, would be expected to increase.
Conversely, if prevailing mortgage rates rose significantly above the mortgage
rates on the mortgage loans, the rate of prepayments on the mortgage loans
would be expected to decrease.
S-51
<PAGE>
The rate of defaults on the mortgage loans will also affect the rate and
timing of principal payments on the mortgage loans. In general, defaults on
mortgage loans are expected to occur with greater frequency in their early
years. The rate of default on mortgage loans which are refinance or limited
documentation mortgage loans, and on mortgage loans with high LTV ratios, may
be higher than for other types of mortgage loans. Furthermore, the rate and
timing of prepayments, defaults and liquidations on the mortgage loans will be
affected by the general economic condition of the region of the country in
which the related mortgaged properties are located. The risk of delinquencies
and loss is greater and prepayments are less likely in regions where a weak or
deteriorating economy exists, as may be evidenced by, among other factors,
increasing unemployment or falling property values. See "Maturity and
Prepayment Considerations" in the prospectus.
The recording of mortgages in the name of MERS is a new practice in the
mortgage lending industry. While the depositor expects that the master servicer
or applicable subservicer will be able to commence foreclosure proceedings on
the mortgaged properties, when necessary and appropriate, public recording
officers and others, however, may have limited, if any, experience with lenders
seeking to foreclose mortgages, assignments of which are registered with MERS.
Accordingly, delays and additional costs in commencing, prosecuting and
completing foreclosure proceedings, defending litigation commenced by third
parties and conducting foreclosure sales of the mortgaged properties could
result. Those delays and additional costs could in turn delay the distribution
of liquidation proceeds to the certificateholders and increase the amount of
Realized Losses on the mortgage loans. In addition, if, as a result of MERS
discontinuing or becoming unable to continue operations in connection with the
MERS (Registered Trademark) System, it becomes necessary to remove any
mortgage loan from registration on the MERS (Registered Trademark) System and
to arrange for the assignment of the related mortgages to the trustee, then any
related expenses shall be reimbursable by the trust to the master servicer,
which will reduce the amount available to pay principal of and interest on the
outstanding class or classes of certificates with the lowest payment
priorities. For additional information regarding the recording of mortgages in
the name of MERS see "Description of the Mortgage Pool--Mortgage Pool
Characteristics" in this prospectus supplement and "Description of the
Certificates--Assignment of Trust Assets" in the prospectus.
Because the mortgage rates on the mortgage loans and the pass-through
rates on the offered certificates, other than the Variable Strip Certificates,
are fixed, these rates will not change in response to changes in market
interest rates. Accordingly, if market interest rates or market yields for
securities similar to such offered certificates were to rise, the market value
of such offered certificates may decline.
As described under "Description of the Certificates--Allocation of Losses;
Subordination" and "--Advances," amounts otherwise distributable to holders of
one or more classes of the Class M Certificates may be made available to
protect the holders of the Senior Certificates and holders of any Class M
Certificates with a higher payment priority against interruptions in
distributions due to some mortgagor delinquencies, to the extent not covered by
Advances. These delinquencies may affect the yields to investors on those
classes of the Class M Certificates, and, even if subsequently cured, may
affect the timing of the receipt of distributions by the holders of those
classes of Class M Certificates. Furthermore, the Class A-P Certificates will
share in the principal portion of Realized Losses on the mortgage loans only to
the extent that they are incurred with respect to Discount Mortgage Loans and
only to the extent of the related Discount Fraction. Thus, after the Class B
Certificates and the Class M Certificates are retired or in the case of Excess
Special Hazard Losses, Excess Fraud Losses, Excess Bankruptcy Losses and
Extraordinary Losses, the Senior Certificates other than the Insured
Certificates, to the extent such losses are covered by the policy, and the
Class A-P Certificates, may be affected to a greater extent by losses on
Non-Discount Mortgage Loans than losses on Discount Mortgage Loans. In
addition, a higher than expected rate of delinquencies or losses will also
affect the rate of principal payments on one or more classes of the Class M
Certificates if it delays the scheduled reduction of the Senior Accelerated
Distribution Percentage or affects the allocation of prepayments among the
Class M Certificates and Class B Certificates.
The periodic increase in interest paid by the mortgagor of a Buy-Down
Mortgage Loan may increase the risk of default with respect to the related
mortgage loan. See "Mortgage Loan Program--Underwriting Standards" and "Yield
Considerations" in the prospectus.
S-52
<PAGE>
The amount of interest otherwise payable to holders of the offered
certificates will be reduced by any interest shortfalls to the extent not
covered by subordination or the master servicer or, solely with respect to the
Insured Certificates, by the policy and the Reserve Fund, as described in this
prospectus supplement, including Prepayment Interest Shortfalls and, in the
case of each class of the Class M Certificates, the interest portions of
Realized Losses allocated solely to that class of certificates. These
shortfalls will not be offset by a reduction in the servicing fees payable to
the master servicer or otherwise, except as described in this prospectus
supplement with respect to some Prepayment Interest Shortfalls. See "Yield
Considerations" in the prospectus and "Description of the
Certificates--Interest Distributions" in this prospectus supplement for a
discussion of the effect of principal prepayments on the mortgage loans on the
yield to maturity of the offered certificates and possible shortfalls in the
collection of interest.
The yield to investors in the offered certificates will be affected by
Prepayment Interest Shortfalls allocable thereto in the month preceding any
distribution date to the extent that those shortfalls exceed the amount offset
by the master servicer or, solely with respect to the Insured Certificates, by
the policy and the Reserve Fund. See "Description of the Certificates--Interest
Distributions" in this prospectus supplement.
In addition, the yield to maturity on each class of the offered
certificates will depend on, among other things, the price paid by the holders
of the offered certificates and the related pass-through rate. The extent to
which the yield to maturity of an offered certificate is sensitive to
prepayments will depend, in part, upon the degree to which it is purchased at a
discount or premium. In general, if a class of offered certificates is
purchased at a premium and principal distributions thereon occur at a rate
faster than assumed at the time of purchase, the investor's actual yield to
maturity will be lower than anticipated at the time of purchase. Conversely, if
a class of offered certificates is purchased at a discount and principal
distributions thereon occur at a rate slower than assumed at the time of
purchase, the investor's actual yield to maturity will be lower than
anticipated at the time of purchase. For additional considerations relating to
the yield on the offered certificates, see "Yield Considerations" and "Maturity
and Prepayment Considerations" in the prospectus.
Sequentially Paying Certificates: The Senior Certificates, other than the
Class A-P Certificates and Variable Strip Certificates, are entitled to receive
distributions in accordance with various priorities for payment of principal as
described in this prospectus supplement. Distributions of principal on classes
having an earlier priority of payment will be affected by the rates of
prepayment of the mortgage loans early in the life of the mortgage pool. The
timing of commencement of principal distributions and the weighted average
lives of certificates with a later priority of payment will be affected by the
rates of prepayment of the mortgage loans both before and after the
commencement of principal distributions on those classes.
Accretion Directed Certificates and Accrual Certificates: On or prior to
the Accretion Termination Date, the Accretion Directed Certificates, as and to
the extent described in this prospectus supplement, will receive as monthly
principal distributions the Accrual Distribution Amount. On or prior to the
Accretion Termination Date, interest shortfalls allocated to the Accrual
Certificates will reduce the amount added to the Certificate Principal Balance
of those certificates relating to interest accrued thereon and will result in a
corresponding reduction of the amount available for distributions relating to
principal on the Accretion Directed Certificates. Furthermore, because these
interest shortfalls will result in the Certificate Principal Balance of the
Accrual Certificates being less than it would otherwise be, the amount of
interest that will accrue in the future on the Accrual Certificates and be
available for distributions relating to principal on the Accretion Directed
Certificates will be reduced. Accordingly, the weighted average lives of the
Accretion Directed Certificates would be extended.
In addition, investors in the Accrual Certificates should be aware that
the Accretion Termination Date may be later, or earlier, than otherwise assumed
if prepayments occur slower, or faster, than anticipated. Investors in the
Accrual Certificates should also be aware that the Accretion Termination Date
could be different from that assumed at the time of purchase.
S-53
<PAGE>
Because the Accrual Certificates are not entitled to receive any
distributions of interest, other than as described in this prospectus
supplement, until the occurrence of the Accretion Termination Date, those
certificates will likely experience greater price and yield volatility than
would mortgage pass-through certificates that are otherwise similar but which
are entitled to current distributions of interest. Investors should consider
whether this volatility is suitable to their investment needs.
Retail Certificates: IN ADDITION TO THE CONSIDERATIONS DESCRIBED ABOVE,
INVESTORS IN THE RETAIL CERTIFICATES SHOULD BE AWARE THAT THOSE CERTIFICATES
MAY NOT BE AN APPROPRIATE INVESTMENT FOR ALL PROSPECTIVE INVESTORS. The Retail
Certificates would not be an appropriate investment for any investor requiring
a distribution of a particular amount of principal or interest on a specific
date or dates or an otherwise predictable stream of cash payments. The timing
of those distributions may have a significant effect on an investor's yield on
those certificates if the certificate is purchased at a discount or a premium.
Investors in the Retail Certificates also should be aware that
distributions of principal to the Retail Certificates will be allocated by DTC
according to a random lot procedure, except as provided in this prospectus
supplement under "Description of the Certificates--Principal Distributions on
the Retail Certificates." Due to this random lot procedure, there can be no
assurance that on any distribution date, any holder of a Retail Certificate
will receive a principal distribution. Thus, the timing of distributions in
reduction of the Certificate Principal Balance with respect to any particular
Retail Certificate, even if a request for distribution has been made as
provided under "Description of the Certificates--Principal Distributions on the
Retail Certificates," is highly uncertain and may be earlier or later than the
date that may be desired by that certificateholder.
Furthermore, investors in the Retail Certificates should be aware that
because these certificates have a later priority of payment as to principal in
relation to the other classes of Senior Certificates, the effect on the market
value of the Retail Certificates of changes in market interest rates or market
yields for similar securities will be greater than would be the effect of those
changes on other classes of Senior Certificates entitled to earlier priorities
of principal distributions. Furthermore, this later payment priority also makes
the Retail Certificates particularly sensitive to the rate and timing of
principal prepayments on the mortgage loans. If prepayments on the mortgage
loans occur at a higher rate than anticipated, the weighted average lives of
the Retail Certificates may be shortened. Conversely, if prepayments on the
mortgage loans occur at a lower rate than anticipated, the weighted average
lives of the Retail Certificates may be extended.
Lockout Certificates: Investors in the Lockout Certificates should be
aware that because the Lockout Certificates do not receive any distributions of
principal payments prior to the distribution date occurring in September 2005
and until the distribution date occurring in September 2009 will receive a
disproportionately small portion of principal payments, unless the Certificate
Principal Balances of the Senior Certificates, other than the Lockout
Certificates and Class A-P Certificates, have been reduced to zero, the
weighted average life of the Lockout Certificates will be longer than would
otherwise be the case. The effect on the market value of the Lockout
Certificates of changes in market interest rates or market yields for similar
securities will be greater than for other classes of Senior Certificates
entitled to principal distributions.
Certificates with Subordination Features: After the Certificate Principal
Balances of the Class B Certificates have been reduced to zero, the yield to
maturity on the class of Class M Certificates then outstanding with the lowest
payment priority will be extremely sensitive to losses on the mortgage loans
and the timing of those losses because the entire amount of losses that are
covered by Subordination will be allocated to that class of Class M
Certificates. See "--Class M-2 and Class M-3 Certificate Yield Considerations"
below. Furthermore, because principal distributions are paid to some classes of
Senior Certificates and Class M Certificates before other classes, holders of
classes having a later priority of payment bear a greater risk of losses than
holders of classes having earlier priority for distribution of principal. With
respect to the Insured Certificates only, Realized Losses allocated thereto
will be covered by the policy to the extent set forth in the policy.
S-54
<PAGE>
Assumed Final Distribution Date: The assumed final distribution date with
respect to each class of the offered certificates is August 25, 2030, which is
the distribution date immediately following the latest scheduled maturity date
for any mortgage loan. No event of default, change in the priorities for
distribution among the various classes or other provisions under the pooling
and servicing agreement will arise or become applicable solely by reason of the
failure to retire the entire Certificate Principal Balance of any class of
certificates on or before its assumed final distribution date.
Weighted Average Life: Weighted average life refers to the average amount
of time that will elapse from the date of issuance of a security to the date of
distribution to the investor of each dollar distributed in reduction of
principal of the security assuming no losses. The weighted average life of the
offered certificates will be influenced by, among other things, the rate at
which principal of the mortgage loans is paid, which may be in the form of
scheduled amortization, prepayments or liquidations.
