<PAGE> 1
As Filed Pursuant to Rule 424(b)(5)
Registration No. 333-68951
PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED APRIL 22, 1999)
GE CAPITAL MORTGAGE SERVICES, INC. 1999-11 TRUST
Issuer
GE CAPITAL MORTGAGE SERVICES, INC.
Depositor and Servicer
$942,196,004
(Approximate)
REMIC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1999-11
PRINCIPAL AND INTEREST PAYABLE MONTHLY, BEGINNING JUNE 25, 1999
THE TRUST WILL ISSUE:
- 26 classes of senior certificates; and
- 6 classes of junior certificates.
For a description of the classes of certificates offered by this prospectus
supplement, see "Securities Offered" on page S-3.
The assets of the trust will include a pool of conventional, fixed-rate,
first-lien, fully-amortizing, one- to four-family residential mortgage loans.
The stated maturities of the mortgage loans will range from 20 to 30 years.
-------------------------
CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE S-9 OF THIS PROSPECTUS
SUPPLEMENT.
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NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES
COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE
ADEQUACY OR ACCURACY OF THIS PROSPECTUS SUPPLEMENT. ANY REPRESENTATION TO THE
CONTRARY IS A CRIMINAL OFFENSE.
Bear, Stearns & Co. Inc. will purchase the certificates offered by this
prospectus supplement and will sell them to investors at varying prices
determined at the time of sale. The proceeds to the depositor from the sale of
the offered certificates will be approximately 98.996014% of the total principal
balance of those certificates plus accrued interest, before deducting expenses.
The underwriter's commission will be the difference between the price it pays
for those certificates and the amount it receives from their sale to the public.
The certificates will be available for delivery to investors on or about May 27,
1999.
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BEAR, STEARNS & CO. INC.
THE DATE OF THIS PROSPECTUS SUPPLEMENT IS MAY 25, 1999.
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IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS PROSPECTUS SUPPLEMENT AND
THE ACCOMPANYING PROSPECTUS
We provide information to you about the certificates offered by this
prospectus supplement and the underlying trust in two separate documents: (1)
the accompanying prospectus, which provides general information, some of which
may not apply to your certificates or trust, and (2) this prospectus supplement,
which describes the specific terms of your certificates and the assets in your
trust. You should read both of these documents together.
This prospectus supplement will supplement and enhance the disclosure in
the prospectus for purposes of your certificates.
S-2
<PAGE> 3
SUMMARY OF TERMS
This summary highlights selected information from this document and does
not contain all of the information that you need to consider in making your
investment decision. This summary contains an overview of certain concepts and
other information to aid your understanding. All of the information contained in
this summary is qualified by the more detailed explanation described in other
parts of this prospectus supplement and the accompanying prospectus.
THE ISSUER
The issuer of the certificates will be GE Capital Mortgage Services, Inc.
1999-11 Trust. The trust was created for the sole purpose of issuing the
certificates.
We will sell the mortgage loans underlying the certificates to the trust.
SECURITIES OFFERED
The total original principal balance of the certificates will be
approximately $952,400,250. The following table shows the approximate initial
principal balance, annual certificate interest rate and minimum denomination of
each class of certificates offered by this prospectus supplement:
<TABLE>
<CAPTION>
CLASS CERTIFICATE CERTIFICATE MINIMUM
PRINCIPAL BALANCE(1) INTEREST RATE DENOMINATION
-------------------- ------------- ------------
<S> <C> <C> <C>
SENIOR CERTIFICATES
A1.................... $ 30,939,608 5.95% $ 25,000
A2.................... 45,707,200 6.00 25,000
A3.................... 171,374,222 6.25 25,000
A4.................... 41,356,970 (2) 25,000
A5.................... (3) (2) (4)
A6.................... 236,250,000 6.50 25,000
A7.................... 150,998,836 6.50 1,000
A8.................... 53,979,484 6.50 1,000
A9.................... 1,000,000 6.50(5) 25,000
A10................... 18,929,196 6.50 1,000
A11................... 6,694,000 6.50 1,000
A12................... 1,306,000 (6) 1,000
A13................... 21,000,000 (2) 25,000
A14................... 6,461,538 (2) 25,000
A15................... 5,000,000 6.50(5) 25,000
A16................... 5,000,000 6.50(5) 25,000
A17................... 5,000,000 6.50(5) 1,000
A18................... 5,630,052 6.75 1,000
A19................... 5,630,052 7.00 1,000
A20................... 649,621 (7) 25,000
A21................... 5,000,000 6.50(5) 25,000
</TABLE>
S-3
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<TABLE>
<CAPTION>
CLASS CERTIFICATE CERTIFICATE MINIMUM
PRINCIPAL BALANCE(1) INTEREST RATE DENOMINATION
-------------------- ------------- ------------
<S> <C> <C> <C>
A22................... $ 95,240,025 6.50% $ 25,000
Class R............... 100 6.50 (8)
Class RL.............. 100 6.50 (8)
JUNIOR CERTIFICATES:
M..................... 17,620,000 6.50 100,000
B1.................... 7,143,000 6.50 100,000
B2.................... 4,286,000 6.50 100,000
</TABLE>
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(1) Approximate, subject to adjustment as described in this prospectus
supplement.
(2) This class of certificates will accrue interest at the floating rates
described in this prospectus supplement. You should refer to "Description of
the Certificates -- Distributions on the Certificates -- Interest" for a
description of these rates.
(3) This class of certificates pays only interest. Interest will accrue on this
class of certificates on the aggregate notional principal balance, which at
all times will equal the certificate principal balance of the Class A4
Certificates.
(4) This class of certificates will be issued in a minimum notional amount of
$350,000.
(5) The amount of interest accruing on these certificates will not be payable to
holders of these certificates until such time as is described in the
prospectus supplement but will instead be added to the certificate principal
balance of this class.
(6) This class of certificates will accrue interest as follows: (a) at the rate
of 8.00% per year through the distribution date in May 2000, (b) at the rate
of 7.00% per year through the distribution date in May 2001 and (c) at the
rate of 6.50% per year thereafter.
(7) This class of certificates pays only principal and will not accrue interest.
(8) This class of certificates will be issued as a single certificate in
definitive physical form.
The Class A1 through Class A22 Certificates, Class PO, Class R, Class RL
and Class S Certificates are the senior certificates. The Class R and the Class
RL Certificates are the residual certificates. The Class M and the Class B1
through Class B5 Certificates are the junior certificates.
The Class PO, Class B3, Class B4, Class B5 and Class S Certificates are not
offered by this prospectus supplement. We will initially retain the Class PO and
Class S Certificates but may transfer them later.
Depending on the final composition of the pool of mortgage loans sold to
the trust, the principal balance of each class of certificates may increase or
decrease from the amount listed above. The total original principal balance of
the certificates will not be less than $902,500,000 or greater than
$997,500,000.
Certificates with principal balances in excess of the minimum denominations
shown above will be issued in multiples of $1,000 above the minimum
denomination.
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THE MORTGAGE LOANS
We originated or acquired all of the mortgage loans. The mortgage loans
expected to be sold to the trust have the following characteristics as of May 1,
1999:
<TABLE>
<S> <C>
- - Total outstanding principal $952,400,250
balance(1):
- - Original terms to maturity: 20 to 30 years
- - Weighted average maturity: between 355 and 357 months
- - Weighted average annual between 7.17% and 7.21%
interest rate:
- - Largest geographic No more than 50% of the mortgage
concentration: loans are secured by properties
located in California
</TABLE>
- -------------------------
(1) Approximate, after deducting payments of principal due or received on or
before, May 1, 1999, and subject to the variance described in this
prospectus supplement.
THE SERVICER
We will directly service approximately 81% of the mortgage loans in the
trust and will supervise the servicing of the remainder of the mortgage loans by
third party servicers.
As servicer, we must make reasonable efforts to collect payments due on the
mortgage loans. In addition, we must advance delinquent payments on mortgage
loans to the extent described in this prospectus supplement and will reduce our
servicing compensation, to the extent described in this prospectus supplement,
to reimburse certificateholders for shortfalls of interest payments.
You should refer to "GE Capital Mortgage Services, Inc." and "The Pooling
and Servicing Agreement -- Servicing Arrangement with Respect to the Mortgage
Loans" and "-- Servicing Compensation, Compensating Interest and Payment of
Expenses" in this prospectus supplement.
DISTRIBUTIONS ON THE CERTIFICATES
The trustee will make distributions on the certificates on the 25th day of
each month. If the 25th is not a business day, the trustee will make
distributions on the next business day. The first distribution date will be June
25, 1999.
On each distribution date, the trustee will first pay to the senior
certificates the amounts of interest and principal distributable to them from
available funds. The trustee will then pay interest and principal to the junior
certificates from the remaining available funds.
Interest Payments
- The actual amount of interest you receive on your certificates on each
distribution date if your certificates are entitled to interest, will
depend on:
-- the amount of interest accrued on your certificates;
-- the total amount of funds available for distribution; and
-- the amount of any accrued interest not paid on your certificates on
earlier distribution dates.
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- If you are a holder of a Class A9, Class A15, Class A16, Class A17 or
Class A21 Certificate, the interest accrued on your certificates will
initially not be distributed to you. This accrued interest will instead
be added to the principal amount of your certificate until the time
described in "Description of the Certificates -- Distribution on the
Certificates" in this prospectus supplement.
- The Class A5 Certificates are interest-only certificates and will receive
no payments of principal. As a result, the yield on these certificates
will be particularly sensitive to the rate of prepayments on the mortgage
loans. See "Yield and Weighted Average Life Considerations -- Sensitivity
of the LIBOR Certificates -- Class A5 Certificates" on S-61 in this
prospectus supplement.
- If you are the holder of a Class A4, Class A5, Class A13 or Class A14
Certificate, the amount of interest you receive will depend from time to
time on the level of the London Interbank Offered Rate, known as LIBOR.
- If you are the holder of a senior certificate entitled to interest
payments, the amount of interest payable to you will be in proportion to
the interest payable on all of the senior certificates together. All of
the senior certificates entitled to interest payments will receive these
payments at the same time.
- The Class A20 Certificates are principal-only certificates and will
receive no payments of interest. As a result, the yield on these
certificates will be particularly sensitive to the rate of prepayments on
the mortgage loans. See the risk factor relating to these certificates on
page S-10.
- If you are the holder of a junior certificate, you will receive interest
payments only after the trustee has paid interest and principal to:
-- all of the senior certificates; and
-- each class of junior certificates that ranks higher than your
certificates.
- The trustee will calculate interest on the basis of a 360-day year
consisting of twelve 30-day months.
Principal Payments
- After interest payments have been made on all senior certificates
entitled to interest, each class of senior certificates entitled to
principal distributions will also receive a payment of principal. If you
are the holder of junior certificates, you will receive principal
payments after (1) interest and principal have been paid on all the
senior certificates and the junior certificates ranking senior to yours
(if any) and (2) interest has been paid on your certificates. You should
refer to "Description of the Certificates -- Distributions on the
Certificates" for a description of the amount of principal payable to you
and the priority in which it will be paid.
- The amount and timing of principal you receive on your certificates will
depend on:
-- the various priorities, formulas and, if applicable, the principal
payment schedules described in this prospectus supplement that
determine the allocation of principal payments to your certificates;
and
-- the amounts actually available for distribution as principal.
- Because of the principal allocation formulas described in this prospectus
supplement, the senior certificates entitled to principal
distributions -- other than the
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Class PO Certificates -- will receive principal payments at a faster rate
than the junior certificates for at least the first nine years after the
issuance of the certificates. The Class A22 Certificates will not benefit
from this accelerated repayment. You should refer to "Description of the
Certificates -- Distributions on the Certificates -- Allocation of
Available Funds."
- The Class A5 Certificates are interest-only certificates and will receive
no payments of principal.
- If you are the holder of a Class A11 or Class A12 Certificate, you will
have the option to request redemption of all or any part of your
certificate, in any amount that is a multiple of $1,000. In addition, you
may receive principal payments by random lottery. Accordingly, the timing
of the principal payments you receive will be determined by whether your
redemption request is honored and whether your certificates are selected
for payment. You should refer to "Description of the
Certificates -- Principal Distributions on the Class A11 and Class A12
Certificates" for a description of how principal payments will be made on
these certificates. You should also see the risk factor relating to these
certificates on page S-12.
OPTIONAL TERMINATION
We will have the option to repurchase all the mortgage loans and thereby
effect the early retirement of the certificates when the aggregate principal
balance of the mortgage loans is less than 10% of the aggregate principal
balance of the mortgage loans as of May 1, 1999. See "The Pooling and Servicing
Agreement -- Termination" in this prospectus supplement.
CREDIT ENHANCEMENT
Your certificates will benefit from the credit enhancement provided by the
subordination of the junior certificates.
This subordination will benefit the senior certificates in two ways:
- The senior certificates will have a preferential right over the junior
certificates to receive funds available for interest and principal
distributions.
- The junior certificates will absorb all losses on the mortgage loans up
to the level described in this prospectus supplement.
If you are the holder of a senior certificate, you should keep in mind,
however, that the subordination of the junior certificates offers only limited
protection against the loss of your investment. See the related risk factor on
page S-14.
FEDERAL INCOME TAX CONSEQUENCES
The trust will be treated as a two-tier REMIC for federal income tax
purposes. The certificates other than the Class R and Class RL Certificates will
be treated as regular interests in the upper-tier REMIC. The Class R
Certificates will be treated as the residual interest in the upper-tier REMIC,
and the Class RL Certificates will be treated as the residual interest in the
lower-tier REMIC.
All of the regular interest certificates will be treated as debt for tax
purposes. In addition, unless you are the holder of the residual certificates,
you will be required to report income on your certificates under the accrual
method of accounting. Under the
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accrual method of accounting, you may be required to report income for federal
income tax purposes in advance of receiving a corresponding cash distribution.
The particular federal income tax consequences of your investment will
depend upon the class of certificates you buy. You should consider carefully the
tax consequences of an investment in the following classes of certificates:
- the Class A9, Class A15, Class A16, Class A17, Class A20 and Class A21
Certificates, which will be, the Class A5 Certificates, which will likely
be, and certain other classes of certificates, which may be, issued with
original issue discount;
- the residual certificates, which will be subject to special rules that
could significantly reduce their after-tax yield; and
- the junior certificates, whose reported income may exceed the amount of
cash actually received.
You should refer to "Federal Income Tax Consequences" in this prospectus
supplement and "Federal Income Tax Consequences -- REMIC Certificates" in the
accompanying prospectus to determine the tax consequences to you of an
investment in the certificates.
LEGAL INVESTMENT
The senior certificates offered hereby and the Class M Certificates will be
"mortgage related securities" for purposes of the Secondary Mortgage Market
Enhancement Act of 1984 for so long as they satisfy the criteria described in
"Legal Investment Matters" in this prospectus supplement. No other certificates
will be mortgage related securities. You should consult your own legal advisors
to determine whether, and to what extent, you can invest in the certificates.
See "Legal Investment Matters" in this prospectus supplement and in the
accompanying prospectus for important information concerning possible
restrictions on the ownership of the certificates by regulated institutions.
ERISA CONSIDERATIONS
If you are investing the assets of an employee benefit plan that is subject
to ERISA or to Section 4975 of the federal income tax code, you may not acquire
the Class M, Class B1, Class B2, Class R or Class RL Certificates. In addition,
you should consider carefully the information presented in "ERISA
Considerations" in this prospectus supplement and in the accompanying
prospectus.
CERTIFICATE RATINGS
The certificates must receive the ratings indicated under "Certificate
Ratings" from Fitch IBCA, Inc. and/or Standard & Poor's Ratings Services, a
division of The McGraw-Hill Companies, Inc., at the time of their initial
issuance. You should refer to "Certificate Ratings" in this prospectus
supplement to learn more about the significance and limitation of ratings.
S-8
<PAGE> 9
RISK FACTORS
AN INVESTMENT IN THE CERTIFICATES The certificates are not suitable
MAY NOT BE SUITABLE FOR YOU 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 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 accompanying prospectus in the context
of your financial situation and tolerance
for risk.
You should carefully consider, among other
things, the factors described below before
purchasing the certificates.
LOSSES AND DELINQUENT PAYMENTS Payments on the mortgage loans will not be
ON THE MORTGAGE LOANS MAY REDUCE insured by the government or any other
THE YIELD ON YOUR CERTIFICATES person. Moreover, we, as servicer, have a
limited obligation to make advances for
delinquent installments of principal or
interest, as described in "The Pooling and
Servicing Agreement -- Advances."
Consequently, the certificates will absorb
the losses resulting from delinquent
payments, and the yield on your certificates
could be lower than you expect.
In addition, if you are buying a class of
certificates that ranks junior to another
class of certificates, you will be more
likely than the holder of a certificate
senior to yours to experience losses as a
result of payment defaults or liquidation
losses on the underlying mortgage loans.
This is because payment defaults and
liquidation losses are first allocated to
junior certificates, as described in
"Description of the
Certificates -- Allocation of Realized
Losses on the Certificates" and
"-- Distributions on the
Certificates -- Allocation of Available
Funds" in this prospectus supplement.
WE CANNOT GUARANTEE YOU REGULAR The amounts you receive on your certificates
PAYMENTS ON YOUR CERTIFICATES will depend on the amount of the payments
borrowers make on the mortgage loans.
Because we cannot predict the rate at which
borrowers will repay their loans, you may
receive distributions on your certificates
in amounts that are larger or smaller than
you expect. In addition, the life of your
certificates may be longer or shorter than
antici-
S-9
<PAGE> 10
pated. Because of this, we cannot guarantee
that you will receive distributions at any
specific future date or in any specific
amount. Holders of the Class A11 and Class
A12 Certificates should be aware of the
special payment rules for these certificates
that may make these payments especially
unpredictable.
PREPAYMENT RATES THAT ARE FASTER The yield to maturity on your certificates
OR SLOWER THAN YOU EXPECT MAY will depend primarily on the purchase price
REDUCE THE YIELD ON YOUR of your certificates and the rate of
CERTIFICATES principal payments on the mortgage loans in
the trust. Unexpected changes in prepayment
rates could have the following negative
effects:
- If you bought your certificates for
more than their face amount, the
yield on your certificates will drop
if principal payments occur at a rate
faster than you expect.
- If you bought your certificates for
less than their face amount, the
yield on your certificates will drop
if principal payments occur at a rate
slower than you expect.
- If you are the holder of a Class A5
Certificate, you will receive only
distributions of interest. If
prepayments occur at a rate faster
than expected, the yield on your
certificates may drop. You should
also consider the risk that you may
not fully recover your investment if
there are rapid rates of principal
prepayments on the mortgage loans.
See "Yield and Weighted Average Life
Considerations -- Sensitivity of the
LIBOR Certificates -- Class A5
Certificates" in this prospectus
supplement.
- If you are the holder of a Class A20
Certificate, you will receive only
distributions of principal. If
prepayments occur at a rate slower
than expected, the payments on your
certificates will likewise occur at a
rate slower than expected.
Consequently, the yield on your
certificates could drop
significantly.
- If you are a holder of a Class A15,
Class A16, Class A17 or Class A21
Certificate, your certificates will
support, in varying degrees, the
stability of the principal payments
made to certain other classes of
certificates that will receive
principal payments according to a
designated
S-10
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schedule as described in this
prospectus supplement. Principal
amounts collected on the mortgage
loans in excess of the amounts needed
to make payments according to these
schedules may be used to make
distributions on your certificates,
which will shorten the life of your
certificates. Conversely, if the
mortgage loans prepay at a rate that
is slower than expected, the life of
your certificates could lengthen,
perhaps significantly.
- If you are the holder of a class of
certificates that receives principal
payments according to a designated
schedule, your certificates will
receive principal distributions in
accordance with those schedules so
long as the mortgage loans prepay at
a rate consistent with those
designated schedules. Prepayments
that are significantly slower or
faster than those assumed in creating
these schedules could substantially
lengthen or shorten the weighted
average lives of these certificates.
For a more detailed discussion of the
sensitivity of certain classes to prepayment
rates and a description of the factors that
may influence prepayments, see "Yield and
Weighted Average Life Considerations" in
this prospectus supplement and "Yield,
Maturity and Weighted Average Life
Considerations" in the prospectus.
IF YOU ARE THE HOLDER OF A CLASS The amount of interest payable on the Class
A4, CLASS A5, CLASS A13 OR CLASS A4, Class A5, Class A13 and Class A14
A14 CERTIFICATE, THE LEVEL OF Certificates is calculated by reference to
LIBOR WILL GREATLY INFLUENCE THE the London Interbank Offered Rate, known as
YIELD ON YOUR CERTIFICATES LIBOR. If LIBOR falls, the yield on the
Class A4 and Class A13 Certificates will be
lower. By contrast, if LIBOR rises, the
yield on the Class A5 and Class A14
Certificates will be lower and could
possibly fall to zero. The interest rate on
the Class A4, Class A5, Class A13 and Class
A14 Certificates will not exceed a specified
rate, regardless of LIBOR levels. See "Yield
and Weighted Average Life Considerations --
Sensitivity of the LIBOR Certificates" in
this prospectus supplement for more
information on the yield sensitivity of
these certificates.
S-11
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PRINCIPAL PAYMENTS ON THE CLASS As described in this prospectus supplement,
A11 AND CLASS A12 CERTIFICATES MAY special rules apply to determining which
BE LESS PREDICTABLE THAN ON OTHER holders receive principal distributions on
CLASSES BECAUSE OF SPECIAL RULES these classes and when these distributions
FOR DISTRIBUTING PRINCIPAL are made. Amounts available for principal on
either of these classes will first be paid
to holders who have submitted requests for
principal payments in the order submitted
and with certain priorities given to holders
who have died. Any amounts not paid to these
requesting holders will be paid by random
lot to other holders of these classes.
If you submitted a request for principal
payments, you may not receive the amount
requested, either because other requests had
priority over yours or because the amount
available for principal payments on your
class was insufficient to honor your
request. If the amount available for
principal distributions on your class
exceeds the amount requested by all holders,
you may receive distributions in excess of
the amount you requested or, even if you did
not make a request, you may receive
distributions.
As a result, holders may not receive
principal payments when they are expecting
them, and may receive principal payments
when they are not expecting them. In
addition to making distributions on these
classes somewhat unpredictable, your yield
may be affected by the timing of these
payments, as described in some of the other
risk factors in this prospectus supplement.
Investors in these certificates should pay
particular attention to the risk that they
may be less likely to receive principal
payments when prevailing interest rates
available for reinvestment are high, and may
be more likely to receive principal payments
when prevailing interest rates available for
reinvestment are low. See "Distributions on
the Certificates -- Principal Distributions
on the Class A11 and Class A12
Certificates."
YOU MAY BE UNABLE TO REINVEST Rapid prepayment rates on the mortgage loans
DISTRIBUTIONS FROM THE are likely to coincide with periods of low
CERTIFICATES IN COMPARABLE prevailing interest rates. During these
INVESTMENTS periods, the yield at which you may be able
to reinvest amounts received as payments on
your certificates may be lower than the
yield on your certificates. Conversely, slow
prepayment rates on the mortgage loans are
likely to coincide with periods of high
interest rates. During these periods, the
amount of
S-12
<PAGE> 13
payments available to you for reinvestment
at high rates may be relatively low.
See "Yield and Weighted Average Life
Considerations" in this prospectus
supplement and "Yield, Maturity and Weighted
Average Life Considerations" in the
prospectus for more discussion of the effect
of prepayments.
PREPAYMENTS MAY CAUSE REDUCTIONS The actual interest rate on your certificate
IN INTEREST DISTRIBUTIONS ON may be less than the interest rate stated in
YOUR CERTIFICATES this prospectus supplement. Unless you are
the holder of the Class A20 Certificates,
which pay only principal, your certificates
will be allocated any interest shortfalls
that we do not compensate for as described
in this prospectus supplement. If you are
the holder of a Class A5 Certificate, which
pays only interest, extremely high rates of
prepayments on the mortgage loans could
result in the failure to recover your
original investment. The circumstances under
which interest shortfalls will occur are
described in "Description of the
Certificates -- Distributions on the
Certificates" in this prospectus supplement.
THE CONCENTRATION OF MORTGAGE Approximately 50% of the mortgage loans in
LOANS IN SPECIFIC GEOGRAPHIC AREAS the trust are secured by properties located
MAY INCREASE THE RISK OF LOSS ON in California. Any deterioration in the real
THOSE MORTGAGE LOANS AND REDUCE estate market or economy in California could
THE YIELD ON YOUR CERTIFICATES result in higher rates of loss and
delinquency than expected on the mortgage
loans. In addition, California may
experience natural disasters, such as
earthquakes, fires, floods and hurricanes,
which may not be fully insured against and
which may result in property damage and
losses on the mortgage loans. These events
may adversely affect the funds available to
make payments on your certificates, which
may in turn reduce the yield on your
certificates.
See "Description of the Mortgage Pool and
the Mortgaged Properties" in this prospectus
supplement for more information on the
location of the mortgage loans.
LOSSES ON THE MORTGAGE LOANS MAY A decline in real estate values or in
BE HIGHER THAN EXPECTED, WHICH economic conditions generally could increase
MAY LOWER THE YIELD ON YOUR the rates of delinquencies, foreclosures and
CERTIFICATES losses on the mortgage loans to a level that
is significantly higher than those
experienced currently. This in turn will
reduce the yield on your certificates, if
the credit enhancement described in this
prospectus supple-
S-13
<PAGE> 14
ment is not enough to protect your
certificates from these losses.
THE SUBORDINATION PROVIDED BY As described in "Description of the
THE JUNIOR CERTIFICATES MAY NOT Certificates -- Allocation of Realized
BE ADEQUATE TO PROTECT THE SENIOR Losses," losses will first be allocated to
CERTIFICATES FROM ALL LOSSES the junior certificates. The losses will be
allocated to such certificates in inverse
order of priority. Losses may be severe
enough, however, to reduce the aggregate
principal balance of the junior certificate
to zero. If this occurs, the senior
certificates will bear their share of losses
thereafter. In addition, certain types of
losses will be borne pro rata by the senior
certificates and the junior certificates
after a specified amount of these losses are
borne solely by the junior certificates.
IF WE EXERCISE OUR OPTION TO We may, at our option, terminate the trust
TERMINATE THE TRUST, THE YIELD under the circumstances described in "The
ON YOUR CERTIFICATES COULD BE Pooling and Servicing Agreement -- Optional
LOWER THAN EXPECTED Termination" in this prospectus supplement.
If the proceeds realized upon termination
are less than the outstanding principal
balance on the certificates and accrued
interest thereon, your certificates may bear
their share of the resulting shortfall. As
result, you may not fully recover your
investment and could potentially suffer
losses. In addition, termination of the
trust will result in the early retirement of
your certificates, which will shorten the
average life of the certificates and
potentially lower their yield, especially in
the case of the Class A5 Certificates.
You should refer to "The Pooling and
Servicing Agreement -- Optional Termination"
for a discussion of additional consequences
of the trust's early termination.
YOU MAY NOT BE ABLE TO RESELL The certificates will not be listed on any
YOUR CERTIFICATES securities exchange, and a resale market for
the certificates may not develop. Although
the underwriter of this offering intends to
create a resale market for the certificates
offered by it, it has no obligation to do
so. If a market for the certificates does
develop, it may not continue. Moreover, this
market may not be liquid enough to allow you
to resell your certificates or to resell
them at the price you desire.
S-14
<PAGE> 15
YOU WILL NOT RECEIVE PHYSICAL Unless you are the purchaser of the residual
CERTIFICATES, WHICH CAN CAUSE certificates, your ownership of the
DELAYS IN DISTRIBUTIONS AND certificates will be registered
HAMPER YOUR ABILITY TO PLEDGE OR electronically with DTC. The lack of
RESELL YOUR CERTIFICATES physical certificates could:
- result in payment delays on the
certificates because the trustee will
be sending distributions on the
certificates to DTC instead of
directly to you;
- make it difficult for you to pledge
your certificates if physical
certificates are required by the
party demanding the pledge; and
- could hinder your ability to resell
the certificates because some
investors may be unwilling to buy
certificates that are not in physical
form.
OUR FAILURE OR THE FAILURE OF Many computer systems and microprocessors
THIRD PARTIES TO BE YEAR 2000 with data functions, including those in
COMPUTER READY COULD DISRUPT THE non-information technology equipment and
DISTRIBUTIONS ON YOUR CERTIFICATES systems, use only two digits to identify a
year in the date field with the assumption
that the first two digits of the year are
always "19." Consequently, on January 1,
2000, computers that are not year 2000
compliant may read the year as 1900 and
malfunction.
We are implementing a plan, which is
described in "Year 2000 Computer Readiness"
in the prospectus, to become year 2000
compliant by mid-1999. We cannot guarantee,
however, that our efforts to achieve year
2000 readiness will be fully effective.
Moreover, we cannot guarantee that any of
our third-party service providers, such as
trustees, borrowers' banks, loan servicers
and DTC, will be year 2000 ready. We also
cannot assure you that any future
developments in connection with our year
2000 readiness or the readiness of third
parties will be those that we have
anticipated.
Our failure, or the failure of our
third-party servicers, to become fully year
2000 ready could disrupt, at least
temporarily, our ability to carry out the
servicing duties described in this
prospectus supplement, including the
calculation of amounts distributable to you
and the timely transfer of funds to the
trustee for your benefit. Your investment in
the certificates could consequently suffer.
S-15
<PAGE> 16
INDEX OF DEFINITIONS
You can find a list of capitalized terms used in this prospectus
supplement, and the pages on which they are defined, under the caption "Index of
Certain Prospectus Supplement Definitions" beginning on page S-107 of this
prospectus supplement. Any capitalized terms that are not defined in the
prospectus supplement are defined in the accompanying prospectus. See "Index of
Certain Prospectus Definitions" on page 91 of the accompanying prospectus.
DESCRIPTION OF THE MORTGAGE POOL AND THE MORTGAGED PROPERTIES
GENERAL
The certificates described in this prospectus supplement will represent the
entire beneficial ownership interest in the trust that is issuing these
certificates. The assets of the trust will consist primarily of a pool of
conventional, fixed-rate, fully-amortizing mortgage loans. The mortgage loans
are secured by mortgages, deeds of trust or other security instruments creating
first liens on one- to four-family residential properties or first liens on
rights to own and occupy apartments in cooperative buildings. GE Capital
Mortgage Services, Inc. ("GECMSI") is depositing the mortgage loans in the
trust.
Certain data with respect to the mortgage loans expected to be included in
the trust are set forth below. A description of the final mortgage pool on a
Current Report on Form 8-K will be available to purchasers of the certificates
at or before, and will be filed by GECMSI with the SEC within fifteen days
after, the initial delivery of the certificates. This definitive description
will specify the precise aggregate Scheduled Principal Balance (as defined in
this prospectus supplement) of the mortgage loans as of the first day of the
month of creation of the trust (the "Cut-off Date") and will also include
statistical data relating to the final mortgage loans comparable in scope to
that set forth with respect to the expected mortgage pool on pages S-19 through
S-24 of this prospectus supplement. It will also specify the original principal
balance of each class of certificates (or, in the case of the Class A5 and Class
S Certificates, the notional principal balance) on the date of issuance of the
certificates, the initial Senior Percentage, the initial Class A22 Percentage,
the initial Junior Percentage, the Bankruptcy Loss Amount, the Fraud Loss Amount
and the Special Hazard Loss Amount, each as defined herein. The Pooling and
Servicing Agreement under which the certificates are issued and its exhibits
will be filed as an exhibit to the definitive description of the final mortgage
pool.
The "Scheduled Principal Balance" of a mortgage loan as of the Cut-off Date
is the then outstanding principal balance thereof, after deducting payments of
principal due on or received before such date. The "Scheduled Principal Balance"
of a mortgage loan as of any Distribution Date is the unpaid principal balance
of such mortgage loan as specified in the amortization schedule at the time
relating thereto, before any adjustment to such schedule by reason of bankruptcy
or similar proceeding or any moratorium or similar waiver or grace period, as of
the first day of the month preceding the month of such Distribution Date, after
giving effect to any previously applied partial principal prepayments, the
payment of principal due on such first day of the month and Deficient Valuations
occurring after the Bankruptcy Coverage Termination Date, as such terms are
defined herein, irrespective of any delinquency in payment by the related
borrower.
The "Pool Scheduled Principal Balance" as of any Distribution Date is equal
to the aggregate Scheduled Principal Balances of all of the mortgage loans that
were Outstanding
S-16
<PAGE> 17
Mortgage Loans on the first day of the month preceding the month of such
Distribution Date, or such other date as is specified.
An "Outstanding Mortgage Loan" is any mortgage loan which has not been
prepaid in full, has not become a Liquidated Mortgage Loan and has not been
repurchased.
We expect that the following percentages of the mortgage loans (by
Scheduled Principal Balance as of the Cut-off Date) will have been originated
under the following documentation programs:
- At least 88% of the mortgage loans and substantially all of the mortgage
loans with loan-to-value ratios in excess of 80% will have been
originated under GECMSI's full or alternative documentation program or
other full or alternative documentation programs acceptable to GECMSI.
- No more than 7% of the mortgage loans will have been originated under
GECMSI's no income verification programs or other no income verification
programs acceptable to GECMSI.
- No more than 4% of the mortgage loans will have been originated under
GECMSI's "Enhanced Streamlined Refinance Program" or other streamlined
refinance programs acceptable to GECMSI.
- No more than 0.50% of the mortgage loans will have been originated under
GECMSI's "No Ratio Program" or other no ratio programs acceptable to
GECMSI.
- No more than 0.50% of the mortgage loans will have been originated under
GECMSI's "No Income, No Asset Verification Program" or other no income,
no asset verification programs acceptable to GECMSI.
- No more than 0.50% of the mortgage loans will have been acquired under
GECMSI's "Relocation Loan" program or other relocation programs
acceptable to GECMSI.
See "The Trusts -- The Mortgage Loans -- Loan Underwriting Policies" in the
accompanying prospectus for a description of these documentation programs.
Each mortgage loan other than a Cooperative Loan, as defined below, is
required to be covered by a standard hazard insurance policy. Each mortgage loan
which had a loan-to-value ratio at origination in excess of 80% also will be
covered by a private mortgage insurance policy. See "Servicing of the Mortgage
Loans -- Hazard Insurance" and "-- Private Mortgage Insurance" in the
prospectus.
All payments due on each mortgage loan on which at least one payment of
principal and interest was due prior to the Cut-off Date will have been paid
through the first day of the month preceding the Cut-off Date. The mortgage loan
pool will include a substantial number of recently originated loans on which the
first monthly payments are not due until the Cut-off Date or on a date
subsequent to the initial issuance of the certificates.
For a description of the underwriting standards generally applicable to the
mortgage loans, see "The Trust Fund -- The Mortgage Loans -- Loan Underwriting
Policies" in the prospectus.
S-17
<PAGE> 18
THE MORTGAGE LOANS
The mortgage loans will have an aggregate Scheduled Principal Balance as of
the Cut-off Date, after deducting payments of principal due or received on or
before such date, of approximately $952,400,250. This amount is subject to a
permitted variance such that the aggregate Scheduled Principal Balance thereof
will not be less than $902,500,000 or greater than $997,500,000.
Prior to issuance of the certificates, we will not remove from the expected
mortgage pool more than 5% of the mortgage loans, measured by Scheduled
Principal Balance as of the Cut-off Date, unless a revised prospectus supplement
is delivered to prospective investors. In addition, prior to issuance of the
certificates, we will not add mortgage loans to the mortgage pool if this would
result in more than a 5% increase in the size of the mortgage pool, measured by
Scheduled Principal Balance as of the Cut-off Date, unless a revised prospectus
supplement is delivered to prospective investors.
The interest rates borne by the mortgage loans are expected to range from
6.125% to 11.000% per annum, and the weighted average mortgage interest rate as
of the Cut-off Date of such mortgage loans is expected to be between 7.17% and
7.21% per annum. The original principal balances of the mortgage loans are
expected to range from $32,000 to $1,500,000 and, as of the Cut-off Date, the
average Scheduled Principal Balance of the mortgage loans is not expected to
exceed $328,000 after application of payments due on or before the Cut-off Date.
It is expected that the month and year of the earliest origination date of any
mortgage loan will be March 1986 and the month and year of the latest scheduled
maturity date of any such mortgage loan will be May 2029. All of the mortgage
loans will have original terms to maturity of 20 to 30 years, and it is expected
that the weighted average scheduled remaining term to maturity of the mortgage
loans will be between 355 and 357 months as of the Cut-off Date.
The mortgage loans are expected to have the following additional
characteristics (by Scheduled Principal Balance of all the mortgage loans) as of
the Cut-off Date:
- No more than 10% of the mortgage loans will have a Scheduled Principal
Balance of more than $500,000 and up to and including $750,000. No more
than 3% of the mortgage loans will have a Scheduled Principal Balance of
more than $750,000 and up to and including $1,000,000. No more than 1% of
the mortgage loans will have a Scheduled Principal Balance of more than
$1,000,000.
- No more than 13% of the mortgage loans will have a loan-to-value ratio at
origination in excess of 80%, no more than 4% of the mortgage loans will
have a loan-to-value ratio at origination in excess of 90%, and none of
the mortgage loans will have a loan-to-value ratio at origination in
excess of 95%. As of the Cut-off Date, the weighted average loan-to-value
ratio at origination of the mortgage loans is expected to be between 73%
and 75%.
- No more than 2% of the mortgage loans had a loan-to-value ratio at
origination calculated based on an appraisal conducted more than one year
before the origination date thereof.
