<PAGE>
- --------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) December 3, 1996
CS First Boston Mortgage Securities Corp.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-16145 13-3320910
- ---------------------------- ------------- -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
Park Avenue Plaza
New York, New York 10055
- ---------------------- -------------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 909-7537
--------------
No Change
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
- --------------------------------------------------------------------------------
<PAGE>
Item 5. Other Events
------------
In connection with the offering of Preferred Mortgage Asset-Backed
Certificates, Series 1996-2, to be described in a Prospectus Supplement a "Term
Sheet" and certain "Computational Materials" within the meanings of the May 20,
1994 Kidder, Peabody No-Action Letter and the February 17, 1995 Public
Securities Association No-Action Letter were furnished to certain prospective
investors (the "Term Sheet" and the "Computational Materials", respectively).
Item 7. Financial Statements, Pro Forma Financial Information and
---------------
Exhibits.
-------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Term Sheet (as defined in Item 5 above).
(d) Exhibit 99.2. Computational Materials (as defined in Item 5 above).
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this Report to be signed on
its behalf by the undersigned thereunto duly authorized.
CS FIRST BOSTON MORTGAGE SECURITIES CORP.
-----------------------------------------
Registrant
By: /s/ William Pitofsky
-----------------------------
Name: William Pitofsky
Title: Director
Dated: December 6, 1996
<PAGE>
EXHIBIT INDEX
-------------
EXHIBIT NO. DESCRIPTION
- ----------- -----------
99.1 Term Sheet (as defined
in Item 5 above).
99.2 Computational Materials
(as defined in Item 5
above).
<PAGE>
EXHIBIT 99.1
------------
<PAGE>
SUBJECT TO REVISION
SERIES TERM SHEET DATED DECEMBER 3, 1996
$280,000,000
CS FIRST BOSTON MORTGAGE SECURITIES CORP.,
DEPOSITOR
T.A.R. PREFERRED MORTGAGE CORPORATION,
SELLER
PREFERRED MORTGAGE ASSET-BACKED CERTIFICATES, SERIES 1996-2
Attached is a preliminary Series Term Sheet describing the structure, collateral
pool and certain aspects of the Preferred Mortgage Asset-Backed Certificates,
Series 1996-2. The Term Sheet has been prepared by T.A.R. Preferred Mortgage
Corporation for informational purposes only and is subject to modification or
change. The information and assumptions contained therein are preliminary and
will be superseded by a prospectus supplement and by any other additional
information subsequently filed with the Securities and Exchange Commission or
incorporated by reference in the Registration Statement.
Neither CS First Boston nor any of its affiliates make any representation as to
the accuracy or completeness of any of the information set forth in the attached
Series Term Sheet.
A Registration Statement (including a base prospectus) relating to certain
Conduit Mortgage and Manufactured Housing Contract Pass-Through Certificates,
including the Preferred Mortgage Asset-Backed Certificates, Series 1996-2, has
been filed with the Securities and Exchange Commission and has been declared
effective. The final Prospectus Supplement relating to the securities will be
filed after the securities have been priced and all of the terms and information
are finalized. This communication is not an offer to sell or the solicitation
of an offer to buy nor shall there by any sale of the securities in any state in
which such offer solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such state. Interested persons
are referred to the final Prospectus and Prospectus Supplement to which the
securities relate. Any investment decision should be based only upon the
information in the final Prospectus and Prospectus Supplement as of their
publication dates.
CS First Boston
<PAGE>
This Series Term Sheet will be superseded in its entirety by the information
appearing in the Prospectus Supplement, the Prospectus and the Series 1996-2
Pooling and Servicing Agreement to be dated as of December 1, 1996 (the "Pooling
and Servicing Agreement") among CS First Boston Mortgage Securities Corp., as
Depositor (the "Depositor"), T.A.R. Preferred Mortgage Corporation, as Seller
(the "Seller"), Advanta Mortgage Corp., USA, as Servicer (the "Servicer") and
Bankers Trust Company, as Trustee (the "Trustee").
Securities Issued......... Preferred Mortgage Asset-Backed Certificates,
Series 1996-2 (the "Certificates") will be issued
pursuant to the Pooling and Servicing Agreement.
The Certificates will consist of six classes (each,
a "Class") of senior Certificates (respectively,
the "Class A-1 Certificates", the "Class A-2
Certificates," the "Class A-3 Certificates," the
"Class A-4 Certificates," the "Class A-5
Certificates" and the "Class A-6 Certificates" and
collectively, the "Class A Certificates" and one or
more Classes of subordinate Certificates
collectively, the "Subordinate Certificates", which
term includes any REMIC "residual certificates" (a
"Residual Certificate").