Prepayments on mortgage loans are commonly measured relative to a
prepayment standard or model. The model used in this prospectus supplement, the
prepayment speed assumption, represents an assumed rate of prepayment each
month relative to the then outstanding principal balance of a pool of new
mortgage loans. A prepayment assumption of 100% PSA assumes constant prepayment
rates of 0.20% per annum of the then outstanding principal balance of the
mortgage loans in the first month of the life of the mortgage loans and an
additional 0.20% 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
mortgage loans, 100% PSA assumes a constant prepayment rate of 6% per annum
each month. As used in the table below, "0% PSA" assumes prepayment rates equal
to 0% of PSA--no prepayments. Correspondingly, "100% PSA" and "250% PSA"
assumes prepayment rates equal to 100% of PSA and 250% of PSA, respectively,
and so forth. PSA does not purport to be a historical description of prepayment
experience or a prediction of the anticipated rate of prepayment of any pool of
mortgage loans, including the mortgage loans.
The table captioned "Percent of Initial Certificate Principal Balance
Outstanding at the Following Percentages of PSA" has been prepared on the basis
of assumptions as listed in this paragraph regarding the weighted average
characteristics of the mortgage loans that are expected to be included in the
trust as described under "Description of the Mortgage Pool" in this prospectus
supplement and their performance. The table assumes, among other things, that:
(i) as of the date of issuance of the offered certificates, the mortgage loans
have the following characteristics:
<TABLE>
<CAPTION>
DISCOUNT NON-DISCOUNT
MORTGAGE LOANS MORTGAGE LOANS
------------------- --------------------
<S> <C> <C>
Aggregate principal balance .............................. $ 39,132,514.74 $ 300,555,047.95
Weighted average mortgage rate ........................... 7.8249200679% 8.5572%
Weighted average servicing fee rate ...................... 0.3242791790% 0.3336%
Weighted average original term to maturity (months) ...... 359 360
Weighted average remaining term to maturity (months) ..... 353 359
</TABLE>
(ii) the scheduled monthly payment for each mortgage loan has been based
on its outstanding balance, mortgage rate and remaining term to maturity, so
that the mortgage loan will amortize in amounts sufficient for its repayment
over its remaining term to maturity; (iii) none of the unaffiliated sellers,
the master servicer or the depositor will repurchase any mortgage loan, as
described under "Mortgage Loan Program--Representations by Sellers" and
"Description of the Certificates--Assignment of the Trust Assets" in the
prospectus, and neither the master servicer nor the depositor exercises any
option to purchase the mortgage loans and thereby cause a termination of the
trust; (iv) there are no delinquencies or Realized Losses on the mortgage
loans, and principal payments on the mortgage loans will be timely received
together with prepayments, if any, at the respective constant percentages of
PSA set forth in the table; (v) there is no Prepayment Interest Shortfall or
any other interest shortfall in any month; (vi) payments on the certificates
will be received on the 25th day of each month, commencing in September 2000;
(vii) payments on the mortgage loans earn no reinvestment return; (viii) there
are no additional ongoing trust expenses payable out of the trust; (ix) on each
distribution date, distributions of principal on the Retail Certificates are
not restricted to increments of $1,000 and no deposits or withdrawals are made
to or from the related Rounding Account; and (x) the certificates will be
purchased on August 25, 2000. Clauses (i) through (x) above are collectively
referred to as the structuring assumptions.
S-55
<PAGE>
The actual characteristics and performance of the mortgage loans will
differ from the assumptions used in constructing the table below, which is
hypothetical in nature and is provided only to give a general sense of how the
principal cash flows might behave under varying prepayment scenarios. For
example, it is very unlikely that the mortgage loans will prepay at a constant
level of PSA until maturity or that all of the mortgage loans will prepay at
the same level of PSA. Moreover, the diverse remaining terms to maturity and
mortgage rates of the mortgage loans could produce slower or faster principal
distributions than indicated in the table at the various constant percentages
of PSA specified, even if the weighted average remaining term to maturity and
weighted average mortgage rate of the mortgage loans are as assumed. Any
difference between the assumptions and the actual characteristics and
performance of the mortgage loans, or actual prepayment or loss experience,
will affect the percentages of initial Certificate Principal Balances
outstanding over time and the weighted average lives of the classes of offered
certificates.
In accordance with the foregoing discussion and assumptions, the following
table indicates the weighted average life of each class of offered
certificates, other than the Variable Strip Certificates and Residual
Certificates, and sets forth the percentages of the initial Certificate
Principal Balance of each class of offered certificates that would be
outstanding after each of the distribution dates at the various percentages of
PSA shown.
S-56
<PAGE>
PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING
CONSTANT PERCENTAGES OF THE PSA
<TABLE>
<CAPTION>
CLASS A-1
-------------------------------------------------
DISTRIBUTION DATE 0% 100% 250% 400% 500%
-------------------------------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Initial Percentage ................... 100% 100% 100% 100% 100%
August 25, 2001 ...................... 98 96 92 89 86
August 25, 2002 ...................... 96 88 76 65 58
August 25, 2003 ...................... 94 78 56 37 25
August 25, 2004 ...................... 91 68 39 15 2
August 25, 2005 ...................... 89 59 24 0 0
August 25, 2006 ...................... 86 50 12 0 0
August 25, 2007 ...................... 83 42 2 0 0
August 25, 2008 ...................... 80 35 0 0 0
August 25, 2009 ...................... 77 28 0 0 0
August 25, 2010 ...................... 73 22 0 0 0
August 25, 2011 ...................... 69 15 0 0 0
August 25, 2012 ...................... 65 9 0 0 0
August 25, 2013 ...................... 60 3 0 0 0
August 25, 2014 ...................... 55 0 0 0 0
August 25, 2015 ...................... 49 0 0 0 0
August 25, 2016 ...................... 43 0 0 0 0
August 25, 2017 ...................... 37 0 0 0 0
August 25, 2018 ...................... 29 0 0 0 0
August 25, 2019 ...................... 22 0 0 0 0
August 25, 2020 ...................... 13 0 0 0 0
August 25, 2021 ...................... 4 0 0 0 0
August 25, 2022 ...................... 0 0 0 0 0
August 25, 2023 ...................... 0 0 0 0 0
August 25, 2024 ...................... 0 0 0 0 0
August 25, 2025 ...................... 0 0 0 0 0
August 25, 2026 ...................... 0 0 0 0 0
August 25, 2027 ...................... 0 0 0 0 0
August 25, 2028 ...................... 0 0 0 0 0
August 25, 2029 ...................... 0 0 0 0 0
August 25, 2030 ...................... 0 0 0 0 0
Weighted Average Life** (in years) ... 13.7 6.5 3.5 2.6 2.3
<PAGE>
<CAPTION>
CLASS A-2 CLASS A-3
------------------------------------------------- ---------------------------------------
DISTRIBUTION DATE 0% 100% 250% 400% 500% 0% 100% 250% 400%
-------------------------------------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Initial Percentage ................... 100% 100% 100% 100% 100% 100% 100% 100% 100%
August 25, 2001 ...................... 98 96 92 89 86 99 96 93 90
August 25, 2002 ...................... 97 88 76 65 57 97 89 78 68
August 25, 2003 ...................... 95 79 56 36 24 95 80 60 42
August 25, 2004 ...................... 93 69 39 14 * 94 72 44 21
August 25, 2005 ...................... 91 60 24 0 0 92 64 30 4
August 25, 2006 ...................... 89 52 12 0 0 90 56 20 0
August 25, 2007 ...................... 87 45 2 0 0 88 49 11 0
August 25, 2008 ...................... 84 38 0 0 0 86 43 4 0
August 25, 2009 ...................... 82 31 0 0 0 83 37 0 0
August 25, 2010 ...................... 79 26 0 0 0 81 32 0 0
August 25, 2011 ...................... 76 20 0 0 0 78 27 0 0
August 25, 2012 ...................... 73 15 0 0 0 75 22 0 0
August 25, 2013 ...................... 69 10 0 0 0 72 17 0 0
August 25, 2014 ...................... 65 6 0 0 0 68 14 0 0
August 25, 2015 ...................... 61 4 0 0 0 64 12 0 0
August 25, 2016 ...................... 56 2 0 0 0 60 11 0 0
August 25, 2017 ...................... 51 1 0 0 0 55 9 0 0
August 25, 2018 ...................... 45 0 0 0 0 50 6 0 0
August 25, 2019 ...................... 39 0 0 0 0 45 3 0 0
August 25, 2020 ...................... 33 0 0 0 0 38 0 0 0
August 25, 2021 ...................... 26 0 0 0 0 32 0 0 0
August 25, 2022 ...................... 20 0 0 0 0 27 0 0 0
August 25, 2023 ...................... 17 0 0 0 0 24 0 0 0
August 25, 2024 ...................... 13 0 0 0 0 21 0 0 0
August 25, 2025 ...................... 10 0 0 0 0 17 0 0 0
August 25, 2026 ...................... 5 0 0 0 0 13 0 0 0
August 25, 2027 ...................... * 0 0 0 0 9 0 0 0
August 25, 2028 ...................... 0 0 0 0 0 0 0 0 0
August 25, 2029 ...................... 0 0 0 0 0 0 0 0 0
August 25, 2030 ...................... 0 0 0 0 0 0 0 0 0
Weighted Average Life** (in years) ... 16.1 7.0 3.6 2.6 2.2 17.1 8.0 3.9 2.8
<CAPTION>
CLASS A-3
---------
DISTRIBUTION DATE 500%
-------------------------------------- ---------
<S> <C>
Initial Percentage ................... 100%
August 25, 2001 ...................... 87
August 25, 2002 ...................... 61
August 25, 2003 ...................... 31
August 25, 2004 ...................... 9
August 25, 2005 ...................... 0
August 25, 2006 ...................... 0
August 25, 2007 ...................... 0
August 25, 2008 ...................... 0
August 25, 2009 ...................... 0
August 25, 2010 ...................... 0
August 25, 2011 ...................... 0
August 25, 2012 ...................... 0
August 25, 2013 ...................... 0
August 25, 2014 ...................... 0
August 25, 2015 ...................... 0
August 25, 2016 ...................... 0
August 25, 2017 ...................... 0
August 25, 2018 ...................... 0
August 25, 2019 ...................... 0
August 25, 2020 ...................... 0
August 25, 2021 ...................... 0
August 25, 2022 ...................... 0
August 25, 2023 ...................... 0
August 25, 2024 ...................... 0
August 25, 2025 ...................... 0
August 25, 2026 ...................... 0
August 25, 2027 ...................... 0
August 25, 2028 ...................... 0
August 25, 2029 ...................... 0
August 25, 2030 ...................... 0
Weighted Average Life** (in years) ... 2.4
</TABLE>
-------
* Indicates a number that is greater than zero but less than 0.5%.
** The weighted average life of a certificate of any class is determined by
(i) multiplying the amount of each net distribution of Certificate
Principal Balance by the number of years from the date of issuance of the
certificate to the related distribution date, (ii) adding the results,
and (iii) dividing the sum by the aggregate of the net distributions
described in (i) above.
THIS TABLE HAS BEEN PREPARED BASED ON THE STRUCTURING ASSUMPTIONS (INCLUDING
THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE MORTGAGE
LOANS, WHICH DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE THEREOF)
AND SHOULD BE READ IN CONJUNCTION THEREWITH.
(Table continued on next page.)