- The proceeds of at least 50% of the mortgage loans will have been used to
acquire the related mortgaged property. The proceeds of the remainder of
the mortgage loans will have been used to refinance an existing loan. No
more than 12% of the mortgage loans will have been the subject of
"cash-out" refinancings.
S-18
<PAGE> 19
- No more than 1% of the mortgage loans will be temporary buy-down mortgage
loans. The portion of the interest rate paid by the related mortgagor
will not increase by more than one percentage point for each six-month
period. No mortgage interest rate may exceed the "bought down" rate by
more than 3 percentage points, and no buy-down period will exceed 3
years.
- No more than 1% of the mortgage loans will be secured by mortgaged
properties located in any one postal zip code area.
- No more than 50% of the mortgage loans will be secured by mortgaged
properties located in California. The majority of the mortgage loans will
be secured by mortgaged properties located in California, New Jersey,
Virginia, Maryland, Massachusetts and Illinois.
- No more than 6% of the mortgage loans will be secured by mortgaged
properties located in any one state except California.
- At least 96% of the mortgage loans will be secured by mortgaged
properties determined by GECMSI to be the primary residence of the
mortgagor. The basis for such determination will be the making of a
representation by the mortgagor at origination that the underlying
property will be used as the mortgagor's primary residence.
- At least 91% of the mortgage loans will be secured by single-family,
detached residences.
- No more than 5% of the mortgage loans will be secured by condominiums.
- None of the mortgage loans will be secured by shares of stock in
cooperative housing corporations and assignments of the proprietary
leases to occupy cooperative apartment units therein (each, a
"Cooperative Loan").
Set forth below is a description of certain characteristics of the mortgage
pool and the mortgage loans expected to be included therein, subject to the
variance described herein. The sum of the percentages may not equal 100% due to
rounding.
ORIGINAL PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
RANGE OF ORIGINAL NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
PRINCIPAL BALANCE MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
----------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
$ 0- 227,150............. 225 $ 33,166,797.19 3.48%
227,151- 250,000............. 162 38,998,861.79 4.09
250,001- 300,000............. 1,034 285,600,944.53 29.99
300,001- 350,000............. 631 203,733,642.66 21.39
350,001- 400,000............. 368 137,585,306.42 14.45
400,001- 450,000............. 193 82,098,470.17 8.62
450,001- 600,000............. 219 110,458,782.46 11.60
600,001- 650,000............. 48 30,499,123.51 3.20
650,001-1,500,000............ 34 30,258,320.88 3.18
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
S-19
<PAGE> 20
MORTGAGE INTEREST RATES AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
MORTGAGE INTEREST RATE MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
---------------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
6.1250%...................... 1 $ 442,569.43 0.05%
6.2500....................... 2 567,085.53 0.06
6.3750....................... 18 6,775,957.24 0.71
6.5000....................... 33 10,667,748.45 1.12
6.6250....................... 61 20,526,906.72 2.16
6.7500....................... 133 43,735,759.91 4.59
6.8750....................... 299 102,059,847.68 10.72
6.9000....................... 1 313,397.01 0.03
7.0000....................... 568 188,127,893.19 19.75
7.1250....................... 484 160,497,379.24 16.85
7.2500....................... 461 153,686,707.38 16.14
7.3000....................... 1 284,749.40 0.03
7.3500....................... 1 297,152.29 0.03
7.3750....................... 354 115,979,090.16 12.18
7.5000....................... 219 69,056,656.14 7.25
7.6250....................... 92 28,142,584.19 2.95
7.7500....................... 57 16,367,522.72 1.72
7.8000....................... 1 180,109.16 0.02
7.8750....................... 21 6,843,383.55 0.72
8.0000....................... 5 1,357,150.02 0.14
8.1200....................... 1 119,621.62 0.01
8.1250....................... 9 3,202,241.54 0.34
8.2500....................... 5 1,361,699.35 0.14
8.3750....................... 7 1,958,606.92 0.21
8.5000....................... 10 2,695,991.95 0.28
8.6250....................... 14 4,124,490.98 0.43
8.7500....................... 11 2,935,880.38 0.31
8.8750....................... 16 4,403,543.62 0.46
9.0000....................... 5 1,173,166.63 0.12
9.1250....................... 3 571,573.24 0.06
9.2500....................... 5 1,407,893.05 0.15
9.3750....................... 2 574,286.22 0.06
9.5000....................... 2 466,375.72 0.05
9.7500....................... 1 300,935.13 0.03
10.0000....................... 1 127,700.64 0.01
10.1250....................... 1 115,382.64 0.01
10.2500....................... 5 524,850.77 0.06
10.3750....................... 2 182,146.48 0.02
10.7500....................... 1 144,184.93 0.02
11.0000....................... 1 100,028.39 0.01
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
S-20
<PAGE> 21
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
STATE MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
----- -------------- ------------------- ---------------------
<S> <C> <C> <C>
Alabama....................... 6 $ 1,923,954.11 0.20%
Arizona....................... 71 19,973,365.09 2.10
Arkansas...................... 2 599,194.98 0.06
California.................... 1,409 475,789,010.72 49.96
Colorado...................... 80 24,525,679.05 2.58
Connecticut................... 44 15,633,049.26 1.64
Delaware...................... 7 1,963,551.87 0.21
District of Columbia.......... 22 7,595,271.04 0.80
Florida....................... 87 26,207,332.83 2.75
Georgia....................... 56 18,032,301.53 1.89
Hawaii........................ 3 1,476,199.98 0.16
Idaho......................... 3 640,280.69 0.07
Illinois...................... 87 29,114,981.05 3.06
Indiana....................... 4 1,305,547.85 0.14
Iowa.......................... 6 2,020,510.08 0.21
Kansas........................ 1 276,705.72 0.03
Kentucky...................... 7 2,412,671.35 0.25
Louisiana..................... 5 1,494,275.23 0.16
Maine......................... 2 483,256.34 0.05
Maryland...................... 103 31,855,519.15 3.34
Massachusetts................. 96 30,220,330.56 3.17
Michigan...................... 33 11,240,725.46 1.18
Minnesota..................... 9 2,779,139.66 0.29
Mississippi................... 2 347,453.40 0.04
Missouri...................... 13 4,402,989.50 0.46
Montana....................... 2 546,863.55 0.06
Nebraska...................... 3 1,037,086.27 0.11
Nevada........................ 18 5,876,609.52 0.62
New Hampshire................. 6 1,751,919.48 0.18
New Jersey.................... 176 55,226,231.75 5.80
New Mexico.................... 10 2,895,316.30 0.30
New York...................... 76 23,653,349.90 2.48
North Carolina................ 38 12,037,042.55 1.26
Ohio.......................... 21 7,032,402.64 0.74
Oklahoma...................... 3 1,049,527.34 0.11
Oregon........................ 32 10,629,725.63 1.12
Pennsylvania.................. 68 22,807,590.72 2.39
South Carolina................ 17 5,392,526.77 0.57
Tennessee..................... 7 2,625,416.85 0.28
Texas......................... 41 12,064,525.02 1.27
Utah.......................... 22 7,201,323.47 0.76
Vermont....................... 3 957,368.76 0.10
</TABLE>
S-21
<PAGE> 22
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
STATE MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
----- -------------- ------------------- ---------------------
<S> <C> <C> <C>
Virginia...................... 123 $ 37,777,420.33 3.97%
Washington.................... 80 25,861,454.38 2.72
Wisconsin..................... 9 3,181,147.38 0.33
Wyoming....................... 1 482,104.50 0.05
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
YEAR OF ORIGINATION AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
YEAR OF ORIGINATION MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
- ------------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
1986.......................... 10 $ 1,050,108.92 0.11%
1987.......................... 1 144,184.93 0.02
1988.......................... 1 102,578.25 0.01
1991.......................... 6 1,693,925.86 0.18
1992.......................... 62 16,493,799.49 1.73
1993.......................... 3 1,210,621.73 0.13
1996.......................... 4 912,157.62 0.10
1997.......................... 7 1,941,858.89 0.20
1998.......................... 153 49,086,817.26 5.15
1999.......................... 2,667 879,764,196.66 92.37
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
S-22
<PAGE> 23
YEAR OF MATURITY AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
YEAR OF MATURITY MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
- ---------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
2012.......................... 2 $ 420,914.06 0.04%
2016.......................... 10 1,050,108.92 0.11
2017.......................... 1 144,184.93 0.02
2018.......................... 4 1,330,382.60 0.14
2019.......................... 25 7,365,032.63 0.77
2021.......................... 1 227,462.85 0.02
2022.......................... 64 17,155,308.85 1.80
2023.......................... 1 275,431.34 0.03
2024.......................... 23 6,459,992.32 0.68
2026.......................... 2 377,362.33 0.04
2027.......................... 8 2,869,862.00 0.30
2028.......................... 107 34,146,309.46 3.59
2029.......................... 2,666 880,577,897.32 92.46
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
TYPES OF MORTGAGED PROPERTIES AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
TYPE OF DWELLING MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
---------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
Single-family detached........ 2,695 $887,199,556.96 93.15%
Single-family attached........ 70 21,152,498.02 2.22
Condominium................... 106 29,314,127.26 3.08
2 - 4 family units............ 43 14,734,067.37 1.55
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
S-23
<PAGE> 24
OCCUPANCY STATUS OF MORTGAGED PROPERTIES(1)
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
OCCUPANCY MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
- --------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
Owner Occupied................ 2,847 $932,699,942.70 97.93%
Vacation...................... 48 14,287,761.22 1.50
Investment.................... 19 5,412,545.69 0.57
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
- -------------------------
(1) Based on information supplied by the mortgagor in the loan application.
PURPOSE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
PRINCIPAL AGGREGATE SCHEDULED
NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
PURPOSE OF THE LOAN MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
------------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
Purchase...................... 1,473 $486,037,676.99 51.03%
Rate Term/Refinance........... 1,147 367,904,691.16 38.63
Cash-out Refinance............ 294 98,457,881.46 10.34
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
LOAN-TO-VALUE RATIOS AT ORIGINATION
<TABLE>
<CAPTION>
AGGREGATE SCHEDULED PERCENTAGE OF POOL BY
RANGE OF PRINCIPAL AGGREGATE SCHEDULED
LOAN-TO-VALUE RATIOS NUMBER OF BALANCE AS OF PRINCIPAL BALANCE AS
AT ORIGINATION MORTGAGE LOANS THE CUT-OFF DATE OF THE CUT-OFF DATE
- -------------------- -------------- ------------------- ---------------------
<S> <C> <C> <C>
00.000-50.00%................. 146 $ 49,034,595.17 5.15%
50.001-60.00.................. 182 62,082,069.99 6.52
60.001-70.00.................. 433 149,470,769.71 15.69
70.001-75.00.................. 458 152,828,296.38 16.05
75.001-80.00.................. 1,302 424,126,764.64 44.53
80.001-85.00.................. 52 15,217,298.19 1.60
85.001-90.00.................. 234 71,621,151.91 7.52
90.001-95.00.................. 107 28,019,303.62 2.94
----- --------------- ------
Total.................... 2,914 $952,400,249.61 100.00%
===== =============== ======
</TABLE>
DESCRIPTION OF THE CERTIFICATES
GENERAL
The certificates will be issued pursuant to a Pooling and Servicing
Agreement (the "Agreement") to be dated as of the Cut-off Date between GECMSI,
as depositor of the mortgage loans and servicer, and State Street Bank and Trust
Company, as Trustee. See the prospectus for important additional information
regarding the terms and conditions of the Agreement and the certificates. The
certificates will be issued in the classes offered by this prospectus
supplement, together with the Class PO, Class B3, Class B4, Class B5 and Class S
Certificates, none of which are offered hereby. The certificates will be issued
in
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<PAGE> 25
the aggregate original principal balance of approximately $952,400,250, subject
to a permitted variance such that the aggregate original principal balance will
not be less than $902,500,000 or greater than $997,500,000. Any such variance
will be allocated so as to approximate the material characteristics of the
classes of certificates described herein.
As described below, each class of certificates offered hereby, other than
the residual certificates, will be issued in book-entry form. Beneficial
interests in these certificates (the "Book-Entry Certificates") will be held by
investors through the book-entry facilities of The Depository Trust Company, as
described below, in the minimum denominations described in the summary of this
prospectus supplement. Notwithstanding the integral multiple requirements
described in the summary, one certificate of each class other than the residual
certificates may evidence an additional amount equal to the remaining Class
Certificate Principal Balance thereof.
BOOK-ENTRY CERTIFICATES
Each class of the Book-Entry Certificates will be registered as a single
certificate held by a nominee of The Depository Trust Company, which is known as
DTC. For purposes of this discussion, the term DTC also refers to any successor
depository selected by DTC. GECMSI has been informed by DTC that its nominee
will be Cede & Co. Accordingly, Cede & Co. is expected to be the holder of
record of the Book-Entry Certificates. Except as described below, no person
acquiring a Book-Entry Certificate (each, a "beneficial owner") will be entitled
to receive a definitive physical certificate representing such certificate.
The beneficial owner's ownership of a Book-Entry Certificate will be
recorded on the records of the brokerage firm, bank, thrift institution or other
financial intermediary (each, a "Financial Intermediary") that maintains the
beneficial owner's account for such purpose. In turn, the Financial
Intermediary's ownership of such Book-Entry Certificate will be recorded on the
records of DTC (or of a participating firm, that acts as agent for the Financial
Intermediary, whose interest will in turn be recorded on the records of DTC, if
the beneficial owner's Financial Intermediary is not a DTC participant).
Therefore, the beneficial owner must rely on the foregoing procedures to
evidence its beneficial ownership of a Book-Entry Certificate. Beneficial
ownership of a Book-Entry Certificate may only be transferred by compliance with
the procedures of such Financial Intermediaries and participants.
DTC, which is a New York-chartered limited purpose trust company, performs
services for its participants, some of which (and/or their representatives) own
DTC. In accordance with its normal procedures, DTC is expected to record the
positions held by each of its participants in the Book-Entry Certificates,
whether held for its own account or as a nominee for another person. In general,
beneficial ownership of Book-Entry Certificates will be subject to the rules,
regulations and procedures governing DTC and its participants as in effect from
time to time.
Distributions of principal of and interest on the Book-Entry Certificates
will be made on each Distribution Date by the Trustee to DTC. DTC will be
responsible for crediting the amount of such payments to the accounts of the
applicable participants in accordance with DTC's normal procedures. Each DTC
participant will be responsible for disbursing such payments to the beneficial
owners of the Book-Entry Certificates that it represents and to each Financial
Intermediary for which it acts as agent. Each such Financial Intermediary will
be responsible for disbursing funds to the beneficial owners of the Book-Entry
Certificates that it represents.
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<PAGE> 26
AS A RESULT, UNDER A BOOK-ENTRY FORMAT, BENEFICIAL OWNERS OF THE BOOK-ENTRY
CERTIFICATES MAY EXPERIENCE SOME DELAY IN THEIR RECEIPT OF PAYMENTS. BECAUSE DTC
CAN ONLY ACT ON BEHALF OF FINANCIAL INTERMEDIARIES, THE ABILITY OF A BENEFICIAL
OWNER TO PLEDGE BOOK-ENTRY CERTIFICATES TO PERSONS OR ENTITIES THAT DO NOT
PARTICIPATE IN THE DTC SYSTEM, OR OTHERWISE TAKE ACTIONS IN RESPECT OF SUCH
BOOK-ENTRY CERTIFICATES, MAY BE LIMITED DUE TO THE LACK OF PHYSICAL CERTIFICATES
FOR SUCH BOOK-ENTRY CERTIFICATES. IN ADDITION, ISSUANCE OF THE BOOK-ENTRY
CERTIFICATES IN BOOK-ENTRY FORM MAY REDUCE THE LIQUIDITY OF SUCH CERTIFICATES IN
THE SECONDARY MARKET SINCE CERTAIN POTENTIAL INVESTORS MAY BE UNWILLING TO
PURCHASE CERTIFICATES FOR WHICH THEY CANNOT OBTAIN PHYSICAL CERTIFICATES.
DTC has advised GECMSI and the Trustee that, unless and until definitive
physical certificates are issued, DTC will take any action permitted to be taken
by a holder of a certificate under the Agreement only at the direction of one or
more Financial Intermediaries to whose DTC accounts the Book-Entry Certificates
are credited. DTC may take conflicting actions with respect to other Book-Entry
Certificates to the extent that such actions are taken on behalf of Financial
Intermediaries whose holdings include such Book-Entry Certificates.
Definitive physical certificates will be issued to beneficial owners of the
related Book-Entry Certificates, or their nominees, rather than to DTC, only if
(a) DTC or GECMSI advises the Trustee in writing that DTC is no longer willing,
qualified or able to discharge properly its responsibilities as nominee and
depository with respect to the certificates and GECMSI or the Trustee is unable
to locate a qualified successor, (b) GECMSI, at its sole option, elects to
terminate the book-entry system through DTC, or (c) after the occurrence of an
Event of Default as described in the accompanying prospectus, beneficial owners
of the Book-Entry Certificates aggregating not less than 51% of the aggregate
voting rights allocated thereto advise the Trustee and DTC through the Financial
Intermediaries in writing that the continuation of a book-entry system through
DTC (or a successor thereto) is no longer in the best interests of beneficial
owners of the certificates.
Upon the occurrence of any of the events described in the immediately
preceding paragraph, the Trustee will be required to notify all beneficial
owners of the occurrence of such event and the availability through DTC of
definitive physical certificates. Upon surrender by DTC of the global
certificate or certificates representing the certificates and instructions for
re-registration, the Trustee will issue definitive physical certificates, and
thereafter the Trustee will recognize the holders of such certificates as
certificateholders under the Agreement. Following the issuance of definitive
physical certificates, distribution of principal and interest on the
certificates will be made by the Trustee directly to holders of these
certificates in accordance with the procedures set forth in the Agreement.
The Agreement will provide that, if definitive physical certificates are
issued in respect of the Class M, Class B1 or Class B2 Certificates, no transfer
of such a certificate may be made unless the Trustee has received (1) a
certificate to the effect that the proposed transferee is not an ERISA Plan (as
defined herein) or that the transferee is an insurance company investing assets
of its general account and the exemption provided by Section III(a) of the
Department of Labor Prohibited Transaction Class Exemption 95-60, 60 Fed. Reg.
35925 (July 12, 1995), applies to such transferee's acquisition and holding of
such certificate or (2) an opinion of counsel relating to such transfer in form
and substance satisfactory to the Trustee and GECMSI. See "ERISA Considerations"
herein.
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<PAGE> 27
NON-BOOK-ENTRY CERTIFICATES
The residual certificates (the "Non-Book-Entry Certificates") will be
issued in fully-registered, certificated form. The Non-Book-Entry Certificates
will be transferable and exchangeable on a certificate register to be maintained
at the corporate trust office in the city in which the Trustee is located or
such other office or agency maintained for such purposes by the Trustee in New
York City. Under the Agreement, the Trustee will initially be appointed as the
certificate registrar. No service charge will be made for any registration of
transfer or exchange of the residual certificates, but payment of a sum
sufficient to cover any tax or other governmental charge may be required by the
Trustee. The residual certificates will be subject to certain restrictions on
transfer. See "-- Restrictions on Transfer of the Residual Certificates" herein.
Distributions of principal and interest, if any, on each Distribution Date
on the Non-Book-Entry Certificates will be made to the persons in whose names
such certificates are registered at the close of business on the last business
day of the month immediately preceding the month of such Distribution Date (the
"Record Date"). Distributions will be made by check or money order mailed to the
person entitled thereto at the address appearing in the certificate register or,
upon written request by the certificateholder to the Trustee, by wire transfer
to a United States depository institution designated by such certificateholder
and acceptable to the Trustee or by such other means of payment as such
certificateholder and the Trustee may agree; provided, however, that the final
distribution in retirement of the Non-Book-Entry Certificates will be made only
upon presentation and surrender of such certificates at the office or agency of
the Trustee specified in the notice to the holders thereof of such final
distribution.
AVAILABLE FUNDS
The amount of funds ("Available Funds") in respect of the mortgage pool
that will be available for distribution to holders of the certificates on each
Distribution Date is described in the accompanying prospectus under "Servicing
of the Mortgage Loans -- Loan Payment Record."
DISTRIBUTIONS ON THE CERTIFICATES
Allocation of Available Funds
Interest and principal on the certificates will be distributed monthly on
the 25th day of each month or, if such 25th day is not a business day, on the
succeeding business day (each, a "Distribution Date"), commencing in June 1999.
These distributions will be in an aggregate amount equal to the Available Funds
for the related Distribution Date plus, in the case of interest payments on the
Class A12 Certificates, any amounts withdrawn from the Class A12 Interest
Account (as defined herein). Distributions will be made to holders of record on
the close of business on the related Record Date.
On each Distribution Date, the Available Funds will be distributed in the
following order of priority among the certificates:
first, to the classes of senior certificates entitled to distributions
of interest, the Accrued Certificate Interest on each such class for such
Distribution Date, any shortfall in available amounts being allocated among
such classes in proportion to the amount of Accrued Certificate Interest
otherwise distributable thereon; provided, however, that on each
Distribution Date through the related Accretion Termination Date (as
defined herein) for the Class A9, Class A15, Class A16, Class A17 and
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<PAGE> 28
Class A21 Certificates (together, the "Accrual Certificates"), such amounts
with respect to such certificates will not be distributed under this
priority first but will instead be added to their respective class
certificate principal balance (the "Class Certificate Principal Balance")
thereof and distributed in accordance with the first paragraph following
priority eighth below;
second, to the classes of senior certificates entitled to
distributions of interest, any Accrued Certificate Interest thereon
remaining undistributed from previous Distribution Dates (or not added to
the Class Certificate Principal Balance of the Accrual Certificates, as the
case may be) from previous Distribution Dates, to the extent of remaining
Available Funds, any shortfall in available amounts being allocated among
such classes in proportion to the amount of such Accrued Certificate
Interest remaining undistributed (or not added to the Class Certificate
Principal Balance of the Accrual Certificates, as the case may be) for each
such class for such Distribution Date; provided, however, that on each
Distribution Date through the related Accretion Termination Date for the
Accrual Certificates, such amounts with respect to such certificates will
not be distributed under this priority second but will instead be added to
the Class Certificate Principal Balance thereof and distributed in
accordance with the first paragraph following priority eighth below;
third, to the classes of senior certificates entitled to principal
distributions, in reduction of the aggregate Class Certificate Principal
Balances thereof, to the extent of remaining Available Funds, concurrently,
as follows:
(1) to the Class A1 through Class A22 Certificates (other than the
Class A5 Certificates) and the Class R and Class RL Certificates, the
Senior Optimal Principal Distribution Amount for such Distribution Date,
in the following order of priority:
(a) to the Class A22 Certificates, the Class A22 Principal
Distribution Amount (as defined herein) for such Distribution Date,
until the Class Certificate Principal Balance thereof has been
reduced to zero; and
(b) to each of the Class A1 through Class A21 Certificates,
other than the Class A5 Certificates, and the Class R and Class RL
Certificates (together, the "Group I Senior Certificates), the
Senior Optimal Principal Amount for such Distribution Date, less
the Class A22 Principal Distribution Amount for such Distribution
Date, in the following order of priority:
(I) pro rata, to the Class R and Class RL Certificates,
until the Class Certificate Principal Balances thereof have
each been reduced to zero;
(II) to the Class A1 and Class A4 Certificates until the
Class Certificate Principal Balance of the Class A1
Certificates has been reduced to its PAC Balance set forth in
the PAC Balances Table attached hereto for such Distribution
Date, concurrently, as follows:
(A) approximately 78.431372946664% of the amount
distributable under clause (1)(b)(II) to the Class A1
Certificates; and
(B) approximately 21.568627053336% of the amount
distributable under clause (1)(b)(II) to the Class A4
Certificates, up to the amount necessary to reduce the
Class Certificate Principal
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<PAGE> 29
Balance thereof to its PAC Balance set forth in the PAC
Balances Table for such Distribution Date;
(III) to the Class A2 and Class A4 Certificates until the
Class Certificate Principal Balance of the Class A2
Certificates has been reduced to its PAC Balance set forth in
the PAC Balances Table for such Distribution Date,
concurrently, as follows:
(A) approximately 80.00% of the amount distributable
under clause (1)(b)(III) to the Class A2 Certificates; and
(B) approximately 20.00% of the amount distributable
under clause (1)(b)(III) to the Class A4 Certificates, up
to the amount necessary to reduce the Class Certificate
Principal Balance thereof to its PAC Balance set forth in
the PAC Balances Table for such Distribution Date;
(IV) to the Class A3 and Class A4 Certificates,
concurrently, as follows:
(A) approximately 88.888888773626% of the amount
distributable under clause (1)(b)(IV) to the Class A3
Certificates, up to the amount necessary to reduce the
Class Certificate Principal Balance thereof to its PAC
Balance set forth in the PAC Balances Table for such
Distribution Date; and
(B) approximately 11.111111226374% of the amount
distributable under clause (1)(b)(IV) to the Class A4
Certificates, up to the amount necessary to reduce the
Class Certificate Principal Balance thereof to its PAC
Balance set forth in the PAC Balances Table for such
Distribution Date;
(V) to the Class A6, Class A7, Class A8, Class A10, Class
A11, Class A12, Class A13, Class A14, Class A18, Class A19 and
Class A20 Certificates until the Class Certificate Principal
Balance of the Class A6 Certificates has been reduced to its
TAC Balance set forth in the TAC Balances Table attached
hereto for such Distribution Date, concurrently, as follows:
(A) approximately 46.5490844608833% of the amount
distributable under clause (1)(b)(V) to the Class A6
Certificates; and
(B) approximately 53.4509155391167% of the amount
distributable under clause (1)(b)(V) to the Class A7,
Class A8, Class A10, Class A11, Class A12, Class A13,
Class A14, Class A18, Class A19 and Class A20
Certificates, in the following order of priority:
(i) to the Class A7 Certificates, up to the
amount necessary to reduce the Class Certificate
Principal Balance thereof to its TAC Balance set forth
in the TAC Balances Table for such Distribution Date;
(ii) pro rata, to the Class A8, Class A13 and
Class A14 Certificates, up to the amount necessary to
reduce the respective Class Certificate Principal
Balances of such classes
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<PAGE> 30
to their respective TAC Balances set forth in the TAC
Balances Table for such Distribution Date; and
(iii) pro rata, to the Class A10, Class A11,
Class A12, Class A18, Class A19 and Class A20
Certificates, up to the amount necessary to reduce the
respective Class Certificate Principal Balances of
such classes to their respective TAC Balances set
forth in the TAC Balances Table for such Distribution
Date;
(VI) to the Class A9 Certificates, up to the amount
necessary to reduce the Class Certificate Principal Balance
thereof to its TAC Balance set forth in the TAC Balances Table
for such Distribution Date;
(VII) to the Class A15, Class A16, Class A17 and Class
A21 Certificates, concurrently, as follows:
(A) approximately 25.00% of the amount distributable
under clause (1)(b)(VII) to the Class A21 Certificates,
until the Class Certificate Principal Balance thereof has
been reduced to zero; and
(B) approximately 75.00% of the amount distributable
under clause (1)(b)(VII), sequentially, to the Class A15,
Class A16 and Class A17 Certificates, in that order, until
the Class Certificate Principal Balances thereof have each
been reduced to zero;
(VIII) to the Class A6, Class A8, Class A13 and Class A14
Certificates until the Class Certificate Principal Balances of
the Class A8, Class A13 and Class A14 Certificates have been
reduced to their respective TAC Balances set forth in the TAC
Balances Table for such Distribution Date, concurrently, as
follows:
(A) approximately 46.5490844608833% of the amount
distributable under clause (1)(b)(VIII) to the Class A6
Certificates, without regard to its TAC Balance, until the
Class Certificate Principal Balance thereof has been
reduced to zero; and
(B) approximately 53.4509155391167% of the amount
distributable under clause (1)(b)(VIII) to the Class A8,
Class A13 and Class A14 Certificates, pro rata;
(IX) to the Class A6, Class A7, Class A8, Class A10,
Class A11, Class A12, Class A13, Class A14, Class A18, Class
A19 and Class A20 Certificates, concurrently, as follows:
(A) approximately 46.5490844608833% of the amount
distributable under clause (1)(b)(IX) to the Class A6
Certificates, without regard to its TAC Balance, until the
Class Certificate Principal Balance thereof has been
reduced to zero; and
(B) approximately 53.4509155391167% of the amount
distributable under clause (1)(b)(IX) to the Class A7,
Class A8, Class A10, Class A11, Class A12, Class A13,
Class A14,
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<PAGE> 31
Class A18, Class A19 and Class A20 Certificates, in the
following order of priority:
(i) to the Class A7 Certificates, without regard
to its TAC Balance, until the Class Certificate
Principal Balance thereof has been reduced to zero;
(ii) pro rata, to the Class A8, Class A13 and
Class A14 Certificates, without regard to their
respective TAC Balances, until the respective Class
Certificate Principal Balances thereof have each been
reduced to zero; and
(iii) pro rata, to the Class A10, Class A11,
Class A12, Class A18, Class A19 and Class A20
Certificates, without regard to their respective TAC
Balances, until the respective Class Certificate
Principal Balances thereof have each been reduced to
zero;
(X) to the Class A9 Certificates, without regard to its
TAC Balance, until the Class Certificate Principal Balance
thereof has been reduced to zero;
(XI) to the Class A1 and Class A4 Certificates, until the
Class Certificate Principal Balance of the Class A1
Certificates has been reduced to zero, concurrently, as
follows:
(A) approximately 78.431372946664% of the amount
distributable under clause (1)(b)(XI) to the Class A1
Certificates, without regard to its PAC Balance; and
(B) approximately 21.568627053336% of the amount
distributable under clause (1)(b)(XI) to the Class A4
Certificates, without regard to its PAC Balance;
(XII) to the Class A2 and Class A4 Certificates, until
the Class Certificate Principal Balance of the Class A2
Certificates has been reduced to zero, concurrently, as
follows:
(A) approximately 80.00% of the amount distributable
under clause (1)(b)(XII) to the Class A2 Certificates,
without regard to its PAC Balance; and
(B) approximately 20.00% of the amount distributable
under clause (1)(b)(XII) to the Class A4 Certificates,
without regard to its PAC Balance; and
(XIII) to the Class A3 and Class A4 Certificates,
concurrently, as follows:
(A) approximately 88.888888773626% of the amount
distributable under clause (1)(b)(XIII) to the Class A3
Certificates, without regard to its PAC Balance, until the
Class Certificate Principal Balance thereof has been
reduced to zero; and
(B) approximately 11.111111226374% of the amount
distributable under clause (1)(b)(XIII) to the Class A4
Certificates,
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<PAGE> 32
without regard to its PAC Balance, until the Class
Certificate Principal Balance thereof has been reduced to
zero; and
(2) to the Class PO Certificates, the Class PO Principal
Distribution Amount for such Distribution Date, until the Class
Certificate Principal Balance thereof has been reduced to zero;
fourth, to the Class PO Certificates, to the extent of remaining
Available Funds, the Class PO Deferred Amount for such Distribution Date,
until the Class Certificate Principal Balance thereof has been reduced to
zero; provided that, (1) on any Distribution Date, distributions pursuant
to this priority fourth shall not exceed the Junior Optimal Principal
Amount for such Distribution Date, (2) such distributions shall not reduce
the Class Certificate Principal Balance of the Class PO Certificates and
(3) no distribution will be made in respect of the Class PO Deferred Amount
after the Distribution Date on which the respective Class Certificate
Principal Balances of the junior certificates have been reduced to zero
(the "Cross-Over Date");
fifth, to the Class M Certificates, to the extent of remaining
Available Funds, in the following order: (1) the Accrued Certificate
Interest thereon for such Distribution Date, (2) any Accrued Certificate
Interest thereon remaining undistributed from previous Distribution Dates
and (3) such class's Allocable Share (as defined under "-- Principal"
below) for such Distribution Date;
sixth, to the Class B1 Certificates, to the extent of remaining
Available Funds, in the following order: (1) the Accrued Certificate
Interest thereon for such Distribution Date, (2) any Accrued Certificate
Interest thereon remaining undistributed from previous Distribution Dates
and (3) such class's Allocable Share for such Distribution Date;
seventh, to the Class B2 Certificates, to the extent of remaining
Available Funds, in the following order: (1) the Accrued Certificate
Interest thereon for such Distribution Date, (2) any Accrued Certificate
Interest thereon remaining undistributed from previous Distribution Dates
and (3) such class's Allocable Share for such Distribution Date; and
eighth, to each of the Class B3, Class B4 and Class B5 Certificates,
to the extent of remaining Available Funds: (1) the Accrued Certificate
Interest thereon for such Distribution Date, (2) any Accrued Certificate
Interest thereon remaining undistributed from previous Distribution Dates
and (3) such class's Allocable Share for such Distribution Date.
On each Distribution Date, before distributions have been made pursuant to
priority third above, an amount equal to the sum of the Accrual Amounts for such
Distribution Date will be distributed in the following order of priority in
reduction of the Class Certificate Principal Balances of the following classes
of certificates:
first, to the Class A6, Class A7, Class A8, Class A10, Class A11,
Class A12, Class A13, Class A14, Class A18, Class A19 and Class A20
Certificates until the Class Certificate Principal Balance of the Class A6
Certificates has been reduced to its TAC Balance set forth in the TAC
Balances Table for such Distribution Date, concurrently, as follows:
(1) approximately 46.5490844608833% of the amount distributable
under priority first to the Class A6 Certificates; and
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<PAGE> 33
(2) approximately 53.4509155391167% of the amount distributable
under priority first to the Class A7, Class A8, Class A10, Class A11,
Class A12, Class A13, Class A14, Class A18, Class A19 and Class A20
Certificates, in the following order of priority:
(a) to the Class A7 Certificates, up to the amount necessary
to reduce the Class Certificate Principal Balance thereof to its
TAC Balance set forth in the TAC Balances Table for such
Distribution Date;
(b) pro rata, to the Class A8, Class A13 and Class A14
Certificates, up to the amount necessary to reduce the respective
Class Certificate Principal Balances of such classes to their
respective TAC Balances set forth in the TAC Balances Table for
such Distribution Date; and
(c) pro rata, to the Class A10, Class A11, Class A12, Class
A18, Class A19 and Class A20 Certificates, up to the amount
necessary to reduce the respective Class Certificate Principal
Balances of such classes to their respective TAC Balances set forth
in the TAC Balances Table for such Distribution Date;
second, to the Class A9 Certificates, up to the amount necessary to
reduce the Class Certificate Principal Balance thereof to its TAC Balance
set forth in the TAC Balances Table for such Distribution Date;
third, to the Class A15, Class A16, Class A17 and Class A21
Certificates, concurrently, as follows:
(1) approximately 25.00% of the amount distributable under priority
third to the Class A21 Certificates, until the Class Certificate
Principal Balance thereof has been reduced to zero; and
(2) approximately 75.00% of the amount distributable under priority
third, sequentially, to the Class A15, Class A16, and Class A17
Certificates, in that order, until their respective Class Certificate
Principal Balances thereof have each been reduced to zero; and
fourth, to make distributions in accordance with subclauses (I), (II),
(III), (IV), (V), (VI), (VII), (VIII), (IX) and (X), in that order, of
clause (1)(b) of priority third of the second paragraph under "Allocation
of Available Funds" above.
Any Accrual Amount for any class of the Accrual Certificates distributed as
described above on a Distribution Date will be added to the Class Certificate
Principal Balance of such class of Accrual Certificates on such date.
For each class of Accrual Certificates, the "Accrual Amount" with respect
to each Distribution Date through the Accretion Termination Date for such class
will be an amount equal to the sum of (a) the Accrued Certificate Interest for
the such class in accordance with priority first of the second paragraph under
"Allocation of Available Funds" above and (b) any available amount allocable to
such class in accordance with priority second in the second paragraph under
"Allocation of Available Funds" above.
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<PAGE> 34
The "Accretion Termination Date" for each class of Accrual Certificates is
the earlier of:
(1) the Cross-Over Date; and
(2) the Distribution Date on which the Class Certificate Principal Balance
of such class has been reduced to zero.
In addition to distributions in respect of interest from Available Funds as
provided in priorities first and second of the second paragraph under
"Allocation of Available Funds" above, certain distributions of interest in
respect of the Class A12 Certificates will be made from the Class A12 Interest
Account as described under "-- Interest" below. It will be assumed for purposes
of distributions of Available Funds in respect of interest on the Class A12 that
such class accrues interest at an annual rate of 6.50%.
The percentages set forth in priority third and the first paragraph
following priority eighth of the second paragraph under "Allocation of Available
Funds" were calculated on the basis of the Class Certificate Principal Balances
of the related certificates described herein. If these Class Certificate
Principal Balances are increased or decreased in accordance with the variance
permitted hereby, the applicable percentages will be increased or decreased
substantially correspondingly.
On each Distribution Date after the Cross-Over Date, distributions of
principal on the outstanding senior certificates entitled to principal
distributions (other than the Class PO Certificates) will be made pro rata among
all such certificates, regardless of the allocation, or sequential nature, of
principal payments described in priority third above.
"Pro rata" distributions among classes of certificates will be made in
proportion to the then-current Class Certificate Principal Balances of such
classes.
If, after distributions have been made under priorities first and second
and the first paragraph following priority eighth of the second paragraph under
"Allocation of Available Funds" on any Distribution Date, the remaining
Available Funds are less than the sum of the Senior Optimal Principal Amount and
the Class PO Principal Distribution Amount for such Distribution Date, the
amounts distributable under priority third above shall be proportionately
reduced, and such remaining Available Funds will be distributed on the senior
certificates entitled to principal distributions in accordance with the
applicable clauses of priority third above on the basis of such reduced amounts.