The Class A Certificates will be issued in the
amounts (with respect to each Class, the "Initial
Certificate Principal Balance") and bear the pass-
through rates (with respect to each Class, the
"Pass-Through Rate") set forth below:
Initial
Certificate Pass-
Principal Through
Class Balance Rate
----- ------- ----
Class A-1 Certificates $80,200,000.00 %
Class A-2 Certificates $29,800,000.00 %
Class A-3 Certificates $43,700,000.00 %
Class A-4 Certificates $59,800,000.00 %
Class A-5 Certificates $16,300,000.00 %
Class A-6 Certificates $50,200,000.00 %
Securities Offered....... The Class A Certificates are the only Certificates
being offered hereby. The Class A Certificates will
be issued in book-entry form in minimum
denominations of $1,000 and integral multiples of
$1 in excess thereof. The Class A Certificates
initially will be represented by certificates
registered in the name of Cede & Co., as the
nominee of The Depository Trust Company ("DTC").
Certificates representing the Class A Certificates
will be issued in definitive form only under the
limited circumstances described in the Prospectus
Supplement. All references herein to "holders" or
"holders of the Class A Certificates" shall reflect
the rights of beneficial owners of Class A
Certificates issued in book-entry form
("Certificate Owners") as they may indirectly
exercise such rights through DTC in the United
States, or Cedel Bank, societe anonyme ("Cedel") or
the Euroclear System ("Euroclear")
2
<PAGE>
in Europe, and participating members thereof,
except as otherwise specified in the Prospectus
Supplement.
The Class A Certificates will evidence undivided
interests in the Mortgage Loans and together with
all other assets of the trust fund, including any
funds on deposit in the Capitalized Interest
Account (as defined herein) and the Pre-Funding
Account (as defined herein) (collectively, the
"Trust Fund").
The Certificate Insurer MBIA Insurance Corporation (the "Certificate
Insurer").
The Certificate Insurance
Policy................. The Certificate Insurer will issue a certificate
guaranty insurance policy (the "Certificate
Insurance Policy") with respect to the Class A
Certificates, pursuant to which it will irrevocably
and unconditionally guarantee payment to the
Trustee for the benefit of the Holders of the Class
A Certificates as further described in the
Prospectus Supplement, an amount that will insure
that the full amount of the Insured Distribution
Amount is available for distribution by the Trustee
to the Senior Certificateholders on such
Distribution Date. The "Insured Distribution
Amount" for a Distribution Date equals the sum of
(i) the Class A Interest Distribution Amount and
(ii) the Overcollateralization Deficit. The
Certificate Insurance Policy does not guarantee the
Class A Certificates any specified rate of
prepayments.
The Class A Certificates will not represent
interests in or obligations of the Depositor, the
Seller, the Servicer, the Trustee or any of their
respective affiliates. Neither the Class A
Certificates nor the underlying Mortgage Loans will
be insured or guaranteed by any governmental agency
or instrumentality.
The Seller................ The Seller is a California corporation with its
principal offices located in Irvine, California.
The Seller has 5 offices located in California
along with offices located in Aurora, Colorado,
Phoenix, Arizona, Lake Oswego, Oregon, Boca Raton,
Florida and employs 223 people. Founded in 1989 as
a sole proprietorship mortgage broker, it was
subsequently incorporated in January 1992 and began
originating subordinate mortgage loans in 1994. The
Seller originates both first and subordinate lien
mortgage loans secured by one-to four-family
residences. The Seller is approved as a non-
supervised lender by the U.S. Department of Housing
and Urban Development ("HUD"). Additionally, the
Seller is licensed by the State of California as a
residential mortgage lender and is licensed or
otherwise permitted to lend in other states. As of
October 31, 1996, the Seller had over $26 million
in assets.
Cut-Off Date.............. The opening of business on December 1, 1996.
Statistical Calculation
Date.................... The close of business on November 21, 1996.
3
<PAGE>
Closing Date.............. On or about December 11, 1996 (the "Closing Date").
Distributions............. Generally distributions on each Distribution Date
will be made to the holders of record of the
related Class A Certificates (the
"Certificateholders") as of the close of business
on the Business Day immediately preceding such
Distribution Date (each, a "Record Date"), except
that the final distribution in respect of the
Certificates will only be made upon presentation
and surrender of the Certificates at the office or
agency appointed by the Trustee for that purpose in
New York, New York. As more fully described in the
Prospectus Supplement, distributions to
Certificateholders generally will be applied first
to the payment of interest and interest shortfalls,
second to any unpaid principal and third, if any
principal is then due, to the payment of principal
of the related Class of Certificates.
Distributions on the Certificates will be made on
the 25th day of each month (or, if such 25th day is
not a Business Day, on the next succeeding Business
Day) (each, a "Distribution Date"). "Business Day"
shall mean any day other than (i) a Saturday or
Sunday, or (ii) any day on which the Certificate
Insurer or banking institutions located in the
States of New York or California are authorized or
obligated by law or executive order to close.
Description of
Certificates............ General. The Certificates will represent the entire
beneficial ownership interest in the Trust Fund.