S-57
<PAGE>
PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING
CONSTANT PERCENTAGES OF THE PSA
<TABLE>
<CAPTION>
CLASSES A-4, A-9 AND A-10
-------------------------------------------------
DISTRIBUTION DATE 0% 100% 250% 400% 500%
-------------------------------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Initial Percentage ................... 100% 100% 100% 100% 100%
August 25, 2001 ...................... 100 100 100 100 100
August 25, 2002 ...................... 100 100 100 100 100
August 25, 2003 ...................... 100 100 100 100 100
August 25, 2004 ...................... 100 100 100 100 100
August 25, 2005 ...................... 100 100 100 100 10
August 25, 2006 ...................... 100 100 100 35 0
August 25, 2007 ...................... 100 100 100 0 0
August 25, 2008 ...................... 100 100 100 0 0
August 25, 2009 ...................... 100 100 85 0 0
August 25, 2010 ...................... 100 100 52 0 0
August 25, 2011 ...................... 100 100 24 0 0
August 25, 2012 ...................... 100 100 1 0 0
August 25, 2013 ...................... 100 100 0 0 0
August 25, 2014 ...................... 100 100 0 0 0
August 25, 2015 ...................... 100 100 0 0 0
August 25, 2016 ...................... 100 100 0 0 0
August 25, 2017 ...................... 100 100 0 0 0
August 25, 2018 ...................... 100 100 0 0 0
August 25, 2019 ...................... 100 100 0 0 0
August 25, 2020 ...................... 100 95 0 0 0
August 25, 2021 ...................... 100 72 0 0 0
August 25, 2022 ...................... 100 49 0 0 0
August 25, 2023 ...................... 100 28 0 0 0
August 25, 2024 ...................... 100 8 0 0 0
August 25, 2025 ...................... 100 0 0 0 0
August 25, 2026 ...................... 100 0 0 0 0
August 25, 2027 ...................... 100 0 0 0 0
August 25, 2028 ...................... 87 0 0 0 0
August 25, 2029 ...................... 0 0 0 0 0
August 25, 2030 ...................... 0 0 0 0 0
Weighted Average Life** (in years) ... 28.4 22.1 10.2 5.9 4.7
<CAPTION>
CLASS A-5 CLASSES A-6 AND A-7
------------------------------------------------- ---------------------------------------
DISTRIBUTION DATE 0% 100% 250% 400% 500% 0% 100% 250% 400%
-------------------------------------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Initial Percentage ................... 100% 100% 100% 100% 100% 100% 100% 100% 100%
August 25, 2001 ...................... 108 108 108 108 108 100 100 100 100
August 25, 2002 ...................... 117 117 117 117 117 100 100 100 100
August 25, 2003 ...................... 126 126 126 126 126 100 100 100 100
August 25, 2004 ...................... 136 136 136 136 136 99 99 99 99
August 25, 2005 ...................... 147 147 147 128 10 98 98 98 98
August 25, 2006 ...................... 159 159 159 35 0 96 96 96 96
August 25, 2007 ...................... 172 172 172 0 0 95 95 95 74
August 25, 2008 ...................... 186 186 128 0 0 94 94 94 46
August 25, 2009 ...................... 200 200 84 0 0 93 93 93 30
August 25, 2010 ...................... 217 217 51 0 0 92 92 92 22
August 25, 2011 ...................... 234 234 24 0 0 90 90 90 17
August 25, 2012 ...................... 253 253 1 0 0 89 89 89 12
August 25, 2013 ...................... 273 273 0 0 0 88 88 75 9
August 25, 2014 ...................... 295 263 0 0 0 87 87 62 7
August 25, 2015 ...................... 319 231 0 0 0 86 86 51 5
August 25, 2016 ...................... 344 200 0 0 0 84 84 42 4
August 25, 2017 ...................... 372 172 0 0 0 83 83 34 3
August 25, 2018 ...................... 402 144 0 0 0 82 82 28 2
August 25, 2019 ...................... 434 119 0 0 0 81 81 22 1
August 25, 2020 ...................... 469 94 0 0 0 80 80 18 1
August 25, 2021 ...................... 506 71 0 0 0 78 78 14 1
August 25, 2022 ...................... 494 49 0 0 0 77 77 11 *
August 25, 2023 ...................... 440 28 0 0 0 76 76 9 *
August 25, 2024 ...................... 381 8 0 0 0 75 75 6 *
August 25, 2025 ...................... 317 0 0 0 0 74 66 5 *
August 25, 2026 ...................... 246 0 0 0 0 72 51 3 *
August 25, 2027 ...................... 170 0 0 0 0 71 37 2 *
August 25, 2028 ...................... 86 0 0 0 0 70 24 1 *
August 25, 2029 ...................... 0 0 0 0 0 65 11 1 *
August 25, 2030 ...................... 0 0 0 0 0 0 0 0 0
Weighted Average Life** (in years) ... 25.6 18.4 9.2 5.6 4.6 25.3 23.7 15.8 8.8
<PAGE>
<CAPTION>
CLASSES
A-6 AND
A-7
---------
DISTRIBUTION DATE 500%
-------------------------------------- ---------
<S> <C>
Initial Percentage ................... 100%
August 25, 2001 ...................... 100
August 25, 2002 ...................... 100
August 25, 2003 ...................... 100
August 25, 2004 ...................... 99
August 25, 2005 ...................... 98
August 25, 2006 ...................... 45
August 25, 2007 ...................... 10
August 25, 2008 ...................... 0
August 25, 2009 ...................... 0
August 25, 2010 ...................... 0
August 25, 2011 ...................... 0
August 25, 2012 ...................... 0
August 25, 2013 ...................... 0
August 25, 2014 ...................... 0
August 25, 2015 ...................... 0
August 25, 2016 ...................... 0
August 25, 2017 ...................... 0
August 25, 2018 ...................... 0
August 25, 2019 ...................... 0
August 25, 2020 ...................... 0
August 25, 2021 ...................... 0
August 25, 2022 ...................... 0
August 25, 2023 ...................... 0
August 25, 2024 ...................... 0
August 25, 2025 ...................... 0
August 25, 2026 ...................... 0
August 25, 2027 ...................... 0
August 25, 2028 ...................... 0
August 25, 2029 ...................... 0
August 25, 2030 ...................... 0
Weighted Average Life** (in years) ... 6.0
</TABLE>
-------
* Indicates a number that is greater than zero but less than 0.5%.
** The weighted average life of a certificate of any class is determined by
(i) multiplying the amount of each net distribution of Certificate
Principal Balance by the number of years from the date of issuance of the
certificate to the related distribution date, (ii) adding the results,
and (iii) dividing the sum by the aggregate of the net distributions
described in (i) above.
THIS TABLE HAS BEEN PREPARED BASED ON THE STRUCTURING ASSUMPTIONS (INCLUDING
THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE MORTGAGE
LOANS, WHICH DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE THEREOF)
AND SHOULD BE READ IN CONJUNCTION THEREWITH.
(Table continued on next page.)
S-58
<PAGE>
PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING
CONSTANT PERCENTAGES OF THE PSA
<TABLE>
<CAPTION>
CLASS A-8
-------------------------------------------------
DISTRIBUTION DATE 0% 100% 250% 400% 500%
-------------------------------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Initial Percentage ................... 100% 100% 100% 100% 100%
August 25, 2001 ...................... 100 100 100 100 100
August 25, 2002 ...................... 100 100 100 100 100
August 25, 2003 ...................... 100 100 100 100 100
August 25, 2004 ...................... 100 100 100 100 100
August 25, 2005 ...................... 100 100 100 100 100
August 25, 2006 ...................... 100 98 95 92 90
August 25, 2007 ...................... 99 95 88 82 77
August 25, 2008 ...................... 98 91 80 69 57
August 25, 2009 ...................... 97 85 69 55 38
August 25, 2010 ...................... 95 79 58 41 26
August 25, 2011 ...................... 93 72 48 30 18
August 25, 2012 ...................... 91 66 40 23 12
August 25, 2013 ...................... 89 61 33 17 8
August 25, 2014 ...................... 86 56 27 12 6
August 25, 2015 ...................... 84 51 22 9 4
August 25, 2016 ...................... 81 46 18 7 3
August 25, 2017 ...................... 77 41 15 5 2
August 25, 2018 ...................... 74 37 12 4 1
August 25, 2019 ...................... 70 33 10 3 1
August 25, 2020 ...................... 66 29 8 2 1
August 25, 2021 ...................... 62 26 6 1 *
August 25, 2022 ...................... 57 22 5 1 *
August 25, 2023 ...................... 51 19 4 1 *
August 25, 2024 ...................... 46 16 3 * *
August 25, 2025 ...................... 39 13 2 * *
August 25, 2026 ...................... 33 10 1 * *
August 25, 2027 ...................... 25 7 1 * *
August 25, 2028 ...................... 17 5 1 * *
August 25, 2029 ...................... 8 2 * * *
August 25, 2030 ...................... 0 0 0 0 0
Weighted Average Life** (in years) ... 21.9 16.1 12.0 10.0 9.0
<PAGE>
<CAPTION>
CLASS A-P CLASSES M-1, M-2 AND M-3
------------------------------------------------- ---------------------------------------
DISTRIBUTION DATE 0% 100% 250% 400% 500% 0% 100% 250% 400%
-------------------------------------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Initial Percentage ................... 100% 100% 100% 100% 100% 100% 100% 100% 100%
August 25, 2001 ...................... 99 97 93 89 87 99 99 99 99
August 25, 2002 ...................... 98 91 81 71 65 98 98 98 98
August 25, 2003 ...................... 97 85 68 53 45 97 97 97 97
August 25, 2004 ...................... 96 79 57 40 31 96 96 96 96
August 25, 2005 ...................... 95 73 48 30 21 95 95 95 95
August 25, 2006 ...................... 93 68 40 23 15 94 93 90 87
August 25, 2007 ...................... 92 63 34 17 10 93 89 83 77
August 25, 2008 ...................... 90 58 28 13 7 92 84 74 64
August 25, 2009 ...................... 89 53 23 9 5 90 79 64 51
August 25, 2010 ...................... 87 49 19 7 3 88 73 53 38
August 25, 2011 ...................... 85 45 16 5 2 87 67 45 28
August 25, 2012 ...................... 83 41 13 4 2 85 62 37 21
August 25, 2013 ...................... 80 38 11 3 1 83 57 31 16
August 25, 2014 ...................... 78 34 9 2 1 80 52 25 11
August 25, 2015 ...................... 75 31 7 2 * 78 47 21 8
August 25, 2016 ...................... 72 28 6 1 * 75 43 17 6
August 25, 2017 ...................... 69 25 5 1 * 72 39 14 5
August 25, 2018 ...................... 66 23 4 1 * 69 35 11 3
August 25, 2019 ...................... 62 20 3 * * 65 31 9 2
August 25, 2020 ...................... 58 18 3 * * 61 27 7 2
August 25, 2021 ...................... 54 15 2 * * 57 24 6 1
August 25, 2022 ...................... 49 13 2 * * 53 21 5 1
August 25, 2023 ...................... 44 11 1 * * 48 18 3 1
August 25, 2024 ...................... 38 9 1 * * 42 15 3 *
August 25, 2025 ...................... 32 7 1 * * 37 12 2 *
August 25, 2026 ...................... 26 5 * * * 30 9 1 *
August 25, 2027 ...................... 19 4 * * * 23 7 1 *
August 25, 2028 ...................... 12 2 * * * 16 4 1 *
August 25, 2029 ...................... 4 1 * * * 8 2 * *
August 25, 2030 ...................... 0 0 0 0 0 0 0 0 0
Weighted Average Life** (in years) ... 19.9 11.4 6.3 4.2 3.5 20.7 15.3 11.4 9.6
<CAPTION>
CLASSES
M-1, M-2
AND M-3
DISTRIBUTION DATE 500%
-------------------------------------- ---------
<S> <C>
Initial Percentage ................... 100%
August 25, 2001 ...................... 99
August 25, 2002 ...................... 98
August 25, 2003 ...................... 97
August 25, 2004 ...................... 96
August 25, 2005 ...................... 95
August 25, 2006 ...................... 85
August 25, 2007 ...................... 73
August 25, 2008 ...................... 58
August 25, 2009 ...................... 43
August 25, 2010 ...................... 29
August 25, 2011 ...................... 20
August 25, 2012 ...................... 14
August 25, 2013 ...................... 9
August 25, 2014 ...................... 6
August 25, 2015 ...................... 4
August 25, 2016 ...................... 3
August 25, 2017 ...................... 2
August 25, 2018 ...................... 1
August 25, 2019 ...................... 1
August 25, 2020 ...................... 1
August 25, 2021 ...................... *
August 25, 2022 ...................... *
August 25, 2023 ...................... *
August 25, 2024 ...................... *
August 25, 2025 ...................... *
August 25, 2026 ...................... *
August 25, 2027 ...................... *
August 25, 2028 ...................... *
August 25, 2029 ...................... *
August 25, 2030 ...................... 0
Weighted Average Life** (in years) ... 8.9
</TABLE>
-------
* Indicates a number that is greater than zero but less than 0.5%.
** The weighted average life of a certificate of any class is determined by
(i) multiplying the amount of each net distribution of Certificate
Principal Balance by the number of years from the date of issuance of the
certificate to the related distribution date, (ii) adding the results,
and (iii) dividing the sum by the aggregate of the net distributions
described in (i) above.
<PAGE>
THIS TABLE HAS BEEN PREPARED BASED ON THE STRUCTURING ASSUMPTIONS (INCLUDING
THE ASSUMPTIONS REGARDING THE CHARACTERISTICS AND PERFORMANCE OF THE MORTGAGE
LOANS, WHICH DIFFER FROM THE ACTUAL CHARACTERISTICS AND PERFORMANCE THEREOF)
AND SHOULD BE READ IN CONJUNCTION THEREWITH.
(Table continued from previous page.)
S-59
<PAGE>
PRINCIPAL ONLY CERTIFICATE AND VARIABLE STRIP CERTIFICATE YIELD CONSIDERATIONS
Because the Principal Only Certificates will be purchased at a discount,
the pre-tax yield on the Principal Only Certificates will be adversely affected
by slower than expected payments of principal, including prepayments, defaults,
liquidations and purchases of mortgage loans due to a breach of a
representation and warranty on the Discount Mortgage Loans.
The pre-tax yield to maturity on the Variable Strip Certificates will be
extremely sensitive to both the timing of receipt of prepayments and the
overall rate of principal prepayments and defaults on the mortgage loans, which
rate may fluctuate significantly over time. Investors in the Variable Strip
Certificates should fully consider the risk that a rapid rate of prepayments on
the mortgage loans could result in the failure of those investors to fully
recover their investments. Solely with respect to the Variable Strip
Certificates, because the pool strip rates on the Discount Mortgage Loans equal
0.00%, the pre-tax yield to investors on the Variable Strip Certificates will
not be affected by prepayments on the Discount Mortgage Loans.