Notwithstanding such allocation, Realized Losses will be allocated to the
certificates as described under "-- Allocation of Realized Losses on the
Certificates" herein.
Interest
Interest will accrue on the certificates offered hereby entitled to
interest distributions, other than the Class A4, Class A5, Class A13, and Class
A14 Certificates (together, the "LIBOR Certificates"), at the respective
interest rates set forth in the summary of this prospectus supplement during
each Interest Accrual Period. The "Interest Accrual Period" for each class of
certificates entitled to distributions of interest, other than LIBOR
Certificates, will be the one-month period ending on the last day of the month
preceding the month in which a Distribution Date occurs. The "Interest Accrual
Period" for the LIBOR Certificates will be the one-month period commencing on
the 25th day of the month preceding the month in which a Distribution Date
occurs and ending on the 24th day of the month of such Distribution Date.
Interest will be calculated on the basis of a 360-day year consisting of twelve
30-day months.
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<PAGE> 35
The interest rate on the Class A4, Class A5, Class A13, and Class A14
Certificates will be determined by reference to LIBOR.
Interest will accrue on the Class A4 Certificates at an annual rate of
5.2400% for the first Interest Accrual Period, and thereafter, with respect to
each Interest Accrual Period, at an annual rate equal to the lesser of (1)
0.3000% plus LIBOR and (2) 8.5000%, subject to a minimum rate of 0.3000%.
Interest will accrue on the Class A5 Certificates at an annual rate of
3.2600% for the first Interest Accrual Period, and thereafter, with respect to
each Interest Accrual Period, at an annual rate equal to the lesser of (1)
8.2000% -- LIBOR and (2) 8.2000%, subject to a minimum rate of 0.000%.
Interest will accrue on the Class A13 Certificates at an annual rate of
5.4400% for the first Interest Accrual Period, and thereafter, with respect to
each Interest Accrual Period, at an annual rate equal to the lesser of (1)
0.5000% plus LIBOR and (2) 8.5000%, subject to a minimum rate of 0.5000%.
Interest will accrue on the Class A14 Certificates at an annual rate of
9.9450% for the first Interest Accrual Period, and thereafter, with respect to
each Interest Accrual Period, at an annual rate equal to the lesser of (1)
26.0000% -- (3.2500 x LIBOR) and (2) 26.0000%, subject to a minimum rate of
0.000%.
The Trustee will determine LIBOR in accordance with the methods described
under "-- Determination of LIBOR for the LIBOR Certificates" below.
Interest will accrue on the Class B3, Class B4 and Class B5 Certificates at
the interest rate of 6.50% per annum during each Interest Accrual Period.
On each Distribution Date through the applicable Accretion Termination Date
for the Accrual Certificates, the Accrued Certificate Interest on each class of
such certificates and on such Distribution Date will not be distributed on such
certificates but will instead be added to the respective Class Certificate
Principal Balances thereof.
On each Distribution Date after the applicable Accretion Termination Date
for the Accrual Certificates, interest will be distributable on such
certificates and will not be added to the respective Class Certificate Principal
Balances thereof.
Interest will accrue on the Class S Certificates during each Interest
Accrual Period at a variable per annum rate equal to the excess of (1) the
weighted average (by Scheduled Principal Balance) carried to six decimal places,
rounded down, of the Net Mortgage Rates of the Outstanding Mortgage Loans which
are Non-discount Mortgage Loans as of the first day of such Interest Accrual
Period (or as of the Cut-off Date, in the case of the first Interest Accrual
Period) over (2) 6.50%. However, this calculation will not include any mortgage
loan that was the subject of a voluntary prepayment in full received by GECMSI,
or, in the case of the mortgage loan master-serviced by GECMSI, of which GECMSI
receives notice, on or after the first day but on or before the fifteenth day of
such Interest Accrual Period. The per annum interest rate on the Class S
Certificates for the first Interest Accrual Period is expected to be
approximately 0.4637%.
The Class A20 and Class PO Certificates are principal-only certificates and
will not accrue interest.
The "Accrued Certificate Interest" for any certificate entitled to
distributions of interest for any Distribution Date will equal the interest
accrued during the related Interest Accrual Period at the applicable Certificate
Interest Rate on the Certificate Principal
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<PAGE> 36
Balance (or, in the case of a Class A5 or Class S Certificate, the Notional
Principal Balance) of such certificate immediately prior to such Distribution
Date, less such certificate's share of any Net Interest Shortfall (as defined
below), the interest portion of any Excess Losses (as defined herein) through
the Cross-Over Date and, after the Cross-Over Date, the interest portion of
Realized Losses, including Excess Losses.
The "Certificate Principal Balance" of any certificate as of any
Distribution Date will equal such certificate's Certificate Principal Balance on
the date of the initial issuance of the certificates,
(1) as reduced by:
- all amounts distributed on previous Distribution Dates on such
certificate on account of principal;
- the principal portion of all Realized Losses previously allocated to
such certificate; and
- in the case of a junior certificate, such certificate's pro rata
share, if any, of the Junior Certificate Writedown Amount (as defined
below) and the Class PO Deferred Payment Writedown Amount (as defined
below) for previous Distribution Dates.
(2) and, in the case of each class of Accrual Certificates through the
related Accretion Termination Date for such class, as increased by all Accrued
Certificate Interest added to the Certificate Principal Balance thereof on
previous Distribution Dates.
The aggregate "Notional Principal Balance" of the Class A5 Certificates as
of any Distribution Date will equal the Class Certificate Principal Balance of
the Class A4 Certificates as of such Distribution Date.
The aggregate "Notional Principal Balance" of the Class S Certificates as
of any Distribution Date will equal the aggregate Scheduled Principal Balance of
the Outstanding Mortgage Loans which are Non-discount Mortgage Loans as of the
first day of the calendar month preceding such Distribution Date. The initial
aggregate Notional Principal Balance of the Class S Certificates is expected to
be approximately $904,009,427.
As of any Distribution Date, the "Junior Certificate Writedown Amount" will
equal the amount by which (a) the sum of the Class Certificate Principal
Balances of all of the certificates, after giving effect to the distribution of
principal and the allocation of Realized Losses in reduction of the Certificate
Principal Balances of the certificates on such Distribution Date, exceeds (b)
the Pool Scheduled Principal Balance on the first day of the month of such
Distribution Date less any Deficient Valuations occurring on or prior to the
Bankruptcy Coverage Termination Date.
For any Distribution Date, the "Class PO Deferred Payment Writedown Amount"
will equal the amount, if any, distributed on such date in respect of the Class
PO Deferred Amount pursuant to priority fourth of the second paragraph under
"-- Allocation of Available Funds" above. The Junior Certificate Writedown
Amount and the Class PO Deferred Payment Writedown Amount will be allocated to
the classes of junior certificates in inverse order of priority, until the Class
Certificate Principal Balance of each such class has been reduced to zero.
With respect to any Distribution Date, the "Net Interest Shortfall" will
equal the excess of the aggregate Interest Shortfalls with respect to such
Distribution Date over the Compensating Interest Payment, if any, for such
Distribution Date. See "The Pooling and
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<PAGE> 37
Servicing Agreement -- Servicing Compensation, Compensating Interest and Payment
of Expenses" herein for a definition of "Compensating Interest Payment."
With respect to any Distribution Date, an "Interest Shortfall" in respect
of a mortgage loan will result from:
(1) any voluntary prepayment of principal in full on such mortgage
loan received from the sixteenth day (or, in the case of the first
Distribution Date, from the Cut-off Date) through the last day of the month
preceding such Distribution Date;
(2) any partial prepayment of principal on such mortgage loan by the
mortgagor during the month preceding such Distribution Date; or
(3) a reduction in the interest rate on such mortgage loan due to the
application of the Soldiers' and Sailors' Civil Relief Act of 1940 whereby,
in general, members of the Armed Forces who entered into mortgages prior to
the commencement of military service may have the interest rates on those
mortgage loans reduced for the duration of their active military service.
See "Certain Legal Aspects of the Mortgage Loans -- The Mortgage
Loans -- Soldiers' and Sailors' Civil Relief Act" in the prospectus.
As to any Distribution Date and any mortgage loan with respect to which a
prepayment in full has occurred as described above, the resulting "Interest
Shortfall" generally will equal the difference between (a) one month's interest
at the mortgage interest rate net of the applicable servicing fee (the "Net
Mortgage Rate") on the Scheduled Principal Balance of such mortgage loan, and
(b) the amount of interest at the Net Mortgage Rate actually received with
respect to such mortgage loan. In the case of a partial prepayment, the
resulting "Interest Shortfall" will equal one month's interest at the applicable
Net Mortgage Rate on the amount of such prepayment.
Any Net Interest Shortfall, the interest portion of any Excess Losses
through the Cross-Over Date and, after the Cross-Over Date, the interest portion
of any Realized Losses (see "-- Allocation of Realized Losses on the
Certificates" below) will, on each Distribution Date, be allocated among all the
outstanding certificates entitled to distributions of interest in proportion to
the amount of Accrued Certificate Interest that would have been allocated
thereto in the absence of such shortfall and losses, without giving effect, in
the case of the Class A12 Certificates, to amounts distributable from the Class
A12 Interest Account. See "The Pooling and Servicing Agreement -- Servicing
Compensation, Compensating Interest and Payment of Expenses" herein.
The interest portion of any Realized Losses (other than Excess Losses)
occurring prior to the Cross-Over Date will not be allocated among any
certificates, but will reduce the amount of Available Funds on the related
Distribution Date. As a result of the subordination of the junior certificates
in right of distribution, such losses will be borne first by the outstanding
junior certificates in inverse order of priority.
If Available Funds are insufficient on any Distribution Date to distribute
the aggregate Accrued Certificate Interest on the senior certificates entitled
to distributions of interest to their certificateholders (assuming for this
purpose that interest on the Class A12 Certificates accrues at an annual rate of
6.50%), any shortfall in available amounts will be allocated among such classes
of senior certificates in proportion to the amounts of Accrued Certificate
Interest otherwise distributable thereon or, in the case of each class of
Accrual Certificates through the related Accretion Termination Date for such
class, the amounts that would otherwise have been added to the Certificate
Principal Balance thereof. Such reduction with respect to each class of the
Accrual Certificates will effect a corresponding
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<PAGE> 38
reduction in the related Accrual Amount for such class on such Distribution Date
and the amount distributed in respect of the Accrual Amount as principal on
certain classes of certificates as described above. The amount of any such
undistributed Accrued Certificate Interest will be added to the amount of
interest to be distributed on the senior certificates entitled to distributions
of interest (or to be added to the respective Class Certificate Principal
Balances of each class of the Accrual Certificates through the related Accretion
Termination Date) on subsequent Distribution Dates in accordance with priority
second of the second paragraph under "-- Allocation of Available Funds" above.
No interest will accrue on any Accrued Certificate Interest remaining
undistributed from previous Distribution Dates.
A custodial account (the "Class A12 Interest Account") will be established
at the time of issuance of the certificates for the exclusive benefit of the
holders of the Class A12 Certificates. At such time, Bear, Stearns & Co. Inc.
will deposit an amount not less than $26,120 into a separate account maintained
under the Agreement by State Street Bank and Trust Company, in its capacity as
custodian for the Class A12 certificateholders and not as Trustee. The Class A12
Interest Account will not be part of the trust. On each Distribution Date
through the Distribution Date in May 2001, amounts on deposit in the Class A12
Interest Account will be withdrawn, to the extent necessary, to make interest
distributions on the Class A12 Certificates in an amount equal to the excess of
(1) the amount of interest accrued on such certificates during the related
Interest Accrual Period at the then applicable certificate interest rate over
(2) the amount that would have accrued on such certificates during such period
at a rate equal to 6.50% per annum.
Amounts on deposit in the Class A12 Interest Account will not be available
to cover reductions in the amount of interest distributable to holders of the
Class A12 Certificates due to Net Interest Shortfalls, the interest portion of
any Excess Losses or the interest portion of any Realized Losses allocable to
the Class A12 Certificates, or to make any other distributions on such class.
Amounts on deposit in the Class A12 Interest Account will not be invested. Any
amount remaining in the Class A12 Interest Account after the Distribution Date
in May 2001, or on any earlier Distribution Date on which the Class Certificate
Principal Balance of the Class A12 Certificates has been reduced to zero, will
be distributed to the holders of the Class R Certificate. GECMSI will have no
obligation or liability to any certificateholder or State Street Bank and Trust
Company in respect of the Class A12 Interest Account following the initial
deposit therein.
Determination of LIBOR for the LIBOR Certificates
LIBOR will be determined on the second London banking day immediately
preceding the beginning of each Interest Accrual Period, other than the first
Interest Accrual Period. A London banking day is a date on which banks are open
for dealing in foreign currency and exchange in London. Each date on which LIBOR
is calculated is a "LIBOR Determination Date."
LIBOR will be the rate, expressed as an annual percentage, for deposits in
U.S. Dollars for a period of one month that appears on Telerate Page 3750 as of
11:00 a.m., London time, on the relevant LIBOR Determination Date. This rate is
referred to as the British Bankers' Association Interest Settlement Rate. If a
rate does not appear on Telerate Page 3750 as of 11:00 a.m., London time, on the
applicable LIBOR Determination Date, the Trustee will request the principal
London office of each of four major reference banks in the London interbank
market selected by the Trustee to provide such banks' respective offered
quotations (expressed as a percentage per annum) to prime
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<PAGE> 39
banks in the London interbank market for deposits in U.S. Dollars for a period
of one month as of 11:00 a.m., London time, on such LIBOR Determination Date. If
at least two such offered quotations are so provided, LIBOR will be the
arithmetic mean of such quotations. If fewer than two such quotations are so
provided, the Trustee will request each of three major banks in New York City
selected by the Trustee to provide such banks' respective rates (expressed as a
percentage per annum) for loans in U.S. Dollars to leading European banks for a
period of one month as of approximately 11:00 a.m., New York City time, on the
first day of the Interest Accrual Period. If on any LIBOR Determination Date the
Trustee is required but is unable to determine LIBOR in the manner provided in
the immediately preceding sentence, LIBOR for the related Interest Accrual
Period will be LIBOR as determined on the previous LIBOR Determination Date, or,
in the case of the first LIBOR Determination Date, 4.940% per annum.
The establishment of LIBOR by the Trustee and the Trustee's subsequent
calculation of the rates of interest applicable to the LIBOR Certificates for
the relevant Interest Accrual Period, in the absence of manifest error, will be
final and binding. The interest rates on the LIBOR Certificates for any Interest
Accrual Period may be obtained by calling the Trustee at (617) 664-5500.
Principal
Distributions in reduction of the principal balance of each certificate
entitled to principal distributions will be made on each Distribution Date.
All payments and other amounts received in respect of principal of the
mortgage loans will be allocated between (1) the senior certificates entitled to
principal distributions and the junior certificates, on the one hand, and (2)
the Class PO Certificates, on the other, in each case based on the applicable
Non-PO Percentage and the applicable PO Percentage, respectively, of such
amounts.
The "Non-PO Percentage" with respect to any mortgage loan with a Net
Mortgage Rate ("NMR") less than 6.50% per annum (each such mortgage loan, a
"Discount Mortgage Loan") will be the fraction, expressed as a percentage, equal
to NMR / 6.50%. The "Non-PO Percentage" with respect to any mortgage loan with a
Net Mortgage Rate equal to or greater than 6.50% (each such mortgage loan, a
"Non-discount Mortgage Loan") will be 100%. The "PO Percentage" with respect to
any Discount Mortgage Loan will be the fraction, expressed as a percentage,
equal to (6.50% -- NMR) / 6.50%. The "PO Percentage" with respect to any
Non-discount Mortgage Loan will be 0%.
The initial Class Certificate Principal Balance of the Class PO
Certificates, which are not offered hereby, will be approximately $1,156,245,
subject to the variance described herein.
Distributions in reduction of the Class Certificate Principal Balance of
each class of senior certificates entitled to principal distributions will be
made on each Distribution Date under priority third in the second paragraph
under "-- Allocation of Available Funds" above or, if applicable, the first
paragraph following priority eighth thereunder. In accordance with priority
third, the Available Funds remaining after the distribution of interest will be
allocated to such senior certificates in an aggregate amount not to exceed the
sum of the Senior Optimal Principal Amount and the Class PO Principal
Distribution Amount for such Distribution Date. Distributions in reduction of
the Class Certificate Principal Balances of the Class M, Class B1 and Class B2
Certificates will be made pursuant to priorities fifth, sixth and seventh,
respectively, of the second paragraph under
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<PAGE> 40
"-- Allocation of Available Funds" above. In accordance with each such priority,
the Available Funds, if any, remaining after distributions of principal and
interest on the senior certificates and payments in respect of the Class PO
Deferred Amount on such Distribution Date will be allocated to the Class M,
Class B1 and Class B2 Certificates in an amount equal to each such class's
Allocable Share for such Distribution Date, provided that no distribution of
principal will be made on any such class until any class ranking prior thereto
has received distributions of interest and principal, and such class has
received distributions of interest, on such Distribution Date. The Class A22
Senior Certificates will not receive any distributions in respect of scheduled
payments of principal, prepayments or other unscheduled recoveries of principal
on the mortgage loans during the first five years after the date of initial
issuance of the certificates, except as otherwise described herein on or
following the earlier of the Group I Final Distribution Date and the Cross-Over
Date.
The "Senior Optimal Principal Amount" with respect to each Distribution
Date will be an amount equal to the sum of:
(1) the Senior Percentage (as defined herein) of the applicable Non-PO
Percentage of all scheduled payments of principal due on each mortgage loan
on the first day of the month in which the Distribution Date occurs, as
specified in the amortization schedule at the time applicable thereto after
adjustment for previous principal prepayments and the principal portion of
Debt Service Reductions after the Bankruptcy Coverage Termination Date, but
before any adjustment to such amortization schedule by reason of any other
bankruptcy or similar proceeding or any moratorium or similar waiver or
grace period;
(2) the Senior Prepayment Percentage (as defined herein) of the
applicable Non-PO Percentage of the Scheduled Principal Balance of each
mortgage loan which was the subject of a prepayment in full received by
GECMSI (or, in the case of a mortgage loan master-serviced by GECMSI, of
which GECMSI receives notice) during the applicable Prepayment Period (as
defined below);
(3) the Senior Prepayment Percentage of the applicable Non-PO
Percentage of all partial prepayments of principal received during the
applicable Prepayment Period;
(4) the lesser of:
(a) the Senior Prepayment Percentage of the applicable Non-PO
Percentage of the sum of (w) the net liquidation proceeds allocable to
principal on each mortgage loan which became a Liquidated Mortgage Loan
during the related Prepayment Period, other than mortgage loans
described in clause (4)(a)(x), and (x) the principal balance of each
mortgage loan that was purchased by a private mortgage insurer during
the related Prepayment Period as an alternative to paying a claim under
the related insurance policy; and
(b) the Senior Percentage of the applicable Non-PO Percentage of
the sum of (w) the Scheduled Principal Balance of each mortgage loan
which became a Liquidated Mortgage Loan during the related Prepayment
Period, other than mortgage loans described in clause (4)(b)(x), and (x)
the Scheduled Principal Balance of each mortgage loan that was purchased
by a private mortgage insurer during the related Prepayment Period as an
alternative to paying a claim under the related insurance policy minus
(y) the Senior Percentage of the applicable Non-PO Percentage of the
principal portion of Excess Losses (other than Debt Service Reductions)
during the related Prepayment Period; and
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<PAGE> 41
(5) the Senior Prepayment Percentage of the applicable Non-PO
Percentage of the sum of (a) the Scheduled Principal Balance of each
mortgage loan which was repurchased by GECMSI in connection with such
Distribution Date and (b) the difference, if any, between the Scheduled
Principal Balance of a mortgage loan that has been replaced by GECMSI with
a substitute mortgage loan pursuant to the Agreement in connection with
such Distribution Date and the Scheduled Principal Balance of such
substitute mortgage loan.
With respect to any mortgage loan that was the subject of a voluntary
prepayment in full and any Distribution Date, the "Prepayment Period" is the
period from the sixteenth day of the month preceding the month of such
Distribution Date (or, in the case of the first Distribution Date, from the
Cut-off Date) through the fifteenth day of the month of such Distribution Date.
With respect to any other unscheduled prepayment of principal of any mortgage
loan and any Distribution Date, the "Prepayment Period" is the month preceding
the month of such Distribution Date.
The "Class A22 Principal Distribution Amount" for any Distribution Date
will equal the product of (1) the Senior Optimal Principal Amount for such date
(determined without application of the Senior Percentage or Senior Prepayment
Percentage), (2) the Class A22 Percentage for such date and (3) the Class A22
Distribution Percentage for such date. Notwithstanding the foregoing, (1) on the
Group I Final Distribution Date, the Class A22 Principal Distribution Amount
will be increased by any Senior Optimal Principal Amount remaining after
distributions of principal have been made on the Group I Senior Certificates,
and (2) following the Group I Final Distribution Date, the Class A22 Principal
Distribution Amount will equal the Senior Optimal Principal Amount.
The "Class A22 Percentage" for any Distribution Date will equal the
percentage (carried to six places rounded up) obtained by dividing (1) the
aggregate Certificate Principal Balance of the Class A22 Certificates
immediately preceding such Distribution Date by (2) the aggregate Certificate
Principal Balance of all the certificates other than the Class PO Certificates
immediately preceding such Distribution Date. The initial Class A22 Percentage
is expected to be approximately 10.01%.
The "Class A22 Distribution Percentage" for any Distribution Date will
equal 0% through the Distribution Date in May 2004; 30% thereafter through the
Distribution Date in May 2005; 40% thereafter through the Distribution Date in
May 2006; 60% thereafter through the Distribution Date in May 2007; 80%
thereafter through the Distribution Date in May 2008; and 100% thereafter.
The "Group I Final Distribution Date" is the Distribution Date on which the
Class Certificate Principal Balance of each of the Group I Senior Certificates
has been reduced to zero.
The "Senior Percentage" on any Distribution Date will equal the lesser of
100% and the percentage (carried to six places rounded up) obtained by dividing
the aggregate Certificate Principal Balances of all the senior certificates
(other than the Class PO Certificates) immediately preceding such Distribution
Date by the aggregate Certificate Principal Balances of all the certificates
(other than the Class PO Certificates) immediately preceding such Distribution
Date. The initial Senior Percentage is expected to be approximately 96.00%.
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<PAGE> 42
The "Senior Prepayment Percentage" on any Distribution Date occurring
during the periods set forth below will be as follows:
<TABLE>
<CAPTION>
PERIOD (DATES INCLUSIVE) SENIOR PREPAYMENT PERCENTAGE
- ------------------------ -------------------------------
<S> <C>
June 1999 - May 2004................. 100%
June 2004 - May 2005................. Senior Percentage plus 70% of
the Junior Percentage
June 2005 - May 2006................. Senior Percentage plus 60% of
the Junior Percentage
June 2006 - May 2007................. Senior Percentage plus 40% of
the Junior Percentage
June 2007 - May 2008................. Senior Percentage plus 20% of
the Junior Percentage
June 2008 and thereafter............. Senior Percentage
</TABLE>
Notwithstanding the foregoing, if the Senior Percentage on any Distribution
Date exceeds the initial Senior Percentage, the Senior Prepayment Percentage for
such Distribution Date will equal 100%.
In addition, no reduction of the Senior Prepayment Percentage below the
level in effect for the most recent prior period specified in the table above
shall be effective on any Distribution Date (such limitation being the "Senior
Prepayment Percentage Stepdown Limitation") unless, as of the last day of the
month preceding such Distribution Date, either:
(A)(1) the aggregate Scheduled Principal Balance of mortgage loans
delinquent 60 days or more (including for this purpose any mortgage
loans in foreclosure and mortgage loans with respect to which the
related mortgaged property has been acquired by the trust) does not
exceed 50% of the aggregate Class Certificate Principal Balance of
the junior certificates as of such date; and
(2) cumulative Realized Losses do not exceed:
(a) 30% of the aggregate Class Certificate Principal Balance of the
junior certificates as of the date of issuance of the
certificates (the "Original Junior Principal Balance") if such
Distribution Date occurs between and including June 2004 and
May 2005;
(b) 35% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2005 and
May 2006;
(c) 40% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2006 and
May 2007;
(d) 45% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2007 and
May 2008; and
(e) 50% of the Original Junior Principal Balance if such
Distribution Date occurs during or after June 2008; or
(B)(1) the aggregate Scheduled Principal Balance of mortgage loans
delinquent 60 days or more (including for this purpose any mortgage
loans in foreclosure and mortgage loans with respect to which the
related mortgaged property has been acquired by the trust), averaged
over the last three months, as a
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<PAGE> 43
percentage of the aggregate Scheduled Principal Balance of all
mortgage loans averaged over the last three months, does not exceed
4%; and
(2) cumulative Realized Losses do not exceed:
(a) 10% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2004 and
May 2005;
(b) 15% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2005 and
May 2006;
(c) 20% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2006 and
May 2007;
(d) 25% of the Original Junior Principal Balance if such
Distribution Date occurs between and including June 2007 and
May 2008; and
(e) 30% of the Original Junior Principal Balance if such
Distribution Date occurs during or after June 2008.
The "Class PO Principal Distribution Amount" with respect to each
Distribution Date will be an amount equal to the sum of:
(1) the applicable PO Percentage of all scheduled payments of
principal due on each mortgage loan on the first day of the month in which
the Distribution Date occurs, as specified in the amortization schedule at
the time applicable thereto, after adjustment for previous principal
prepayments and the principal portion of Debt Service Reductions after the
Bankruptcy Coverage Termination Date, but before any adjustment to such
amortization schedule by reason of any other bankruptcy or similar
proceeding or any moratorium or similar waiver or grace period;
(2) the applicable PO Percentage of the Scheduled Principal Balance of
each mortgage loan which was the subject of a prepayment in full received
by GECMSI, or, in the case of a mortgage loan master-serviced by GECMSI, of
which GECMSI receives notice, during the related Prepayment Period;
(3) the applicable PO Percentage of all partial prepayments of
principal received during the related Prepayment Period;
(4) the applicable PO Percentage of the sum of (a) the net liquidation
proceeds allocable to principal on each mortgage loan which became a
Liquidated Mortgage Loan during the related Prepayment Period, other than
mortgage loans described in clause (b), and (b) the principal balance of
each mortgage loan that was purchased by a private mortgage insurer during
the related Prepayment Period as an alternative to paying a claim under the
related insurance policy; and
(5) the applicable PO Percentage of the sum of (a) the Scheduled
Principal Balance of each mortgage loan which was repurchased by GECMSI in
connection with such Distribution Date and (b) the difference, if any,
between the Scheduled Principal Balance of a mortgage loan that has been
replaced by GECMSI with a substitute mortgage loan pursuant to the
Agreement in connection with such Distribution Date and the Scheduled
Principal Balance of such substitute mortgage loan.
For purposes of clauses (2) and (5) above, the Scheduled Principal Balance
of a mortgage loan will be reduced by the amount of any Deficient Valuation that
occurred on or before the Bankruptcy Coverage Termination Date.
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<PAGE> 44
The "Junior Percentage" on any Distribution Date will equal 100% minus the
Senior Percentage. The "Junior Prepayment Percentage" will equal 100% minus the
Senior Prepayment Percentage, except that on any Distribution Date after the
respective Class Certificate Principal Balances of the senior certificates
(other than the Class PO Certificates) have each been reduced to zero (the
"Senior Final Distribution Date"), the Junior Prepayment Percentage will equal
100%. The initial Junior Percentage is expected to be approximately 4.00%.
The "Junior Optimal Principal Amount" with respect to each Distribution
Date will be an amount equal to the sum of the following (but in no event
greater than the aggregate Class Certificate Principal Balances of the junior
certificates immediately prior to such Distribution Date):
(1) the Junior Percentage of the applicable Non-PO Percentage of all
scheduled payments of principal due on each outstanding mortgage loan on
the first day of the month in which the Distribution Date occurs, as
specified in the amortization schedule at the time applicable thereto,
after adjustment for previous principal prepayments and the principal
portion of Debt Service Reductions after the Bankruptcy Coverage
Termination Date, but before any adjustment to such amortization schedule
by reason of any other bankruptcy or similar proceeding or any moratorium
or similar waiver or grace period;
(2) the Junior Prepayment Percentage of the applicable Non-PO
Percentage of the Scheduled Principal Balance of each mortgage loan which
was the subject of a prepayment in full received by GECMSI, or, in the case
of a mortgage loan master-serviced by GECMSI, of which GECMSI receives
notice, during the related Prepayment Period;
(3) the Junior Prepayment Percentage of the applicable Non-PO
Percentage of all partial prepayments of principal received during the
related Prepayment Period, plus, on the Senior Final Distribution Date,
100% of any Senior Optimal Principal Amount remaining undistributed on such
date;
(4) the amount, if any, by which the sum of (a) the applicable Non-PO
Percentage of the net liquidation proceeds allocable to principal received
during the related Prepayment Period in respect of each Liquidated Mortgage
Loan, other than mortgage loans described in clause (b) and (b) the
applicable Non-PO Percentage of the principal balance of each mortgage loan
that was purchased by a private mortgage insurer during the related
Prepayment Period as an alternative to paying a claim under the related
insurance policy exceeds (c) the sum of the amounts distributable to the
senior certificateholders (other than the holders of the Class PO
Certificates) under clause (4) of the definition of Senior Optimal
Principal Amount on such Distribution Date; and
(5) the Junior Prepayment Percentage of the applicable Non-PO
Percentage of the sum of (a) the Scheduled Principal Balance of each
mortgage loan which was repurchased by GECMSI in connection with such
Distribution Date and (b) the difference, if any, between the Scheduled
Principal Balance of a mortgage loan that has been replaced by GECMSI with
a substitute mortgage loan pursuant to the Agreement in connection with
such Distribution Date and the Scheduled Principal Balance of such
substitute mortgage loan.
The "Allocable Share" with respect to any class of junior certificates on
any Distribution Date will generally equal such class's pro rata share (based on
the Class
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<PAGE> 45
Certificate Principal Balance of each class entitled thereto) of each of the
components of the Junior Optimal Principal Amount described above; provided,
that, except as described in the second succeeding sentence, no Class B1, Class
B2, Class B3, Class B4 or Class B5 Certificate (together, the "Class B
Certificates") shall be entitled on any Distribution Date to receive
distributions pursuant to clauses (2), (3) and (5) of the definition of Junior
Optimal Principal Amount unless the Class Prepayment Distribution Trigger for
the related class is satisfied for such Distribution Date.
The "Class Prepayment Distribution Trigger" for a class of Class B
Certificates for any Distribution Date is satisfied if the fraction (expressed
as a percentage), the numerator of which is the aggregate Class Certificate
Principal Balance of such class and each class subordinate thereto, if any, and
the denominator of which is the Pool Scheduled Principal Balance with respect to
such Distribution Date, equals or exceeds such percentage calculated as of the
date of issuance of the certificates. If, on any Distribution Date, the Class
Certificate Principal Balance of the Class M Certificates or of any class of
Class B Certificates for which the related Class Prepayment Distribution Trigger
was satisfied on such Distribution Date is reduced to zero, any amounts
distributable to such class under clauses (2), (3) and (5) of the definition of
Junior Optimal Principal Amount, to the extent of such class's remaining
Allocable Share, shall be distributed to the remaining classes of junior
certificates in reduction of their respective Class Certificate Principal
Balances in order of priority. If the Class Prepayment Distribution Trigger is
not satisfied for any class of Class B Certificates on any Distribution Date,
this may have the effect of accelerating the amortization of more senior ranking
classes of junior certificates because the amount otherwise distributable to
such class under clauses (2), (3) and (5) of the definition of Junior Optimal
Principal Amount will be distributable among the outstanding Class M
Certificates and each class of the Class B Certificates as to which the related
Class Prepayment Distribution Trigger has been satisfied on a pro rata basis
subject to the priority of payments described herein. On any Distribution Date,
any reduction in funds available for distribution to the classes of junior
certificates resulting from a distribution of the Class PO Deferred Amount to
the Class PO Certificates will be allocated to the classes of junior
certificates, in reduction of the Allocable Shares thereof, in inverse order of
priority.
PRINCIPAL DISTRIBUTIONS ON THE CLASS A11 AND CLASS A12 CERTIFICATES
General
Arrangements have been made to distribute principal on the Class A11 and
Class A12 Certificates (the "Designated Retail Certificates") in $1,000
increments. These arrangements are intended to accommodate retail investors who
may not wish to receive their principal distributions in amounts smaller than
$1,000 and to give a limited payment priority to investors who request early
payment. As a result, only some certificates of any of these classes will
receive distributions of principal on any given date on which principal would
otherwise be distributed on all certificates of such class.
Principal payments on each class of Designated Retail Certificates will be
made as follows:
- The amount of principal, if any, distributable on each Distribution Date
on each class as a whole will be determined as described under
"Distributions on the Certificates -- Allocation of Available Funds"
above.
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- The distribution of principal on each class will be rounded upward to an
integral multiple of $1,000 by withdrawing funds from the related
Rounding Account (as defined below), if necessary.
- The Trustee will remit distributions of principal to DTC in integral
multiples of $1,000. DTC will then remit such distributions to its
participants on behalf of the beneficial owners of each class. The
participants and the relevant Financial Intermediaries in turn will be
responsible for remitting principal payments to their customers as
described above.
- Holders of each class of these certificates who have properly made a
Principal Distribution Request, as described below, will be paid before
other holders of such class, to the extent of available principal for
such class.
- Principal Distribution Requests submitted on behalf of Deceased Holders
(as defined below) will be entitled to a first priority, and requests
from beneficial owners other than Deceased Holders ("Living Holders")
will be entitled to a second priority.
- If more principal is available for distribution on a class of these
certificates on a Distribution Date than the amount covered by valid
Principal Distribution Requests, beneficial owners of such class will
receive distributions of principal on such Distribution Date in integral
multiples of $1,000 pursuant to DTC's random lot procedures, to the
extent of such excess.
Notwithstanding the foregoing, on and after the Cross-Over Date, distributions
on the Designated Retail Certificates will be made pro rata among all holders of
the certificates of such classes and will not be made in integral multiples of
$1,000, by requested distributions or by random lot.
There can be no assurance that each participant receiving distributions of
principal made by random lot, or in accordance with Principal Distribution
Requests, and that each Financial Intermediary in the chain to beneficial
owners, will remit distributions to their customers by random lot or in
accordance with Principal Distribution Requests. Investors should ask their
brokers or other intermediaries what allocation procedures they use. Neither
GECMSI nor the Trustee will be responsible for the manner in which DTC, any
participant or any Financial Intermediary allots distributions on these
certificates.
The Agreement will provide that, in the event definitive physical
certificates are issued in respect of a class of Designated Retail Certificates
receiving principal payments by random lot, the Trustee will determine which
physical certificates of such class will receive principal distributions on such
class on the applicable Distribution Date using procedures comparable to those
described herein.
Due to the procedures for distributions described herein, there can be no
assurance that any particular beneficial owner of a Designated Retail
Certificate will receive a principal distribution on any Distribution Date. The
timing and amount of distributions in reduction of the Class Certificate
Principal Balance of any of these certificates is highly uncertain, and such
distributions may be made earlier or later than the date, or in amounts
different from that, desired by a beneficial owner of such certificate.
Accordingly, the allocation of principal distributions in respect of such
certificates may result in actual yields to investors and weighted average lives
that vary significantly from those anticipated, and such yields and weighted
average lives will vary among the holders of each such class of certificates.
See the related risk factor on page S-12.
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<PAGE> 47
Rounding of Distributions of Principal
For purposes of distributions of principal on each class of Designated
Retail Certificates, a rounding account (each, a "Rounding Account") will be
established on behalf of each such class on the date of issuance of the
certificates by the deposit of $999.99 in a segregated, non-interest bearing
account maintained by the Trustee pursuant to the Agreement. Prior to the
Cross-Over Date, whenever distributions of principal are to be made on a class
of Designated Retail Certificates, the amount allocable to each such class will
be rounded upward to an integral multiple of $1,000, if necessary.
On the first Distribution Date when distributions of principal will be made
on a class of Designated Retail Certificates, the Trustee will withdraw from the
related Rounding Account any funds needed to round the amount allocable to such
class upward to the next integral multiple of $1,000 and will distribute the
rounded amount on such class. On the next Distribution Date when distributions
of principal will be made on such class of certificates, the Trustee will first
apply the amount allocable to such class in respect of principal to repay any
amount withdrawn from the related Rounding Account on the previous Distribution
Date; then it will round the remainder of such allocable amount upward to the
next integral multiple of $1,000 by making another withdrawal from the related
Rounding Account and will distribute this amount on such class. This process
will continue on subsequent Distribution Dates prior to the Cross-Over Date
until the Class Certificate Principal Balance of such class of certificates has
been reduced to zero.
Upon the earlier of the Cross-Over Date and the next Distribution Date
after the Class Certificate Principal Balance of a class of Designated Retail
Certificates is reduced to zero, the balance in the related Rounding Account
will be restored to $999.99 from Available Funds otherwise available for
distribution to other classes of certificates and will be distributed to the
holder of the Class R Certificate, and the related Rounding Account will be
terminated.
As a result of the operation of each Rounding Account, the aggregate
distributions made in reduction of the Class Certificate Principal Balance of a
class of Designated 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 in respect of each such class will be no more
than $999.99 on such Distribution Date. Under no circumstances will the sum of
all distributions made in reduction of the Class Certificate Principal Balance
of a class of Designated Retail Certificates through any Distribution Date be
less than the sum that would have resulted in the absence of such rounding
procedures.
Principal Distribution Requests and Withdrawals
Each beneficial owner of a Designated Retail Certificate may request that a
distribution of principal on such certificate be made on a Distribution Date, in
any integral multiple of $1,000, by delivering a written request (each, a
"Principal Distribution Request") to the DTC participant or Financial
Intermediary that maintains such beneficial owner's account. The participant
should in turn make the request to DTC (or, in the case of a Financial
Intermediary, such firm must notify the related participant of such request,
which participant should make the request to DTC) on a form required by DTC and
provided to the participant.
In the case of a request on behalf of a Deceased Holder, a certified copy
of the death certificate and any additional appropriate evidence of death and
any tax waivers must be forwarded to the Trustee under separate cover.
Furthermore, such requests of Deceased
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Holders that are incomplete may not be honored by the Trustee and, if not
honored, will lose their priority and must be re-requested. Upon receipt of such
Principal Distribution Request, DTC will date and time-stamp such request. Such
requests will be honored on any Distribution Date only to the extent that they
are received by DTC on or before the Record Date for such Distribution Date. DTC
may establish such procedures as it deems fair and equitable to establish the
order of receipt of requests for such distributions received by it on the same
day. Such requests shall be made available to the Trustee through the facilities
of DTC, Principal Distribution Requests delivered to DTC after the Record Date
for a particular Distribution Date and requests received in a timely manner but
not accepted with respect to a particular Distribution Date will be treated as
Principal Distribution Requests for the next succeeding Distribution Date and
each succeeding Distribution Date thereafter until each request is accepted or
is withdrawn as described below.
In the case of Principal Distribution Requests on behalf of Living Holders,
DTC will establish a new order of priority for each Distribution Date. This
order will apply both to previously unsatisfied Principal Distribution Requests
and to newly submitted requests. A Principal Distribution Request submitted on
behalf of a Living Holder who later dies will become entitled to the priority of
a newly submitted request on behalf of a Deceased Holder. Such priority will be
effective for each subsequent Distribution Date if DTC has received a certified
copy of the death certificate for such Deceased Holder and any additional
appropriate evidence of death and any requested tax waivers by the last business
day of the preceding calendar month. Each Principal Distribution Request
submitted by a beneficial owner of a Designated Retail Certificate will be held
by DTC until such request has been accepted or has been withdrawn in writing as
described below.
On any Distribution Date on which principal distributions are made on a
class of Designated Retail Certificates, priority of distributions of principal
in respect of such class will be given to holders of such class on whose behalf
Principal Distribution Requests have been duly received and not withdrawn. DTC
will honor Principal Distribution Requests in the following order of priority:
first, DTC will honor Principal Distribution Requests submitted on
behalf of Deceased Holders of such class in the order of their receipt by
DTC, until such requests have been honored in an amount up to $100,000 for
each requesting Deceased Holder; and
second, DTC will honor Principal Distribution Requests submitted on
behalf of Living Holders of such class in the order of priority established
by DTC, until such requests have been honored in an amount of up to $10,000
for each requesting Living Holder.
Thereafter, DTC will honor Principal Distribution Requests submitted on
behalf of each Deceased Holder as provided in priority first up to a second
$100,000 and thereafter, Principal Distribution Requests submitted on behalf of
each Living Holder as provided in priority second up to a second $10,000. This
sequence of priorities will be repeated until all Principal Distribution
Requests have been honored to the extent of amounts available for distribution
in reduction of the Class Certificate Principal Balance of such class of the
Designated Retail Certificates.
If the amount available for distribution in reduction of the Class
Certificate Principal Balance of any class of Designated Retail Certificates on
a given Distribution Date is insufficient to honor all Principal Distribution
Request for such class, such requests will be
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<PAGE> 49
honored on succeeding Distribution Dates as principal becomes available for
distribution on such class, without the need for the holders to resubmit their
Principal Distribution Requests.
On any Distribution Date on which principal distributions are to be made on
the Designated Retail Certificates, the Trustee will advise DTC as to which
Principal Distribution Requests should be honored, and in what amounts.
Any beneficial owner of a Designated Retail Certificates with respect to
which a Principal Distribution Request has been made may withdraw such request
by so notifying in writing the participant or Financial Intermediary that
maintains such beneficial owner's account (each such withdrawal, a
"Withdrawal"). The participant should forward the Withdrawal to DTC on a form
required by DTC. In the event that such account is maintained by a Financial
Intermediary, such Financial Intermediary should notify the related participant,
which in turn should forward the Withdrawal of such request on such form to DTC.
If such Withdrawal has not been received by DTC on or before the Record Date for
the applicable Distribution Date, the previously made Principal Distribution
Request will be irrevocable with respect to such Distribution Date.
Neither GECMSI nor the Trustee will be liable for any delay or failure by
any DTC participant or any Financial Intermediary in the delivery of Principal
Distribution Requests or Withdrawals to DTC.
If the amount available for distribution in reduction of the Class
Certificate Principal Balance of a class of Designated Retail Certificates on
any Distribution Date exceeds the amount needed to honor all Principal
Distribution Requests with respect to such class on such date, additional
principal distributions, in integral multiples equal to $1,000, will be made to
the holders of such class in accordance with DTC's established random lot
procedures, without regard to whether or not such certificateholders have
submitted Principal Distribution Requests.
Definition of "Deceased Holder"
A "Deceased Holder" is a beneficial owner of a Designated Retail
Certificate who was living at the time such interest was acquired and whose
executor or other authorized representative causes to be furnished to the
Trustee a certified copy of the death certificate for such Deceased Holder and
any additional evidence of death satisfactory to the Trustee and any tax waivers
requested by the Trustee.
Designated 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 Designated Retail Certificates so beneficially owned
will be eligible for priority with respect to distributions of principal,
subject to the limitations described herein.
Designated 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 therein, but in no event will a
trust's beneficiaries collectively be deemed to be beneficial owners of a number
of individual Designated Retail Certificates greater than the number of
individual Designated Retail Certificates of which such trust is the owner. The
death of the beneficiary of a trust will be deemed to be the death of a
beneficial owner of the Designated Retail Certificates beneficially owned by the
trust to the extent of such beneficiary's beneficial interest in such trust. The
death of an individual who
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was a tenant by the entirety, joint tenant or tenant in common in a tenancy that
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 interest in a Designated Retail
Certificate will be deemed to be the death of the beneficial owner of the
Designated Retail Certificate regardless of the registration of the ownership,
if such beneficial ownership interest can be established to the satisfaction of
the Trustee.
Expenses incurred by the Trustee in an effort to determine the beneficial
ownership interest, including, without limitation, attorney's fees, shall be
paid by the beneficial owner. 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 Designated
Retail Certificate and the right to receive the proceeds therefrom, as well as
interest and distributions in reduction of principal balance payable with
respect thereto. As used in this prospectus supplement, a request for a
distribution of principal of a Designated Retail Certificate by a Deceased
Holder shall mean a request by the personal representative, surviving tenant by
the entirety, surviving joint tenant or surviving tenant in common of such
Deceased Holder.
ALLOCATION OF REALIZED LOSSES ON THE CERTIFICATES
A "Realized Loss" is
- as to any Liquidated Mortgage Loan (as defined below), the unpaid
principal balance thereof plus accrued and unpaid interest thereon at the
Net Mortgage Rate through the last day of the month of liquidation, less
the net proceeds from the liquidation of, and any insurance proceeds
from, such mortgage loan and the related mortgaged property.
- as to any mortgage loan, a Deficient Valuation (as defined below).
A "Liquidated Mortgage Loan" is any defaulted mortgage loan as to which
GECMSI has determined that all amounts which it expects to recover from or on
account of such mortgage loan have been recovered.
A Deficient Valuation may result from the personal bankruptcy of a
mortgagor if the bankruptcy court establishes the value of the mortgaged
property at an amount less than the then outstanding principal balance of the
mortgage loan secured by such mortgaged property and reduces the secured debt to
such value. In such case, the trust, as the holder of such mortgage loan, would
become an unsecured creditor to the extent of the difference between the
outstanding principal balance of such mortgage loan and such reduced secured
debt (such difference, a "Deficient Valuation").
An "Excess Loss" is any Deficient Valuation, Fraud Loss or Special Hazard
Loss (each a type of Realized Loss) occurring after, respectively, the
Bankruptcy Coverage Termination Date, Fraud Coverage Termination Date or Special
Hazard Termination Date, each as defined below.
A "Non-Excess Realized Loss" is any Realized Loss other than an Excess
Loss.
A "Fraud Loss" is any Realized Loss attributable to fraud in the
origination of the related mortgage loan.
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A "Special Hazard Loss" is a Realized Loss attributable to damage or a
direct physical loss suffered by a mortgaged property -- including any Realized
Loss due to the presence or suspected presence of hazardous wastes or substances
on a mortgaged property -- other than any such damage or loss covered by a
hazard policy or a flood insurance policy required to be maintained in respect
of such mortgaged property under the Agreement or any loss due to normal wear
and tear or certain other causes.
Losses Allocable to the Class PO Certificates
On each Distribution Date, the applicable PO Percentage of the principal
portion of any Realized Loss (including any Excess Loss) on a Discount Mortgage
Loan will be allocated to the Class PO Certificates until the Class Certificate
Principal Balance thereof is reduced to zero.
With respect to any Distribution Date through the Cross-Over Date, the sum
of (1) the applicable PO Percentage of the principal portion of Non-Excess
Realized Losses on a Discount Mortgage Loan allocated to the Class PO
Certificates on such date and (2) all amounts previously allocated to the Class
PO Certificates in respect of such losses and not distributed to the Class PO
Certificates on prior Distribution Dates will be the "Class PO Deferred Amount."
To the extent funds are available therefor on any Distribution Date through
the Cross-Over Date, distributions in respect of the Class PO Deferred Amount
will be made on the Class PO Certificates in accordance with priority fourth of
the second paragraph under "-- Distributions on the Certificates -- Allocation
of Available Funds" above. Any distribution of Available Funds in respect of the
Class PO Deferred Amount will not reduce the Class Certificate Principal Balance
of the Class PO Certificates. No interest will accrue on the Class PO Deferred
Amount. On each Distribution Date through the Cross-Over Date, the Class
Certificate Principal Balance of the lowest ranking class of junior certificates
then outstanding will be reduced by the amount of any distributions made to the
Class PO Certificates in respect of the Class PO Deferred Amount on such
Distribution Date, through the operation of the Class PO Deferred Payment
Writedown Amount. After the Cross-Over Date, no distributions will be made in
respect of the Class PO Deferred Amount and Realized Losses allocated to the
Class PO Certificates will be borne by them without a right of reimbursement
from any other class of certificates. Any distribution of Unanticipated
Recoveries (as defined in the accompanying prospectus) on the Class PO
Certificates will be adjusted to take into account the Class PO Deferred Amount
previously paid to such class as specified in the Agreement. See "Servicing of
the Mortgage Loans -- Unanticipated Recoveries of Losses on the Mortgage Loans"
in the accompanying prospectus.
Losses Allocable to Certificates other than the Class PO Certificates
Prior to the Cross-Over Date (and on such date under certain
circumstances), the applicable Non-PO Percentage of the principal portion of any
Non-Excess Realized Loss will be allocated among the outstanding classes of
junior certificates, in inverse order of priority, until the Class Certificate
Principal Balance of each such class has been reduced to zero (i.e., Non-Excess
Realized Losses will be allocated first to the Class B5 Certificates while such
certificates are outstanding, second to the Class B4 Certificates, and so on).
Fraud Losses, Special Hazard Losses and Deficient Valuations occurring prior to
the Fraud Coverage Termination Date, Special Hazard Termination Date and
Bankruptcy
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Coverage Termination Date, respectively, will be allocated to the junior
certificates in the manner described in the preceding sentence.
Commencing on the Cross-Over Date, the applicable Non-PO Percentage of the
principal portion of any Realized Loss will be allocated among the outstanding
classes of senior certificates entitled to principal distributions (other than
the Class PO Certificates) pro rata based upon their Class Certificate Principal
Balances.
As indicated above, Fraud Losses, Special Hazard Losses and Deficient
Valuations occurring after the Fraud Coverage Termination Date, Special Hazard
Termination Date and Bankruptcy Coverage Termination Date, respectively, will be
Excess Losses. The applicable Non-PO Percentage of the principal portion of any
Excess Loss on a mortgage loan for any Distribution Date (whether occurring
before, on or after the Cross-Over Date) will be allocated pro rata among all
outstanding classes of certificates entitled to principal distributions (other
than the Class PO Certificates) based on their Class Certificate Principal
Balances.
Fraud Coverage Termination Date. The "Fraud Coverage Termination Date" is
the Distribution Date upon which the Fraud Loss Amount has been reduced to zero
or a negative number (or the Cross-Over Date, if earlier). Upon the initial
issuance of the certificates, the "Fraud Loss Amount" will equal approximately
$9,524,003 (approximately 1% of the aggregate Scheduled Principal Balances of
the mortgage loans as of the Cut-off Date). As of any Distribution Date prior to
the first anniversary of the Cut-off Date, the Fraud Loss Amount will equal
approximately $9,524,003, minus the aggregate amount of Fraud Losses that would
have been allocated to the junior certificates in the absence of the Loss
Allocation Limitation since the Cut-off Date. As of any Distribution Date from
the first to the fifth anniversaries of the Cut-off Date, the Fraud Loss Amount
will equal (1) the lesser of (a) the Fraud Loss Amount as of the most recent
anniversary of the Cut-off Date and (b) 1% (from the first to but excluding the
third anniversaries of the Cut-off Date) or 0.5% (from and including the third
to but excluding the fifth anniversaries of the Cut-off Date) of the aggregate
outstanding principal balance of all of the mortgage loans as of the most recent
anniversary of the Cut-off Date minus (2) the Fraud Losses that would have been
allocated to the junior certificates in the absence of the Loss Allocation
Limitation since the most recent anniversary of the Cut-off Date. As of any
Distribution Date on or after the fifth anniversary of the Cut-off Date, the
Fraud Loss Amount shall be zero.
Special Hazard Termination Date. The "Special Hazard Termination Date" is
the Distribution Date upon which the Special Hazard Loss Amount has been reduced
to zero or a negative number (or the Cross-Over Date, if earlier). Upon the
initial issuance of the certificates, the "Special Hazard Loss Amount" will
equal approximately $9,524,003 (approximately 1% of the aggregate Scheduled
Principal Balances of the mortgage loans as of the Cut-off Date). As of any
Distribution Date, the Special Hazard Loss Amount will equal approximately
$9,524,003 minus the sum of (1) the aggregate amount of Special Hazard Losses
that would have been previously allocated to the junior certificates in the
absence of the Loss Allocation Limitation and (2) the Adjustment Amount. For
each anniversary of the Cut-off Date, the "Adjustment Amount" shall be equal to
the amount, if any, by which the Special Hazard Loss Amount (without giving
effect to the deduction of the Adjustment Amount for such anniversary) exceeds
the lesser of:
(a) an amount calculated by GECMSI and approved by each of Fitch and
S&P, which amount shall not be less than $500,000; and
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(b) the greater of (x) 1% (or if greater than 1%, the highest
percentage of mortgage loans by principal balance secured by mortgaged
properties in any California zip code) of the outstanding principal balance
of all the mortgage loans on the Distribution Date immediately preceding
such anniversary and (y) twice the outstanding principal balance of the
mortgage loan which has the largest outstanding principal balance on the
Distribution Date immediately preceding such anniversary.
Bankruptcy Coverage Termination Date. The "Bankruptcy Coverage Termination
Date" is the Distribution Date upon which the Bankruptcy Loss Amount has been
reduced to zero or a negative number (or the Cross-Over Date, if earlier). On
each Distribution Date, the "Bankruptcy Loss Amount" will equal approximately
$323,391 (approximately 0.03% of the aggregate Scheduled Principal Balances of
the mortgage loans as of the Cut-off Date), subject to reduction as described in
the Agreement, minus the aggregate amount of previous Deficient Valuations and
Debt Service Reductions (as defined below). The Bankruptcy Loss Amount and the
manner of reduction thereof described in the Agreement may be reduced or
modified upon written confirmation from Fitch and S&P (each as defined herein)
that such reduction or modification will not adversely affect the then current
ratings of the senior certificates by Fitch and S&P. Such reduction may
adversely affect the coverage provided by subordination with respect to
Deficient Valuations.
A "Debt Service Reduction" is a reduction in the amount of the monthly
payment due on a mortgage loan as established by a bankruptcy court in a
personal bankruptcy of a mortgagor.
Method of Allocating Realized Losses
All allocations of Realized Losses to a class of certificates will be
accomplished on a Distribution Date by reducing the Class Certificate Principal
Balance thereof by the appropriate share of any such losses occurring during the
month preceding the month of such Distribution Date and, accordingly, will be
taken into account in determining the distributions of principal and interest on
such certificates (or the calculation of the Accrual Amount for each class of
the Accrual Certificates) commencing on the following Distribution Date. The
aggregate amount of the principal portion of any Non-Excess Realized Losses to
be allocated to the Class PO Certificates on any Distribution Date through the
Cross-Over Date will also be taken into account in determining distributions in
respect of the Class PO Deferred Amount for such Distribution Date. For purposes
of allocating the principal portion of Realized Losses (including Excess Losses)
in respect of the mortgage loans, the Class Certificate Balances of each class
of the Accrual Certificates, as applicable, will be deemed to equal the lesser
of:
(1) the original Class Certificate Principal Balance of such class of
Accrual Certificates; and
(2) the outstanding Class Certificate Principal Balance of such class
of Accrual Certificates.
The interest portion of all Realized Losses will be allocated among the
outstanding classes of certificates entitled to distributions of interest to the
extent described under "-- Distributions on the Certificates -- Interest" above.
No reduction of the Class Certificate Principal Balance of any class will
be made on any Distribution Date on account of any Realized Loss to the extent
that such reduction would have the effect of reducing the aggregate Certificate
Principal Balance of all of the
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certificates as of such Distribution Date to an amount less than the Pool
Scheduled Principal Balance as of the first day of the month of such
Distribution Date, less any Deficient Valuations occurring on or prior to the
Bankruptcy Coverage Termination Date (such limitation being the "Loss Allocation
Limitation").
Because the Notional Principal Balance of the Class A5 Certificates will be
equal at any time to the then Class Certificate Principal Balance of the Class
A4 Certificates, any Realized Losses that are applied to reduce the Class
Certificate Balance of the Class A4 Certificates will also reduce by an
equivalent amount the Notional Principal Balance of the Class A5 Certificates.
As a result (and absent any offsetting factors), the amount of interest
distributable on the Class A5 Certificates would be reduced.
Debt Service Reductions are not Realized Losses, and the principal portion
thereof will not be allocated in reduction of the Certificate Principal Balance
of any certificate. However, after the Bankruptcy Coverage Termination Date, the
amounts distributable under clause (1) of the definitions of Senior Optimal
Principal Amount, Class PO Principal Distribution Amount and Junior Optimal
Principal Amount will be reduced by the amount of the principal portion of any
Debt Service Reductions. Regardless of when they occur, Debt Service Reductions
may reduce the amount of Available Funds otherwise available for distribution on
a Distribution Date. As a result of the subordination of the junior certificates
in right of distribution, the reduction in Available Funds resulting from any
Debt Service Reductions prior to the Bankruptcy Coverage Termination Date will
be borne by the junior certificates (to the extent then outstanding) in inverse
order of priority.
ADDITIONAL RIGHTS OF THE RESIDUAL CERTIFICATEHOLDERS
In addition to distributions of principal and interest to the holders of
the residual certificates as described under "Distributions on the Certificates"
in this prospectus supplement:
(1) The Class R Certificates will be entitled to receive:
(a) the amount, if any, of Available Funds remaining in the upper-tier
REMIC on any Distribution Date after distributions of interest and
principal and in respect of the Class PO Deferred Amount are made on the
certificates on such date;
(b) the amount in each Rounding Account upon the earlier of the
Cross-Over Date and the next Distribution Date after the Class Certificate
Principal Balance of the class of Designated Retail Certificates for which
such Rounding Account was established is reduced to zero, as described
herein;
(c) any amounts remaining in the Class A12 Interest Account after
making interest distributions on the Class A12 Certificates in May 2001 (or
on any earlier Distribution Date on which the Class Certificate Principal
Balance of the Class A12 Certificates has been reduced to zero); and
(d) the proceeds, if any, of the assets of the trust remaining in the
upper-tier REMIC after the Class Certificate Principal Balances of all
classes of certificates have each been reduced to zero.
(2) the Class RL Certificates will be entitled to receive:
(a) the amount, if any, of Available Funds remaining in the lower-tier
REMIC on any Distribution Date after distributions of interest and
principal and in respect of the Class PO Deferred Amount are made on the
certificates on such date;
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<PAGE> 55
(b) the proceeds, if any, of the assets of the trust remaining in the
lower-tier REMIC after the Class Certificate Principal Balances of all
classes of certificates have each been reduced to zero; and
(c) the amount of any Unanticipated Recoveries received by GECMSI in
the calendar month preceding the month of a Distribution Date and not
otherwise allocated to other classes of certificates as described in
"Servicing of the Mortgage Loans -- Unanticipated Recoveries of Losses on
the Mortgage Loans" in the accompanying prospectus.
It is not anticipated that any material assets will be remaining for such
distributions on the residual certificates at any such time. See "Federal Income
Tax Consequences -- Residual Certificates" herein.
SUBORDINATION
Priority of Senior Certificates
As of the date of the initial issuance of the certificates, the aggregate
Certificate Principal Balance of the junior certificates will equal
approximately 4.00% of the aggregate Certificate Principal Balance of all the
classes of certificates. The rights of the holders of the junior certificates to
receive distributions with respect to the mortgage loans will be subordinate to
such rights of the holders of the senior certificates, to the extent described
above. The subordination of the junior certificates is intended:
(a) to enhance the likelihood of timely receipt by the holders of the
senior certificates (to the extent of the subordination of the junior
certificates) of the full amount of the scheduled monthly distributions of
principal and interest allocable to the senior certificates; and
(b) to afford the holders of the senior certificates (to the extent of
the subordination of the junior certificates) protection against Realized
Losses, to the extent described above.
If Realized Losses exceed the credit support provided to the senior
certificates through subordination, or if Excess Losses occur, all or a portion
of such losses will be borne by the senior certificates.
The protection afforded to the holders of senior certificates by means of
the subordination feature will be accomplished by:
(1) the preferential right of such holders to receive, prior to any
distribution being made on a Distribution Date in respect of the junior
certificates, in accordance with the paydown rules specified above under
"-- Distributions on the Certificates -- Allocation of Available Funds,"
the amounts due to the senior certificate holders on each Distribution Date
out of the Available Funds with respect to such date and, if necessary, by
the right of such holders to receive future distributions on the mortgage
loans that would otherwise have been payable to the holders of the junior
certificates;
(2) the allocation to the junior certificates of the applicable Non-PO
Percentage of the principal portion of any Non-Excess Realized Loss to the
extent set forth herein; and
(3) the allocation to the junior certificates of the applicable PO
Percentage of the principal portion of any Non-Excess Realized Loss to the
extent set forth herein through the operation of the Class PO Deferred
Payment Writedown Amount.
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<PAGE> 56
The allocation of the principal portion of Realized Losses (as set forth
herein) to the junior certificates on any Distribution Date will decrease the
protection provided to the senior certificates then outstanding on future
Distribution Dates by reducing the aggregate Certificate Principal Balance of
the junior certificates then outstanding.
In addition, in order to extend the period during which the junior
certificates remain available as credit enhancement for the senior certificates,
the entire amount of the applicable Non-PO Percentage of any prepayment or other
unscheduled recovery of principal with respect to a mortgage loan will be
allocated to the senior certificates entitled to principal distributions (other
than the Class PO Certificates) during at least the first five years after the
date of initial issuance of the certificates, with such allocation being subject
to reduction thereafter as described herein. This allocation has the effect of
accelerating the amortization of such senior certificates as a group while, in
the absence of losses in respect of the mortgage loans, increasing the
percentage interest in the principal balance of the mortgage loans evidenced by
the junior certificates. Among such senior certificates, such amounts will be
allocated to the outstanding Group I Senior Certificates during the first five
years after the date of initial issuance of the certificates (except as
otherwise described herein on or following the Group I Final Distribution Date)
with such allocation being subject to reduction thereafter as described herein,
except that such amounts will be allocated pro rata among all of the outstanding
senior certificates (other than the Class A5, Class PO and Class S Certificates)
on each Distribution Date after the Cross-Over Date.
After the payment of amounts distributable in respect of the senior
certificates on each Distribution Date, the junior certificates will be entitled
on such date to the remaining portion, if any, of the Available Funds in an
aggregate amount equal to the Accrued Certificate Interest on the junior
certificates for such date, any remaining undistributed Accrued Certificate
Interest thereon from previous Distribution Dates and the sum of the Allocable
Shares of the classes of junior certificates. Amounts so distributed to junior
certificateholders will not be available to cover any delinquencies or any
Realized Losses in respect of subsequent Distribution Dates.
Priority Among Junior Certificates
As of the date of the initial issuance of the certificates, the aggregate
Certificate Principal Balance of the Class B3, Class B4 and Class B5
Certificates, all of which are subordinate in right of distribution to the
junior certificates offered hereby, will equal approximately 0.95% of the
initial aggregate Certificate Principal Balance of all of the certificates and
approximately 23.75% of the initial aggregate Certificate Principal Balance of
all of the junior certificates. On each Distribution Date, the holders of any
particular class of junior certificates, other than the Class B5 Certificates,
will have a preferential right to receive the amounts due them on such
Distribution Date out of Available Funds, prior to any distribution being made
on such date on each class of certificates ranking junior to such class. In
addition, except as described herein, the applicable Non-PO Percentage of the
principal portion of any Non-Excess Realized Loss with respect to a mortgage
loan and any Class PO Deferred Payment Writedown Amount will be allocated, to
the extent set forth herein, in reduction of the Class Certificate Principal
Balances of the junior certificates in inverse order of priority of such
certificates. The effect of the allocation of such Realized Losses and of the
Class PO Deferred Payment Writedown Amount to a class of junior certificates
will be to reduce future distributions allocable to such class and increase the
relative portion of distributions allocable to more senior classes of
certificates.
S-56
<PAGE> 57
In order to maintain the relative levels of subordination among the junior
certificates, the applicable Non-PO Percentage of prepayments and certain other
unscheduled recoveries of principal in respect of the mortgage loans (which will
not be distributable to such certificates for at least the first five years
after the date of initial issuance of the certificates, except as otherwise
described herein on or following the Senior Final Distribution Date) will not be
distributable to the holders of any class of Class B Certificates on any
Distribution Date for which the related Class Prepayment Distribution Trigger is
not satisfied, except as described above. See "-- Distributions on the
Certificates -- Principal." If the Class Prepayment Distribution Trigger is not
satisfied with respect to any class of Class B Certificates, the amortization of
more senior ranking classes of junior certificates may occur more rapidly than
would otherwise have been the case and, in the absence of losses in respect of
the mortgage loans, the percentage interest in the principal balance of the
mortgage loans evidenced by such Class B Certificates may increase.
As a result of the subordination of any class of certificates, such class
of certificates will be more sensitive than more senior ranking classes of
certificates to the rate of delinquencies and defaults on the mortgage loans,
and under certain circumstances investors in such certificates may not recover
their initial investment.
RESTRICTIONS ON TRANSFER OF THE RESIDUAL CERTIFICATES
The residual certificates will be subject to the restrictions on transfer
described in the prospectus under "Federal Income Tax Consequences -- REMIC
Certificates -- Transfers of Residual Certificates -- Disqualified
Organizations," "-- Foreign Investors" and "-- Noneconomic Residual Interests."
In addition, the Agreement provides that the residual certificates may not be
acquired by an ERISA Plan. The residual certificates will contain a legend
describing the foregoing restrictions.
YIELD AND WEIGHTED AVERAGE LIFE CONSIDERATIONS
YIELD
The effective yield on the certificates will depend upon, among other
things, the price at which the certificates are purchased and the rate and
timing of payments of principal (including both scheduled and unscheduled
payments) of the mortgage loans underlying the certificates. You should refer to
"Yield, Maturity and Weighted Average Life Considerations" in the prospectus and
the text below for a discussion of the factors that could affect the yield of
your certificates.
PREPAYMENTS
The rate of distribution of principal of the certificates (and the
aggregate amount of interest payable on any class of interest-only certificates)
will be affected primarily by the amount and timing of principal payments
received on or in respect of the mortgage loans. Such principal payments will
include scheduled payments as well as voluntary prepayments by borrowers (such
as, for example, prepayments in full due to refinancings, including refinancings
made by GECMSI in the ordinary course of conducting its mortgage banking
business, some of which refinancings may be solicited by GECMSI, or prepayments
in connection with biweekly payment programs, participation in which may be
solicited by GECMSI) and prepayments resulting from foreclosure, condemnation
and other dispositions of the mortgaged properties, from repurchase by GECMSI of
any mortgage loan as to which there has been a material breach of warranty or
defect in documentation (or
S-57
<PAGE> 58
deposit of certain amounts in respect of delivery of a substitute mortgage loan
therefor) and from an exercise by GECMSI of its option to repurchase a Defaulted
Mortgage Loan. Mortgagors are permitted to prepay the mortgage loans, in whole
or in part, at any time without penalty. In addition, as a result of the fact
that certificateholders (other than holders of any class of interest-only
certificates) will generally be entitled on any Distribution Date to receive
from Available Funds distributions of amounts based on clause (4) of each of the
definitions of Senior Optimal Principal Amount, Class PO Principal Distribution
Amount or Junior Optimal Principal Amount, as the case may be, the occurrence of
defaults on the mortgage loans may produce the same effect on the certificates
receiving such distributions as an early receipt of principal. See "Yield,
Maturity and Weighted Average Life Considerations" in the prospectus for a
discussion of the factors that may influence prepayment rates.
Voluntary prepayments in full of principal on the mortgage loans received
by GECMSI (or, in the case of mortgage loans master-serviced by GECMSI, of which
GECMSI receives notice) from the first day through the fifteenth day of each
month (other than the month of the Cut-off Date) are passed through to the
certificateholders in the month of receipt or payment. Voluntary prepayments of
principal in full received from the sixteenth day (or, in the case of the month
of the Cut-off Date, from the Cut-off Date) through the last day of each month,
and all voluntary partial prepayments of principal on the mortgage loans are
passed through to the certificateholders in the month following the month of
receipt or payment. Any prepayment of a mortgage loan or liquidation of a
mortgage loan (by foreclosure proceedings or by virtue of the purchase of a
mortgage loan in advance of its stated maturity as required or permitted by the
Agreement) will generally have the effect of passing through to the
certificateholders principal amounts (or, in the case of any class of
interest-only certificates, reducing the Notional Principal Balance thereof)
which would otherwise be passed through (or reduced) in amortized increments
over the remaining term of such mortgage loan.
The entire amount of the applicable Non-PO Percentage of any prepayments
and other unscheduled recoveries of principal with respect to a mortgage loan
will be allocated solely to the outstanding senior certificates entitled to
principal distributions (other than the Class PO Certificates) during at least
the first five years after the date of initial issuance of the certificates,
with such allocation being subject to reduction thereafter as described herein.
Among such senior certificates, such amounts will be allocated solely to the
outstanding Group I Senior Certificates during the first five years after the
date of initial issuance of the certificates (except as otherwise described
herein on or following the Group I Final Distribution Date), with such
allocation being subject to reduction thereafter as described herein, provided
that such amounts will be allocated pro rata among all the outstanding senior
certificates entitled to principal distributions (other than the Class PO
Certificates) on each Distribution Date after the Cross-Over Date. The resulting
allocation between the Group I Senior Certificates and the Class A22
Certificates is designed to accelerate the allocation of principal prepayments
and certain other unscheduled recoveries of principal on the mortgage loans to
holders of the Group I Senior Certificates relative to the Class A22
Certificates through the earlier of the Group I Final Distribution Date and the
Cross-Over Date. In addition, the Class A22 Certificates will not receive any
distributions of scheduled principal payments on the mortgage loans during the
first five years after the date of initial issuance of the certificates, except
as otherwise described herein on or following the earlier of the Group I Final
Distribution Date and the Cross-over Date. Notwithstanding the foregoing, all
distributions of principal on the outstanding senior certificates entitled to
principal distributions (other than the Class PO
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<PAGE> 59
Certificates) will be made pro rata among such certificates on each Distribution
Date after the Cross-over Date. See "Description of the
Certificates -- Distributions on the Certificates -- Principal" herein.
When a full prepayment is made on a mortgage loan, the mortgagor is charged
interest ("Prepayment Interest") on the days in the month actually elapsed up to
the date of such prepayment, at a daily interest rate (determined by dividing
the mortgage interest rate by 360) which is applied to the principal amount of
the loan so prepaid. When such a prepayment is made during the period from the
sixteenth day through the last day of any month (and from the Cut-off Date
through the fifteenth day of the month of the Cut-off Date), such Prepayment
Interest is passed through to the certificateholders (other than holders of any
class of principal-only certificates) in the month following its receipt and the
amount of interest thus distributed to certificateholders, to the extent not
supplemented by a Compensating Interest Payment (as defined herein), will be
less than the amount which would have been distributed (or added to the Class
Certificate Balance of a class of Accrual Certificates) in the absence of such
prepayment. The payment of a claim under certain insurance policies or the
purchase of a defaulted mortgage loan by a private mortgage insurer may also
cause a reduction in the amount of interest passed through. Shortfalls described
in this paragraph will be borne by certificateholders to the extent described
herein. See "Description of the Certificates -- Distributions on the
Certificates -- Interest" herein.
Any partial prepayment will be applied to the balance of the related
mortgage loan as of the first day of the month of receipt, will be passed
through to the certificateholders in the following month and, to the extent not
supplemented by a Compensating Interest Payment, will reduce the aggregate
amount of interest distributable to the certificateholders in such month in an
amount equal to 30 days of interest at the related Net Mortgage Rate on the
amount of such prepayment.
The yield on certain classes of the certificates also may be affected by
any repurchase by GECMSI of the mortgage loans as described under "The Pooling
and Servicing Agreement -- Termination" herein.
SENSITIVITY OF THE CLASS A20 CERTIFICATES
The yield to investors in the Class A20 Certificates, which are
principal-only certificates, will be highly sensitive to the rate of principal
payments (including prepayments) on the mortgage loans. If the Class A20
Certificates are purchased at a discount to their Class Certificate Principal
Balance, lower than anticipated rates of prepayments on the mortgage loans could
result in an extension in the anticipated weighted average lives of such
certificates and actual yields to investors that are significantly lower than
the anticipated yields. The Class A20 Certificates are also TAC Certificates.
See "Weighted Average Lives of the Certificates -- TAC Certificates" below.
To illustrate the significance of prepayments on the distributions on the
Class A20 Certificates, the following tables indicate the pre-tax yields to
maturity (on a corporate bond equivalent basis) under the specified assumptions
at the different constant percentages of the Prepayment Assumption shown. The
yields were calculated by determining the applicable monthly discount rate
which, when applied to the related assumed stream of cash flows to be paid on
the Class A20 Certificates, would cause the discounted present value of such
cash flows to equal the assumed purchase price
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<PAGE> 60
percentage for such certificates stated in such tables and converting the
applicable monthly discount rate to a corporate bond equivalent rate. Implicit
in the use of any discounted present value or internal rate of return
calculations such as these is the assumption that intermediate cash flows are
reinvested at the discount rate or internal rate of return. Thus, these
calculations do not take into account the different interest rates at which
investors may be able to reinvest funds received by them as distributions on
such certificates and, consequently, do not reflect the return on any investment
when such reinvestment rates are considered. It is unlikely that the mortgage
loans will prepay at any of the constant levels of the Prepayment Assumption
shown or any other constant rate until maturity or that all of the mortgage
loans will prepay at the same rate. The timing of changes in the rate of
prepayments may significantly affect the total distributions received, the date
of receipt of such distributions and the actual yield to maturity to any
investor, even if the average rate of principal prepayments is consistent with
an investor's expectation. In general, the earlier the payment of principal of
the mortgage loans, the greater the effect on an investor's yield to maturity.
As a result, the effect on an investor's yield of principal prepayments
occurring at a rate higher (or lower) than the rate anticipated by the investor
during the period immediately following the issuance of the certificates will
not be equally offset by a subsequent like reduction (or increase) in the rate
of principal prepayments.
The following tables have been prepared based on the Modeling Assumptions
(as defined herein) and the additional assumptions that:
(1) the assumed purchase prices of the Class A20 Certificates is as
specified (expressed as a percentage of the Class Certificate Principal
Balance thereof) and
(2) such purchase prices are paid on May 27, 1999.
<TABLE>
<CAPTION>
PRE-TAX YIELD* TO MATURITY OF
THE CLASS A20 CERTIFICATES (ASSUMED
PURCHASE PRICE PERCENTAGE = 47.453125%)
PREPAYMENT ASSUMPTION
----------------------------------------
0% 150% 275% 400% 500%
------ ------ ------ ------- -------
<S> <C> <C> <C> <C>
2.779% 4.348% 7.001% 9.013% 19.137%
</TABLE>
- -------------------------
* Corporate bond-equivalent basis
The mortgage loans may not have all the characteristics assumed, and there
can be no assurance that:
(1) the mortgage loans will prepay at any of the constant rates shown
in the table or any particular rate;
(2) the pre-tax yield to maturity on the Class A20 Certificates will
correspond to any amounts shown herein; or
(3) the purchase price of the Class A20 Certificates will be as
assumed.