The following tables indicate the sensitivity of the pre-tax yields to
maturity on the Principal Only Certificates and Variable Strip Certificates to
various constant rates of prepayment on the mortgage loans by projecting the
monthly aggregate payments on the Principal Only Certificates and Variable
Strip Certificates and computing the corresponding pre-tax yields to maturity
on a corporate bond equivalent basis, based on the structuring assumptions,
including the assumptions regarding the characteristics and performance of the
mortgage loans, which differ from their actual characteristics and performance
and assuming the aggregate purchase prices, including accrued interest, if any,
set forth below. Any differences between the assumptions and the actual
characteristics and performance of the mortgage loans and of the Principal Only
Certificates and Variable Strip Certificates may result in pre-tax yields being
different from those shown in the tables. Discrepancies between assumed and
actual characteristics and performance underscore the hypothetical nature of
the tables, which are provided only to give a general sense of the sensitivity
of pre-tax yields in varying prepayment scenarios.
PRE-TAX YIELD TO MATURITY OF THE CLASS A-P
CERTIFICATES AT THE FOLLOWING PERCENTAGES OF PSA
<TABLE>
<CAPTION>
ASSUMED PURCHASE PRICE 0% 100% 250% 400% 500%
------------------------ ------ ------ ------ ------- ------
<S> <C> <C> <C> <C> <C>
$780,644........... 2.5% 4.8% 9.2% 13.6% 16.5%
</TABLE>
PRE-TAX YIELD TO MATURITY OF THE VARIABLE STRIP
CERTIFICATES AT THE FOLLOWING PERCENTAGES OF PSA
<TABLE>
<CAPTION>
ASSUMED PURCHASE PRICE 0% 100% 250% 400% 500%
------------------------- ------- ------- ------- ------ -----
<S> <C> <C> <C> <C> <C>
$5,206,288.......... 27.7% 22.7% 15.0% 7.1% 1.8%
</TABLE>
Each pre-tax yield to maturity set forth in the preceding tables was
calculated by determining the monthly discount rate which, when applied to the
assumed stream of cash flows to be paid on the Principal Only Certificates and
Variable Strip Certificates, would cause the discounted present value of the
assumed stream of cash flows to equal the assumed purchase price listed in the
applicable table. Accrued interest, if any, is included in the assumed purchase
price and is used in computing the corporate bond equivalent yields shown.
These pre-tax yields do not take into account the different interest rates at
which investors may be able to reinvest funds received by them as distributions
on the Principal Only Certificates or Variable Strip Certificates, and thus do
not reflect the return on any investment in the Principal Only Certificates or
Variable Strip Certificates when any reinvestment rates other than the discount
rates are considered.
Notwithstanding the assumed prepayment rates reflected in the preceding
tables, it is highly unlikely that the mortgage loans will be prepaid according
to one particular pattern. For this reason, and because the timing of cash
flows is critical to determining yields, the pre-tax yields to maturity on the
Principal Only Certificates and Variable Strip Certificates are likely to
differ from those shown in the tables, even
S-60
<PAGE>
if all of the mortgage loans prepay at the constant percentages of PSA
indicated in the tables above over any given time period or over the entire
life of the certificates.
A lower than anticipated rate of principal prepayments on the Discount
Mortgage Loans will have a material adverse effect on the yield to maturity of
the Class A-P Certificates. The rate and timing of principal prepayments on the
Discount Mortgage Loans may differ from the rate and timing of principal
prepayments on the mortgage pool. In addition, because the Discount Mortgage
Loans have Net Mortgage Rates that are lower than the Net Mortgage Rates of the
Non-Discount Mortgage Loans, and because mortgage loans with lower Net Mortgage
Rates are likely to have lower mortgage rates, the Discount Mortgage Loans are
likely to prepay under most circumstances at a lower rate than the Non-Discount
Mortgage Loans. In addition, holders of the Variable Strip Certificates in most
cases have rights to relatively larger portions of interest payments on
mortgage loans with higher mortgage rates; thus, the yield on the Variable
Strip Certificates will be materially adversely affected to a greater extent
than on the other offered certificates if the mortgage loans with higher
mortgage rates prepay faster than the mortgage loans with lower mortgage rates.
Because mortgage loans having higher pool strip rates usually have higher
mortgage rates, these mortgage loans are more likely to be prepaid under most
circumstances than are mortgage loans having lower pool strip rates.
There can be no assurance that the mortgage loans will prepay at any
particular rate or that the yield on the Principal Only Certificates and
Variable Strip Certificates will conform to the yields described in this
prospectus supplement. Moreover, the various remaining terms to maturity and
mortgage rates of the mortgage loans could produce slower or faster principal
distributions than indicated in the preceding table at the various constant
percentages of PSA specified, even if the weighted average remaining term to
maturity and weighted average mortgage rate of the mortgage loans are as
assumed. Investors are urged to make their investment decisions based on their
determinations as to anticipated rates of prepayment under a variety of
scenarios. Investors in the Variable Strip Certificates should fully consider
the risk that a rapid rate of prepayments on the mortgage loans could result in
the failure of those investors to fully recover their investments.
For additional considerations relating to the yield on the certificates,
see "Yield Considerations" and "Maturity and Prepayment Considerations" in the
prospectus.
CLASS M-2 AND CLASS M-3 CERTIFICATE YIELD CONSIDERATIONS
If the aggregate Certificate Principal Balance of the Class B Certificates
is reduced to zero, the yield to maturity on the Class M-3 Certificates will
become extremely sensitive to losses on the mortgage loans and the timing of
those losses that are covered by subordination, because the entire amount of
those losses will be allocated to the Class M-3 Certificates.
The aggregate initial Certificate Principal Balance of the Class B
Certificates is equal to approximately 0.70% of the aggregate principal balance
of the mortgage loans as of the cut-off date. If the Certificate Principal
Balances of the Class B Certificates and Class M-3 Certificates have been
reduced to zero, the yield to maturity on the Class M-2 Certificates will
become extremely sensitive to losses on the mortgage loans and the timing of
those losses that are covered by subordination, because the entire amount of
those losses will be allocated to the Class M-2 Certificates. The aggregate
initial Certificate Principal Balance of the Class M-3 Certificates and Class B
Certificates is equal to approximately 1.15% of the aggregate principal balance
of the mortgage loans as of the cut-off date.
Defaults on mortgage loans may be measured relative to a default standard
or model. The model used in this prospectus supplement, the standard default
assumption, represents an assumed rate of default each month relative to the
then outstanding performing principal balance of a pool of new mortgage loans.
A default assumption of 100% SDA assumes constant default rates of 0.02% per
annum of the then outstanding principal balance of the mortgage loans in the
first month of the life of the mortgage loans and an additional 0.02% per annum
in each month thereafter until the 30th month. Beginning in the 30th month and
in each month thereafter through the 60th month of the life of the mortgage
loans, 100% SDA assumes a constant default rate of 0.60% per annum each month.
Beginning in the 61st month and in each month thereafter through the 120th
month of the life of the mortgage loans,
S-61
<PAGE>
100% SDA assumes that the constant default rate declines each month by 0.0095%
per annum, and that the constant default rate remains at 0.03% per annum in
each month after the 120th month. For the purposes of the tables below, it is
assumed that there is no delay between the default and liquidation of the
mortgage loans. As used in the table below, "0% SDA" assumes default rates
equal to 0% of SDA--no defaults. Correspondingly, "200% SDA" assumes default
rates equal to 200% of SDA, and so forth. SDA does not purport to be a
historical description of default experience or a prediction of the anticipated
rate of default of any pool of mortgage loans, including the mortgage loans in
this mortgage pool.
The following tables indicate the sensitivity of the yield to maturity on
the Class M-2 Certificates and Class M-3 Certificates to various rates of
prepayment and varying levels of aggregate Realized Losses by projecting the
monthly aggregate cash flows on the Class M-2 Certificates and Class M-3
Certificates and computing the corresponding pre-tax yield to maturity on a
corporate bond equivalent basis. The tables are based on the structuring
assumptions, except assumption (iv), including the assumptions regarding the
characteristics and performance of the mortgage loans, which differ from their
actual characteristics and performance, and assuming further that:
o defaults and final liquidations on the mortgage loans occur on the last
day of each month at the respective SDA percentages set forth in the
tables;
o each liquidation results in a Realized Loss allocable to principal equal
to the percentage indicated, the loss severity percentage, multiplied by
the principal balances of the mortgage loans assumed to be liquidated;
o there are no delinquencies on the mortgage loans, and principal payments
on the mortgage loans, other than those on mortgage loans assumed to be
liquidated, will be timely received together with prepayments, if any, at
the respective constant percentages of PSA set forth in the table;
o there are no Excess Special Hazard Losses, Excess Fraud Losses, Excess
Bankruptcy Losses or Extraordinary Losses;
o clauses (a)(i), (b)(i) and (b)(ii) in the definition of the Senior
Accelerated Distribution Percentage are not applicable; and
o the purchase prices of the Class M-2 Certificates and Class M-3
Certificates will be approximately $2,471,694 and $1,433,317,
respectively, including accrued interest.
Investors should also consider the possibility that aggregate losses
incurred may not in fact be materially reduced by higher prepayment speeds
because mortgage loans that would otherwise ultimately default and be
liquidated may be less likely to be prepaid. In addition, investors should be
aware that the following table is based upon the assumption that the Class M-2
Certificates and Class M-3 Certificates are priced at a discount. Since
prepayments will occur at par, the yield on the Class M-2 Certificates and
Class M-3 Certificates may increase due to those prepayments, even if losses
occur. Any differences between the assumptions and the actual characteristics
and performance of the mortgage loans and of the certificates may result in
yields different from those shown in the tables. Discrepancies between assumed
and actual characteristics and performance underscore the hypothetical nature
of the tables, which are provided only to give a general sense of the
sensitivity of yields in varying Realized Loss and prepayment scenarios.
S-62
<PAGE>
SENSITIVITY OF PRE-TAX YIELD TO MATURITY OF THE
CLASS M-2 CERTIFICATES AND CLASS M-3 CERTIFICATES
TO PREPAYMENTS AND REALIZED LOSSES
CLASS M-2 CERTIFICATES
<TABLE>
<CAPTION>
PERCENTAGE OF PSA
PERCENTAGE LOSS SEVERITY ---------------------------------------------------------------------------
OF SDA PERCENTAGE 0% 100% 250% 400% 500%
---------------- -------------- ------------- ------------ ------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
0% ......... N/A 8.20% 8.25% 8.32% 8.36% 8.38%
100% ......... 30% 7.92% 8.23% 8.32% 8.36% 8.38%
200% ......... 30% (21.37)% (9.47)% 5.55% 8.36% 8.38%
300% ......... 30% (39.54)% (34.91)% (24.95)% 1.01% 5.55%
400% ......... 30% (53.82)% (50.10)% (43.09)% (32.59)% (6.55)%
</TABLE>
CLASS M-3 CERTIFICATES
<TABLE>
<CAPTION>
PERCENTAGE OF PSA
PERCENTAGE LOSS SEVERITY ----------------------------------------------------------------------------
OF SDA PERCENTAGE 0% 100% 250% 400% 500%
---------------- -------------- ------------- ------------- ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
0% ......... N/A 8.57% 8.69% 8.82% 8.91% 8.96%
100% ......... 30% (11.17)% 4.18% 8.70% 8.91% 8.96%
200% ......... 30% (43.42)% (39.16)% (30.82)% (3.43)% 3.04%
300% ......... 30% (64.16)% (61.17)% (55.74)% (48.45)% (41.63)%
400% ......... 30% (79.21)% (77.02)% (73.25)% (68.54)% (64.53)%
</TABLE>
Each pre-tax yield to maturity listed in the preceding tables was
calculated by determining the monthly discount rate which, when applied to the
assumed stream of cash flows to be paid on the Class M-2 Certificates or Class
M-3 Certificates, as applicable, would cause the discounted present value of
the assumed stream of cash flows to equal the assumed purchase price referred
to above, and converting that rate to a corporate bond equivalent yield.
Accrued interest is included in the assumed purchase price and is used in
computing the corporate bond equivalent yields shown. These yields do not take
into account the different interest rates at which investors may be able to
reinvest funds received by them as distributions on the Class M-2 Certificates
or Class M-3 Certificates, and thus do not reflect the return on any investment
in the Class M-2 Certificates or Class M-3 Certificates when any reinvestment
rates other than the discount rates set forth in the preceding tables are
considered.
The following table sets forth the amount of Realized Losses that would be
incurred with respect to the certificates in the aggregate under each of the
scenarios in the preceding tables, expressed as a percentage of the aggregate
outstanding principal balance of the mortgage loans as of the cut-off date:
AGGREGATE REALIZED LOSSES
<TABLE>
<CAPTION>
PERCENTAGE OF PSA
PERCENTAGE LOSS SEVERITY ----------------------------------------------
OF SDA PERCENTAGE 0% 100% 250% 400% 500%
---------------- -------------- ------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
100% ......... 30% 1.18% 0.93% 0.69% 0.52% 0.44%
200% ......... 30% 2.31% 1.83% 1.35% 1.04% 0.88%
300% ......... 30% 3.41% 2.70% 2.01% 1.54% 1.31%
400% ......... 30% 4.46% 3.54% 2.64% 2.03% 1.73%
</TABLE>
Notwithstanding the assumed percentages of SDA, loss severity and
prepayment reflected in the preceding table, it is highly unlikely that the
mortgage loans will be prepaid or that Realized Losses will be incurred
according to one particular pattern. For this reason, and because the timing of
cash flows is critical to determining yields, the actual pre-tax yields to
maturity on the Class M-2 Certificates and Class M-3 Certificates are likely to
differ from those shown in the tables. There can be no assurance that the
mortgage loans will prepay at any particular rate or that Realized Losses will
be incurred at any particular level or that the yield on the Class M-2
Certificates or Class M-3 Certificates will conform to the yields
S-63
<PAGE>
described in this prospectus supplement. Moreover, the various remaining terms
to maturity and mortgage rates of the mortgage loans could produce slower or
faster principal distributions than indicated in the preceding tables at the
various constant percentages of PSA specified, even if the weighted average
remaining term to maturity and weighted average mortgage rate of the mortgage
loans are as assumed.
Investors are urged to make their investment decisions based on their
determinations as to anticipated rates of prepayment and Realized Losses under
a variety of scenarios. Investors in the Class M-2 Certificates and
particularly in the Class M-3 Certificates should fully consider the risk that
Realized Losses on the mortgage loans could result in the failure of those
investors to fully recover their investments. For additional considerations
relating to the yield on the certificates, see "Yield Considerations" and
"Maturity and Prepayment Considerations" in the prospectus.
ADDITIONAL YIELD CONSIDERATIONS APPLICABLE SOLELY TO THE RESIDUAL CERTIFICATES
The Residual Certificateholders' after-tax rate of return on their
Residual Certificates will reflect their pre-tax rate of return, reduced by the
taxes required to be paid with respect to the Residual Certificates. Holders of
Residual Certificates may have tax liabilities with respect to their Residual
Certificates during the early years of the trust's term that substantially
exceed any distributions payable thereon during any such period. In addition,
holders of Residual Certificates may have tax liabilities with respect to their
Residual Certificates the present value of which substantially exceeds the
present value of distributions payable thereon and of any tax benefits that may
arise with respect thereto. Accordingly, the after-tax rate of return on the
Residual Certificates may be negative or may otherwise be significantly
adversely affected. The timing and amount of taxable income attributable to the
Residual Certificates will depend on, among other things, the timing and
amounts of prepayments and losses experienced with respect to the mortgage
pool.
The Residual Certificateholders should consult their tax advisors as to
the effect of taxes and the receipt of any payments made to those holders in
connection with the purchase of the Residual Certificates on after-tax rates of
return on the Residual Certificates. See "Material Federal Income Tax
Consequences" in this prospectus supplement and "Material Federal Income Tax
Consequences" in the prospectus.
S-64
<PAGE>
POOLING AND SERVICING AGREEMENT
GENERAL
The certificates will be issued under a series supplement, dated as of
August 1, 2000, to the standard terms of pooling and servicing agreement, dated
as of December 1, 1999, together referred to as the pooling and servicing
agreement, among the depositor, the master servicer, and Bank One, National
Association, as trustee. Reference is made to the prospectus for important
information in addition to that described herein regarding the terms and
conditions of the pooling and servicing agreement and the offered certificates.
The trustee will appoint Norwest Bank Minnesota, National Association to serve
as custodian in connection with the certificates. The offered certificates will
be transferable and exchangeable at the corporate trust office of the trustee,
which will serve as certificate registrar and paying agent. The depositor will
provide a prospective or actual certificateholder without charge, on written
request, a copy, without exhibits, of the pooling and servicing agreement.
Requests should be addressed to the President, Residential Funding Mortgage
Securities I, Inc., 8400 Normandale Lake Boulevard, Suite 600, Minneapolis,
Minnesota 55437.
Under the pooling and servicing agreement, transfers of Residual
Certificates are prohibited to any non-United States person. Transfers of the
Residual Certificates are additionally restricted as described in the pooling
and servicing agreement. See "Material Federal Income Tax Consequences" in this
prospectus supplement and "Material Federal Income Tax
Consequences--REMICs--Taxation of Owners of REMIC Residual Certificates--Tax
and Restrictions on Transfers of REMIC Residual Certificates to Certain
Organizations" and "--Noneconomic REMIC Residual Certificates" in the
prospectus. In addition to the circumstances described in the prospectus, the
depositor may terminate the trustee for cause under specified circumstances.
See "The Pooling and Servicing Agreement--The Trustee" in the prospectus.
THE MASTER SERVICER
Residential Funding, an indirect wholly-owned subsidiary of GMAC Mortgage
and an affiliate of the depositor, will act as master servicer for the
certificates under the pooling and servicing agreement. For a general
description of Residential Funding and its activities, see "Residential Funding
Corporation" in the prospectus.
The following tables set forth information concerning the delinquency
experience, including pending foreclosures, on one- to four-family residential
mortgage loans that generally complied with Residential Funding's published
loan purchase criteria at the time of purchase by Residential Funding and were
being master serviced by Residential Funding at the dates indicated. The tables
set forth information for the total mortgage loan portfolio and for mortgage
loans underwritten under a reduced loan documentation program described under
"Mortgage Loan Program--Underwriting Standards" in the prospectus.
As used in this prospectus supplement, a loan is considered to be "30 to
59 days" or "30 or more days" delinquent when a payment due on any due date
remains unpaid as of the close of business on the last business day immediately
prior to the next following monthly due date. The determination as to whether a
loan falls into this category is made as of the close of business on the last
business day of each month. Delinquency information presented in this
prospectus supplement as of the cut-off date is determined and prepared as of
the close of business on the last business day immediately prior to the cut-off
date.
S-65
<PAGE>
TOTAL LOAN PORTFOLIO DELINQUENCY EXPERIENCE
<TABLE>
<CAPTION>
AT DECEMBER 31, 1995 AT DECEMBER 31, 1996 AT DECEMBER 31, 1997
---------------------------- ---------------------------- ----------------------------
BY NO. BY DOLLAR BY NO. BY DOLLAR BY NO. BY DOLLAR
OF AMOUNT OF OF AMOUNT OF OF AMOUNT OF
LOANS LOANS LOANS LOANS LOANS LOANS
----------- ---------------- ----------- ---------------- ----------- ----------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
Total Loan Portfolio ...... 102,531 $ 25,892,632 116,118 $ 29,568,270 147,742 $ 35,987,149
Period of Delinquency
30 to 59 days ............ 1,932 453,020 2,249 547,873 2,734 582,199
60 to 89 days ............ 437 100,919 411 100,176 495 101,150
90 days or more .......... 347 73,287 329 77,614 271 52,824
Foreclosures Pending ...... 899 247,985 925 245,637 904 231,994
Total Delinquent Loans..... 3,615 $ 875,211 3,914 $ 971,301 4,404 $ 968,167
Percent of Loan
Portfolio ................ 3.526% 3.380% 3.371% 3.285% 2.981% 2.690%
<CAPTION>
AT DECEMBER 31, 1998 AT DECEMBER 31, 1999 AT JUNE 30, 2000
---------------------------- ---------------------------- ----------------------------
BY NO. BY DOLLAR BY NO. BY DOLLAR BY NO. BY DOLLAR
OF AMOUNT OF OF AMOUNT OF OF AMOUNT OF
LOANS LOANS LOANS LOANS LOANS LOANS
----------- ---------------- ----------- ---------------- ----------- ----------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
Total Loan Portfolio ...... 164,378 $ 41,048,258 159,458 $ 41,799,848 156,617 $ 41,427,184
Period of Delinquency
30 to 59 days ............ 2,454 574,997 2,081 485,414 1,720 405,246
60 to 89 days ............ 369 85,292 297 66,720 292 63,570
90 days or more .......... 368 84,426 301 69,148 281 64,194
Foreclosures Pending ...... 544 132,205 419 100,940 353 85,646
Total Delinquent Loans..... 3,735 $ 876,920 3,098 $ 722,221 2,646 $ 618,656
Percent of Loan
Portfolio ................ 2.272% 2.136% 1.943% 1.728% 1.689% 1.493%
</TABLE>
TOTAL REDUCED DOCUMENTATION LOAN PORTFOLIO DELINQUENCY EXPERIENCE
<TABLE>
<CAPTION>
AT DECEMBER 31, 1995 AT DECEMBER 31, 1996 AT DECEMBER 31, 1997
--------------------------- --------------------------- ---------------------------
BY NO. BY DOLLAR BY NO. BY DOLLAR BY NO. BY DOLLAR
OF AMOUNT OF OF AMOUNT OF OF AMOUNT OF
LOANS LOANS LOANS LOANS LOANS LOANS
----------- --------------- ----------- --------------- ----------- ---------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
Total Loan Portfolio ...... 25,645 $ 5,230,083 27,603 $ 5,491,996 33,212 $ 6,116,561
Period of Delinquency
30 to 59 days ............ 524 121,992 528 112,386 640 126,977
60 to 89 days ............ 133 30,622 108 22,995 123 28,564
90 days or more .......... 90 19,845 85 22,438 69 12,872
Foreclosures Pending ...... 316 92,592 320 95,862 272 67,379
Total Delinquent Loans..... 1,063 $ 265,050 1,041 $ 253,681 1,104 $ 235,791
Percent of Loan
Portfolio ................ 4.145% 5.068% 3.771% 4.619% 3.324% 3.855%
<PAGE>
<CAPTION>
AT DECEMBER 31, 1998 AT DECEMBER 31, 1999 AT JUNE 30, 2000
--------------------------- --------------------------- ---------------------------
BY NO. BY DOLLAR BY NO. BY DOLLAR BY NO. BY DOLLAR
OF AMOUNT OF OF AMOUNT OF OF AMOUNT OF
LOANS LOANS LOANS LOANS LOANS LOANS
----------- --------------- ----------- --------------- ----------- ---------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
Total Loan Portfolio ...... 34,791 $ 6,239,996 31,572 $ 5,733,023 29,856 $ 5,434,738
Period of Delinquency
30 to 59 days ............ 576 106,876 476 87,173 352 66,736
60 to 89 days ............ 93 18,844 72 13,317 68 12,840
90 days or more .......... 84 18,619 68 14,146 55 11,777
Foreclosures Pending ...... 158 37,471 113 23,846 103 23,561
Total Delinquent Loans..... 911 $ 181,809 729 $ 138,482 578 $ 114,914
Percent of Loan
Portfolio ................ 2.618% 2.914% 2.309% 2.416% 1.936% 2.114%
</TABLE>
-----------
o The tables relate to the mortgage loans referred to above. Some of the
information reported above may differ from information for the same periods
reported by the depositor in previous years, because the depositor's
methodology for determining the total portfolio differed in previous years,
but these differences in the data are not material.
o Does not include foreclosures pending.
S-66
<PAGE>
The following tables set forth information concerning foreclosed mortgage
loans and loan loss experience of Residential Funding as of the dates
indicated, with respect to the mortgage loans referred to above. For purposes
of the following tables, Average Portfolio Balance for the period indicated is
based on end of month balances divided by the number of months in the period
indicated, the Foreclosed Loans Ratio is equal to the aggregate principal
balance of Foreclosed Loans divided by the Total Loan Portfolio at the end of
the indicated period, and the Gross Loss Ratios and Net Loss Ratios are
computed by dividing the Gross Loss or Net Loss respectively during the period
indicated by the Average Portfolio Balance during that period.