Each investor must make its own decision as to the appropriate prepayment
assumptions to be used in deciding whether or not to purchase a Class A20
Certificate.
SENSITIVITY OF THE LIBOR CERTIFICATES
The yield to investors in the LIBOR Certificates will be highly sensitive
to the level of LIBOR. Investors in the Class A4 and Class A13 Certificates
should consider the risk that lower than anticipated levels of LIBOR could
result in actual yields that are lower than anticipated yields on such
certificates. The interest rate on the Class A4 Certificates
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<PAGE> 61
cannot exceed 8.50% (which would occur whenever LIBOR equals or exceeds 8.20%
for any relevant Interest Accrual Period other than the first such period). The
interest rate on the Class A13 Certificates cannot exceed 8.50% (which would
occur whenever LIBOR equals or exceeds 8.00% for any relevant Interest Accrual
Period other than the first such period).
Conversely, investors in the Class A5 and Class A14 Certificates should
consider (1) the risk that higher than anticipated levels of LIBOR could result
in actual yields that are lower than anticipated yields on such certificates,
and (2) the fact that the rate of interest on the Class A5 and Class A14
Certificates can fall as low as 0.0% (which will occur whenever LIBOR equals or
exceeds 8.20% for the Class A5 Certificates and 8.00% for the Class A14
Certificates for any relevant Interest Accrual Period other than the first such
period). An investor considering the purchase of a Class A5 Certificate in the
expectation that LIBOR will decline over time, thus increasing the Certificate
Interest Rate on such class, should also consider the risk that if mortgage
interest rates decline concurrently with LIBOR, the mortgage loans may
experience rapid rates of prepayments which may result in a rapid decline in the
Notional Principal Balance of the Class A5 Certificates. In particular, this
could result in the failure of investors in the Class A5 Certificate to fully
recover their investment; see "-- Class A5 Certificates" below.
Levels of LIBOR may have little or no correlation to levels of prevailing
mortgage interest rates. It is possible that lower prevailing mortgage interest
rates, which might be expected to result in faster prepayments, could occur
concurrently with an increased level of LIBOR. Conversely, higher prevailing
mortgage interest rates, which might be expected to result in slower
prepayments, could occur concurrently with a decreased level of LIBOR. In
addition, the timing of changes in the level of LIBOR may affect the actual
yield to maturity to an investor in the LIBOR Certificates even if the average
level is consistent with such investor's expectation. In general, the earlier a
change in the level of LIBOR, the greater the effect on such investor's yield to
maturity. As a result, the effect on such investor's yield to maturity of a
level of LIBOR that is higher (or lower) than the rate anticipated by such
investor during the period immediately following the issuance of the
certificates is not likely to be offset by a subsequent like reduction (or
increase) in the level or LIBOR.
Class A5 Certificates
The Notional Principal Balance of the Class A5 Certificates at any time
will be equal to the then Class Certificate Principal Balance of the Class A4
Certificates, which are PAC Certificates. As a result, interest distributions on
the Class A5 Certificates are likely to be relatively stable, so long as
principal distributions on the Class A4 Certificates are in accordance with
their PAC Balances Schedule. However, it is not likely that the Class A4
Certificates will pay down in accordance with their PAC Balances schedule. See
"-- Weighted Average Lives of the Certificates -- PAC Certificates" below.
To illustrate the significance of prepayments and changes in LIBOR on the
distributions on the Class A5 Certificates, the following table indicates the
pre-tax yields to maturity (on a corporate bond-equivalent basis) under the
specified assumptions at the different constant percentages of the Prepayment
Assumption (as defined herein) and the different levels of LIBOR indicated. The
yields were calculated by determining the applicable monthly discount rate
which, when applied to the related assumed stream of cash flows to be paid on
the Class A5 Certificates, would cause the discounted present value of such cash
flows to equal the assumed purchase price for such certificates stated in
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<PAGE> 62
such table and converting the applicable monthly discount rate to a corporate
bond-equivalent rate. Implicit in the use of any discounted present value or
internal rate of return calculations such as these is the assumption that
intermediate cash flows are reinvested at the discount rate or internal rate of
return. Thus, these calculations 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 A5 Certificates, and, consequently, do not reflect
the return on any investment when such reinvestment rates are considered. It is
unlikely that the mortgage loans will prepay at a constant level of the
Prepayment Assumption until maturity, that all of the mortgage loans will prepay
at the same rate or that LIBOR will not vary. The timing of changes in the rate
of prepayments may significantly affect the total distributions received, the
date of receipt of such distributions and the actual yield to maturity to any
investor, even if the average rate of principal prepayments is consistent with
an investor's expectation. In general, the earlier the payment of principal of
the mortgage loans, the greater the effect on an investor's yield to maturity.
As a result, the effect on an investor's yield of principal prepayments
occurring at a rate higher (or lower) than the rate anticipated by the investor
during the period immediately following the issuance of the certificates will
not be equally offset by a subsequent like reduction (or increase) in the rate
of principal prepayments. Moreover, as noted above, the timing of changes in the
level of LIBOR may affect the actual yield to maturity to an investor in a Class
A5 Certificate.
The following table has been prepared based on the Modeling Assumptions and
the additional assumptions that:
- the assumed purchase price of a Class A5 Certificate is the sum of:
(1) the product of the assumed purchase price percentage specified
below (which does not include accrued interest) and the initial
Notional Principal Balance thereof; and
(2) the accrued interest on such certificate from May 25, 1999 to May
27, 1999;
- on the LIBOR Determination Date occurring in June 1999 and on each LIBOR
Determination Date thereafter, LIBOR is the level specified; and
- such purchase price is paid on May 27, 1999.
PRE-TAX YIELD* TO MATURITY OF THE CLASS A5 CERTIFICATES
(ASSUMED PURCHASE PRICE PERCENTAGE = 7.34375%)
<TABLE>
<CAPTION>
PREPAYMENT ASSUMPTION
------------------------------------------------
LEVEL OF LIBOR 0% 150% 275% 400% 500%
- -------------- ------- ------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
4.94%............................... 45.316% 29.939% 29.939% 29.939% 29.939%
5.94%............................... 28.633% 8.834% 8.834% 8.834% 8.834%
6.94%............................... 11.328% (15.517)% (15.517)% (15.517)% (15.517)%
7.94%............................... (12.337)% (54.606)% (54.606)% (54.606)% (54.606)%
8.20% and above..................... ** ** ** ** **
</TABLE>
- -------------------------
* Corporate bond-equivalent basis
** Indicates that investors will suffer a loss of virtually all their investment
The mortgage loans may not have all of the characteristics assumed and
there can be no assurance:
- that the mortgage loans will prepay at any of the constant rates shown in
the tables or at any particular rate;
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<PAGE> 63
- that the pre-tax yields to maturity on the Class A5 Certificates will
correspond to any of the amounts shown herein;
- that the levels of LIBOR will correspond to the levels shown herein; or
- that the purchase price of a Class A5 Certificate will be as assumed.
The table does not constitute a representation as to the correlation of any
level of LIBOR and the rate of prepayments on the mortgage loans. Each investor
must make its own decision as to the appropriate prepayment assumptions to be
used and the appropriate levels of LIBOR to be assumed in deciding whether or
not to purchase a Class A5 Certificate.
Class A14 Certificates
To illustrate the significance of prepayments and changes in LIBOR on the
distributions on the Class A14 Certificates, the following table indicates the
pre-tax yields to maturity (on a corporate bond-equivalent basis) under the
specified assumptions at the different constant percentages of the Prepayment
Assumption (as defined herein) and the different levels of LIBOR indicated. The
yields were calculated by determining the applicable monthly discount rate
which, when applied to the related assumed stream of cash flows to be paid on
the Class A14 Certificates, would cause the discounted present value of such
cash flows to equal the assumed purchase price for such certificates stated in
such table and converting the applicable monthly discount rate to a corporate
bond-equivalent rate. Implicit in the use of any discounted present value or
internal rate of return calculations such as these is the assumption that
intermediate cash flows are reinvested at the discount rate or internal rate of
return. Thus, these calculations 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 A14 Certificates, and, consequently, do not reflect
the return on the investment when such reinvestment rates are considered. It is
unlikely that the mortgage loans will prepay at a constant level of the
Prepayment Assumption until maturity, that all of the mortgage loans will prepay
at the same rate or that LIBOR will not vary. The timing of changes in the rate
of prepayments may significantly affect the total distributions received, the
date of receipt of such distributions and the actual yield to maturity to any
investor, even if the average rate of principal prepayments is consistent with
an investor's expectation. In general, the earlier the payment of principal of
the mortgage loans, the greater the effect on an investor's yield to maturity.
As a result, the effect on an investor's yield of principal prepayments
occurring at a rate higher (or lower) than the rate anticipated by the investor
during the period immediately following the issuance of the certificates will
not be equally offset by a subsequent like reduction (or increase) in the rate
of principal prepayments. Moreover, as noted above, the timing of changes in the
level of LIBOR may affect the actual yield to maturity to an investor in a Class
A14 Certificate.
The following table has been prepared based on the Modeling Assumptions and
the additional assumptions that:
- the assumed purchase price of a Class A14 Certificate is the sum of:
(1) the product of the assumed purchase price percentage specified
below (which does not include accrued interest) and the initial
Class Certificate Principal Balance thereof; and
(2) the accrued interest on such certificate from May 25, 1999 to May
27, 1999;
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<PAGE> 64
- on the LIBOR Determination Date occurring in June 1999 and on each LIBOR
Determination Date thereafter, LIBOR is the level specified; and
- such purchase price is paid on May 27, 1999.
PRE-TAX YIELD* TO MATURITY OF THE CLASS A14 CERTIFICATES
(ASSUMED PURCHASE PRICE PERCENTAGE = 95.125%)
<TABLE>
<CAPTION>
PREPAYMENT ASSUMPTION
----------------------------------------------------
LEVEL OF LIBOR 0% 150% 275% 400% 500%
-------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
4.94%................................ 10.729% 10.898% 12.079% 12.379% 12.827%
5.94%................................ 7.242% 7.441% 8.641% 8.974% 9.452%
6.94%................................ 3.807% 4.030% 5.238% 5.605% 6.113%
7.94%................................ 0.433% 0.669% 1.872% 2.274% 2.812%
8.00% and above...................... 0.232% 0.469% 1.671% 2.075% 2.615%
</TABLE>
- -------------------------
* Corporate bond-equivalent basis
The mortgage loans may not have all of the characteristics assumed and
there can be no assurance:
- that the mortgage loans will prepay at any of the constant rates shown in
the tables or at any particular rate;
- that the pre-tax yields to maturity on the Class A14 Certificates will
correspond to any of the amounts shown herein;
- that the levels of LIBOR will correspond to the levels shown herein; or
- that the purchase price of a Class A14 Certificate will be as assumed.
The table does not constitute a representation as to the correlation of any
level of LIBOR and the rate of prepayments on the mortgage loans. Each investor
must make its own decision as to the appropriate prepayment assumptions to be
used and the appropriate levels of LIBOR to be assumed in deciding whether or
not to purchase a Class A14 Certificate.
Because the Interest Accrual Period for the LIBOR Certificates will run
from the 25th day of the month preceding the month in which a Distribution Date
occurs to the 24th day of the month of such Distribution Date, the effective
yield on such certificates will not be reduced as a result of any delay between
the end of the Interest Accrual Period and the distribution of interest
(assuming such Distribution Date occurs on the 25th day of the month).
THE CLASS M, CLASS B1 AND CLASS B2 CERTIFICATES
The rate of payment of principal, the aggregate amount of distributions and
the yield to maturity of the Class M, Class B1 and Class B2 Certificates will be
affected by the rate of prepayments on the mortgage loans, as well as the rate
of mortgagor defaults resulting in Realized Losses, by the severity of those
losses and by the timing thereof. See "Description of the
Certificates -- Allocation of Realized Losses on the Certificates" herein for a
description of the manner in which such losses are borne by the holders of the
certificates. If the purchaser of a Class M, Class B1 or Class B2 Certificate
calculates its anticipated yield based on an assumed rate of default and amount
of Realized Losses that is lower than the default rate and the amount of losses
actually incurred, its actual yield to maturity may be lower than that so
calculated and could be negative. The timing of
S-64
<PAGE> 65
defaults and losses will also affect an investor's actual yield to maturity,
even if the average rate of defaults and severity of losses are consistent with
an investor's expectations. In general, the earlier a loss occurs, the greater
the effect on an investor's yield to maturity.
The yields to maturity on the classes of Class B Certificates with higher
numerical designations will be more sensitive to losses due to liquidations of
defaulted mortgage loans than will the yields on such classes with lower
numerical designations, and the yields to maturity on all of the Class B
Certificates will be more sensitive to such losses than will the yields on the
other classes of certificates. The yields to maturity on the Class M
Certificates will be more sensitive to such losses than will the yields on the
senior certificates and less sensitive than the yields on the Class B
Certificates. The junior certificates will be more sensitive to losses due to
liquidations of defaulted mortgage loans because the entire amount of such
losses will be allocable to such certificates in inverse order of priority,
either directly or through the allocation of the Class PO Deferred Payment
Writedown Amount, except as provided herein. To the extent not covered by
GECMSI's advances of delinquent monthly payments of principal and interest,
delinquencies on the mortgage loans may also have a relatively greater effect:
(1) on the yields to investors in the Class B Certificates with higher
numerical designations than on the yields to investors in those Class B
Certificates with lower numerical designations;
(2) on the yields to investors in the Class B Certificates than on the
yields to investors in the other classes of the certificates; and
(3) on the yields to investors in the Class M Certificates than on the
yields to investors in the senior certificates.
As described above under "Description of the Certificates -- Distributions
on the Certificates -- Interest" and "-- Principal," "-- Allocation of Realized
Losses on the Certificates" and "-- Subordination," amounts otherwise
distributable to holders of any class of Class B Certificates will be made
available to protect the holders of the more senior ranking classes of the
certificates against interruptions in distributions due to certain mortgagor
delinquencies. Amounts otherwise distributable to holders of the Class M
Certificates will be made available to protect the holders of the senior
certificates against interruptions in distributions due to certain mortgagor
delinquencies. Such delinquencies, even if subsequently cured, may affect the
timing of the receipt of distributions by the holders of the junior
certificates.
To the extent that the Class M, Class B1 or Class B2 Certificates are being
purchased at discounts from their initial Class Certificate Principal Balances,
if the purchaser of such a certificate calculates its yield to maturity based on
an assumed rate of payment of principal faster than that actually received on
such certificate, its actual yield to maturity may be lower than that so
calculated.
FINAL PAYMENT CONSIDERATIONS
The rate of payment of principal of the certificates will depend on the
rate of payment of principal of the mortgage loans (including prepayments,
defaults, delinquencies and liquidations) which, in turn, will depend on the
characteristics of the mortgage loans, the level of prevailing interest rates
and other economic, geographic, social and other factors, and no assurance can
be given as to the actual payment experience. As of the Cut-off Date, the month
and year of the latest scheduled maturity of a mortgage loan is expected to be
May 2029. In addition, to the extent delinquencies and defaults are not covered
by
S-65
<PAGE> 66
advances made by GECMSI or offset by the effect of the subordination of the
junior certificates, delinquencies and defaults could affect the actual maturity
of the certificates offered hereby.
WEIGHTED AVERAGE LIVES OF THE CERTIFICATES
The weighted average life of a certificate is determined by:
-- multiplying the reduction, if any, in the principal balance thereof on
each Distribution Date by the number of years from the date of
issuance to such Distribution Date;
-- summing the results; and
-- dividing the sum by the aggregate reductions in the principal balance
of such certificate.
The weighted average lives of the certificates will be affected, to varying
degrees, by the rate of principal payments on the mortgage loans, the timing of
changes in such rate of payments and the priority sequence of distributions of
principal of such certificates. The interaction of the foregoing factors may
have different effects on the various classes of the certificates and the
effects on any class may vary at different times during the life of such class.
Further, to the extent the prices of a class of certificates represent discounts
or premiums to their respective original principal balances, variability in the
weighted average lives of such classes of certificates could result in
variability in the related yields to maturity.
Prepayments on mortgage loans are commonly measured relative to a
prepayment standard or model. The model used in this prospectus supplement (the
"Prepayment Assumption") represents an assumed rate of prepayment each month
relative to the then outstanding principal balance of a pool of mortgage loans.
The Prepayment Assumption does not purport to be either a historical description
of the prepayment experience of any pool of mortgage loans or a prediction of
the anticipated rate of prepayment of any pool of mortgage loans, including the
mortgage loans in the mortgage loan pool. A prepayment assumption of 100% of the
Prepayment Assumption assumes prepayment rates of 0.2% per annum of the then
outstanding principal balance of such mortgage loans in the first month of the
life of the mortgage loans and increasing by 0.2% per annum in each month
thereafter until the thirtieth month. Beginning in the thirtieth month and in
each month thereafter during the life of the mortgage loans, 100% of the
Prepayment Assumption assumes a constant prepayment rate of 6.0% per annum.
PAC Certificates
The PAC Balances schedules for the Class A1 through A4 Certificates
(together, the "PAC Certificates") set forth in the PAC Balances Table hereto
were prepared by calculating the amount that would be available for payments on
each of the PAC Certificates using, among other things, the Modeling Assumptions
and a range of constant mortgage loan prepayment rates (the "PAC Structuring
Range"), expressed as a percentage of the Prepayment Assumption. The PAC
Structuring Range for the PAC Certificates is 125% through 500% of the
Prepayment Assumption. However, because the actual characteristics of the
mortgage loans may differ from those assumed in the Modeling Assumptions and
because the mortgage loans will not prepay at a constant rate or any other
prescribed rate, it is not likely that the PAC Certificates will pay down in
accordance with their respective PAC Balances schedule. The PAC Balances
schedules
S-66
<PAGE> 67
(each, a "PAC Balance Schedule") for each of the PAC Certificates are set forth
in the PAC Balances Table in this prospectus supplement.
Principal distributions on the PAC Certificates are likely to be relatively
stable and in accordance with their respective PAC Balances Schedule so long as
mortgage loan prepayments are neither too fast or too slow to support each such
schedule. Moreover, if the PAC Certificates fall behind their respective
schedule, they will have cumulative priority, as a group, for future principal
distributions from amounts available for distribution of principal among the
certificates. For the PAC Certificates there is a range of constant mortgage
prepayment rates (an "Effective Range") at which such certificates would pay
down in accordance with their respective PAC Balances Schedule. The initial
Effective Range for the PAC Certificates may be wider than the PAC Structuring
Range.
The Effective Range for the PAC Certificates can narrow or "shift" upward
or downward over time as a result of the rates of principal payments actually
experienced on the mortgage loans. Moreover, the mortgage loans will not prepay
at any constant rate and there can be no assurance that the amount available for
principal distributions on the PAC Certificates on any Distribution Date will be
sufficient to reduce the aggregate Class Certificate Principal Balances thereof
to the applicable PAC Balance. Prepayment rates that are not constant on the
related mortgage loans can cause the PAC Certificates not to pay down in
accordance with their respective PAC Balances Schedule, even if such rates
remain within the initial Effective Range.
If the mortgage loans prepay at rates that are generally below the
Effective Range, the amount available for principal distributions on any
Distribution Date may be insufficient to reduce the aggregate Class Certificate
Principal Balances of the PAC Certificates to their respective PAC Balance, and
the weighted average lives of the certificates may be extended, perhaps
significantly. Conversely, if the mortgage loans prepay at rates that are
generally above the Effective Range, the weighted average lives thereof may be
shortened, perhaps significantly.
TAC Certificates
Principal distributions on the Class A6 through Class A14 and the Class A18
through Class A20 Certificates (together, the "TAC Certificates") are expected
to be more stable than would be the case if such certificates were not entitled
to receive payments, to the extent of available principal, according to their
respective TAC Balances schedules (each, a "TAC Balance Schedule").
Based on the Modeling Assumptions, the TAC Certificates would pay down in
accordance with their respective TAC Balances Schedules if the mortgage loans
were to prepay at a constant rate of 275% of the Prepayment Assumption.
However, because the actual characteristics of the mortgage loans may
differ from those assumed in the Modeling Assumptions, and because such mortgage
loans will not prepay at the constant rates described above or at any other
prescribed constant rate, it is not likely that the TAC Certificates will
consistently pay down in accordance with any of their respective TAC Balances
Schedules. The TAC Balances Schedules are set forth in the TAC Balances Table in
this prospectus supplement.
With respect to any class of TAC Certificates, the mortgage loans may
prepay at rates that are generally below the constant percentage of the
Prepayment Assumption used to derive the TAC Balances Schedule for such class.
If this occurs, the Certificate Principal Balance of such class of certificates
will not be reduced in accordance with such schedule,
S-67
<PAGE> 68
and the weighted average life of such class of certificates may be extended,
perhaps significantly.
Conversely, the mortgage loans may prepay at rates that are generally above
the constant percentage of the Prepayment Assumption used to derive the TAC
Balances Schedule for any class of TAC Certificates. If this occurs, and if the
Class Certificate Principal Balances of the certificates supporting such class
have been reduced to zero, the weighted average life of such class may be
shortened, perhaps significantly.
The entire Available Funds will be distributed monthly on each Distribution
Date and will not be retained for distribution on subsequent Distribution Dates.
Thus, the likelihood that the TAC Certificates will pay down in accordance with
their respective TAC Balances Schedules will not be enhanced by averaging high
and low principal payments in different months.
Support Certificates
The principal payment stability of the PAC Certificates and the TAC
Certificates will be supported by various other classes of senior certificates,
including the TAC Certificates, as described below.
- The principal stability of the PAC Certificates will be supported, to
varying degrees, by the TAC Certificates and the Class A15, Class A16,
Class A17 and Class A21 Certificates. The TAC Certificates will not be as
sensitive to mortgage loan prepayments as they would were they not TAC
Certificates. Some of the classes of the TAC Certificates supporting the
PAC Certificates are in turn supported by other classes of TAC
Certificates. To the extent that a high rate of principal payments
results in Available Funds being in excess of the amount to be
distributed as principal on the supported certificates, such excess will
be applied, to the extent of the Senior Optimal Principal Amount, to the
supporting classes in accordance with their schedules, if applicable, or
until their Class Certificate Principal Balances have been reduced to
zero. Thus, a rapid rate of prepayments in respect of the mortgage loans
may significantly shorten the weighted average lives of certain support
classes of certificates.
- The principal stability of the TAC Certificates will be supported
primarily by the Class A15, Class A16, Class A17 and Class A21
Certificates. These support certificates may receive no principal
payments for extended periods of time and are more sensitive to mortgage
loan prepayments than the TAC Certificates. To the extent that a low rate
of principal prepayments on the mortgage loan results in the Available
Funds on any Distribution Date being equal to or less than the amount
required to be distributed as principal on the PAC Certificates and the
TAC Certificates in accordance with the related TAC Balances Schedules,
these support certificates will receive no principal on such Distribution
Date. Therefore, a relatively slow rate of prepayments on the mortgage
loans may significantly extend the weighted average lives of these
classes of support certificates.
In general, the weighted average lives of the certificates supporting other
classes of certificates described above will be more sensitive to mortgage loans
prepayments than those of the classes they are supporting. Certain supporting
classes may receive no principal payments for extended periods of time or may
receive principal payments that vary widely from period to period.
S-68
<PAGE> 69
Tables of Certificate Principal Balances
The following tables set forth the percentages of the initial Class
Certificate Principal Balance of each class of certificates offered hereby that
would be outstanding after each of the dates shown at the specified constant
percentages of the Prepayment Assumption and the corresponding weighted average
life of each such class of certificates. The figures in the table are based on
the actual characteristics of the mortgage loans expected to be included in the
mortgage loan pool. For purposes of calculations under the columns at the
indicated percentages of the Prepayment Assumption (other than 0% of the
Prepayment Assumption) set forth in the table, it is assumed with respect to the
mortgage loans (the "Modeling Assumptions") that:
(1) the distributions in respect of the certificates are made and
received in cash on the 25th day of each month commencing in June 1999;
(2) such mortgage loans prepay at the specified constant percentages
of the Prepayment Assumption;
(3) the aggregate outstanding Scheduled Principal Balance of such
mortgage loans as of the Cut-off Date is $952,400,249.61;
(4) no defaults or delinquencies in the payment by mortgagors of
principal of and interest on such mortgage loans are experienced and GECMSI
does not repurchase any such mortgage loans as permitted or required by the
Agreement;
(5) GECMSI does not exercise its option to repurchase all the mortgage
loans in the trust as described under the caption "The Pooling and
Servicing Agreement -- Termination" herein;
(6) scheduled monthly payments on such mortgage loans are received on
the first day of each month commencing in June 1999, and are computed prior
to giving effect to prepayments received in the prior month;
(7) prepayments representing payment in full of individual mortgage
loans are received on the last day of each month (commencing May 1999) and
include 30 days' interest thereon, and no Interest Shortfalls occur in
respect of the mortgage loans;
(8) the scheduled monthly payment for each such mortgage loan has been
calculated based on its outstanding balance, interest rate and remaining
term to maturity such that such mortgage loan will amortize in amounts
sufficient to repay the remaining balance of such mortgage loan by its
remaining term to maturity;
(9) the initial Class Certificate Principal Balance and interest rate
on the certificates for each class of certificates offered hereby are as
indicated in the summary of this prospectus supplement;
(10) the date of the initial issuance of the certificates is May 27,
1999;
(11) the amount distributable to certificateholders is not reduced by
the incurrence of any expenses by the trust; and
S-69
<PAGE> 70
(12) the mortgage loans are divided into two groups (each, a "Mortgage
Loan Group") and the mortgage loans in each Mortgage Loan Group have the
respective characteristics described below:
<TABLE>
<CAPTION>
STATED
AGGREGATE SCHEDULED REMAINING
PRINCIPAL BALANCE TERM TO
AS OF THE MORTGAGE NET MORTGAGE AGE MATURITY
MORTGAGE LOAN GROUP CUT-OFF DATE INTEREST RATE RATE (MONTHS) (MONTHS)
- ------------------- ------------------- ------------- ------------ -------- ---------
<S> <C> <C> <C> <C> <C>
Discount.............. $ 48,390,822.24 6.5777786429% 6.3446897423% 2 357
Non-Discount.......... 904,009,427.37 7.2201759565 6.9636576262 3 355
</TABLE>
It is not likely that the mortgage loans will prepay at a constant level of
the Prepayment Assumption. In addition, because certain of such mortgage loans
will have remaining terms to maturity and will bear interest at rates that are
different from those assumed, the actual Class Certificate Principal Balance of
each class of certificates outstanding at any time and the actual weighted
average life of each class of such certificates may differ from the
corresponding information in the table for each indicated percentage of the
Prepayment Assumption. Furthermore, even if all the mortgage loans prepay at the
indicated percentages of the Prepayment Assumption and the weighted average
mortgage interest rate and weighted average remaining term to maturity of such
mortgage loans were to equal the weighted average mortgage interest rate and
weighted average remaining term to maturity of the assumed mortgage loans, due
to the actual distribution of remaining terms to maturity and interest rates
among the mortgage loans, the actual principal balance of each class of
certificates outstanding at any time and the actual weighted average life of
each class of such certificates would differ (which difference could be
material) from the corresponding information set forth in the following table.
In addition, if the actual characteristics of the mortgage loans included in the
mortgage loan pool differ from those assumed in calculating the percentages set
forth in the tables, the actual class principal balance of each class of
certificates outstanding at any time and the actual weighted average life of
each class of certificates would differ (which difference would be material)
from the corresponding information in the tables for each indicated percentage
of the Prepayment Assumption.
S-70
<PAGE> 71
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A1
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 73 0 0 0 0
May 2003............ 44 0 0 0 0
May 2004............ 13 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 3.8 2.3 2.3 2.3 2.3
<CAPTION>
CLASS A2
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 41 41 41 41
May 2003............ 100 0 0 0 0
May 2004............ 100 0 0 0 0
May 2005............ 86 0 0 0 0
May 2006............ 63 0 0 0 0
May 2007............ 38 0 0 0 0
May 2008............ 12 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 7.5 3.0 3.0 3.0 3.0
<CAPTION>
CLASS A3
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 77 77 77 77
May 2004............ 100 44 44 44 44
May 2005............ 100 18 18 18 18
May 2006............ 100 2 2 2 2
May 2007............ 100 0 0 0 0
May 2008............ 100 0 0 0 0
May 2009............ 95 0 0 0 0
May 2010............ 87 0 0 0 0
May 2011............ 77 0 0 0 0
May 2012............ 67 0 0 0 0
May 2013............ 56 0 0 0 0
May 2014............ 45 0 0 0 0
May 2015............ 32 0 0 0 0
May 2016............ 19 0 0 0 0
May 2017............ 5 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 14.4 5.0 5.0 5.0 5.0
</TABLE>
- -------------------------
(1) The weighted average life is determined as described on page S-66.
S-71
<PAGE> 72
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A4
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 94 63 63 63 63
May 2003............ 88 40 40 40 40
May 2004............ 82 23 23 23 23
May 2005............ 76 9 9 9 9
May 2006............ 69 1 1 1 1
May 2007............ 62 0 0 0 0
May 2008............ 55 0 0 0 0
May 2009............ 49 0 0 0 0
May 2010............ 45 0 0 0 0
May 2011............ 40 0 0 0 0
May 2012............ 35 0 0 0 0
May 2013............ 29 0 0 0 0
May 2014............ 23 0 0 0 0
May 2015............ 17 0 0 0 0
May 2016............ 10 0 0 0 0
May 2017............ 2 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 10.3 3.9 3.9 3.9 3.9
<CAPTION>
CLASS A5+
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 94 63 63 63 63
May 2003............ 88 40 40 40 40
May 2004............ 82 23 23 23 23
May 2005............ 76 9 9 9 9
May 2006............ 69 1 1 1 1
May 2007............ 62 0 0 0 0
May 2008............ 55 0 0 0 0
May 2009............ 49 0 0 0 0
May 2010............ 45 0 0 0 0
May 2011............ 40 0 0 0 0
May 2012............ 35 0 0 0 0
May 2013............ 29 0 0 0 0
May 2014............ 23 0 0 0 0
May 2015............ 17 0 0 0 0
May 2016............ 10 0 0 0 0
May 2017............ 2 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 10.3 3.9 3.9 3.9 3.9
<CAPTION>
CLASS A6
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 98 93 88 88 84
May 2001............ 96 79 66 57 47
May 2002............ 95 76 53 37 22
May 2003............ 95 74 44 24 7
May 2004............ 95 73 38 16 *
May 2005............ 94 71 34 14 0
May 2006............ 94 66 29 11 0
May 2007............ 93 57 21 7 0
May 2008............ 93 50 15 4 0
May 2009............ 92 43 10 3 0
May 2010............ 92 37 6 2 0
May 2011............ 91 31 3 1 0
May 2012............ 91 26 * 1 0
May 2013............ 90 21 0 1 0
May 2014............ 89 16 0 * 0
May 2015............ 89 12 0 0 0
May 2016............ 88 8 0 0 0
May 2017............ 87 5 0 0 0
May 2018............ 82 1 0 0 0
May 2019............ 75 0 0 0 0
May 2020............ 67 0 0 0 0
May 2021............ 59 0 0 0 0
May 2022............ 50 0 0 0 0
May 2023............ 40 0 0 0 0
May 2024............ 30 0 0 0 0
May 2025............ 19 0 0 0 0
May 2026............ 7 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 21.4 8.9 4.6 3.2 2.1
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on page S-66.
+ The information shown for this class of certificates is for illustrative
purposes only, as this class of certificates is not entitled to
distributions of principal and consequently has no weighted average life.
Because the Notional Principal Balance of this class of certificates will be
determined by reference to the Class Certificate Principal Balance of the
Class A4 Certificates, reductions in the aggregate Notional Principal
Balance of this class of certificates will occur concurrently with the
reduction in the Class Certificate Principal Balance of the Class A4
Certificates as described herein. The weighted average life shown for these
certificates has been calculated on the assumption that a reduction in the
Notional Principal Balance thereof is a distribution of principal.
S-72
<PAGE> 73
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A7
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 96 87 86 86 79
May 2001............ 92 62 60 44 26
May 2002............ 92 58 45 16 0
May 2003............ 91 54 35 0 0
May 2004............ 90 51 27 0 0
May 2005............ 90 47 23 0 0
May 2006............ 89 39 17 0 0
May 2007............ 88 24 8 0 0
May 2008............ 87 10 * 0 0
May 2009............ 86 0 0 0 0
May 2010............ 85 0 0 0 0
May 2011............ 84 0 0 0 0
May 2012............ 83 0 0 0 0
May 2013............ 82 0 0 0 0
May 2014............ 81 0 0 0 0
May 2015............ 80 0 0 0 0
May 2016............ 78 0 0 0 0
May 2017............ 77 0 0 0 0
May 2018............ 68 0 0 0 0
May 2019............ 55 0 0 0 0
May 2020............ 41 0 0 0 0
May 2021............ 26 0 0 0 0
May 2022............ 10 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 18.1 4.9 3.5 2.0 1.6
<CAPTION>
CLASS A8
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 86 86 86
May 2001............ 100 100 60 60 60
May 2002............ 100 100 45 45 24
May 2003............ 100 100 35 32 0
May 2004............ 100 100 27 7 0
May 2005............ 100 100 23 0 0
May 2006............ 100 100 17 0 0
May 2007............ 100 100 8 0 0
May 2008............ 100 100 * 0 0
May 2009............ 100 95 0 0 0
May 2010............ 100 74 0 0 0
May 2011............ 100 55 0 0 0
May 2012............ 100 38 0 0 0
May 2013............ 100 22 0 0 0
May 2014............ 100 7 0 0 0
May 2015............ 100 0 0 0 0
May 2016............ 100 0 0 0 0
May 2017............ 100 0 0 0 0
May 2018............ 100 0 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 86 0 0 0 0
May 2024............ 52 0 0 0 0
May 2025............ 15 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 25.1 12.4 3.5 2.8 2.2
<CAPTION>
CLASS A9
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 107 107 107 107 107
May 2001............ 114 114 114 114 114
May 2002............ 121 121 121 121 121
May 2003............ 130 130 130 130 130
May 2004............ 138 138 138 138 138
May 2005............ 148 148 148 148 *
May 2006............ 157 157 157 157 *
May 2007............ 168 168 168 168 0
May 2008............ 179 179 179 179 0
May 2009............ 191 191 191 191 0
May 2010............ 204 204 204 204 0
May 2011............ 218 218 218 218 0
May 2012............ 232 232 232 232 0
May 2013............ 248 248 0 248 0
May 2014............ 264 264 0 264 0
May 2015............ 282 282 0 274 0
May 2016............ 301 301 0 199 0
May 2017............ 321 321 0 144 0
May 2018............ 343 343 0 103 0
May 2019............ 366 0 0 73 0
May 2020............ 390 0 0 51 0
May 2021............ 416 0 0 36 0
May 2022............ 444 0 0 24 0
May 2023............ 474 0 0 16 0
May 2024............ 506 0 0 10 0
May 2025............ 539 0 0 6 0
May 2026............ 576 0 0 4 0
May 2027............ 0 0 0 2 0
May 2028............ 0 0 0 1 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.6 19.5 13.1 18.9 5.2
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on page S-66.
S-73
<PAGE> 74
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A10
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 49
May 2004............ 100 100 100 100 1
May 2005............ 100 100 100 97 0
May 2006............ 100 100 100 79 0
May 2007............ 100 100 100 48 0
May 2008............ 100 100 100 29 0
May 2009............ 100 100 70 21 0
May 2010............ 100 100 43 15 0
May 2011............ 100 100 20 10 0
May 2012............ 100 100 * 6 0
May 2013............ 100 100 0 4 0
May 2014............ 100 100 0 2 0
May 2015............ 100 85 0 0 0
May 2016............ 100 57 0 0 0
May 2017............ 100 32 0 0 0
May 2018............ 100 8 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 100 0 0 0 0
May 2024............ 100 0 0 0 0
May 2025............ 100 0 0 0 0
May 2026............ 48 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.0 17.4 10.9 8.7 4.1
<CAPTION>
CLASS A11+
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 49
May 2004............ 100 100 100 100 1
May 2005............ 100 100 100 97 0
May 2006............ 100 100 100 79 0
May 2007............ 100 100 100 48 0
May 2008............ 100 100 100 29 0
May 2009............ 100 100 70 21 0
May 2010............ 100 100 43 15 0
May 2011............ 100 100 20 10 0
May 2012............ 100 100 * 6 0
May 2013............ 100 100 0 4 0
May 2014............ 100 100 0 2 0
May 2015............ 100 85 0 0 0
May 2016............ 100 57 0 0 0
May 2017............ 100 32 0 0 0
May 2018............ 100 8 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 100 0 0 0 0
May 2024............ 100 0 0 0 0
May 2025............ 100 0 0 0 0
May 2026............ 48 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.0 17.4 10.9 8.7 4.1
<CAPTION>
CLASS A12+
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 49
May 2004............ 100 100 100 100 1
May 2005............ 100 100 100 97 0
May 2006............ 100 100 100 79 0
May 2007............ 100 100 100 48 0
May 2008............ 100 100 100 29 0
May 2009............ 100 100 70 21 0
May 2010............ 100 100 43 15 0
May 2011............ 100 100 20 10 0
May 2012............ 100 100 * 6 0
May 2013............ 100 100 0 4 0
May 2014............ 100 100 0 2 0
May 2015............ 100 85 0 0 0
May 2016............ 100 57 0 0 0
May 2017............ 100 32 0 0 0
May 2018............ 100 8 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 100 0 0 0 0
May 2024............ 100 0 0 0 0
May 2025............ 100 0 0 0 0
May 2026............ 48 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.0 17.4 10.9 8.7 4.1
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on page S-66.