S-67
<PAGE>
TOTAL LOAN PORTFOLIO FORECLOSURE EXPERIENCE
<TABLE>
<CAPTION>
AT OR FOR AT OR FOR AT OR FOR
THE YEAR THE YEAR THE YEAR
ENDED ENDED ENDED
DECEMBER 31, 1995 DECEMBER 31, 1996 DECEMBER 31, 1997
------------------- ------------------- -------------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C>
Total Loan Portfolio ............ $ 25,892,632 $ 29,568,270 $ 35,987,149
Average Portfolio Balance ....... $ 24,182,873 $ 28,285,392 $ 32,155,215
Foreclosed Loans ................ $ 116,189 $ 91,995 $ 90,297
Liquidated Foreclosed Loans ..... $ 243,509 $ 280,704 $ 177,621
Foreclosed Loans Ratio .......... 0.449% 0.311% 0.251%
Gross Loss ...................... $ 82,690 $ 89,912 $ 42,988
Gross Loss Ratio ................ 0.342% 0.318% 0.134%
Covered Loss .................... $ 53,357 $ 58,800 $ 29,455
Net Loss ........................ $ 29,333 $ 31,111 $ 13,533
Net Loss Ratio .................. 0.121% 0.110% 0.042%
Excess Recovery ................. $ 345 $ 438 $ 238
<CAPTION>
AT OR FOR AT OR FOR AT OR FOR
THE YEAR THE YEAR THE SIX MONTH
ENDED ENDED PERIOD ENDED
DECEMBER 31, 1998 DECEMBER 31, 1999 JUNE 30, 2000
------------------- ------------------- --------------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C>
Total Loan Portfolio ............ $ 41,048,258 $ 41,799,848 $ 41,427,183,976
Average Portfolio Balance ....... $ 31,941,101 $ 41,744,291 $ 41,702,462,437
Foreclosed Loans ................ $ 43,584 $ 36,732 $ 22,122,132
Liquidated Foreclosed Loans ..... $ 154,768 $ 40,097 $ 34,586,536
Foreclosed Loans Ratio .......... 0.106% 0.088% 0.053%
Gross Loss ...................... $ 40,012 $ 6,022 $ 8,798,842
Gross Loss Ratio ................ 0.125% 0.014% 0.021%
Covered Loss .................... $ 17,214 $ 3,549 $ 4,197,589
Net Loss ........................ $ 22,798 $ 2,473 $ 4,601,252
Net Loss Ratio .................. 0.071% 0.006% 0.011%
Excess Recovery ................. $ 640 $ 333 $ 81,422
</TABLE>
TOTAL REDUCED DOCUMENTATION LOAN PORTFOLIO FORECLOSURE EXPERIENCE
<TABLE>
<CAPTION>
AT OR FOR AT OR FOR
THE YEAR THE YEAR
ENDED ENDED
DECEMBER 31, 1995 DECEMBER 31, 1996
------------------- -------------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS)
<S> <C> <C>
Total Loan Portfolio ............ $ 5,230,083 $ 5,491,996
Average Portfolio Balance ....... $ 5,129,445 $ 5,419,953
Foreclosed Loans ................ $ 37,554 $ 26,961
Liquidated Foreclosed Loans ..... $ 96,103 $ 82,103
Foreclosed Loans Ratio .......... 0.718% 0.491%
Gross Loss ...................... $ 36,507 $ 31,840
Gross Loss Ratio ................ 0.712% 0.587%
Covered Loss .................... $ 22,155 $ 20,838
Net Loss ........................ $ 14,351 $ 11,001
Net Loss Ratio .................. 0.280% 0.203%
Excess Recovery ................. $ 140 $ 216
<PAGE>
<CAPTION>
AT OR FOR AT OR FOR AT OR FOR AT OR FOR
THE YEAR THE YEAR THE YEAR THE SIX MONTH
ENDED ENDED ENDED PERIOD ENDED
DECEMBER 31, 1997 DECEMBER 31, 1998 DECEMBER 31, 1999 JUNE 30, 2000
------------------- ------------------- ------------------- -------------------
(DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS (DOLLAR AMOUNTS
IN THOUSANDS) IN THOUSANDS) IN THOUSANDS) IN THOUSANDS)
<S> <C> <C> <C> <C>
Total Loan Portfolio ............ $ 6,116,561 $ 6,239,996 $ 5,733,023 $ 5,434,737,594
Average Portfolio Balance ....... $ 5,757,996 $ 5,001,079 $ 6,483,857 $ 5,556,812,725
Foreclosed Loans ................ $ 25,067 $ 11,195 $ 7,705 $ 3,709,614
Liquidated Foreclosed Loans ..... $ 50,629 $ 34,189 $ 7,487 $ 6,142,954
Foreclosed Loans Ratio .......... 0.410% 0.179% 0.134% 0.068%
Gross Loss ...................... $ 14,009 $ 9,220 $ 1,142 $ 2,184,271
Gross Loss Ratio ................ 0.243% 0.184% 0.018% 0.039%
Covered Loss .................... $ 9,443 $ 3,714 $ 561 $ 717,273
Net Loss ........................ $ 4,566 $ 5,506 $ 581 $ 1,466,999
Net Loss Ratio .................. 0.079% 0.110% 0.009% 0.026%
Excess Recovery ................. $ 77 $ 150 $ 148 $ 65,010
</TABLE>
S-68
<PAGE>
----------
o The table relates to the mortgage loans referred to above. Some of the
information reported above may differ from information for the same periods
reported by the depositor in previous years, because the depositor's
methodology for determining the total portfolio differed in previous years,
but these differences in the data are not material.
o For purposes of these tables, Foreclosed Loans includes the principal balance
of mortgage loans secured by mortgaged properties the title to which has been
acquired by Residential Funding, by investors or by an insurer following
foreclosure or delivery of a deed in lieu of foreclosure and which had not
been liquidated by the end of the period indicated.
o Liquidated Foreclosed Loans is the sum of the principal balances of the
foreclosed loans liquidated during the period indicated.
o Gross Loss is the sum of the gross losses less net gains (Excess Recoveries)
on all mortgage loans liquidated during the period indicated. Gross Loss for
any mortgage loan is equal to the difference between (a) the principal
balance plus accrued interest plus all liquidation expenses related to that
mortgage loan and (b) all amounts received in connection with the liquidation
of the related mortgaged property, excluding amounts received from mortgage
pool or special hazard insurance or other forms of credit enhancement, as
described below. Net gains from the liquidation of mortgage loans are
identified below.
o Covered Loss, for the period indicated, is equal to the aggregate of all
proceeds received in connection with liquidated mortgage loans from mortgage
pool insurance, special hazard insurance (but not including primary mortgage
insurance, special hazard insurance or other insurance available for specific
mortgaged properties) or other insurance as well as all proceeds received
from or losses borne by other credit enhancement, including subordinate
certificates.
o Net Loss is determined by subtracting Covered Loss from Gross Loss. Net Loss
indicated here may reflect Excess Recovery. Net Loss includes losses on
mortgage loan pools which do not have the benefit of credit enhancement.
o Excess Recovery is calculated only with respect to defaulted mortgage loans
as to which the liquidation of the related mortgaged property resulted in
recoveries in excess of the principal balance plus accrued interest thereon
plus all liquidation expenses related to that mortgage loan. Excess
Recoveries are not applied to reinstate any credit enhancement, and usually
are not allocated to holders of certificates.
The loss and delinquency experience of the master servicer, as shown in
the tables above, reflects a stable, consistently managed servicing operation.
Loss and delinquency levels during these periods were consistently within the
ranges anticipated by management. The loss and delinquency levels have declined
over the years shown in the above tables. This decline is attributable
primarily to generally favorable and improving economic conditions over this
time period. These can be no assurance that the experience shown in the above
tables will be indicative of future loss and delinquency experience of the
total portfolio, or of the mortgage loans in the trust.
There can be no assurance that factors beyond Residential Funding's
control, such as weakening national or local economic conditions, higher
interest rates, higher unemployment rates, a decline in the availability of
refinancing, or downturns in real estate markets, will not result in increased
rates of delinquencies and foreclosure losses in the future. A general
deterioration of the real estate market in regions where the mortgaged
properties are located may result in higher delinquencies, delays in
foreclosure and lower sales prices with higher losses upon liquidation. A
general weakening of the economy may result in decreases in the financial
strength of borrowers and decreases in the value of collateral serving as
security for loans, causing an increase in delinquencies and higher net losses
on liquidated loans.
S-69
<PAGE>
SERVICING AND OTHER COMPENSATION AND PAYMENT OF EXPENSES
The servicing fees for each mortgage loan are payable out of the interest
payments on that mortgage loan. The servicing fees relating to each mortgage
loan will be at least 0.28% per annum and not more than 0.58% per annum of the
outstanding principal balance of that mortgage loan, with a weighted average
servicing fee of approximately 0.3325% per annum. The servicing fees consist of
(a) servicing compensation payable to the master servicer in respect of its
master servicing activities and (b) subservicing and other related compensation
payable to the subservicer, including any payment due to prepayment charges on
the related mortgage loans and such compensation paid to the master servicer as
the direct servicer of a mortgage loan for which there is no subservicer.
The primary compensation to be paid to the master servicer for its master
servicing activities will be at least 0.03% per annum and not more than 0.08%
per annum of the outstanding principal balance of each mortgage loan, with a
weighted average of approximately 0.0742%. As described in the prospectus, a
subservicer is entitled to servicing compensation in a minimum amount equal to
0.25% per annum of the outstanding principal balance of each mortgage loan
serviced by it. The master servicer is obligated to pay some ongoing expenses
associated with the trust and incurred by the master servicer in connection
with its responsibilities under the pooling and servicing agreement. See "The
Pooling and Servicing Agreement--Servicing and Other Compensation and Payment
of Expenses" in the prospectus for information regarding other possible
compensation to the master servicer and subservicers and for information
regarding expenses payable by the master servicer.
VOTING RIGHTS
There are actions specified in the prospectus that may be taken by holders
of certificates evidencing a specified percentage of all undivided interests in
the trust and may be taken by holders of certificates entitled in the aggregate
to that percentage of the voting rights. 98% of all voting rights will be
allocated among all holders of the certificates, other than the Variable Strip
Certificates and Residual Certificates, in proportion to their then outstanding
Certificate Principal Balances, 1.0% of all voting rights will be allocated
among the holders of the Variable Strip Certificates and 1.0% of all voting
rights will be allocated among the holders of the Class R Certificates, in
proportion to the percentage interests evidenced by their respective
certificates. The pooling and servicing agreement may be amended without the
consent of the holders of the Residual Certificates in specified circumstances.
Notwithstanding the foregoing, so long as there does not exist a failure
by the insurer to make a required payment under the policy, the insurer shall
have the right to exercise all rights of the holders of the Insured
Certificates under the pooling and servicing agreement without any consent of
such holders, and such holders may exercise such rights only with the prior
written consent of the insurer except as provided in the pooling and servicing
agreement.
TERMINATION
The circumstances under which the obligations created by the pooling and
servicing agreement will terminate relating to the offered certificates are
described under "The Pooling and Servicing Agreement--Termination; Retirement
of Certificates" in the prospectus. The master servicer or the depositor will
have the option, on any distribution date on which the aggregate Stated
Principal Balance of the mortgage loans is less than 10% of the aggregate
principal balance of the mortgage loans as of the cut-off date, either to
purchase all remaining mortgage loans and other assets in the trust, thereby
effecting early retirement of the offered certificates or to purchase, in whole
but not in part, the certificates. Any such purchase of mortgage loans and
other assets of the trust shall be made at a price equal to the sum of (a) 100%
of the unpaid principal balance of each mortgage loan or the fair market value
of the related underlying mortgaged properties with respect to defaulted
mortgage loans as to which title to such mortgaged properties has been acquired
if such fair market value is less than such unpaid principal balance, net of
any unreimbursed Advance attributable to principal, as of the date of
repurchase plus (b) accrued interest thereon at the Net Mortgage Rate to, but
not including, the first day of the month in which the repurchase price is
distributed.
S-70
<PAGE>
Distributions on the certificates relating to any optional termination
will be paid, first, to the Senior Certificates, second, to the Class M
Certificates in the order of their payment priority and, third, to the Class B
Certificates. The proceeds of any such distribution may not be sufficient to
distribute the full amount to each class of certificates if the purchase price
is based in part on the fair market value of the underlying mortgaged property
and the fair market value is less than 100% of the unpaid principal balance of
the related mortgage loan. Any such purchase of the certificates will be made
at a price equal to 100% of their Certificate Principal Balances plus, except
with respect to the Principal Only Certificates, the sum of interest thereon,
or with respect to the Variable Strip Certificates, on their Notional Amounts,
for the immediately preceding Interest Accrual Period at the then-applicable
pass-through rate and any previously unpaid Accrued Certificate Interest. Upon
the purchase of such certificates or at any time thereafter, at the option of
the master servicer or the depositor, the mortgage loans may be sold, thereby
effecting a retirement of the certificates and the termination of the trust, or
the certificates so purchased may be held or resold by the master servicer or
the depositor.
Upon presentation and surrender of the offered certificates in connection
with the termination of the trust or a purchase of certificates under the
circumstances described in the two preceding paragraphs, the holders of the
offered certificates will receive an amount equal to the Certificate Principal
Balance of that class plus, except in the case of the Principal Only
Certificates, interest thereon for the immediately preceding Interest Accrual
Period at the then-applicable pass-through rate, or, with respect to the
Variable Strip Certificates, interest for the immediately preceding Interest
Accrual Period on their Notional Amounts, plus any previously unpaid Accrued
Certificate Interest. However, distributions to the holders of the most
subordinate class of certificates outstanding will be reduced, as described in
the preceding paragraph, in the case of the termination of the trust resulting
from a purchase of all the assets of the trust.