+ The weighted average life shown in the table for this class of certificates
represents the weighted average life of these certificates taken as a whole
and is not likely to reflect the experience of any particular investor.
Because holders of these certificates will receive distributions in
reduction of the Certificate Principal Balance of such certificates on the
basis of Principal Distribution Requests or by random lot, the weighted
average life of any such certificates owned by an individual investor may
vary significantly from the weighted average life of this class of
certificates taken as a whole.
S-74
<PAGE> 75
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A13+
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 86 86 86
May 2001............ 100 100 60 60 60
May 2002............ 100 100 45 45 24
May 2003............ 100 100 35 32 0
May 2004............ 100 100 27 7 0
May 2005............ 100 100 23 0 0
May 2006............ 100 100 17 0 0
May 2007............ 100 100 8 0 0
May 2008............ 100 100 * 0 0
May 2009............ 100 95 0 0 0
May 2010............ 100 74 0 0 0
May 2011............ 100 55 0 0 0
May 2012............ 100 38 0 0 0
May 2013............ 100 22 0 0 0
May 2014............ 100 7 0 0 0
May 2015............ 100 0 0 0 0
May 2016............ 100 0 0 0 0
May 2017............ 100 0 0 0 0
May 2018............ 100 0 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 86 0 0 0 0
May 2024............ 52 0 0 0 0
May 2025............ 15 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 25.1 12.4 3.5 2.8 2.2
<CAPTION>
CLASS A14
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 86 86 86
May 2001............ 100 100 60 60 60
May 2002............ 100 100 45 45 24
May 2003............ 100 100 35 32 0
May 2004............ 100 100 27 7 0
May 2005............ 100 100 23 0 0
May 2006............ 100 100 17 0 0
May 2007............ 100 100 8 0 0
May 2008............ 100 100 * 0 0
May 2009............ 100 95 0 0 0
May 2010............ 100 74 0 0 0
May 2011............ 100 55 0 0 0
May 2012............ 100 38 0 0 0
May 2013............ 100 22 0 0 0
May 2014............ 100 7 0 0 0
May 2015............ 100 0 0 0 0
May 2016............ 100 0 0 0 0
May 2017............ 100 0 0 0 0
May 2018............ 100 0 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 86 0 0 0 0
May 2024............ 52 0 0 0 0
May 2025............ 15 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 25.1 12.4 3.5 2.8 2.2
<CAPTION>
CLASS A15
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 107 107 107 0 0
May 2001............ 114 114 114 0 0
May 2002............ 121 121 121 0 0
May 2003............ 130 130 130 0 0
May 2004............ 138 138 138 0 0
May 2005............ 148 148 148 0 0
May 2006............ 157 157 157 0 0
May 2007............ 168 168 168 0 0
May 2008............ 179 179 179 0 0
May 2009............ 191 191 191 0 0
May 2010............ 204 204 204 0 0
May 2011............ 218 218 218 0 0
May 2012............ 232 232 232 0 0
May 2013............ 248 248 98 0 0
May 2014............ 264 264 0 0 0
May 2015............ 282 282 0 0 0
May 2016............ 301 301 0 0 0
May 2017............ 321 321 0 0 0
May 2018............ 343 343 0 0 0
May 2019............ 366 260 0 0 0
May 2020............ 390 54 0 0 0
May 2021............ 416 0 0 0 0
May 2022............ 444 0 0 0 0
May 2023............ 474 0 0 0 0
May 2024............ 506 0 0 0 0
May 2025............ 539 0 0 0 0
May 2026............ 576 0 0 0 0
May 2027............ 257 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 28.0 20.4 13.9 0.3 0.2
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on pages S-66.
+ The weighted average life shown in the table for this class of certificates
represents the weighted average life of these certificates taken as a whole
and is not likely to reflect the experience of any particular investor.
Because holders of these certificates will receive distributions in
reduction of the Certificate Principal Balance of such certificates on the
basis of Principal Distribution Requests or by random lot, the weighted
average life of any such certificates owned by an individual investor may
vary significantly from the weighted average life of this class of
certificates taken as a whole.
S-75
<PAGE> 76
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A16
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 107 107 107 0 0
May 2001............ 114 114 114 0 0
May 2002............ 121 121 121 0 0
May 2003............ 130 130 130 0 0
May 2004............ 138 138 138 0 0
May 2005............ 148 148 148 0 0
May 2006............ 157 157 157 0 0
May 2007............ 168 168 168 0 0
May 2008............ 179 179 179 0 0
May 2009............ 191 191 191 0 0
May 2010............ 204 204 204 0 0
May 2011............ 218 218 218 0 0
May 2012............ 232 232 232 0 0
May 2013............ 248 248 248 0 0
May 2014............ 264 264 214 0 0
May 2015............ 282 282 101 0 0
May 2016............ 301 301 4 0 0
May 2017............ 321 321 0 0 0
May 2018............ 343 343 0 0 0
May 2019............ 366 366 0 0 0
May 2020............ 390 390 0 0 0
May 2021............ 416 277 0 0 0
May 2022............ 444 122 0 0 0
May 2023............ 474 0 0 0 0
May 2024............ 506 0 0 0 0
May 2025............ 539 0 0 0 0
May 2026............ 576 0 0 0 0
May 2027............ 614 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 28.6 22.6 15.8 0.6 0.4
<CAPTION>
CLASS A17
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 107 107 107 0 0
May 2001............ 114 114 114 0 0
May 2002............ 121 121 121 0 0
May 2003............ 130 130 130 0 0
May 2004............ 138 138 138 0 0
May 2005............ 148 148 148 0 0
May 2006............ 157 157 157 0 0
May 2007............ 168 168 168 0 0
May 2008............ 179 179 179 0 0
May 2009............ 191 191 191 0 0
May 2010............ 204 204 204 0 0
May 2011............ 218 218 218 0 0
May 2012............ 232 232 232 0 0
May 2013............ 248 248 248 0 0
May 2014............ 264 264 264 0 0
May 2015............ 282 282 282 0 0
May 2016............ 301 301 301 0 0
May 2017............ 321 321 242 0 0
May 2018............ 343 343 191 0 0
May 2019............ 366 366 149 0 0
May 2020............ 390 390 115 0 0
May 2021............ 416 416 88 0 0
May 2022............ 444 444 66 0 0
May 2023............ 474 452 48 0 0
May 2024............ 506 349 34 0 0
May 2025............ 539 257 23 0 0
May 2026............ 576 175 14 0 0
May 2027............ 614 101 8 0 0
May 2028............ 572 35 2 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 29.3 26.4 20.8 0.9 0.6
<CAPTION>
CLASS A18
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 49
May 2004............ 100 100 100 100 1
May 2005............ 100 100 100 97 0
May 2006............ 100 100 100 79 0
May 2007............ 100 100 100 48 0
May 2008............ 100 100 100 29 0
May 2009............ 100 100 70 21 0
May 2010............ 100 100 43 15 0
May 2011............ 100 100 20 10 0
May 2012............ 100 100 * 6 0
May 2013............ 100 100 0 4 0
May 2014............ 100 100 0 2 0
May 2015............ 100 85 0 0 0
May 2016............ 100 57 0 0 0
May 2017............ 100 32 0 0 0
May 2018............ 100 8 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 100 0 0 0 0
May 2024............ 100 0 0 0 0
May 2025............ 100 0 0 0 0
May 2026............ 48 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.0 17.4 10.9 8.7 4.1
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on page S-66.
S-76
<PAGE> 77
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A19
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 49
May 2004............ 100 100 100 100 1
May 2005............ 100 100 100 97 0
May 2006............ 100 100 100 79 0
May 2007............ 100 100 100 48 0
May 2008............ 100 100 100 29 0
May 2009............ 100 100 70 21 0
May 2010............ 100 100 43 15 0
May 2011............ 100 100 20 10 0
May 2012............ 100 100 * 6 0
May 2013............ 100 100 0 4 0
May 2014............ 100 100 0 2 0
May 2015............ 100 85 0 0 0
May 2016............ 100 57 0 0 0
May 2017............ 100 32 0 0 0
May 2018............ 100 8 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 100 0 0 0 0
May 2024............ 100 0 0 0 0
May 2025............ 100 0 0 0 0
May 2026............ 48 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.0 17.4 10.9 8.7 4.1
<CAPTION>
CLASS A20
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 49
May 2004............ 100 100 100 100 1
May 2005............ 100 100 100 97 0
May 2006............ 100 100 100 79 0
May 2007............ 100 100 100 48 0
May 2008............ 100 100 100 29 0
May 2009............ 100 100 70 21 0
May 2010............ 100 100 43 15 0
May 2011............ 100 100 20 10 0
May 2012............ 100 100 * 6 0
May 2013............ 100 100 0 4 0
May 2014............ 100 100 0 2 0
May 2015............ 100 85 0 0 0
May 2016............ 100 57 0 0 0
May 2017............ 100 32 0 0 0
May 2018............ 100 8 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 100 0 0 0 0
May 2023............ 100 0 0 0 0
May 2024............ 100 0 0 0 0
May 2025............ 100 0 0 0 0
May 2026............ 48 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 27.0 17.4 10.9 8.7 4.1
<CAPTION>
CLASS A21
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 107 107 107 0 0
May 2001............ 114 114 114 0 0
May 2002............ 121 121 121 0 0
May 2003............ 130 130 130 0 0
May 2004............ 138 138 138 0 0
May 2005............ 148 148 148 0 0
May 2006............ 157 157 157 0 0
May 2007............ 168 168 168 0 0
May 2008............ 179 179 179 0 0
May 2009............ 191 191 191 0 0
May 2010............ 204 204 204 0 0
May 2011............ 218 218 218 0 0
May 2012............ 232 232 232 0 0
May 2013............ 248 248 198 0 0
May 2014............ 264 264 159 0 0
May 2015............ 282 282 128 0 0
May 2016............ 301 301 102 0 0
May 2017............ 321 321 81 0 0
May 2018............ 343 343 64 0 0
May 2019............ 366 330 50 0 0
May 2020............ 390 278 38 0 0
May 2021............ 416 231 29 0 0
May 2022............ 444 189 22 0 0
May 2023............ 474 151 16 0 0
May 2024............ 506 116 11 0 0
May 2025............ 539 86 8 0 0
May 2026............ 576 58 5 0 0
May 2027............ 495 34 3 0 0
May 2028............ 191 12 1 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 28.7 23.7 17.4 0.6 0.4
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on page S-66.
S-77
<PAGE> 78
PERCENT OF ORIGINAL CLASS CERTIFICATE PRINCIPAL BALANCE
OUTSTANDING OF THE CERTIFICATES
<TABLE>
<CAPTION>
CLASS A22
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 100
May 2003............ 100 100 100 100 100
May 2004............ 100 100 100 100 100
May 2005............ 100 97 94 92 90
May 2006............ 99 93 87 82 77
May 2007............ 98 87 77 69 52
May 2008............ 96 79 66 54 35
May 2009............ 94 70 54 40 24
May 2010............ 92 62 44 30 16
May 2011............ 89 55 36 22 11
May 2012............ 87 49 29 16 8
May 2013............ 84 43 23 12 5
May 2014............ 81 38 19 9 3
May 2015............ 78 33 15 6 2
May 2016............ 74 29 12 5 2
May 2017............ 70 25 10 3 1
May 2018............ 66 21 7 2 1
May 2019............ 62 18 6 2 *
May 2020............ 57 15 5 1 *
May 2021............ 52 13 3 1 *
May 2022............ 47 10 3 1 *
May 2023............ 41 8 2 * *
May 2024............ 35 6 1 * *
May 2025............ 28 5 1 * *
May 2026............ 21 3 1 * *
May 2027............ 13 2 * * *
May 2028............ 5 1 * * *
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 21.2 14.1 11.5 10.0 8.8
<CAPTION>
CLASS M, B1 AND B2
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 99 99 99 99 99
May 2001............ 98 98 98 98 98
May 2002............ 97 97 97 97 97
May 2003............ 95 95 95 95 95
May 2004............ 94 94 94 94 94
May 2005............ 93 90 88 85 83
May 2006............ 91 85 80 75 71
May 2007............ 89 79 71 63 56
May 2008............ 88 72 60 49 42
May 2009............ 86 64 49 37 28
May 2010............ 84 57 40 27 19
May 2011............ 81 50 32 20 13
May 2012............ 79 44 26 15 9
May 2013............ 76 39 21 11 6
May 2014............ 74 34 17 8 4
May 2015............ 71 30 14 6 3
May 2016............ 68 26 11 4 2
May 2017............ 64 23 9 3 1
May 2018............ 60 19 7 2 1
May 2019............ 56 16 5 2 1
May 2020............ 52 14 4 1 *
May 2021............ 48 11 3 1 *
May 2022............ 43 9 2 1 *
May 2023............ 38 7 2 * *
May 2024............ 32 6 1 * *
May 2025............ 26 4 1 * *
May 2026............ 19 3 1 * *
May 2027............ 12 2 * * *
May 2028............ 5 1 * * *
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 19.7 13.2 10.8 9.5 8.8
<CAPTION>
CLASS R AND RL
-------------------------------------
DISTRIBUTION DATE 0% 150% 275% 400% 500%
----------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial
Percentage........ 100 100 100 100 100
May 2000............ 0 0 0 0 0
May 2001............ 0 0 0 0 0
May 2002............ 0 0 0 0 0
May 2003............ 0 0 0 0 0
May 2004............ 0 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
May 2024............ 0 0 0 0 0
May 2025............ 0 0 0 0 0
May 2026............ 0 0 0 0 0
May 2027............ 0 0 0 0 0
May 2028............ 0 0 0 0 0
May 2029............ 0 0 0 0 0
Weighted Average
Life
(in years)(1).... 0.1 0.1 0.1 0.1 0.1
</TABLE>
- -------------------------
* Indicates an amount above zero and less than 0.5% of the original Class
Certificate Principal Balance is outstanding.
(1) The weighted average life is determined as described on page S-66.
S-78
<PAGE> 79
GE CAPITAL MORTGAGE SERVICES, INC.
GECMSI, a wholly-owned subsidiary of GE Capital Mortgage Corporation, is a
New Jersey corporation originally incorporated in 1949. The principal executive
office of GECMSI is located at Three Executive Campus, Cherry Hill, New Jersey
08002, telephone (609) 661-6100. For a general description of GECMSI and its
activities, see "GE Capital Mortgage Services, Inc." in the accompanying
prospectus.
GECMSI currently maintains an electronic bulletin board, accessible by
computer modem, which provides certain information about loans included in
various series of mortgage pass-through securities that GECMSI has publicly
offered. GECMSI makes no representation or warranty that such information will
be suitable for any particular purpose and GECMSI assumes no responsibility for
the accuracy or completeness of any information that is generated by others
using such information. GECMSI has no obligation to maintain the bulletin board
and may stop maintaining it any time. For further information concerning the
bulletin board, you should call 800-544-3466, extension 5515.
DELINQUENCY AND FORECLOSURE EXPERIENCE OF GECMSI
The following delinquency tables set forth certain information concerning
the delinquency and foreclosure experience on one- to four-family conventional
residential mortgage loans serviced directly by GECMSI, excluding Home Equity
Loans (as defined in the prospectus) and special loan portfolios which, upon the
GECMSI's commencement of servicing responsibilities, consisted of significant
numbers of mortgage loans that were seriously delinquent or in foreclosure. The
servicing portfolio does not include mortgage loans that were serviced or
sub-serviced by others.
<TABLE>
<CAPTION>
AS OF DECEMBER 31, AS OF DECEMBER 31, AS OF DECEMBER 31,
1996 1997 1998
--------------------- ---------------------- ----------------------
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 IN THOUSANDS)
<S> <C> <C> <C> <C> <C> <C>
Total portfolio........... 785,928 $88,188,662 726,869 $83,535,531 622,179 $75,039,774
======= =========== ======= =========== ======= ===========
Period of delinquency(1)
30 to 59 days........... 3,362 $ 353,209 2,687 $ 281,657 2,314 $ 242,342
60 to 89 days........... 1,177 135,668 632 71,245 526 56,889
90 days or more(2)...... 6,867 892,643 5,442 662,342 4,561 512,734
------- ----------- ------- ----------- ------- -----------
Total delinquent loans.... 11,406 $ 1,381,520 8,761 $ 1,051,244 7,401 $ 811,965
======= =========== ======= =========== ======= ===========
Percent of portfolio...... 1.45% 1.57% 1.21% 1.22% 1.19% 1.08%
</TABLE>
S-79
<PAGE> 80
<TABLE>
<CAPTION>
AS OF MARCH 31, AS OF MARCH 31,
1998 1999
--------------------- ----------------------
BY NO. BY DOLLAR BY NO. BY DOLLAR
OF AMOUNT OF OF AMOUNT OF
LOANS LOANS LOANS LOANS
------- ----------- ------- -----------
(DOLLAR AMOUNTS IN THOUSANDS)
<S> <C> <C> <C> <C>
Total portfolio........................ 704,085 $81,644,151 598,583 $72,701,241
======= =========== ======= ===========
Period of delinquency(1)
30 to 59 days........................ 2,347 $ 248,451 1,669 178,506
60 to 89 days........................ 562 60,476 353 36,246
90 days or more(2)................... 5,140 617,229 4,223 482,267
------- ----------- ------- -----------
Total delinquent loans................. 8,049 926,156 6,245 697,019
======= =========== ======= ===========
Percent of portfolio................... 1.14% 1.13% 1.04% 0.96%
</TABLE>
- ------------------------
(1) The indicated periods of delinquency are based on the number of days past
due on a contractual basis, based on a 30-day month. No mortgage loan is
considered delinquent for these purposes until the monthly anniversary of
its contractual due date (e.g., a mortgage loan with a payment due on
January 1 would first be considered delinquent on February 1). The
delinquencies reported above were determined as of the dates indicated.
(2) Includes pending foreclosures.
<TABLE>
<CAPTION>
AS OF DECEMBER 31,
-----------------------------------------
1996 1997 1998
----------- ----------- -----------
(DOLLAR AMOUNTS IN THOUSANDS)
<S> <C> <C> <C>
Total portfolio................... $88,188,662 $83,535,531 $75,039,774
Foreclosures(1)................... 372,800 271,046 189,421
Foreclosure ratio................. 0.42% 0.32% 0.25%
</TABLE>
<TABLE>
<CAPTION>
AS OF MARCH 31,
------------------------------
1998 1999
---- ----
(DOLLAR AMOUNTS IN THOUSANDS)
------------------------------
<S> <C> <C>
Total portfolio............................... $81,644,151 $72,701,241
Foreclosures(1)............................... 233,929 203,664
Foreclosure ratio............................. 0.29% 0.28%
</TABLE>
- -------------------------
(1) Foreclosures represent the principal balance of mortgage loans secured by
mortgaged properties, the title to which has been acquired by GECMSI, by
investors or by an insurer following foreclosure or delivery of a deed in
lieu of foreclosure and which had not been liquidated at the end of the
period indicated. The length of time necessary to complete the liquidation
of such mortgaged properties may be affected by prevailing economic
conditions and the marketability of the mortgaged properties.
We are not currently aware of specific trends that have affected our recent
delinquency and loss experience, nor are we currently aware of any trends that
are likely to affect the future performance of our servicing portfolio.
The delinquency and foreclosure experience set forth above is historical
and is based on the servicing of mortgage loans that may not be representative
of the mortgage loans in the trust. Consequently, there can be no assurance that
the delinquency and foreclosure experience on the mortgage loans in the trust
will be consistent with the data set forth above. The servicing portfolio, for
example, includes mortgage loans having a wide variety of payment
characteristics (e.g., fixed-rate mortgage loans, adjustable rate mortgage loans
and graduated payment mortgage loans) and mortgage loans secured by mortgaged
S-80
<PAGE> 81
properties in geographic locations that may not be representative of the
geographic locations of the mortgage loans in the trust. The servicing portfolio
also includes mortgage loans originated in accordance with GECMSI's
then-applicable underwriting policies as well as mortgage loans not originated
in accordance with such policies but as to which GECMSI had acquired the related
servicing rights.
The servicing portfolio includes many mortgage loans which have not been
outstanding long enough to have seasoned to a point where delinquencies would be
fully reflected. In the absence of such substantial continuous additions of
servicing for recently originated mortgage loans to the servicing portfolio, it
is possible that the delinquency and foreclosure percentages experienced in the
future could be significantly higher than those indicated in the tables above.
Investors should further note that a number of social, economic, tax,
geographic, demographic, legal and other factors may adversely affect the timely
payment by borrowers of scheduled payments of principal and interest on the
mortgage loans in the servicing portfolio, which could, in turn, cause an
increase in delinquency and foreclosure rates. These factors include economic
conditions, either nationally or in geographic areas where GECMSI's servicing
portfolio tends to be concentrated, the age of the mortgage loans in the trust,
the geographic distribution of the mortgaged properties, the payment terms of
the mortgages, the characteristics of the mortgagors, enforceability of
due-on-sale clauses and servicing decisions.
USE OF PROCEEDS
The net proceeds from the sale of the certificates offered hereby will be
general funds used by GECMSI for general corporate purposes, including the
acquisition of residential mortgage loans and servicing rights.
THE POOLING AND SERVICING AGREEMENT
The certificates will be issued pursuant to the Agreement. The following
summaries describe the material provisions of the Agreement that are unique to
this offering of certificates. See "The Pooling and Servicing Agreement" in the
accompanying prospectus for summaries of the other material provisions of the
Agreement. The summaries below do not purport to be complete and are subject to,
and qualified in their entirety by reference to, the provisions of the
Agreement. Where particular provisions or terms used in the Agreement are
referred to, those provisions or terms are as specified in the Agreement.
SERVICING ARRANGEMENT WITH RESPECT TO THE MORTGAGE LOANS
It is expected that GECMSI will directly service approximately 81% (by
aggregate Scheduled Principal Balance as of the Cut-off Date) of the mortgage
loans and will function as master servicer with respect to the remaining
mortgage loans pursuant to a Direct Master Servicing Arrangement. Such
master-serviced loans will be directly serviced by the entities which originated
or acquired those loans and sold them to GECMSI. The Agreement permits GECMSI to
use other primary servicing agents from time to time. See "Servicing of the
Mortgage Loans" in the accompanying prospectus.
COLLECTION ACCOUNT
The Agreement provides that if GECMSI or the Trustee obtains actual notice
or knowledge of the occurrence of a Trigger Event or the downgrade of GE
Capital's short term unsecured rating below A-1+ by Standard & Poor's Ratings
Services, a division of The McGraw-Hill Companies, Inc. ("S&P"), GECMSI will, in
lieu of the Loan Payment
S-81
<PAGE> 82
Record described under the caption "Servicing of the Mortgage Loans -- Loan
Payment Record" in the accompanying prospectus, establish and maintain or cause
to be established and maintained a separate account (the "Collection Account")
for the certificates for the collection of payments on the mortgage loans;
provided, however, that such action will not be required if GECMSI delivers to
the Trustee a letter from each rating agency which originally rated the
certificates to the effect that the failure to take such action would not cause
such rating agency to withdraw or reduce its then current rating of such
certificates. If established, such Collection Account would be:
-- maintained with a depository institution the debt obligations of
which are, at the time of any deposit therein, rated by each of Fitch
IBCA, Inc. ("Fitch") and S&P in one of its two highest long-term
rating categories and by S&P in its highest short-term rating
category;
-- an account or accounts the deposits in which are fully insured by
either the Bank Insurance Fund (the "BIF") of the Federal Deposit
Insurance Corporation (the "FDIC") or the Savings Association
Insurance Fund (as successor to the Federal Savings and Loan
Insurance Corporation) of the FDIC (the "SAIF");
-- an account or accounts with a depository institution, which accounts
are insured by the BIF or SAIF (to the limits established by the
FDIC), and which uninsured deposits are invested in United States
government securities or other high quality investments, or are
otherwise secured to the extent required by Fitch and S&P such that,
as evidenced by an opinion of counsel, the holders of the
certificates have a claim with respect to the funds in the account or
a perfected first security interest against any collateral securing
such funds that is superior to claims of any other depositors or
creditors of the depository institution with which the account is
maintained;
-- a trust account maintained with the corporate trust department of a
federal or state chartered depository institution or trust company
with trust powers and acting in its fiduciary capacity for the
benefit of the Trustee; or
-- an account as will not cause either Fitch or S&P to downgrade or
withdraw its then-current ratings assigned to the certificates.
If a Collection Account is established for the certificates, all amounts
credited or debited to the Loan Payment Record in the manner described under the
caption "Servicing of the Mortgage Loans -- Loan Payment Record" will instead be
deposited or withdrawn from the related Collection Account. See "Servicing of
the Mortgage Loans -- Loan Payment Record" in the accompanying prospectus.
Prior to the occurrence of a Trigger Event, GECMSI will transfer to the
Certificate Account, in next day funds, the Available Funds for the related
Distribution Date on the business day immediately preceding such Distribution
Date.
ADVANCES
In the event that any mortgagor fails to make any payment of principal or
interest required under the terms of a mortgage loan, GECMSI will advance the
entire amount of such payment, net of the applicable servicing fee, less the
amount of any such payment that GECMSI reasonably believes will not be
recoverable out of liquidation proceeds or otherwise. See "Servicing of the
Mortgage Loans -- Advances" in the accompanying prospectus for more information.
S-82
<PAGE> 83
The Trustee will make advances of delinquent principal and interest
payments in the event of a failure by GECMSI to perform its obligation to do so,
provided that the Trustee will not make such advance to the extent that it
reasonably believes the payment will not be recoverable to it out of related
liquidation or insurance proceeds or otherwise. The Trustee will be entitled to
reimbursement for advances in a manner similar to GECMSI's entitlement as
described in the accompanying prospectus.
As a result of the subordination of the junior certificates, the effect of
reimbursements to GECMSI or the Trustee of previous advances from liquidation or
insurance proceeds and of nonrecoverable advances will generally be borne by the
holders of the junior certificates (to the extent then outstanding) in inverse
order of priority before they are borne by holders of the senior certificates.
PURCHASES OF DEFAULTED MORTGAGE LOANS
Under the Agreement, GECMSI will have the option (but not the obligation)
to purchase any mortgage loan as to which the mortgagor has failed to make
unexcused payment in full of three or more scheduled payments of principal and
interest (a "Defaulted Mortgage Loan"). Any such purchase will be for a price
equal to 100% of the outstanding principal balance of such mortgage loan, plus
accrued and unpaid interest thereon at the Net Mortgage Rate, less any amounts
representing previously unreimbursed advances. The purchase price for any
Defaulted Mortgage Loan will be deposited in the Certificate Account on the
business day prior to the Distribution Date on which the proceeds of such
purchase are to be distributed to the certificateholders.
SERVICING COMPENSATION, COMPENSATING INTEREST AND PAYMENT OF EXPENSES
GECMSI's primary compensation for its servicing activities will come from
the payment to it, with respect to each interest payment on any mortgage loan,
of the servicing fee at the rate described below. As to each mortgage loan, the
servicing fee rate will be a fixed rate per annum of the outstanding principal
balance of such mortgage loan, expected to range from approximately 0.20% to
0.29%, with an anticipated initial weighted average rate of between
approximately 0.24% and 0.28%. The aggregate servicing compensation to GECMSI
could vary depending on the prepayment experience of the mortgage loans. The
servicing compensation of any direct servicer of any mortgage loan will be paid
out of the related servicing fee, and GECMSI will retain the balance of the
servicing fee as part of its servicing compensation, (subject to its obligation
to make Compensating Interest Payments, as described below).
To the extent any voluntary prepayment results in an Interest Shortfall (as
described in clauses (1) and (2) of the definition thereof) with respect to any
Distribution Date, GECMSI will be obligated to remit an amount (such amount, a
"Compensating Interest Payment") sufficient to pass through to
certificateholders the full amount of interest to which they would have been
entitled in the absence of such prepayments, but in no event greater than the
lesser of (a) 1/12th of 0.125% of the Pool Scheduled Principal Balance for such
Distribution Date and (b) the aggregate amount received by GECMSI on account of
its servicing fees (net of any servicing compensation paid to any direct
servicer) in connection with such Distribution Date. Because the net amount
received by GECMSI on account of its servicing fee is generally less in the case
of mortgage loans master-serviced by GECMSI than in the case of mortgage loans
GECMSI services directly, the amounts available for any Compensating Interest
Payment with respect to any Distribution Date will generally decrease to the
extent the proportion of Outstanding Mortgage Loans
S-83
<PAGE> 84
master-serviced by GECMSI increases, and increase to the extent the proportion
of such mortgage loans decreases. It is expected that no more than 19% of the
mortgage loans (by aggregate Scheduled Principal Balance as of the Cut-off Date)
will be master-serviced by GECMSI. This percentage could vary over time,
however, if mortgage loans directly serviced by GECMSI experience a
disproportionately high or low level of prepayments or defaults relative to
mortgage loans master-serviced by GECMSI. In addition, the proportion of
master-serviced mortgage loans could be affected as a result of (1) the exercise
by GECMSI of its right under the Agreement to contract with third parties to
directly service mortgage loans, with GECMSI becoming the master servicer of
such mortgage loans, or (2) the substitution of any mortgage loans under the
Agreement.
GECMSI will retain, as additional servicing compensation, amounts in
respect of interest paid by borrowers in connection with any principal
prepayment in full received by GECMSI (or, with respect to mortgage loans
master-serviced by GECMSI, of which the Company receives notice) from the first
day through the fifteenth day of each month, other than the month of the Cut-off
Date.
GECMSI will pay expenses incurred in connection with its responsibilities
under the Agreement, subject to limited reimbursement as described herein and in
the accompanying Prospectus. See "Servicing of the Mortgage Loans -- Servicing
and Other Compensation and Payment of Expenses" in the accompanying prospectus
for information regarding other possible compensation to GECMSI.
TRUSTEE
The Trustee for the certificates offered hereby will be State Street Bank
and Trust Company, a Massachusetts banking corporation organized and existing
under the laws of the Commonwealth of Massachusetts. The Corporate Trust Office
of the Trustee is located at 225 Franklin Street, Boston, Massachusetts 02110.
OPTIONAL TERMINATION
GECMSI may, at its option, repurchase all of the mortgage loans underlying
the certificates and thereby effect the early retirement of the certificates and
cause the termination of the trust on any Distribution Date after the aggregate
Scheduled Principal Balance of the mortgage loans is less than 10% of the
aggregate Scheduled Principal Balance thereof as of the Cut-off Date. Under the
Agreement, the Trustee will provide notice to certificateholders of this final
distribution. This notice will state:
(1) the distribution date on which the final distribution will be made;
(2) the amount of the final distribution; and
(3) that the final distribution on each certificate will be paid only upon
surrender of such certificate.
GECMSI may not exercise this option unless the Trustee has received an
opinion of counsel that the exercise of such option will not subject the trust
to a tax on prohibited transactions or result in the failure of the lower-tier
REMIC or the upper-tier REMIC to qualify as a REMIC.
In accordance with the Agreement, any such repurchase by GECMSI of the
assets included in the trust will be at a price equal to the sum of:
(1) 100% of the unpaid principal balance of each mortgage loan in the trust
other than a mortgage loan described in clause (2) below, as of the
first day of the
S-84
<PAGE> 85
month of such repurchase, plus accrued and unpaid interest thereon to
the first day of the month of such repurchase at the related Net
Mortgage Rate, less any amounts representing previously unreimbursed
advances; and
(2) the appraised value of any property acquired in respect of a related
mortgage loan less any amounts representing previously unreimbursed
advances in respect thereof and a good faith estimate of liquidation
expenses.
The Available Funds on the final Distribution Date will be allocated to
each class of certificates in accordance with the priorities described under
"Description of the Certificates -- Distributions on the
Certificates -- Allocation of Available Funds." Accordingly, if the Available
Funds on the final Distribution Date are less than the aggregate principal
balance of all outstanding certificates plus accrued and unpaid interest
thereon, then in the event that such Distribution Date occurs:
- prior to the Cross-over Date, the resulting shortfall will borne by the
certificates in inverse order of their related payment priorities, and
- on or after the Cross-over Date, such shortfall will be borne pro rata
among the senior certificates.
No holder of any certificates will be entitled to any Unanticipated
Recoveries received with respect to any mortgage loan after the termination of
the trust. See "Servicing of the Mortgage Loans -- Unanticipated Recoveries of
Losses on the Mortgage Loans" in the prospectus.
VOTING RIGHTS
The Class A5 Certificates will be allocated 1% of the votes, the Class S
Certificates will be allocated 1% of the votes and the other classes of
certificates in the aggregate will be allocated 98% of the votes eligible to be
cast in connection with any vote of all certificateholders under the Agreement.
Votes allocated to the certificates under the Agreement will be allocated
among the classes (and among the certificates within each such class) in
proportion to their Class Certificate Principal Balances.
FEDERAL INCOME TAX CONSEQUENCES
The following discussion, insofar as it states conclusions of law,
represents the opinion of Cleary, Gottlieb, Steen & Hamilton, special counsel to
GECMSI.
An election will be made to treat the trust as a two-tier REMIC for federal
income tax purposes.
The certificates other than the residual certificates (the "Regular
Certificates") will be designated as "regular interests" in the two-tier REMIC.
The Class R Certificates will be designated as the "residual interest" in the
upper-tier REMIC, and the Class RL Certificates will be designated as the
"residual interest" in lower-tier REMIC.
Regular Certificates
The Regular Certificates generally will be treated as debt instruments
issued by the upper-tier REMIC for federal income tax purposes. Income on
Regular Certificates must be reported under an accrual method of accounting.
Certain classes of Regular Certificates (other than the Class A5, Class A9,
Class A15, Class A16, Class A17, Class A20 and
S-85
<PAGE> 86
Class A21 Certificates) may be issued with original issue discount in an amount
equal to the excess of their initial respective Class Certificate Principal
Balances (plus accrued interest from the last day preceding the issue date
corresponding to a Distribution Date through the issue date plus, in the case of
the Class A12 Certificates, amounts initially deposited in the Class A12
Interest Account), over their issue prices (including all accrued interest). The
Class A9, Class A15, Class A16, Class A17, Class A20 and Class A21 Certificates
will be, and the Class A5 Certificates will likely be treated as being, issued
with original issue discount in an amount equal to the excess of (1) the sum of
all payments thereon determined under the Prepayment Assumption described below,
over (2) their issue price. The prepayment assumption that is to be used in
determining the rate of accrual of original issue discount and whether the
original issue discount is considered de minimis, and that may be used by a
holder of a Regular Certificate to amortize premium, will be 275% of the
Prepayment Assumption. No representation is made as to the actual rate at which
the mortgage loans will prepay. See "Federal Income Tax Consequences -- REMIC
Certificates -- Income from Regular Certificates" in the accompanying
prospectus.
The requirement to report income on a Regular Certificate under an accrual
method may result in the inclusion of amounts in income that are not currently
distributed in cash. In the case of a junior certificate, accrued income may
exceed cash distributions as a result of the preferential right of classes of
senior certificates to receive cash distributions in the event of losses or
delinquencies on mortgage loans. Prospective purchasers of junior certificates
should consult their tax advisors regarding the timing of income from those
certificates and the timing and character of any deductions that may be
available with respect to principal or accrued interest that is not paid. See
"Federal Income Tax Consequences -- REMIC Certificates -- Income from Regular
Certificates" in the accompanying prospectus.
Residual Certificates
The holders of the residual certificates must include the taxable income of
the upper-tier and lower-tier REMICs in their federal taxable income. The
resulting tax liability of the holders may exceed cash distributions to such
holders during certain periods. All or a portion of the taxable income from the
residual certificates recognized by a holder may be treated as "excess
inclusion" income, which with limited exceptions is subject to U.S. federal
income tax in all events.
Under Treasury regulations, the residual certificates may be considered to
be "noneconomic residual interests" at the time they are issued, in which event
certain transfers thereof would be disregarded for federal income tax purposes.
Prospective purchasers of the residual certificates should consider
carefully the tax consequences of an investment in residual certificates
discussed in the prospectus and should consult their own tax advisors with
respect to those consequences. See "Federal Income Tax Consequences -- REMIC
Certificates -- Income from Residual Certificates -- Taxation of Certain Foreign
Investors -- Servicing Compensation and Other REMIC Pool Expense -- Transfers of
Residual Certificates."
ERISA CONSIDERATIONS
As described in the prospectus under "ERISA Considerations," the Employee
Retirement Income Security Act of 1974, as amended ("ERISA"), and the Internal
Revenue Code of 1986, as amended (the "Code") impose certain duties and
restrictions
S-86
<PAGE> 87
on any person which is an employee benefit plan within the meaning of Section
3(3) of ERISA or a plan subject to Section 4975 of the Code or any person
utilizing the assets of such employee benefit plan or other plan (an "ERISA
Plan") and certain persons who perform services for ERISA Plans. For example,
unless exempted, an investment by an ERISA Plan in the certificates offered
hereby may constitute or give rise to a prohibited transaction under ERISA or
Section 4975 of the Code. The United States Department of Labor (the "DOL") has
issued certain such exemptions from these prohibitions which might be applicable
in connection with an ERISA Plan's purchase of certain of the certificates
offered hereby, including Prohibited Transaction Class Exemption 83-1 ("PTE
83-1"). In particular, the exemptive relief provided by PTE 83-1 may be
available with respect to the initial acquisition and holding of certain classes
of certificates offered hereby, provided that the conditions specified in PTE
83-1 are satisfied. See "ERISA Considerations" in the accompanying prospectus.