S-71
<PAGE>
MATERIAL FEDERAL INCOME TAX CONSEQUENCES
Thacher Proffitt & Wood, counsel to the depositor, has filed with the
depositor's registration statement an opinion to the effect that, assuming
compliance with all provisions of the pooling and servicing agreement, for
federal income tax purposes, the trust (exclusive of the Reserve Fund) will
qualify as a REMIC under the Internal Revenue Code.
For federal income tax purposes:
o the Class R Certificates will constitute the sole class of "residual
interests" in the REMIC; and
o each class of Senior Certificates, other than the Residual Certificates,
the Class M Certificates and the Class B Certificates will represent
ownership of "regular interests" in the REMIC and will generally be
treated as debt instruments of the REMIC.
See "Material Federal Income Tax Consequences--REMICs" in the prospectus.
For federal income tax purposes, the Class A-5, Class A-P, Class A-V,
Class M-2 and Class M-3 Certificates will, and all other classes of offered
certificates will not, be treated as having been issued with original issue
discount. The prepayment assumption that will be used in determining the rate
of accrual of original issue discount, market discount and premium, if any, for
federal income tax purposes will be based on the assumption that, subsequent to
the date of any determination the mortgage loans will prepay at a rate equal to
250% PSA. No representation is made that the mortgage loans will prepay at that
rate or at any other rate. See "Material Federal Income Tax
Consequences--General" and "--REMICs--Taxation of Owners of REMIC Regular
Certificates--Original Issue Discount" in the prospectus.
The Internal Revenue Service has issued original issue discount
regulations under sections 1271 to 1275 of the Internal Revenue Code that
address the treatment of debt instruments issued with original issue discount.
The OID regulations suggest that original issue discount with respect to
securities similar to the Variable Strip Certificates that represent multiple
uncertificated REMIC regular interests, in which ownership interests will be
issued simultaneously to the same buyer, should be computed on an aggregate
method. In the absence of further guidance from the IRS, original issue
discount with respect to the uncertificated regular interests represented by
the Variable Strip Certificates will be reported to the IRS and the
certificateholders on an aggregate method based on a single overall constant
yield and the prepayment assumption stated above, treating all uncertificated
regular interests as a single debt instrument as described in the OID
regulations.
If the method for computing original issue discount described in the
prospectus results in a negative amount for any period with respect to a
certificateholder, the amount of original issue discount allocable to that
period would be zero and the certificateholder will be permitted to offset that
negative amount only against future original issue discount, if any,
attributable to those certificates.
In some circumstances the OID regulations 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 the holder of a
certificate may be able to select a method for recognizing original issue
discount that differs from that used by the master servicer in preparing
reports to the certificateholders and the IRS.
Some of the classes of offered certificates may be treated for federal
income tax purposes as having been issued at a premium. Whether any holder of
one of those classes of certificates will be treated as holding a certificate
with amortizable bond premium will depend on the certificateholder's purchase
price and the distributions remaining to be made on the certificate at the time
of its acquisition by the certificateholder. Holders of those classes of
certificates should consult their tax advisors regarding the possibility of
making an election to amortize such premium. See "Material Federal Income Tax
Consequences--REMICs--Taxation of Owners of REMIC Regular Certificates" and
"--Premium" in the prospectus.
The offered certificates will be treated as assets described in Section
7701(a)(19)(C) of the Internal Revenue Code and "real estate assets" under
Section 856(c)(4)(A) of the Internal Revenue Code generally in the same
proportion that the assets of the trust would be so treated. In addition,
interest on
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the offered certificates will be treated as "interest on obligations secured by
mortgages on real property" under Section 856(c)(3)(B) of the Internal Revenue
Code generally to the extent that the offered certificates are treated as "real
estate assets" under Section 856(c)(4)(A) of the Internal Revenue Code.
Moreover, the offered certificates, other than the Residual Certificates, will
be "qualified mortgages" within the meaning of Section 860G(a)(3) of the
Internal Revenue Code if transferred to another REMIC on its startup day in
exchange for a regular or residual interest therein. However, prospective
investors in offered certificates that will be generally treated as assets
described in Section 860G(a)(3) of the Internal Revenue Code should note that,
notwithstanding that treatment, any repurchase of a certificate pursuant to the
right of the master servicer or the depositor to repurchase the offered
certificates may adversely affect any REMIC that holds the offered certificates
if the repurchase is made under circumstances giving rise to a Prohibited
Transaction Tax. See "The Pooling and Servicing Agreement--Termination" in this
prospectus supplement and "Material Federal Income Tax
Consequences--REMICs--Characterization of Investments in REMIC Certificates" in
the prospectus.
For further information regarding federal income tax consequences of
investing in the offered certificates, see "Material Federal Income Tax
Consequences--REMICs" in the prospectus.
SPECIAL TAX CONSIDERATIONS APPLICABLE TO RESIDUAL CERTIFICATES
The IRS has issued REMIC regulations under the provisions of the Internal
Revenue Code that significantly affect holders of Residual Certificates. The
REMIC regulations impose restrictions on the transfer or acquisition of some
residual interests, including the Residual Certificates. The pooling and
servicing agreement includes other provisions regarding the transfer of
Residual Certificates, including:
o the requirement that any transferee of a Residual Certificate provide an
affidavit representing that the transferee:
o is not a disqualified organization;
o is not acquiring the Residual Certificate on behalf of a disqualified
organization; and
o will maintain that status and will obtain a similar affidavit from any
person to whom the transferee shall subsequently transfer a Residual
Certificate;
o a provision that any transfer of a Residual Certificate to a disqualified
organization shall be null and void; and
o a grant to the master servicer of the right, without notice to the holder or
any prior holder, to sell to a purchaser of its choice any Residual
Certificate that shall become owned by a disqualified organization despite
the first two provisions above.
In addition, under the pooling and servicing agreement, the Residual
Certificates may not be transferred to non-United States persons.
The REMIC regulations also provide that a transfer to a United States
person of "noneconomic" residual interests will be disregarded for all federal
income tax purposes, and that the purported transferor of "noneconomic"
residual interests will continue to remain liable for any taxes due with
respect to the income on the residual interests, unless "no significant purpose
of the transfer was to impede the assessment or collection of tax." Based on
the REMIC regulations, the Residual Certificates may constitute noneconomic
residual interests during some or all of their terms for purposes of the REMIC
regulations and, accordingly, unless no significant purpose of a transfer is to
impede the assessment or collection of tax, transfers of the Residual
Certificates may be disregarded and purported transferors may remain liable for
any taxes due relating to the income on the Residual Certificates. All
transfers of the Residual Certificates will be restricted in accordance with
the terms of the pooling and servicing agreement that are intended to reduce
the possibility of any transfer of a Residual Certificate being disregarded to
the extent that the Residual Certificates constitute noneconomic residual
interests. The IRS has issued proposed changes to the REMIC regulations that
would add to the conditions necessary to assure that a transfer of a
noneconomic residual interest would be respected. The proposed additional
condition would require that the amount received by the transferee be no less
on a present value basis
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than the present value of the net tax detriment attributable to holding a
residual interest reduced by the present value of the projected payments to be
received on the residual interest. The change is proposed to be effective for
transfers of residual interests occurring after February 4, 2000 See "Material
Federal Income Tax Consequences--REMICs--Taxation of Owners of REMIC Residual
Certificates--Noneconomic REMIC Residual Certificates" in the prospectus.
The Residual Certificateholders may be required to report an amount of
taxable income with respect to the earlier accrual periods of the term of the
REMIC that significantly exceeds the amount of cash distributions received by
the Residual Certificateholders from the REMIC with respect to those periods.
Furthermore, the tax on that income may exceed the cash distributions with
respect to those periods. Consequently, Residual Certificateholders should have
other sources of funds sufficient to pay any federal income taxes due in the
earlier years of the REMIC's term as a result of their ownership of the
Residual Certificates. In addition, the required inclusion of this amount of
taxable income during the REMIC's earlier accrual periods and the deferral of
corresponding tax losses or deductions until later accrual periods or until the
ultimate sale or disposition of a Residual Certificate, or possibly later under
the "wash sale" rules of Section 1091 of the Internal Revenue Code may cause
the Residual Certificateholders' after-tax rate of return to be zero or
negative even if the Residual Certificateholders' pre-tax rate of return is
positive. That is, on a present value basis, the Residual Certificateholders'
resulting tax liabilities could substantially exceed the sum of any tax
benefits and the amount of any cash distributions on the Residual Certificates
over their life.
An individual, trust or estate that holds, whether directly or indirectly
through pass-through entities, a Residual Certificate, may have significant
additional gross income with respect to, but may be limited on the
deductibility of, servicing and trustee's fees and other administrative
expenses properly allocable to the REMIC in computing the certificateholder's
regular tax liability and will not be able to deduct those fees or expenses to
any extent in computing the certificateholder's alternative minimum tax
liability. See "Material Federal Income Tax Consequences--REMICs--Taxation of
Owners of REMIC Residual Certificates--Possible Pass-Through of Miscellaneous
Itemized Deductions" in the prospectus.
Residential Funding will be designated as the "tax matters person" with
respect to the REMIC as defined in the REMIC Provisions, as defined in the
prospectus, and in connection therewith will be required to hold not less than
0.01% of the Class R Certificates.
Purchasers of the Residual Certificates are strongly advised to consult
their tax advisors as to the economic and tax consequences of investment in the
Residual Certificates.
For further information regarding the federal income tax consequences of
investing in the Residual Certificates, see "Certain Yield and Prepayment
Considerations--Additional Yield Considerations Applicable Solely to the
Residual Certificates" in this prospectus supplement and "Material Federal
Income Tax Consequences--REMICs--Taxation of Owners of REMIC Residual
Certificates" in the prospectus.
METHOD OF DISTRIBUTION
In accordance with the terms and conditions of a senior underwriting
agreement, dated August 18, 2000, Bear, Stearns & Co. Inc. will serve as the
underwriter and has agreed to purchase and the depositor has agreed to sell the
Senior Certificates other than the Class A-P Certificates, Class A-V
Certificates and a de minimis portion of the Residual Certificates, and the
Class M Certificates. A de minimis portion of the Residual Certificates will be
retained by Residential Funding, and that portion is not offered hereby. The
certificates being sold to Bear, Stearns & Co. Inc. are referred to as the
underwritten certificates. It is expected that delivery of the underwritten
certificates, other than the Residual Certificates, will be made only in
book-entry form through the Same Day Funds Settlement System of DTC, and that
the delivery of the Residual Certificates will be made at the offices of Bear,
Stearns & Co. Inc., New York, New York, on or about August 25, 2000 against
payment therefor in immediately available funds.
In connection with the underwritten certificates, the underwriter has
agreed, in accordance with the terms and conditions of the underwriting
agreement, to purchase all of the underwritten certificates if any of the
underwritten certificates are purchased thereby.
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The underwriting agreement provides that the obligations of the
underwriter to pay for and accept delivery of the underwritten certificates are
subject to, among other things, the receipt of legal opinions and to the
conditions, among others, that no stop order suspending the effectiveness of
the depositor's registration statement shall be in effect, and that no
proceedings for that purpose shall be pending before or threatened by the
Securities and Exchange Commission.
The distribution of the underwritten certificates by the underwriter may
be effected from time to time in one or more negotiated transactions, or
otherwise, at varying prices to be determined at the time of sale. Proceeds to
the depositor from the sale of the underwritten certificates, before deducting
expenses payable by the depositor, will be approximately 98.52% of the
aggregate Certificate Principal Balance of the underwritten certificates plus
accrued interest thereon from the cut-off date.
The underwriter may effect these transactions by selling the underwritten
certificates to or through dealers, and those dealers may receive compensation
in the form of underwriting discounts, concessions or commissions from the
underwriter for whom they act as agent. In connection with the sale of the
underwritten certificates, the underwriter may be deemed to have received
compensation from the depositor in the form of underwriting compensation. The
underwriter and any dealers that participate with the underwriter in the
distribution of the underwritten certificates may be deemed to be underwriters
and any profit on the resale of the underwritten certificates positioned by
them may be deemed to be underwriting discounts and commissions under the
Securities Act.
The underwriting agreement provides that the depositor will indemnify the
underwriter, and that under limited circumstances the underwriter will
indemnify the depositor, against some liabilities under the Securities Act, or
contribute to payments required to be made in respect thereof.
The Class A-P Certificates and Class A-V Certificates may be offered by
the depositor from time to time directly or through an underwriter or agent in
one or more negotiated transactions, or otherwise, at varying prices to be
determined at the time of sale. However, there is currently no underwriting
arrangement in effect for these certificates. Proceeds to the depositor from
any sale of the Class A-P Certificates or Class A-V Certificates will equal the
purchase price paid by their purchaser, net of any expenses payable by the
depositor and any compensation payable to any underwriter or agent.
There is currently no secondary market for the offered certificates. The
underwriter intends to make a secondary market in the underwritten certificates
but is not obligated to do so. There can be no assurance that a secondary
market for the offered certificates will develop or, if it does develop, that
it will continue. The offered certificates will not be listed on any securities
exchange.