The United States Department of Labor (the "DOL") has issued to Bear,
Stearns & Co. Inc. an individual administrative exemption, Prohibited
Transaction Exemption 90-30 (55 Fed. Reg. 21461, May 24, 1990), as amended (the
"Exemption"), from certain of the prohibited transaction provisions of ERISA
with respect to the initial purchase, the holding, and the subsequent resale by
an ERISA Plan of certificates in pass-through trusts that meet the conditions
and requirements of the Exemption. The Exemption might apply to the acquisition,
holding and resale of the senior certificates offered hereby by an ERISA Plan,
provided that specified conditions are met.
Among the conditions which would have to be satisfied for the Exemption to
apply to the acquisition by an ERISA Plan of the senior certificates offered
hereby are the following:
- Bear, Stearns & Co. Inc. is the sole underwriter or the manager or
co-manager of the underwriting syndicate for the certificates;
- the certificates are rated in one of the three highest generic rating
categories by Fitch, Moody's Investors Service, Inc., S&P or Duff &
Phelps Credit Rating Co. at the time of the acquisition of such
certificates by the ERISA Plan;
- the certificates represent a beneficial ownership interest in, among
other things, obligations that bear interest or are purchased at a
discount and which are secured by single-family residential, multifamily
residential or commercial real property (including obligations secured
by leasehold interests on residential or commercial real property), or
fractional undivided interests in such obligations;
- the certificates are not subordinated to other certificates issued by
the trust in respect of the mortgage pool;
- the ERISA Plan investing in the certificates is an "accredited investor"
as defined in Rule 501(a)(1) of Regulation D of the Securities and
Exchange Commission under the Securities Act of 1933;
- the acquisition of the certificates is on terms that are at least as
favorable to the ERISA Plan as they would be in an arm's length
transaction with an unrelated third party;
- the Trustee is not an affiliate of any member of the "Restricted Group"
(as defined below); and
- the compensation to Bear, Stearns & Co. Inc. represents not more than
reasonable compensation for underwriting the certificates, the proceeds
to GECMSI pursuant
S-87
<PAGE> 88
to the assignment of the mortgage loans (or interests therein) to the
Trustee represent not more than the fair market value of such mortgage
loans (or interests) and the sum of all payments made to and retained by
GECMSI represents not more than reasonable compensation for GECMSI's
services under the Agreement and reimbursement of GECMSI's reasonable
expenses in connection therewith.
In addition, if certain additional conditions specified in the Exemption
are satisfied, the Exemptions may provide an exemption from the prohibited
transaction provisions of ERISA relating to possible self-dealing transactions
by fiduciaries who have discretionary authority, or render investment advice,
with respect to ERISA Plan assets used to purchase the senior certificates
offered hereby if the fiduciary (or its affiliate) is an obligor on any of the
mortgage loans.
The Exemption would not be available with respect to ERISA Plans sponsored
by any of the following entities (or any affiliate of any such entity):
- GECMSI;
- Bear, Stearns & Co. Inc.;
- the Trustee;
- any entity that provides insurance or other credit enhancement to the
trust in respect of the mortgage pool; or
- any obligor with respect to mortgage loans included in the mortgage pool
constituting more than five percent of the aggregate unamortized
principal balance of the assets in such mortgage loan pool (the
"Restricted Group").
Before purchasing any certificate offered hereby, a fiduciary of an ERISA Plan
should make its own determination as to the availability of the exemptive relief
provided in the Exemption or the availability of any other prohibited
transaction exemptions, and whether the conditions of any such exemption will be
applicable to such certificate.
The Exemption does not apply to the initial purchase, the holding or the
subsequent resale of the Class M, Class B1 and Class B2 Certificates because
such certificates are subordinate to certain other classes of certificates.
ACCORDINGLY, ERISA PLANS MAY NOT PURCHASE THE CLASS M, CLASS B1 OR CLASS B2
CERTIFICATES, except that any insurance company may purchase such certificates
with assets of its general account if the exemptive relief granted by the DOL
for transactions involving insurance company general accounts in Prohibited
Transaction Exemption 95-60, 60 Fed. Reg. 35925 (July 12, 1995) is available
with respect to such investment. Any insurance company proposing to purchase
such certificates for its general account should consider whether such relief
would be available.
Any fiduciary of an ERISA Plan considering whether to purchase any
certificate offered hereby should not only consider the applicability of
exemptive relief, but should also carefully review with its own legal advisors
the applicability of the fiduciary duty and prohibited transaction provisions of
ERISA and the Code to such investment. See "ERISA Considerations" in the
accompanying prospectus.
A qualified pension plan or other entity that is exempt from federal income
taxation pursuant to Section 501 of the Code (a "Tax-Exempt Investor")
nonetheless will be subject to federal income taxation to the extent that its
income is "unrelated business taxable income" within the meaning of Section 512
of the Code. The residual certificates
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<PAGE> 89
constitute the residual interests in the respective REMICs constituted by the
trust, and all "excess inclusions" allocated to the residual certificates, if
held by a Tax-Exempt Investor, will be considered "unrelated business taxable
income" and thus will be subject to federal income tax. See "Federal Income Tax
Consequences -- Federal Income Tax Consequences for REMIC Certificates --
Taxation of Residual Certificates" in the prospectus.
The Agreement will contain certain restrictions on the transferability of
the Class M, Class B1 and Class B2 Certificates. See "Description of the
Certificates -- Book-Entry Certificates" herein. The Agreement provides that the
residual certificates may not be acquired by or transferred to an ERISA Plan.
See "Description of the Certificates -- Restrictions on Transfer of the Residual
Certificates" herein.
LEGAL INVESTMENT MATTERS
The senior certificates offered hereby and the Class M Certificates will
constitute "mortgage related securities" for purposes of the Secondary Mortgage
Market Enhancement Act of 1984 ("SMMEA") so long as such certificates are rated
in one of the two highest rating categories by at least one nationally
recognized rating agency. As such, such certificates are legal investments for
certain entities to the extent provided in SMMEA. However, institutions subject
to the jurisdiction of the Office of the Comptroller of the Currency, the Board
of Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, the Office of Thrift Supervision, the National Credit Union
Administration or state banking or insurance authorities should review
applicable rules, supervisory policies and guidelines of these agencies before
purchasing any of the certificates, as certain classes may be deemed to be
unsuitable investments under one or more of these rules, policies and guidelines
and certain restrictions may apply to investments in other classes. It should
also be noted that certain states have enacted legislation limiting to varying
extents the ability of certain entities (in particular insurance companies) to
invest in mortgage related securities. Investors should consult with their own
legal advisors in determining whether and to what extent the certificates
constitute legal investments for such investors. See "Legal Investment Matters"
in the accompanying prospectus.
The Class B1 and Class B2 Certificates will not constitute "mortgage
related securities" under SMMEA. The appropriate characterization of the Class
B1 and Class B2 Certificates under various legal investment restrictions, and
thus the ability of investors subject to these restrictions to purchase Class B1
or Class B2 Certificates, may be subject to significant interpretive
uncertainties. All investors whose investment authority is subject to legal
restrictions should consult their own legal advisors to determine whether, and
to what extent, the Class B1 or Class B2 Certificates will constitute legal
investments for them.
GECMSI makes no representation as to the proper characterization of the
Class B1 or Class B2 Certificates for legal investment of financial institution
regulatory purposes, or as to the ability of particular investors to purchase
the Class B1 or Class B2 Certificates under applicable legal investment
restrictions. The uncertainties described above (and any unfavorable future
determinations concerning legal investment or financial institution regulatory
characteristics of the Class B1 or Class B2 Certificates) may adversely affect
the liquidity of the Class B1 and Class B2 Certificates.
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<PAGE> 90
PLAN OF DISTRIBUTION
Subject to the terms and conditions set forth in the Underwriting Agreement
between GECMSI and Bear, Stearns & Co. Inc., the certificates offered hereby are
being purchased from GECMSI by Bear, Stearns & Co. Inc. upon issuance.
Distribution of the certificates offered hereby will be made by the underwriter
from time to time in negotiated transactions or otherwise at varying prices to
be determined at the time of sale.
Proceeds to GECMSI from the sale of the certificates offered hereby will be
approximately 98.996014% of the aggregate initial Class Certificate Principal
Balance of the certificates offered hereby, plus accrued interest thereon from
the Cut-off Date to but excluding the date of initial issuance of the
certificates, but before deducting issuance expenses payable by GECMSI. In
connection with the purchase and sale of the certificates offered hereby, the
underwriter may be deemed to have received compensation from GECMSI in the form
of underwriting discounts.
GECMSI has agreed to indemnify the underwriter against, or make
contributions to the underwriter with respect to, certain liabilities, including
liabilities under the Securities Act of 1933, as amended.
Bear, Stearns & Co. Inc. has entered into an agreement with GECMSI to
purchase the Class B3, Class B4 and Class B5 Certificates simultaneously with
the purchase of the certificates offered hereby, subject to certain conditions.
CERTIFICATE RATINGS
It is a condition of issuance of the certificates that the senior
certificates offered hereby other than the Class A5, Class A14 and Class A20
Certificates be rated "AAA" by each of Fitch and S&P, that the Class A5, Class
A14 and Class A20 Certificates be rated "AAA" by Fitch and "AAAr" by S&P, and
that the Class M, Class B1 and Class B2 Certificates be rated "AA," "A" and
"BBB," respectively, by Fitch.
The ratings assigned by Fitch to mortgage pass-through certificates address
the likelihood of the receipt by certificateholders of all distributions to
which such certificateholders are entitled. Fitch's ratings address the
structural and legal aspects associated with the certificates, including the
nature of the underlying mortgage loans. Fitch's ratings on mortgage
pass-through certificates do not represent any assessment of the likelihood or
rate of principal prepayments. The ratings do not address the possibility that
certificateholders might suffer a lower than anticipated yield.
S&P's ratings on mortgage pass-through certificates address the likelihood
of receipt by certificateholders of payments required under the operative
agreements. S&P's ratings take into consideration the credit quality of the
mortgage pool including any credit support providers, structural and legal
aspects associated with the certificates, and the extent to which the payment
stream of the mortgage pool is adequate to make payment required under the
certificates. S&P's ratings on the certificates do not, however, constitute a
statement regarding the frequency of prepayments on the mortgage loans. S&P's
rating does not address the possibility that investors may suffer a lower than
anticipated yield. The "r" symbol is appended to the rating by S&P of those
certificates that S&P believes may experience high volatility or high
variability in expected returns due to non-credit risks. The absence of the "r"
symbol in the ratings of other certificates offered hereby should not be taken
as an indication that such certificates will exhibit no volatility or
variability in return.
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<PAGE> 91
The ratings of the certificates should be evaluated independently from
similar ratings on other types of securities. A security rating is not a
recommendation to buy, sell or hold securities and may be subject to revision or
withdrawal at any time by the assigning rating agency.
GECMSI has not requested a rating of the certificates offered hereby by any
rating agency other than Fitch and S&P and GECMSI has not provided information
relating to the certificates offered hereby or the mortgage loans to any rating
agency other than Fitch and S&P. However, there can be no assurance as to
whether any other rating agency will rate the certificates offered hereby or, if
another rating agency rates such certificates, what rating would be assigned to
such certificates by such rating agency. Any such unsolicited rating assigned by
another rating agency to the certificates offered hereby may be lower than the
rating assigned to such certificates by either, or both, of Fitch and S&P.
LEGAL MATTERS
Certain legal matters in respect of the certificates will be passed upon
for GECMSI by Cleary, Gottlieb, Steen & Hamilton, New York, New York, and for
the underwriter by Brown & Wood LLP, Washington, D.C.
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<PAGE> 92
APPENDIX A
PAC BALANCES TABLE
The PAC Balances set forth in the table below were calculated on the basis
of the Class Certificate Principal Balances of the Class A1, Class A2, Class A3
and Class A4 Certificates set forth in the summary of this prospectus supplement
and the other assumptions described in "Yield and Weighted Average Life
Considerations -- Weighted Average Lives of the Certificates -- PAC
Certificates" in this prospectus supplement.
If such Class Certificate Principal Balances are increased or decreased in
accordance with the variance permitted hereby, the applicable balances set forth
in the table below will be increased or decreased substantially correspondingly.
In such event, the final PAC Balances Table will be calculated on or about May
27, 1999 on the basis of such revised Class Certificate Principal Balances and
the actual characteristics of the mortgage loans and on the basis of (1) the PAC
Structuring Range for the PAC Certificates and (2) the assumptions set forth in
clauses (1), (4) through (8) and (11) of the Modeling Assumptions. The final PAC
Balances Table will be set forth in the Agreement, which will be filed as an
exhibit to the definitive description of the mortgage loans filed on a Current
Report on Form 8-K.
<TABLE>
<CAPTION>
CLASS A1 CLASS A2 CLASS A3 CLASS A4
DISTRIBUTION DATE PAC BALANCE PAC BALANCE PAC BALANCE PAC BALANCE
----------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Initial Balance...................... $30,939,608.00 $45,707,200.00 $171,374,222.00 $41,356,970.00
June 1999............................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
July 1999............................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
August 1999.......................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
September 1999....................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
October 1999......................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
November 1999........................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
December 1999........................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
January 2000......................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
February 2000........................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
March 2000........................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
April 2000........................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
May 2000............................. 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
June 2000............................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
July 2000............................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
August 2000.......................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
September 2000....................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
October 2000......................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
November 2000........................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
December 2000........................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
January 2001......................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
February 2001........................ 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
March 2001........................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
April 2001........................... 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
May 2001............................. 30,939,608.00 45,707,200.00 171,374,222.00 41,356,970.00
June 2001............................ 26,319,220.73 45,707,200.00 171,374,222.00 40,086,363.53
July 2001............................ 21,519,577.47 45,707,200.00 171,374,222.00 38,766,461.66
August 2001.......................... 16,601,897.07 45,707,200.00 171,374,222.00 37,414,099.59
</TABLE>
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<PAGE> 93
<TABLE>
<CAPTION>
CLASS A1 CLASS A2 CLASS A3 CLASS A4
DISTRIBUTION DATE PAC BALANCE PAC BALANCE PAC BALANCE PAC BALANCE
----------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
September 2001....................... $11,709,352.65 $45,707,200.00 $171,374,222.00 $36,068,649.90
October 2001......................... 6,849,188.21 45,707,200.00 171,374,222.00 34,732,104.71
November 2001........................ 2,021,196.01 45,707,200.00 171,374,222.00 33,404,406.89
December 2001........................ 0.00 42,876,873.09 171,374,222.00 32,140,996.27
January 2002......................... 0.00 38,017,322.32 171,374,222.00 30,926,108.58
February 2002........................ 0.00 33,189,959.86 171,374,222.00 29,719,267.96
March 2002........................... 0.00 28,394,579.30 171,374,222.00 28,520,422.83
April 2002........................... 0.00 23,630,975.61 171,374,222.00 27,329,521.90
May 2002............................. 0.00 18,898,945.06 171,374,222.00 26,146,514.26
June 2002............................ 0.00 14,198,285.27 171,374,222.00 24,971,349.32
July 2002............................ 0.00 9,528,795.22 171,374,222.00 23,803,976.80
August 2002.......................... 0.00 4,890,275.14 171,374,222.00 22,644,346.79
September 2002....................... 0.00 282,526.63 171,374,222.00 21,492,409.66
October 2002......................... 0.00 0.00 166,602,391.51 20,825,299.18
November 2002........................ 0.00 0.00 161,550,396.52 20,193,799.80
December 2002........................ 0.00 0.00 156,531,939.34 19,566,492.65
January 2003......................... 0.00 0.00 151,546,805.23 18,943,350.88
February 2003........................ 0.00 0.00 146,594,780.83 18,324,347.82
March 2003........................... 0.00 0.00 141,675,654.19 17,709,456.98
April 2003........................... 0.00 0.00 136,789,214.75 17,098,652.04
May 2003............................. 0.00 0.00 131,935,253.30 16,491,906.86
June 2003............................ 0.00 0.00 127,113,562.06 15,889,195.44
July 2003............................ 0.00 0.00 122,323,934.55 15,290,492.00
August 2003.......................... 0.00 0.00 117,566,165.69 14,695,770.88
September 2003....................... 0.00 0.00 112,840,051.71 14,105,006.63
October 2003......................... 0.00 0.00 108,145,390.22 13,518,173.93
November 2003........................ 0.00 0.00 103,481,980.10 12,935,247.66
December 2003........................ 0.00 0.00 98,849,621.60 12,356,202.84
January 2004......................... 0.00 0.00 94,248,116.24 11,781,014.67
February 2004........................ 0.00 0.00 89,677,266.90 11,209,658.49
March 2004........................... 0.00 0.00 85,136,877.68 10,642,109.83
April 2004........................... 0.00 0.00 80,626,754.01 10,078,344.37
May 2004............................. 0.00 0.00 76,146,702.59 9,518,337.94
June 2004............................ 0.00 0.00 71,954,166.01 8,994,270.86
July 2004............................ 0.00 0.00 67,790,817.62 8,473,852.30
August 2004.......................... 0.00 0.00 63,656,468.59 7,957,058.67
September 2004....................... 0.00 0.00 59,550,931.35 7,443,866.51
October 2004......................... 0.00 0.00 55,474,019.55 6,934,252.52
November 2004........................ 0.00 0.00 51,431,420.32 6,428,927.61
December 2004........................ 0.00 0.00 47,533,363.25 5,941,670.48
January 2005......................... 0.00 0.00 43,775,309.48 5,471,913.75
February 2005........................ 0.00 0.00 40,152,857.45 5,019,107.24
March 2005........................... 0.00 0.00 36,661,738.81 4,582,717.41
April 2005........................... 0.00 0.00 33,297,814.48 4,162,226.86
May 2005............................. 0.00 0.00 30,057,070.73 3,757,133.89
June 2005............................ 0.00 0.00 27,250,143.65 3,406,268.00
July 2005............................ 0.00 0.00 24,551,918.39 3,068,989.83
</TABLE>
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<PAGE> 94
<TABLE>
<CAPTION>
CLASS A1 CLASS A2 CLASS A3 CLASS A4
DISTRIBUTION DATE PAC BALANCE PAC BALANCE PAC BALANCE PAC BALANCE
----------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
August 2005.......................... $ 0.00 $ 0.00 $21,958,842.74 $ 2,744,855.37
September 2005....................... 0.00 0.00 19,467,474.05 2,433,434.28
October 2005......................... 0.00 0.00 17,074,475.92 2,134,309.51
November 2005........................ 0.00 0.00 14,776,614.97 1,847,076.89
December 2005........................ 0.00 0.00 12,570,757.81 1,571,344.74
January 2006......................... 0.00 0.00 10,453,867.95 1,306,733.51
February 2006........................ 0.00 0.00 8,423,002.90 1,052,875.38
March 2006........................... 0.00 0.00 6,475,311.36 809,413.93
April 2006........................... 0.00 0.00 4,608,030.42 576,003.81
May 2006............................. 0.00 0.00 2,818,482.92 352,310.37
June 2006............................ 0.00 0.00 1,646,680.33 205,835.04
July 2006............................ 0.00 0.00 530,758.39 66,344.80
August 2006 and thereafter........... 0.00 0.00 0.00 0.00
</TABLE>
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<PAGE> 95
APPENDIX B
TAC BALANCES TABLE
The TAC Balances set forth in the table below were calculated on the basis
of the Class Certificate Principal Balances of the TAC Certificates set forth
in the summary of this prospectus supplement and a constant prepayment rate of
275% of the Prepayment Assumption (the "TAC Prepayment Assumption") and other
assumptions described in "Yield and Weighted Average Life Considerations --
Weighted Average Lives of the Certificates -- TAC Certificates" in this
prospectus supplement.
If the Class Certificate Principal Balance of any class of the TAC
Certificates is increased or decreased in accordance with the variance permitted
hereby, the applicable balances set forth in the table below will be increased
or decreased substantially correspondingly. In such event, the final TAC
Balances Table will be calculated on or about May 27, 1999 on the basis of such
revised Class Certificate Principal Balances and the actual characteristics of
the mortgage loans and on the basis of (1) the TAC Prepayment Assumption and (2)
the assumptions set forth in clauses (1), (4) through (8) and (11) of the
Modeling Assumptions. The final TAC Balances Table will be set forth in the
Agreement, which will be filed as an exhibit to the definitive description of
the mortgage loans filed on a Current Report on Form 8-K.
<TABLE>
<CAPTION>
CLASS A6 CLASS A7 CLASS A8 CLASS A9
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- --------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
Initial Balance...................... $236,250,000.00 $150,998,836.00 $53,979,484.00 $1,000,000.00
June 1999............................ 235,040,861.40 150,096,884.70 53,657,051.94 1,005,416.67
July 1999............................ 233,625,184.19 149,040,866.89 53,279,543.76 1,010,862.67
August 1999.......................... 232,003,823.20 147,831,420.23 52,847,187.40 1,016,338.18
September 1999....................... 230,177,830.30 146,469,329.35 52,360,263.36 1,021,843.34
October 1999......................... 228,148,547.76 144,955,595.51 51,819,129.58 1,027,378.33
November 1999........................ 225,917,607.83 143,291,436.28 51,224,221.30 1,032,943.30
December 1999........................ 223,486,931.69 141,478,284.75 50,576,050.85 1,038,538.41
January 2000......................... 220,858,727.65 139,517,788.22 49,875,207.10 1,044,163.82
February 2000........................ 218,035,488.76 137,411,806.34 49,122,354.84 1,049,819.71
March 2000........................... 215,019,989.64 135,162,408.85 48,318,233.96 1,055,506.23
April 2000........................... 211,815,282.71 132,771,872.66 47,463,658.44 1,061,223.56
May 2000............................. 208,424,693.65 130,242,678.58 46,559,515.10 1,066,971.85
June 2000............................ 204,851,816.30 127,577,507.39 45,606,762.29 1,072,751.28
July 2000............................ 201,100,506.77 124,779,235.55 44,606,428.28 1,078,562.02
August 2000.......................... 197,174,877.01 121,850,930.35 43,559,609.59 1,084,404.23
September 2000....................... 193,079,287.64 118,795,844.57 42,467,469.03 1,090,278.09
October 2000......................... 188,818,340.19 115,617,410.71 41,331,233.65 1,096,183.76
November 2000........................ 184,396,868.79 112,319,234.75 40,152,192.53 1,102,121.42
December 2000........................ 179,819,931.12 108,905,089.45 38,931,694.37 1,108,091.25
January 2001......................... 175,092,798.94 105,378,907.26 37,671,144.95 1,114,093.41
February 2001........................ 170,220,948.00 101,744,772.79 36,372,004.45 1,120,128.08
March 2001........................... 165,210,047.41 98,006,914.88 35,035,784.60 1,126,195.44
April 2001........................... 160,065,948.56 94,169,698.35 33,664,045.76 1,132,295.66
May 2001............................. 154,794,673.55 90,237,615.35 32,258,393.79 1,138,428.93
June 2001............................ 152,144,606.85 88,260,810.46 31,551,720.08 1,144,595.42
July 2001............................ 149,486,260.50 86,277,829.40 30,842,838.50 1,150,795.31
</TABLE>
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<PAGE> 96
<TABLE>
<CAPTION>
CLASS A6 CLASS A7 CLASS A8 CLASS A9
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- --------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
August 2001.......................... $146,789,761.72 $ 84,266,388.72 $30,123,783.08 $1,157,028.79
September 2001....................... 144,154,750.94 82,300,814.73 29,421,124.23 1,163,296.03
October 2001......................... 141,585,261.15 80,384,115.81 28,735,937.36 1,169,597.22
November 2001........................ 139,080,119.92 78,515,417.40 28,067,909.86 1,175,932.53
December 2001........................ 136,638,173.59 76,693,858.93 27,416,734.07 1,182,302.17
January 2002......................... 134,258,286.96 74,918,593.61 26,782,107.28 1,188,706.31
February 2002........................ 131,939,342.96 73,188,788.15 26,163,731.61 1,195,145.13
March 2002........................... 129,680,242.45 71,503,622.67 25,561,313.97 1,201,618.83
April 2002........................... 127,479,903.86 69,862,290.36 24,974,565.93 1,208,127.60
May 2002............................. 125,337,263.00 68,263,997.41 24,403,203.72 1,214,671.63
June 2002............................ 123,251,272.73 66,707,962.71 23,846,948.10 1,221,251.10
July 2002............................ 121,220,902.72 65,193,417.67 23,305,524.33 1,227,866.21
August 2002.......................... 119,245,139.20 63,719,606.09 22,778,662.07 1,234,517.15
September 2002....................... 117,322,984.68 62,285,783.90 22,266,095.32 1,241,204.12
October 2002......................... 115,453,457.73 60,891,218.99 21,767,562.38 1,247,927.31
November 2002........................ 113,635,592.70 59,535,191.06 21,282,805.74 1,254,686.91
December 2002........................ 111,868,439.50 58,216,991.38 20,811,572.05 1,261,483.13
January 2003......................... 110,151,063.35 56,935,922.65 20,353,612.03 1,268,316.17
February 2003........................ 108,482,544.53 55,691,298.82 19,908,680.45 1,275,186.21
March 2003........................... 106,861,978.18 54,482,444.91 19,476,535.99 1,282,093.47
April 2003........................... 105,288,474.03 53,308,696.83 19,056,941.26 1,289,038.15
May 2003............................. 103,761,156.22 52,169,401.24 18,649,662.70 1,296,020.44
June 2003............................ 102,279,163.02 51,063,915.33 18,254,470.52 1,303,040.55
July 2003............................ 100,841,646.68 49,991,606.72 17,871,138.66 1,310,098.68
August 2003.......................... 99,447,773.14 48,951,853.26 17,499,444.70 1,317,195.05
September 2003....................... 98,096,721.87 47,944,042.88 17,139,169.84 1,324,329.86
October 2003......................... 96,787,685.66 46,967,573.42 16,790,098.82 1,331,503.31
November 2003........................ 95,519,870.38 46,021,852.53 16,452,019.88 1,338,715.62
December 2003........................ 94,292,494.78 45,106,297.43 16,124,724.70 1,345,967.00
January 2004......................... 93,104,790.34 44,220,334.85 15,808,008.33 1,353,257.65
February 2004........................ 91,956,001.01 43,363,400.80 15,501,669.16 1,360,587.80
March 2004........................... 90,845,383.06 42,534,940.52 15,205,508.88 1,367,957.65
April 2004........................... 89,772,204.86 41,734,408.26 14,919,332.38 1,375,367.42
May 2004............................. 88,735,746.72 40,961,267.14 14,642,947.74 1,382,817.32
June 2004............................ 87,889,605.14 40,330,091.78 14,417,313.42 1,390,307.58
July 2004............................ 87,077,599.96 39,724,380.31 14,200,781.99 1,397,838.42
August 2004.......................... 86,299,051.16 39,143,625.46 13,993,172.14 1,405,410.04
September 2004....................... 85,553,289.92 38,587,328.35 13,794,305.49 1,413,022.68
October 2004......................... 84,839,658.40 38,054,998.25 13,604,006.65 1,420,676.55
November 2004........................ 84,154,434.44 37,543,858.63 13,421,283.04 1,428,371.88
December 2004........................ 83,439,160.64 37,010,303.48 13,230,546.26 1,436,108.90
January 2005......................... 82,695,492.38 36,455,567.61 13,032,237.73 1,443,887.82
February 2005........................ 81,925,024.07 35,880,840.36 12,826,782.64 1,451,708.88
March 2005........................... 81,129,291.15 35,287,267.11 12,614,590.42 1,459,572.30
April 2005........................... 80,309,772.02 34,675,950.63 12,396,055.31 1,467,478.32
May 2005............................. 79,467,889.86 34,047,952.57 12,171,556.81 1,475,427.16
June 2005............................ 78,531,448.57 33,349,418.56 11,921,842.93 1,483,419.06
</TABLE>
S-96
<PAGE> 97
<TABLE>
<CAPTION>
CLASS A6 CLASS A7 CLASS A8 CLASS A9
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- --------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
July 2005............................ $ 77,577,862.38 $ 32,638,095.39 $11,667,557.15 $1,491,454.25
August 2005.......................... 76,608,351.21 31,914,893.06 11,409,024.76 1,499,532.96
September 2005....................... 75,624,087.39 31,180,686.05 11,146,558.40 1,507,655.43
October 2005......................... 74,626,197.23 30,436,314.55 10,880,458.40 1,515,821.89
November 2005........................ 73,615,762.62 29,682,585.56 10,611,013.27 1,524,032.59
December 2005........................ 72,593,822.41 28,920,274.03 10,338,500.02 1,532,287.77
January 2006......................... 71,561,373.95 28,150,123.92 10,063,184.62 1,540,587.66
February 2006........................ 70,519,374.40 27,372,849.22 9,785,322.29 1,548,932.51
March 2006........................... 69,468,742.14 26,589,134.98 9,505,157.95 1,557,322.56
April 2006........................... 68,410,358.01 25,799,638.29 9,222,926.47 1,565,758.06
May 2006............................. 67,345,066.66 25,004,989.17 8,938,853.10 1,574,239.25
June 2006............................ 66,158,566.42 24,119,924.86 8,622,457.84 1,582,766.38
July 2006............................ 64,972,765.14 23,235,381.92 8,306,248.97 1,591,339.70
August 2006.......................... 63,509,988.60 22,144,230.59 7,916,181.16 1,599,959.45
September 2006....................... 61,798,234.55 20,867,355.65 7,459,720.35 1,608,625.90
October 2006......................... 60,114,963.76 19,611,727.66 7,010,854.97 1,617,339.29
November 2006........................ 58,459,698.53 18,376,990.28 6,569,457.61 1,626,099.88
December 2006........................ 56,831,968.61 17,162,792.74 6,135,402.90 1,634,907.92
January 2007......................... 55,231,311.14 15,968,789.77 5,708,567.40 1,643,763.67
February 2007........................ 53,657,270.47 14,794,641.48 5,288,829.60 1,652,667.39
March 2007........................... 52,109,398.12 13,640,013.32 4,876,069.91 1,661,619.34
April 2007........................... 50,587,252.60 12,504,575.98 4,470,170.61 1,670,619.78
May 2007............................. 49,090,399.35 11,388,005.28 4,071,015.81 1,679,668.97
June 2007............................ 47,769,155.82 10,402,429.84 3,718,689.56 1,688,767.18
July 2007............................ 46,468,915.70 9,432,521.78 3,371,964.13 1,697,914.66
August 2007.......................... 45,189,320.33 8,478,013.59 3,030,743.88 1,707,111.70
September 2007....................... 43,930,016.73 7,538,641.94 2,694,934.70 1,716,358.56
October 2007......................... 42,690,657.56 6,614,147.75 2,364,443.94 1,725,655.50
November 2007........................ 41,470,900.98 5,704,276.02 2,039,180.46 1,735,002.80
December 2007........................ 40,270,410.58 4,808,775.82 1,719,054.56 1,744,400.73
January 2008......................... 39,088,855.32 3,927,400.18 1,403,977.94 1,753,849.57
February 2008........................ 37,925,909.42 3,059,906.11 1,093,863.75 1,763,349.59
March 2008........................... 36,781,252.25 2,206,054.44 788,626.48 1,772,901.07
April 2008........................... 35,654,568.30 1,365,609.81 488,181.99 1,782,504.28
May 2008............................. 34,545,547.10 538,340.61 192,447.50 1,792,159.51
June 2008............................ 33,583,073.94 0.00 0.00 1,801,867.04
July 2008............................ 32,633,847.31 0.00 0.00 1,811,627.15
August 2008.......................... 31,697,651.79 0.00 0.00 1,821,440.13
September 2008....................... 30,774,275.19 0.00 0.00 1,831,306.27
October 2008......................... 29,863,508.48 0.00 0.00 1,841,225.84
November 2008........................ 28,965,145.76 0.00 0.00 1,851,199.15
December 2008........................ 28,078,984.21 0.00 0.00 1,861,226.48
January 2009......................... 27,204,824.05 0.00 0.00 1,871,308.12
February 2009........................ 26,342,468.48 0.00 0.00 1,881,444.38
March 2009........................... 25,491,723.63 0.00 0.00 1,891,635.53
April 2009........................... 24,652,398.53 0.00 0.00 1,901,881.89
May 2009............................. 23,824,305.08 0.00 0.00 1,912,183.75
</TABLE>
S-97
<PAGE> 98
<TABLE>
<CAPTION>
CLASS A6 CLASS A7 CLASS A8 CLASS A9
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- --------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
June 2009............................ $ 23,007,257.97 $ 0.00 $ 0.00 $1,922,541.41
July 2009............................ 22,201,074.64 0.00 0.00 1,932,955.18
August 2009.......................... 21,405,575.29 0.00 0.00 1,943,425.35
September 2009....................... 20,620,582.78 0.00 0.00 1,953,952.24
October 2009......................... 19,845,922.60 0.00 0.00 1,964,536.15
November 2009........................ 19,081,422.86 0.00 0.00 1,975,177.39
December 2009........................ 18,326,914.23 0.00 0.00 1,985,876.26
January 2010......................... 17,582,229.89 0.00 0.00 1,996,633.09
February 2010........................ 16,847,205.50 0.00 0.00 2,007,448.19
March 2010........................... 16,121,679.19 0.00 0.00 2,018,321.87
April 2010........................... 15,405,491.47 0.00 0.00 2,029,254.44
May 2010............................. 14,698,485.23 0.00 0.00 2,040,246.24
June 2010............................ 14,000,505.70 0.00 0.00 2,051,297.57
July 2010............................ 13,311,400.42 0.00 0.00 2,062,408.77
August 2010.......................... 12,631,019.16 0.00 0.00 2,073,580.15
September 2010....................... 11,959,213.96 0.00 0.00 2,084,812.04
October 2010......................... 11,295,839.02 0.00 0.00 2,096,104.77
November 2010........................ 10,640,750.73 0.00 0.00 2,107,458.67
December 2010........................ 9,993,807.59 0.00 0.00 2,118,874.08
January 2011......................... 9,354,870.20 0.00 0.00 2,130,351.31
February 2011........................ 8,723,801.25 0.00 0.00 2,141,890.71
March 2011........................... 8,100,465.42 0.00 0.00 2,153,492.62
April 2011........................... 7,484,729.41 0.00 0.00 2,165,157.37
May 2011............................. 6,876,461.90 0.00 0.00 2,176,885.31
June 2011............................ 6,275,533.49 0.00 0.00 2,188,676.77
July 2011............................ 5,681,816.72 0.00 0.00 2,200,532.10
August 2011.......................... 5,095,185.99 0.00 0.00 2,212,451.65
September 2011....................... 4,515,517.55 0.00 0.00 2,224,435.77
October 2011......................... 3,942,689.50 0.00 0.00 2,236,484.79
November 2011........................ 3,376,581.69 0.00 0.00 2,248,599.08
December 2011........................ 2,817,075.79 0.00 0.00 2,260,779.00
January 2012......................... 2,264,055.18 0.00 0.00 2,273,024.88
February 2012........................ 1,717,404.96 0.00 0.00 2,285,337.10
March 2012........................... 1,177,011.93 0.00 0.00 2,297,716.01
April 2012........................... 642,764.54 0.00 0.00 2,310,161.97
May 2012............................. 114,552.87 0.00 0.00 2,322,675.35
June 2012............................ 0.00 0.00 0.00 1,459,339.46
July 2012............................ 0.00 0.00 0.00 362,485.68
August 2012 and thereafter........... 0.00 0.00 0.00 0.00
</TABLE>
S-98
<PAGE> 99
<TABLE>
<CAPTION>
CLASS A10 CLASS A11 CLASS A12 CLASS A13
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- -------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
Initial Balance...................... $18,929,196.00 $6,694,000.00 $1,306,000.00 $21,000,000.00
June 1999............................ 18,929,196.00 6,694,000.00 1,306,000.00 20,874,562.10
July 1999............................ 18,929,196.00 6,694,000.00 1,306,000.00 20,727,697.56
August 1999.......................... 18,929,196.00 6,694,000.00 1,306,000.00 20,559,495.07
September 1999....................... 18,929,196.00 6,694,000.00 1,306,000.00 20,370,063.76
October 1999......................... 18,929,196.00 6,694,000.00 1,306,000.00 20,159,542.86
November 1999........................ 18,929,196.00 6,694,000.00 1,306,000.00 19,928,101.71
December 1999........................ 18,929,196.00 6,694,000.00 1,306,000.00 19,675,939.62
January 2000......................... 18,929,196.00 6,694,000.00 1,306,000.00 19,403,285.68
February 2000........................ 18,929,196.00 6,694,000.00 1,306,000.00 19,110,398.53
March 2000........................... 18,929,196.00 6,694,000.00 1,306,000.00 18,797,566.00
April 2000........................... 18,929,196.00 6,694,000.00 1,306,000.00 18,465,104.76
May 2000............................. 18,929,196.00 6,694,000.00 1,306,000.00 18,113,359.83
June 2000............................ 18,929,196.00 6,694,000.00 1,306,000.00 17,742,704.02
July 2000............................ 18,929,196.00 6,694,000.00 1,306,000.00 17,353,537.39
August 2000.......................... 18,929,196.00 6,694,000.00 1,306,000.00 16,946,286.51
September 2000....................... 18,929,196.00 6,694,000.00 1,306,000.00 16,521,403.75
October 2000......................... 18,929,196.00 6,694,000.00 1,306,000.00 16,079,366.50
November 2000........................ 18,929,196.00 6,694,000.00 1,306,000.00 15,620,676.24
December 2000........................ 18,929,196.00 6,694,000.00 1,306,000.00 15,145,857.67
January 2001......................... 18,929,196.00 6,694,000.00 1,306,000.00 14,655,457.69
February 2001........................ 18,929,196.00 6,694,000.00 1,306,000.00 14,150,044.37
March 2001........................... 18,929,196.00 6,694,000.00 1,306,000.00 13,630,205.81
April 2001........................... 18,929,196.00 6,694,000.00 1,306,000.00 13,096,549.07
May 2001............................. 18,929,196.00 6,694,000.00 1,306,000.00 12,549,698.88
June 2001............................ 18,929,196.00 6,694,000.00 1,306,000.00 12,274,776.87
July 2001............................ 18,929,196.00 6,694,000.00 1,306,000.00 11,998,995.92
August 2001.......................... 18,929,196.00 6,694,000.00 1,306,000.00 11,719,256.98
September 2001....................... 18,929,196.00 6,694,000.00 1,306,000.00 11,445,896.90
October 2001......................... 18,929,196.00 6,694,000.00 1,306,000.00 11,179,334.07
November 2001........................ 18,929,196.00 6,694,000.00 1,306,000.00 10,919,446.86
December 2001........................ 18,929,196.00 6,694,000.00 1,306,000.00 10,666,115.58
January 2002......................... 18,929,196.00 6,694,000.00 1,306,000.00 10,419,222.47
February 2002........................ 18,929,196.00 6,694,000.00 1,306,000.00 10,178,651.65
March 2002........................... 18,929,196.00 6,694,000.00 1,306,000.00 9,944,289.08
April 2002........................... 18,929,196.00 6,694,000.00 1,306,000.00 9,716,022.56
May 2002............................. 18,929,196.00 6,694,000.00 1,306,000.00 9,493,741.70
June 2002............................ 18,929,196.00 6,694,000.00 1,306,000.00 9,277,337.85
July 2002............................ 18,929,196.00 6,694,000.00 1,306,000.00 9,066,704.14
August 2002.......................... 18,929,196.00 6,694,000.00 1,306,000.00 8,861,735.38
September 2002....................... 18,929,196.00 6,694,000.00 1,306,000.00 8,662,328.11
October 2002......................... 18,929,196.00 6,694,000.00 1,306,000.00 8,468,380.50
November 2002........................ 18,929,196.00 6,694,000.00 1,306,000.00 8,279,792.38
December 2002........................ 18,929,196.00 6,694,000.00 1,306,000.00 8,096,465.19
January 2003......................... 18,929,196.00 6,694,000.00 1,306,000.00 7,918,301.94
February 2003........................ 18,929,196.00 6,694,000.00 1,306,000.00 7,745,207.22
March 2003........................... 18,929,196.00 6,694,000.00 1,306,000.00 7,577,087.17
</TABLE>
S-99
<PAGE> 100
<TABLE>
<CAPTION>
CLASS A10 CLASS A11 CLASS A12 CLASS A13
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- -------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
April 2003........................... $18,929,196.00 $6,694,000.00 $1,306,000.00 $ 7,413,849.43
May 2003............................. 18,929,196.00 6,694,000.00 1,306,000.00 7,255,403.12
June 2003............................ 18,929,196.00 6,694,000.00 1,306,000.00 7,101,658.86
July 2003............................ 18,929,196.00 6,694,000.00 1,306,000.00 6,952,528.70
August 2003.......................... 18,929,196.00 6,694,000.00 1,306,000.00 6,807,926.11
September 2003....................... 18,929,196.00 6,694,000.00 1,306,000.00 6,667,765.97
October 2003......................... 18,929,196.00 6,694,000.00 1,306,000.00 6,531,964.54
November 2003........................ 18,929,196.00 6,694,000.00 1,306,000.00 6,400,439.43
December 2003........................ 18,929,196.00 6,694,000.00 1,306,000.00 6,273,109.59
January 2004......................... 18,929,196.00 6,694,000.00 1,306,000.00 6,149,895.30
February 2004........................ 18,929,196.00 6,694,000.00 1,306,000.00 6,030,718.12
March 2004........................... 18,929,196.00 6,694,000.00 1,306,000.00 5,915,500.91
April 2004........................... 18,929,196.00 6,694,000.00 1,306,000.00 5,804,167.74
May 2004............................. 18,929,196.00 6,694,000.00 1,306,000.00 5,696,643.98
June 2004............................ 18,929,196.00 6,694,000.00 1,306,000.00 5,608,863.95
July 2004............................ 18,929,196.00 6,694,000.00 1,306,000.00 5,524,625.28
August 2004.......................... 18,929,196.00 6,694,000.00 1,306,000.00 5,443,857.43
September 2004....................... 18,929,196.00 6,694,000.00 1,306,000.00 5,366,491.01
October 2004......................... 18,929,196.00 6,694,000.00 1,306,000.00 5,292,457.77
November 2004........................ 18,929,196.00 6,694,000.00 1,306,000.00 5,221,371.58
December 2004........................ 18,929,196.00 6,694,000.00 1,306,000.00 5,147,167.98
January 2005......................... 18,929,196.00 6,694,000.00 1,306,000.00 5,070,018.68
February 2005........................ 18,929,196.00 6,694,000.00 1,306,000.00 4,990,089.11
March 2005........................... 18,929,196.00 6,694,000.00 1,306,000.00 4,907,538.55
April 2005........................... 18,929,196.00 6,694,000.00 1,306,000.00 4,822,520.38
May 2005............................. 18,929,196.00 6,694,000.00 1,306,000.00 4,735,182.22
June 2005............................ 18,929,196.00 6,694,000.00 1,306,000.00 4,638,034.36
July 2005............................ 18,929,196.00 6,694,000.00 1,306,000.00 4,539,107.86
August 2005.......................... 18,929,196.00 6,694,000.00 1,306,000.00 4,438,529.28
September 2005....................... 18,929,196.00 6,694,000.00 1,306,000.00 4,336,420.23
October 2005......................... 18,929,196.00 6,694,000.00 1,306,000.00 4,232,897.57
November 2005........................ 18,929,196.00 6,694,000.00 1,306,000.00 4,128,073.52
December 2005........................ 18,929,196.00 6,694,000.00 1,306,000.00 4,022,055.87
January 2006......................... 18,929,196.00 6,694,000.00 1,306,000.00 3,914,948.07
February 2006........................ 18,929,196.00 6,694,000.00 1,306,000.00 3,806,849.44
March 2006........................... 18,929,196.00 6,694,000.00 1,306,000.00 3,697,855.22
April 2006........................... 18,929,196.00 6,694,000.00 1,306,000.00 3,588,056.82
May 2006............................. 18,929,196.00 6,694,000.00 1,306,000.00 3,477,541.86
June 2006............................ 18,929,196.00 6,694,000.00 1,306,000.00 3,354,452.49
July 2006............................ 18,929,196.00 6,694,000.00 1,306,000.00 3,231,435.64
August 2006.......................... 18,929,196.00 6,694,000.00 1,306,000.00 3,079,684.95
September 2006....................... 18,929,196.00 6,694,000.00 1,306,000.00 2,902,104.94
October 2006......................... 18,929,196.00 6,694,000.00 1,306,000.00 2,727,479.84
November 2006........................ 18,929,196.00 6,694,000.00 1,306,000.00 2,555,760.07
December 2006........................ 18,929,196.00 6,694,000.00 1,306,000.00 2,386,896.86
January 2007......................... 18,929,196.00 6,694,000.00 1,306,000.00 2,220,842.19
February 2007........................ 18,929,196.00 6,694,000.00 1,306,000.00 2,057,548.78
</TABLE>
S-100
<PAGE> 101
<TABLE>
<CAPTION>
CLASS A10 CLASS A11 CLASS A12 CLASS A13
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- -------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
March 2007........................... $18,929,196.00 $6,694,000.00 $1,306,000.00 $ 1,896,970.12
April 2007........................... 18,929,196.00 6,694,000.00 1,306,000.00 1,739,060.40
May 2007............................. 18,929,196.00 6,694,000.00 1,306,000.00 1,583,774.53
June 2007............................ 18,929,196.00 6,694,000.00 1,306,000.00 1,446,706.69
July 2007............................ 18,929,196.00 6,694,000.00 1,306,000.00 1,311,817.78
August 2007.......................... 18,929,196.00 6,694,000.00 1,306,000.00 1,179,070.58
September 2007....................... 18,929,196.00 6,694,000.00 1,306,000.00 1,048,428.48
October 2007......................... 18,929,196.00 6,694,000.00 1,306,000.00 919,855.45
November 2007........................ 18,929,196.00 6,694,000.00 1,306,000.00 793,316.03
December 2007........................ 18,929,196.00 6,694,000.00 1,306,000.00 668,775.30
January 2008......................... 18,929,196.00 6,694,000.00 1,306,000.00 546,198.94
February 2008........................ 18,929,196.00 6,694,000.00 1,306,000.00 425,553.14
March 2008........................... 18,929,196.00 6,694,000.00 1,306,000.00 306,804.64
April 2008........................... 18,929,196.00 6,694,000.00 1,306,000.00 189,920.71
May 2008............................. 18,929,196.00 6,694,000.00 1,306,000.00 74,869.14
June 2008............................ 18,794,443.52 6,646,346.99 1,296,702.89 0.00
July 2008............................ 18,263,217.99 6,458,487.79 1,260,051.55 0.00
August 2008.......................... 17,739,285.20 6,273,207.54 1,223,903.35 0.00
September 2008....................... 17,222,526.39 6,090,464.26 1,188,250.12 0.00
October 2008......................... 16,712,824.58 5,910,216.56 1,153,083.78 0.00
November 2008........................ 16,210,064.54 5,732,423.71 1,118,396.38 0.00
December 2008........................ 15,714,132.78 5,557,045.57 1,084,180.09 0.00
January 2009......................... 15,224,917.47 5,384,042.60 1,050,427.19 0.00
February 2009........................ 14,742,308.49 5,213,375.84 1,017,130.09 0.00
March 2009........................... 14,266,197.34 5,045,006.93 984,281.30 0.00
April 2009........................... 13,796,477.14 4,878,898.08 951,873.45 0.00
May 2009............................. 13,333,042.63 4,715,012.06 919,899.27 0.00
June 2009............................ 12,875,790.08 4,553,312.19 888,351.62 0.00
July 2009............................ 12,424,617.36 4,393,762.35 857,223.43 0.00
August 2009.......................... 11,979,423.82 4,236,326.94 826,507.77 0.00
September 2009....................... 11,540,110.33 4,080,970.93 796,197.79 0.00
October 2009......................... 11,106,579.23 3,927,659.76 766,286.77 0.00
November 2009........................ 10,678,734.32 3,776,359.42 736,768.06 0.00
December 2009........................ 10,256,480.84 3,627,036.39 707,635.12 0.00
January 2010......................... 9,839,725.43 3,479,657.67 678,881.52 0.00
February 2010........................ 9,428,376.12 3,334,190.72 650,500.91 0.00
March 2010........................... 9,022,342.31 3,190,603.52 622,487.03 0.00
April 2010........................... 8,621,534.76 3,048,864.50 594,833.74 0.00
May 2010............................. 8,225,865.54 2,908,942.56 567,534.95 0.00
June 2010............................ 7,835,248.02 2,770,807.08 540,584.71 0.00
July 2010............................ 7,449,596.90 2,634,427.88 513,977.11 0.00
August 2010.......................... 7,068,828.08 2,499,775.23 487,706.37 0.00
September 2010....................... 6,692,858.78 2,366,819.84 461,766.76 0.00
October 2010......................... 6,321,607.39 2,235,532.87 436,152.66 0.00
November 2010........................ 5,954,993.55 2,105,885.89 410,858.53 0.00
December 2010........................ 5,592,938.06 1,977,850.90 385,878.89 0.00
January 2011......................... 5,235,362.91 1,851,400.31 361,208.37 0.00
</TABLE>
S-101
<PAGE> 102
<TABLE>
<CAPTION>
CLASS A10 CLASS A11 CLASS A12 CLASS A13
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- -------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
February 2011........................ $ 4,882,191.25 $1,726,506.94 $ 336,841.66 $ 0.00
March 2011........................... 4,533,347.37 1,603,144.01 312,773.54 0.00
April 2011........................... 4,188,756.65 1,481,285.15 288,998.87 0.00
May 2011............................. 3,848,345.60 1,360,904.36 265,512.56 0.00
June 2011............................ 3,512,041.81 1,241,976.04 242,309.64 0.00
July 2011............................ 3,179,773.94 1,124,474.95 219,385.16 0.00
August 2011.......................... 2,851,471.71 1,008,376.25 196,734.30 0.00
September 2011....................... 2,527,065.86 893,655.43 174,352.26 0.00
October 2011......................... 2,206,488.16 780,288.38 152,234.33 0.00
November 2011........................ 1,889,671.39 668,251.32 130,375.89 0.00
December 2011........................ 1,576,549.30 557,520.83 108,772.36 0.00
January 2012......................... 1,267,056.65 448,073.82 87,419.24 0.00
February 2012........................ 961,129.13 339,887.57 66,312.09 0.00
March 2012........................... 658,703.38 232,939.66 45,446.55 0.00
April 2012........................... 359,716.97 127,208.01 24,818.29 0.00
May 2012............................. 64,108.41 22,670.89 4,423.09 0.00
June 2012 and thereafter............. 0.00 0.00 0.00 0.00
</TABLE>
S-102
<PAGE> 103
<TABLE>
<CAPTION>
CLASS A14 CLASS A18 CLASS A19 CLASS A20
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
Initial Balance...................... $6,461,538.00 $5,630,052.00 $5,630,052.00 $649,621.00
June 1999............................ 6,422,941.73 5,630,052.00 5,630,052.00 649,621.00
July 1999............................ 6,377,752.64 5,630,052.00 5,630,052.00 649,621.00
August 1999.......................... 6,325,998.03 5,630,052.00 5,630,052.00 649,621.00
September 1999....................... 6,267,711.48 5,630,052.00 5,630,052.00 649,621.00
October 1999......................... 6,202,935.82 5,630,052.00 5,630,052.00 649,621.00
November 1999........................ 6,131,723.17 5,630,052.00 5,630,052.00 649,621.00
December 1999........................ 6,054,134.84 5,630,052.00 5,630,052.00 649,621.00
January 2000......................... 5,970,241.32 5,630,052.00 5,630,052.00 649,621.00
February 2000........................ 5,880,122.20 5,630,052.00 5,630,052.00 649,621.00
March 2000........................... 5,783,866.05 5,630,052.00 5,630,052.00 649,621.00
April 2000........................... 5,681,570.29 5,630,052.00 5,630,052.00 649,621.00
May 2000............................. 5,573,341.09 5,630,052.00 5,630,052.00 649,621.00
June 2000............................ 5,459,293.16 5,630,052.00 5,630,052.00 649,621.00
July 2000............................ 5,339,549.59 5,630,052.00 5,630,052.00 649,621.00
August 2000.......................... 5,214,241.63 5,630,052.00 5,630,052.00 649,621.00
September 2000....................... 5,083,508.48 5,630,052.00 5,630,052.00 649,621.00
October 2000......................... 4,947,497.03 5,630,052.00 5,630,052.00 649,621.00
November 2000........................ 4,806,361.58 5,630,052.00 5,630,052.00 649,621.00
December 2000........................ 4,660,263.57 5,630,052.00 5,630,052.00 649,621.00
January 2001......................... 4,509,371.28 5,630,052.00 5,630,052.00 649,621.00
February 2001........................ 4,353,859.49 5,630,052.00 5,630,052.00 649,621.00
March 2001........................... 4,193,909.18 5,630,052.00 5,630,052.00 649,621.00
April 2001........................... 4,029,707.12 5,630,052.00 5,630,052.00 649,621.00
May 2001............................. 3,861,445.53 5,630,052.00 5,630,052.00 649,621.00
June 2001............................ 3,776,854.15 5,630,052.00 5,630,052.00 649,621.00
July 2001............................ 3,691,998.48 5,630,052.00 5,630,052.00 649,621.00
August 2001.......................... 3,605,924.97 5,630,052.00 5,630,052.00 649,621.00
September 2001....................... 3,521,814.18 5,630,052.00 5,630,052.00 649,621.00
October 2001......................... 3,439,794.85 5,630,052.00 5,630,052.00 649,621.00
November 2001........................ 3,359,829.56 5,630,052.00 5,630,052.00 649,621.00
December 2001........................ 3,281,881.48 5,630,052.00 5,630,052.00 649,621.00
January 2002......................... 3,205,914.38 5,630,052.00 5,630,052.00 649,621.00
February 2002........................ 3,131,892.59 5,630,052.00 5,630,052.00 649,621.00
March 2002........................... 3,059,781.04 5,630,052.00 5,630,052.00 649,621.00
April 2002........................... 2,989,545.19 5,630,052.00 5,630,052.00 649,621.00
May 2002............................. 2,921,151.08 5,630,052.00 5,630,052.00 649,621.00
June 2002............................ 2,854,565.29 5,630,052.00 5,630,052.00 649,621.00
July 2002............................ 2,789,754.92 5,630,052.00 5,630,052.00 649,621.00
August 2002.......................... 2,726,687.62 5,630,052.00 5,630,052.00 649,621.00
September 2002....................... 2,665,331.54 5,630,052.00 5,630,052.00 649,621.00
October 2002......................... 2,605,655.35 5,630,052.00 5,630,052.00 649,621.00
November 2002........................ 2,547,628.24 5,630,052.00 5,630,052.00 649,621.00
December 2002........................ 2,491,219.88 5,630,052.00 5,630,052.00 649,621.00
January 2003......................... 2,436,400.42 5,630,052.00 5,630,052.00 649,621.00
February 2003........................ 2,383,140.51 5,630,052.00 5,630,052.00 649,621.00
March 2003........................... 2,331,411.27 5,630,052.00 5,630,052.00 649,621.00
</TABLE>
S-103
<PAGE> 104
<TABLE>
<CAPTION>
CLASS A14 CLASS A18 CLASS A19 CLASS A20
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
April 2003........................... $2,281,184.28 $5,630,052.00 $5,630,052.00 $649,621.00
May 2003............................. 2,232,431.57 5,630,052.00 5,630,052.00 649,621.00
June 2003............................ 2,185,125.65 5,630,052.00 5,630,052.00 649,621.00
July 2003............................ 2,139,239.45 5,630,052.00 5,630,052.00 649,621.00
August 2003.......................... 2,094,746.35 5,630,052.00 5,630,052.00 649,621.00
September 2003....................... 2,051,620.15 5,630,052.00 5,630,052.00 649,621.00
October 2003......................... 2,009,835.10 5,630,052.00 5,630,052.00 649,621.00
November 2003........................ 1,969,365.84 5,630,052.00 5,630,052.00 649,621.00
December 2003........................ 1,930,187.43 5,630,052.00 5,630,052.00 649,621.00
January 2004......................... 1,892,275.34 5,630,052.00 5,630,052.00 649,621.00
February 2004........................ 1,855,605.44 5,630,052.00 5,630,052.00 649,621.00
March 2004........................... 1,820,153.99 5,630,052.00 5,630,052.00 649,621.00
April 2004........................... 1,785,897.64 5,630,052.00 5,630,052.00 649,621.00
May 2004............................. 1,752,813.41 5,630,052.00 5,630,052.00 649,621.00
June 2004............................ 1,725,804.17 5,630,052.00 5,630,052.00 649,621.00
July 2004............................ 1,699,884.58 5,630,052.00 5,630,052.00 649,621.00
August 2004.......................... 1,675,032.93 5,630,052.00 5,630,052.00 649,621.00
September 2004....................... 1,651,227.88 5,630,052.00 5,630,052.00 649,621.00
October 2004......................... 1,628,448.43 5,630,052.00 5,630,052.00 649,621.00
November 2004........................ 1,606,575.76 5,630,052.00 5,630,052.00 649,621.00
December 2004........................ 1,583,743.88 5,630,052.00 5,630,052.00 649,621.00
January 2005......................... 1,560,005.64 5,630,052.00 5,630,052.00 649,621.00
February 2005........................ 1,535,411.93 5,630,052.00 5,630,052.00 649,621.00
March 2005........................... 1,510,011.75 5,630,052.00 5,630,052.00 649,621.00
April 2005........................... 1,483,852.32 5,630,052.00 5,630,052.00 649,621.00
May 2005............................. 1,456,979.04 5,630,052.00 5,630,052.00 649,621.00
June 2005............................ 1,427,087.39 5,630,052.00 5,630,052.00 649,621.00
July 2005............................ 1,396,648.47 5,630,052.00 5,630,052.00 649,621.00
August 2005.......................... 1,365,701.22 5,630,052.00 5,630,052.00 649,621.00
September 2005....................... 1,334,283.05 5,630,052.00 5,630,052.00 649,621.00
October 2005......................... 1,302,429.93 5,630,052.00 5,630,052.00 649,621.00
November 2005........................ 1,270,176.38 5,630,052.00 5,630,052.00 649,621.00
December 2005........................ 1,237,555.56 5,630,052.00 5,630,052.00 649,621.00
January 2006......................... 1,204,599.32 5,630,052.00 5,630,052.00 649,621.00
February 2006........................ 1,171,338.20 5,630,052.00 5,630,052.00 649,621.00
March 2006........................... 1,137,801.53 5,630,052.00 5,630,052.00 649,621.00
April 2006........................... 1,104,017.41 5,630,052.00 5,630,052.00 649,621.00
May 2006............................. 1,070,012.80 5,630,052.00 5,630,052.00 649,621.00
June 2006............................ 1,032,139.16 5,630,052.00 5,630,052.00 649,621.00
July 2006............................ 994,287.82 5,630,052.00 5,630,052.00 649,621.00
August 2006.......................... 947,595.30 5,630,052.00 5,630,052.00 649,621.00
September 2006....................... 892,955.30 5,630,052.00 5,630,052.00 649,621.00
October 2006......................... 839,224.51 5,630,052.00 5,630,052.00 649,621.00
November 2006........................ 786,387.66 5,630,052.00 5,630,052.00 649,621.00
December 2006........................ 734,429.75 5,630,052.00 5,630,052.00 649,621.00
January 2007......................... 683,336.01 5,630,052.00 5,630,052.00 649,621.00
February 2007........................ 633,091.89 5,630,052.00 5,630,052.00 649,621.00
</TABLE>
S-104
<PAGE> 105
<TABLE>
<CAPTION>
CLASS A14 CLASS A18 CLASS A19 CLASS A20
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
March 2007........................... $ 583,683.07 $5,630,052.00 $5,630,052.00 $649,621.00
April 2007........................... 535,095.47 5,630,052.00 5,630,052.00 649,621.00
May 2007............................. 487,315.21 5,630,052.00 5,630,052.00 649,621.00
June 2007............................ 445,140.49 5,630,052.00 5,630,052.00 649,621.00
July 2007............................ 403,636.21 5,630,052.00 5,630,052.00 649,621.00
August 2007.......................... 362,790.92 5,630,052.00 5,630,052.00 649,621.00
September 2007....................... 322,593.36 5,630,052.00 5,630,052.00 649,621.00
October 2007......................... 283,032.43 5,630,052.00 5,630,052.00 649,621.00
November 2007........................ 244,097.22 5,630,052.00 5,630,052.00 649,621.00
December 2007........................ 205,777.00 5,630,052.00 5,630,052.00 649,621.00
January 2008......................... 168,061.20 5,630,052.00 5,630,052.00 649,621.00
February 2008........................ 130,939.42 5,630,052.00 5,630,052.00 649,621.00
March 2008........................... 94,401.42 5,630,052.00 5,630,052.00 649,621.00
April 2008........................... 58,437.14 5,630,052.00 5,630,052.00 649,621.00
May 2008............................. 23,036.66 5,630,052.00 5,630,052.00 649,621.00
June 2008............................ 0.00 5,589,972.99 5,589,972.99 644,996.50
July 2008............................ 0.00 5,431,972.23 5,431,972.23 626,765.66
August 2008.......................... 0.00 5,276,140.52 5,276,140.52 608,785.08
September 2008....................... 0.00 5,122,442.56 5,122,442.56 591,050.71
October 2008......................... 0.00 4,970,843.53 4,970,843.53 573,558.53
November 2008........................ 0.00 4,821,309.17 4,821,309.17 556,304.58
December 2008........................ 0.00 4,673,805.73 4,673,805.73 539,284.96
January 2009......................... 0.00 4,528,299.94 4,528,299.94 522,495.84
February 2009........................ 0.00 4,384,759.05 4,384,759.05 505,933.44
March 2009........................... 0.00 4,243,150.78 4,243,150.78 489,594.03
April 2009........................... 0.00 4,103,443.36 4,103,443.36 473,473.95
May 2009............................. 0.00 3,965,605.48 3,965,605.48 457,569.59
June 2009............................ 0.00 3,829,606.27 3,829,606.27 441,877.39
July 2009............................ 0.00 3,695,415.37 3,695,415.37 426,393.83
August 2009.......................... 0.00 3,563,002.84 3,563,002.84 411,115.47
September 2009....................... 0.00 3,432,339.19 3,432,339.19 396,038.90
October 2009......................... 0.00 3,303,395.38 3,303,395.38 381,160.78
November 2009........................ 0.00 3,176,142.80 3,176,142.80 366,477.80
December 2009........................ 0.00 3,050,553.25 3,050,553.25 351,986.71
January 2010......................... 0.00 2,926,598.99 2,926,598.99 337,684.30
February 2010........................ 0.00 2,804,252.64 2,804,252.64 323,567.42
March 2010........................... 0.00 2,683,487.26 2,683,487.26 309,632.96
April 2010........................... 0.00 2,564,276.32 2,564,276.32 295,877.86
May 2010............................. 0.00 2,446,593.65 2,446,593.65 282,299.10
June 2010............................ 0.00 2,330,413.49 2,330,413.49 268,893.71
July 2010............................ 0.00 2,215,710.48 2,215,710.48 255,658.75
August 2010.......................... 0.00 2,102,459.59 2,102,459.59 242,591.35
September 2010....................... 0.00 1,990,636.21 1,990,636.21 229,688.66
October 2010......................... 0.00 1,880,216.06 1,880,216.06 216,947.88
November 2010........................ 0.00 1,771,175.24 1,771,175.24 204,366.25
December 2010........................ 0.00 1,663,490.20 1,663,490.20 191,941.06
January 2011......................... 0.00 1,557,137.74 1,557,137.74 179,669.63
</TABLE>
S-105
<PAGE> 106
<TABLE>
<CAPTION>
CLASS A14 CLASS A18 CLASS A19 CLASS A20
DISTRIBUTION DATE TAC BALANCE TAC BALANCE TAC BALANCE TAC BALANCE
----------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C>
February 2011........................ $ 0.00 $1,452,094.99 $1,452,094.99 $167,549.32
March 2011........................... 0.00 1,348,339.43 1,348,339.43 155,577.53
April 2011........................... 0.00 1,245,848.88 1,245,848.88 143,751.71
May 2011............................. 0.00 1,144,601.48 1,144,601.48 132,069.32
June 2011............................ 0.00 1,044,575.69 1,044,575.69 120,527.89
July 2011............................ 0.00 945,750.29 945,750.29 109,124.97
August 2011.......................... 0.00 848,104.38 848,104.38 97,858.14
September 2011....................... 0.00 751,617.35 751,617.35 86,725.03
October 2011......................... 0.00 656,268.92 656,268.92 75,723.29
November 2011........................ 0.00 562,039.09 562,039.09 64,850.63
December 2011........................ 0.00 468,908.16 468,908.16 54,104.76
January 2012......................... 0.00 376,856.73 376,856.73 43,483.44
February 2012........................ 0.00 285,865.65 285,865.65 32,984.48
March 2012........................... 0.00 195,916.10 195,916.10 22,605.69
April 2012........................... 0.00 106,989.50 106,989.50 12,344.94
May 2012............................. 0.00 19,067.57 19,067.57 2,200.10
June 2012 and thereafter............. 0.00 0.00 0.00 0.00
</TABLE>
S-106
<PAGE> 107
INDEX OF CERTAIN PROSPECTUS SUPPLEMENT DEFINITIONS
<TABLE>
<CAPTION>
DEFINED TERM PAGE
- ------------ ----------
<S> <C>
Accretion Termination Date..... S-34
Accrual Amount................. S-33
Accrual Certificates........... S-28
Accrued Certificate Interest... S-35
Adjustment Amount.............. S-52
Agreement...................... S-24
Allocable Share................ S-44
Available Funds................ S-27
Bankruptcy Coverage Termination
Date......................... S-53
Bankruptcy Loss Amount......... S-53
beneficial owner............... S-25
BIF............................ S-81
Book-Entry Certificates........ S-25
Certificate Principal
Balance...................... S-36
Class A12 Interest Account..... S-38
Class A22 Percentage........... S-41
Class A22 Distribution
Percentage................... S-41
Class A22 Principal
Distribution Amount.......... S-41
Class B Certificates........... S-45
Class Certificate Principal
Balance...................... S-28
Class PO Deferred Amount....... S-51
Class PO Deferred Payment
Writedown Amount............. S-36
Class PO Principal Distribution
Amount....................... S-43
Class Prepayment Distribution
Trigger...................... S-45
Code........................... S-86
Collection Account............. S-82
Compensating Interest
Payment...................... S-83
Cooperative Loan............... S-19
Cross-Over Date................ S-32
Cut-off Date................... S-16
Debt Service Reduction......... S-53
Deceased Holder................ S-49
Defaulted Mortgage Loan........ S-83
</TABLE>
<TABLE>
<CAPTION>
DEFINED TERM PAGE
- ------------ ----------
<S> <C>
Deficient Valuation............ S-50
Designated Retail
Certificate.................. S-45
Discount Mortgage Loan......... S-39
Distribution Date.............. S-27
DOL............................ S-87
Effective Range................ S-67
ERISA.......................... S-86
ERISA Plan..................... S-87
Excess Loss.................... S-50
Exemption...................... S-87
FDIC........................... S-81
Financial Intermediary......... S-25
Fitch.......................... S-81
Fraud Coverage Termination
Date......................... S-52
Fraud Loss..................... S-50
Fraud Loss Amount.............. S-52
GECMSI......................... S-16
Group I Final Distribution
Date......................... S-41
Group I Senior Certificates.... S-28
Interest Accrual Period........ S-34
Interest Shortfall............. S-37
Junior Certificate Writedown
Amount....................... S-36
Junior Optimal Principal
Amount....................... S-44
Junior Percentage.............. S-44
Junior Prepayment Percentage... S-44
LIBOR.......................... S-11
LIBOR Certificates............. S-34
LIBOR Determination Date....... S-38
Liquidated Mortgage Loan....... S-50
Living Holder.................. S-46
Loss Allocation Limitation..... S-54
Modeling Assumptions........... S-69
Mortgage Loan Group............ S-70
mortgage related securities.... S-89
Net Interest Shortfall......... S-36
</TABLE>
S-107
<PAGE> 108
<TABLE>
<CAPTION>
DEFINED TERM PAGE
- ------------ ----------
<S> <C>
NMR............................ S-37
Non-Book-Entry Certificates.... S-27
Non-discount Mortgage Loan..... S-39
Non-Excess Realized Loss....... S-50
Non-PO Percentage.............. S-39
noneconomic residual
interests.................... S-86
Notional Principal Balance..... S-36
Outstanding Mortgage Loan...... S-17
PAC Balance Schedule........... S-67
PAC Certificates............... S-66
PAC Structuring Range.......... S-66
PO Percentage.................. S-39
Pool Scheduled Principal
Balance...................... S-16
Prepayment Assumption.......... S-66
Prepayment Interest............ S-59
Prepayment Period.............. S-41
Principal Distribution
Request...................... S-47
Realized Loss.................. S-50
Record Date.................... S-27
Regular Certificates........... S-85
regular interests.............. S-85
</TABLE>
<TABLE>
<CAPTION>
DEFINED TERM PAGE
- ------------ ----------
<S> <C>
residual interests............. S-85
Restricted Group............... S-88
Rounding Account............... S-47
S&P............................ S-81
SAIF........................... S-82
Scheduled Principal Balance.... S-16
Senior Final Distribution
Date......................... S-44
Senior Optimal Principal
Amount....................... S-40
Senior Percentage.............. S-41
Senior Prepayment Percentage... S-42
Senior Prepayment Percentage
Stepdown Limitation.......... S-42
SMMEA.......................... S-89
Special Hazard Loss............ S-51
Special Hazard Loss Amount..... S-52
Special Hazard Termination
Date......................... S-52
TAC Balance Schedule........... S-67
TAC Certificates............... S-67
TAC Prepayment Assumption...... S-67
Tax-Exempt Investor............ S-88
Trustee........................ S-24
Withdrawal..................... S-49
</TABLE>
S-108
<PAGE> 109
- ------------------------------------------------------------
- ------------------------------------------------------------
NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY
REPRESENTATIONS OTHER THAN THOSE CONTAINED IN THIS PROSPECTUS SUPPLEMENT OR
PROSPECTUS. ANY INFORMATION OR REPRESENTATIONS GIVEN OR MADE OUTSIDE OF THIS
PROSPECTUS SUPPLEMENT AND PROSPECTUS MUST NOT BE RELIED UPON AS HAVING BEEN
AUTHORIZED. THIS PROSPECTUS SUPPLEMENT AND PROSPECTUS DO NOT CONSTITUTE AN OFFER
TO SELL OR THE SOLICITATION OF AN OFFER TO BUY ANY SECURITIES OTHER THAN THE
SECURITIES DESCRIBED IN THIS PROSPECTUS SUPPLEMENT OR AN OFFER TO SELL OR A
SOLICITATION OF AN OFFER TO BUY IN ANY CIRCUMSTANCES IN WHICH SUCH OFFER OR
SOLICITATION IS UNLAWFUL. THE INFORMATION CONTAINED IN THE PROSPECTUS SUPPLEMENT
AND PROSPECTUS IS CORRECT ONLY AS OF THE DATE RELATING TO SUCH INFORMATION, AND
DELIVERY OF THIS PROSPECTUS SUPPLEMENT OR PROSPECTUS, OR ANY SALE MADE
THEREUNDER, SUBSEQUENT TO THE DATE OF THIS PROSPECTUS SUPPLEMENT SHALL NOT,
UNDER ANY CIRCUMSTANCES, CREATE AN IMPLICATION THAT THE INFORMATION IS CORRECT
AS OF THAT SUBSEQUENT DATE.
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<TABLE>
<CAPTION>
PAGE
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<S> <C>
PROSPECTUS SUPPLEMENT
Summary of Terms.............................. S-3
Risk Factors.................................. S-9
Index of Definitions.......................... S-16
Description of the Mortgage Pool and the
Mortgaged Properties........................ S-16
Description of the Certificates............... S-24
Yield and Weighted Average Life
Considerations.............................. S-57
GE Capital Mortgage Services, Inc............. S-79
Delinquency and Foreclosure Experience of
GECMSI...................................... S-79
Use of Proceeds............................... S-81
The Pooling and Servicing Agreement........... S-81
Federal Income Tax Consequences............... S-85
ERISA Considerations.......................... S-86
Legal Investment Matters...................... S-89
Plan of Distribution.......................... S-90
Certificate Ratings........................... S-90
Legal Matters................................. S-91
Appendix A -- PAC Balances Table.............. S-92
Appendix B -- TAC Balances Table.............. S-95
Index of Certain Prospectus Supplement
Definitions................................. S-107
PROSPECTUS
Description of the Certificates............... 1
The Trusts.................................... 9
Credit Enhancement............................ 19
Yield, Maturity and Weighted Average Life
Considerations.............................. 27
Servicing of the Mortgage Loans............... 31
The Pooling and Servicing Agreement........... 44
GE Capital Mortgage Services, Inc............. 56
GE Capital Mortgage Funding Corporation....... 57
Where You Can Find More Information About
GE Capital Mortgage Services, Inc. and GE
Capital Mortgage Funding Corporation........ 58
The Guarantor................................. 59
Certain Legal Aspects of the Mortgage Loans... 59
Legal Investment Matters...................... 68
ERISA Considerations.......................... 70
Federal Income Tax Consequences............... 71
Plan of Distribution.......................... 89
Use of Proceeds............................... 90
Legal Matters................................. 90
Financial Information......................... 90
Index of Certain Prospectus Definitions....... 91
</TABLE>
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UNTIL AUGUST 23, 1999, ALL DEALERS THAT EFFECT TRANSACTIONS IN THESE
SECURITIES, WHETHER OR NOT PARTICIPATING IN THIS OFFERING, MAY BE REQUIRED TO
DELIVER A PROSPECTUS SUPPLEMENT AND PROSPECTUS. THIS IS IN ADDITION TO THE
OBLIGATION OF DEALERS TO DELIVER A PROSPECTUS SUPPLEMENT AND PROSPECTUS WHEN
ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD ALLOTMENTS OR
SUBSCRIPTIONS.
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GE CAPITAL MORTGAGE
SERVICES, INC. 1999-11 TRUST
ISSUER
GE CAPITAL MORTGAGE
SERVICES, INC.
DEPOSITOR AND SERVICER
$942,196,004
(APPROXIMATE)
REMIC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1999-11
-------------------------
PROSPECTUS SUPPLEMENT
-------------------------
BEAR, STEARNS & CO. INC.
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MAY 25, 1999
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