The primary source of information available to investors concerning the
offered certificates will be the monthly statements discussed in the prospectus
under "Description of the Certificates--Reports to Certificateholders," which
will include information as to the outstanding principal balance of the offered
certificates. There can be no assurance that any additional information
regarding the offered certificates will be available through any other source.
In addition, the depositor is not aware of any source through which price
information about the offered certificates will be available on an ongoing
basis. The limited nature of this information regarding the offered
certificates may adversely affect the liquidity of the offered certificates,
even if a secondary market for the offered certificates becomes available.
LEGAL OPINIONS
Certain legal matters relating to the certificates will be passed upon for
the depositor by Thacher Proffitt & Wood, New York, New York and for the
underwriter by Brown & Wood LLP, New York, New York.
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EXPERTS
The consolidated financial statements of Ambac Assurance Corporation and
subsidiaries, as of December 31, 1999 and December 31, 1998 and for each of the
years in the three-year period ended December 31, 1999 are incorporated by
reference in this prospectus supplement and in the registration statement in
reliance upon the report of KPMG LLP, independent certified public accountants,
incorporated by reference in this prospectus supplement, and upon the authority
of said firm as experts in accounting and auditing.
RATINGS
It is a condition of the issuance of the Senior Certificates that they be
rated "AAA" by Standard & Poor's, a division of The McGraw-Hill Companies,
Inc., or Standard & Poor's, and Fitch, Inc., or Fitch. It is a condition of the
issuance of the Class M-1, Class M-2 and Class M-3 Certificates that they be
rated not lower than "AA," "A" and "BBB," respectively, by Fitch.
Standard & Poor's ratings on mortgage pass-through certificates address
the likelihood of the receipt by certificateholders of payments required under
the pooling and servicing agreement. Standard & Poor's ratings take into
consideration the credit quality of the mortgage pool, structural and legal
aspects associated with the certificates, and the extent to which the payment
stream in the mortgage pool is adequate to make payments required under the
certificates. Standard & Poor's rating on the certificates does not, however,
constitute a statement regarding frequency of prepayments on the mortgages. See
"Certain Yield and Prepayment Considerations" in this prospectus supplement.
The ratings assigned by Fitch to mortgage pass-through certificates
address the likelihood of the receipt by certificateholders of all
distributions to which they are entitled under the transaction structure.
Fitch's ratings reflect its analysis of the riskiness of the underlying
mortgage loans and the structure of the transaction as described in the
operative documents. Fitch's ratings do not address the effect on the
certificates' yield attributable to prepayments or recoveries on the underlying
mortgage loans. Further, the rating on the Variable Strip Certificates does not
address whether investors therein will recoup their initial investments. The
rating on the Principal Only Certificates only addresses the return of its
Certificate Principal Balance. The rating on the Residual Certificates only
addresses the return of its Certificate Principal Balance and interest on the
Residual Certificates at the related pass-through rate.
The depositor has not requested a rating on the Senior Certificates by any
rating agency other than Standard & Poor's and Fitch or on the Class M
Certificates by any rating agency other than Fitch. However, there can be no
assurance as to whether any other rating agency will rate the Senior
Certificates or Class M Certificates, or, if it does, what rating would be
assigned by any other rating agency. A rating on the certificates by another
rating agency, if assigned at all, may be lower than the ratings assigned to
the Senior Certificates by Standard & Poor's and Fitch, and the Class M
Certificates by Fitch.
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. The ratings of the Variable Strip Certificates do
not address the possibility that the holders of those certificates may fail to
fully recover their initial investments. In the event that the ratings
initially assigned to the offered certificates are subsequently lowered for any
reason, no person or entity is obligated to provide any additional support or
credit enhancement with respect to the offered certificates.
LEGAL INVESTMENT
The Senior Certificates and Class M-1 Certificates will constitute
"mortgage related securities" for purposes of SMMEA so long as they are rated
in at least the second highest rating category by one of the rating agencies,
and, as such, are legal investments for some entities to the extent provided in
SMMEA. SMMEA provides, however, that states could override its provisions on
legal investment and restrict or condition investment in mortgage related
securities by taking statutory action on or prior to October 3, 1991. Some
states have enacted legislation which overrides the preemption provisions of
SMMEA. The Class M-2 Certificates and Class M-3 Certificates will not
constitute "mortgage related securities" for purposes of SMMEA.
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One or more classes of the offered certificates may be viewed as "complex
securities" under TB13a, which applies to thrift institutions regulated by the
OTS.
The depositor makes no representations as to the proper characterization
of any class of the offered certificates for legal investment or other
purposes, or as to the ability of particular investors to purchase any class of
the offered certificates under applicable legal investment restrictions. These
uncertainties may adversely affect the liquidity of any class of offered
certificates. Accordingly, 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
legal advisors in determining whether and to what extent any class of the
offered certificates constitutes a legal investment or is subject to
investment, capital or other restrictions.
See "Legal Investment Matters" in the prospectus.
ERISA CONSIDERATIONS
A fiduciary of any ERISA plan, any insurance company, whether through its
general or separate accounts, or any other person investing ERISA plan assets
of any ERISA plan, as defined under "ERISA Considerations--ERISA Plan Asset
Regulations" in the prospectus, should carefully review with its legal advisors
whether the purchase or holding of offered certificates could give rise to a
transaction prohibited or not otherwise permissible under ERISA or Section 4975
of the Internal Revenue Code. The purchase or holding of the offered
certificates, other than the Class M Certificates or Residual Certificates, by
or on behalf of, or with ERISA plan assets of, an ERISA plan may qualify for
exemptive relief under the exemption, as described under "ERISA
Considerations--Prohibited Transaction Exemption" in the prospectus. However,
the exemption contains a number of conditions which must be met for the
exemption to apply, including the requirement that any ERISA plan must be an
"accredited investor" as defined in Rule 501(a)(1) of Regulation D of the
Securities and Exchange Commission under the Securities Act.
Insurance companies contemplating the investment of general account assets
in the offered certificates should consult with their legal advisors with
respect to the applicability of Section 401(c) of ERISA, as described under
"ERISA Considerations--Insurance Company General Accounts" in the prospectus.
The DOL published regulations under Section 401(c) on January 5, 2000, but
these regulations are generally not applicable until July 5, 2001.
Because the exemptive relief afforded by the exemption or any similar
exemption that may be available will not likely apply to the purchase, sale or
holding of the Class M Certificates, no Class M Certificate or any interest
therein may be acquired or held by any ERISA plan, any trustee or other person
acting on behalf of any ERISA plan, or any other person using ERISA plan assets
to effect such acquisition or holding--a plan investor--unless:
o the acquirer or holder is an insurance company;
o the source of funds used to acquire or hold the certificate or interest
therein is an "insurance company general account", as defined in U.S.
Department of Labor Prohibited Transaction Class Exemption 95-60; and
o the conditions in Sections I and III of PTCE 95-60 have been satisfied.
Each beneficial owner of a Class M Certificate or any interest therein
shall be deemed to have represented, by virtue of its acquisition or holding of
that certificate or interest therein, that either (i) it is not a plan investor
or (ii) (1) it is an insurance company, (2) the source of funds used to acquire
or hold the certificate or interest therein is an "insurance company general
account", as such term is defined in PTCE 95-60, and (3) the conditions in
Sections I and III of PTCE 95-60 have been satisfied.
If any Class M Certificate or any interest therein is acquired or held in
violation of the provisions of the preceding paragraph, the next preceding
permitted beneficial owner will be treated as the beneficial owner of that
Class M Certificate, retroactive to the date of transfer to the purported
beneficial owner. Any purported beneficial owner whose acquisition or holding
of any such certificate or interest therein
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was effected in violation of the provisions of the preceding paragraph shall
indemnify and hold harmless the depositor, the trustee, the master servicer,
any subservicer, and the trust from and against any and all liabilities,
claims, costs or expenses incurred by those parties as a result of that
acquisition or holding.
Investors in the Class M Certificates are urged to obtain from a
transferee of those certificates a certification of the transferee's
eligibility to purchase the certificates in the form of the representation
letter attached as Annex I to this prospectus supplement.
Because the exemptive relief afforded by the exemption or any similar
exemption that might be available also will not likely apply to the purchase,
sale or holding of the Residual Certificates, transfers of those certificates
to any plan investor will not be registered by the trustee unless the
transferee provides the depositor, the trustee and the master servicer with an
opinion of counsel satisfactory to those entities, which opinion will not be at
the expense of those entities, that the purchase of those certificates by or on
behalf of the plan investor:
o is permissible under applicable law;
o will not constitute or result in a non-exempt prohibited transaction under
ERISA or Section 4975 of the Internal Revenue Code; and
o will not subject the depositor, the trustee or the master servicer to any
obligation in addition to those undertaken in the pooling and servicing
agreement.
Any fiduciary or other investor of ERISA plan assets that proposes to
acquire or hold the offered certificates on behalf of or with ERISA plan assets
of any ERISA plan should consult with its counsel with respect to: (i) whether
the specific and general conditions and the other requirements in the exemption
would be satisfied, or whether any other prohibited transaction exemption would
apply, and (ii) the potential applicability of the general fiduciary
responsibility provisions of ERISA and the prohibited transaction provisions of
ERISA and Section 4975 of the Internal Revenue Code to the proposed investment.
See "ERISA Considerations" in the prospectus.
The sale of any of the offered certificates to an ERISA plan is in no
respect a representation by the depositor or the underwriter that such an
investment meets all relevant legal requirements relating to investments by
ERISA plans generally or any particular ERISA plan, or that such an investment
is appropriate for ERISA plans generally or any particular ERISA plan.
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ANNEX I
ERISA REPRESENTATION LETTER
[date]
Residential Funding Corporation
8400 Normandale Lake Boulevard, Suite 600
Minneapolis, Minnesota 55437
Residential Funding Mortgage Securities I, Inc.
8400 Normandale Lake Boulevard, Suite 600
Minneapolis, Minnesota 55437
Bank One, National Association
1 Bank One Plaza
Suite IL1-0126
Chicago, IL 60670-0126
Re: Residential Funding Mortgage Securities I, Inc.
Mortgage Pass-Through Certificates, Series 2000-S10, Class M-
Ladies and Gentlemen:
[ ] (the "Purchaser") intends to purchase from [ ] (the "Seller")
$[ ] initial Certificate Principal Balance of the above-referenced
certificates, issued under the series supplement, dated as of August 1, 2000,
to the standard terms of pooling and servicing agreement, dated as of December
1, 1999, among Residential Funding Mortgage Securities I, Inc., as seller,
Residential Funding Corporation, as master servicer and Bank One, National
Association, as trustee. All terms used in this ERISA Representation Letter and
not otherwise defined shall have the meanings set forth in the pooling and
servicing agreement.
The Purchaser hereby certifies, represents and warrants to, and covenants
with the Seller, the trustee and the master servicer that, either:
(a) The Purchaser is not an ERISA plan, or any other person, including an
investment manager, a named fiduciary or a trustee of any Plan, acting,
directly or indirectly, on behalf of or purchasing any certificate with
"plan assets" of any ERISA plan within the meaning of the DOL regulation at
29 C.F.R. Section 2510.3-101; or
(b) The Purchaser is an insurance company, the source of funds to be used
by which to purchase the certificates is an "insurance company general
account", as the term is defined in DOL Prohibited Transaction Class
Exemption 95-60, and the conditions in Sections I and III of PTCE 95-60
have been satisfied.
In addition, the Purchaser hereby certifies, represents and warrants to,
and covenants with, the Seller, the trustee and the master servicer that the
Purchaser will not transfer the certificates to any ERISA plan or person unless
that ERISA plan or person meets the requirements in either (a) or (b) above.
Very truly yours,
By: ------------------------------------
Name: ----------------------------------
Title: -----------------------------------
A-1
<PAGE>
CIK - 0000774352
CCC - tigers@9
File Number - 333-72493
Module - RFMSI0400
<PAGE>
RESIDENTIAL FUNDING MORTGAGE SECURITIES I, INC.
$337,309,603
MORTGAGE PASS-THROUGH CERTIFICATES
SERIES 2000-S10
PROSPECTUS SUPPLEMENT
BEAR, STEARNS & CO. INC.
UNDERWRITER
YOU SHOULD RELY ONLY ON THE INFORMATION CONTAINED OR INCORPORATED BY REFERENCE
IN THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS. WE HAVE NOT AUTHORIZED ANYONE
TO PROVIDE YOU WITH DIFFERENT INFORMATION.
WE ARE NOT OFFERING THE CERTIFICATES OFFERED HEREBY IN ANY STATE WHERE THE
OFFER IS NOT PERMITTED.
Dealers will be required to deliver a prospectus supplement and prospectus when
acting as underwriters of the certificates offered hereby and with respect to
their unsold allotments or subscriptions. In addition, all dealers selling the
offered certificates, whether or not participating in this offering, may be
required to deliver a prospectus supplement and prospectus until November 17,
2000.