The assets of the Trust Fund will consist primarily
of a pool of fixed rate closed end loans (the
"Mortgage Loans") secured by mortgages or deeds of
trust that are first or subordinate liens on
residential one-to-four-family properties,
including townhouses and individual units in
condominiums and planned unit developments (such
properties, the "Mortgaged Properties" and such
pool, the "Mortgage Pool"). The Trust Fund will be
formed and the Certificates will be issued pursuant
to the Pooling and Servicing Agreement.
The Subordinate Certificates will have an original
principal balance of $4,770,714.11, but such amount
will increase by an amount equal to 2.25% of the
principal balance of the Subsequent Mortgage Loans,
if any.
The Subordinate Certificates are not being offered
hereby.
The Mortgage Pool......... The statistical information regarding the Initial
Mortgage Loans and the Mortgaged Properties which
is presented herein is based upon the
characteristics of the Mortgage Pool as of the
Statistical Calculation Date. Unless otherwise
indicated, all percentages set forth in this Series
Term Sheet are based upon the aggregate Principal
Balance (as defined herein) of the Initial Mortgage
Loans as of the Statistical Calculation Date, which
was $212,031,738.44. The additional Mortgage Loans
will represent Mortgage Loans acquired or to be
acquired by the Seller on or prior to the Closing
Date or up to 90 days thereafter. Some
4
<PAGE>
amortization of the Initial Mortgage Loans will
occur prior to the Closing Date and certain loans
included in the pools as of the Statistical
Calculation Date may prepay in full, or may be
determined not to meet the eligibility requirements
for the final pools, and may not be included in the
final pools. As a result of the foregoing, the
statistical distribution of characteristics as of
the Closing Date for the final Initial Mortgage
Loan pool will vary somewhat from the statistical
distribution of such characteristics as of the
Statistical Calculation Date as presented herein.
69.15% of the Mortgage Loans, as of the Statistical
Calculation Date, are located in the State of
California, and all of which have original terms to
stated maturity of approximately ten through thirty
years. The Monthly Payments for each Mortgage Loan
are due on the dates of the month specified in the
related Mortgage Note (as defined in the Prospectus
Supplement) (each, a "Due Date"). The Mortgage
Loans were underwritten in accordance with the
underwriting standards of the Seller.
In addition to the Mortgage Loans acquired by the
Trust Fund on the Closing Date (such Mortgage
Loans, the "Initial Mortgage Loans"), the Trust
Fund may acquire additional Mortgage Loans up to a
total of approximately $70,000,000, (the
"Subsequent Mortgage Loans") during the three-month
period commencing on the Closing Date. The
Subsequent Mortgage Loans, if available, will be
originated by the Seller, sold by the Seller to the
Depositor and then sold by the Depositor to the
Trust Fund. The Subsequent Mortgage Loans, as well
as all Mortgage Loans, must conform to certain
specified characteristics. See "Pre-Funding
Feature" below.
Underwriting Standards and
Potential Delinquencies The Seller considers the underwriting policy under
which the Mortgage Loans are underwritten to be
analogous to credit lending, rather than equity
lending, since its underwriting decisions are based
primarily on the borrower's ability and willingness
to repay and only secondarily on the potential
value of the collateral upon foreclosure. Loan
decisions are based primarily on an analysis of the
prospective borrower's documented cash flow and
credit history and supplemented by a collateral
evaluation.
In evaluating the credit quality of borrowers, the
Seller utilizes credit bureau risk scores (the
"Credit Bureau Risk Score"), a statistical ranking
of likely future credit performance developed by
Fair, Isaac & Company ("Fair, Isaac") and the three
national credit repositories - Equifax, Trans Union
and TRW. The Credit Bureau Risk Scores available
from the three national credit repositories are
calculated by the assignment of weightings to the
most predictive data collected by the credit
repositories and range from the 400s to the 800s.
The Credit Bureau Risk Score is used by the
5
<PAGE>
Seller to provide a means of analysis to assist in
underwriting to estimate the probability that the
proposed mortgage loan will be paid in accordance
with its terms, however, the final decision whether
to approve a mortgage loan rests with the Seller.
The Maximum Loan Amount ("MLA") a borrower can
obtain is generally determined by a combination of
considerations, including the Credit Bureau Risk
Score of the primary wage earner and the combined
debt-to-income ratio (the "DTI") of joint
borrowers. Provided a mortgage loan generally meets
the Seller's other underwriting guidelines,
borrowers with applicable Credit Bureau Risk Scores
and DTIs may generally be granted Maximum Loan
Amounts of up to $65,000 and a DTI of up to 50%.
Exceptions to these guidelines, including
exceptions for Maximum Loan Amounts greater than
$65,000, Credit Bureau Risk Scores below 620 and
DTI's above 50%, may be approved at the Seller's
discretion.
The collateral evaluation generally takes the form
of one of the following: (i) a Uniform Residential
Appraisal Report in compliance with FNMA or FHLMC
guidelines, (ii) a Second Mortgage Property Value
Analysis Report, typically referred to as a "Drive-
By Appraisal Report" which consists exclusively of
an exterior inspection of the property without
examination of interior, or (iii) a comparable sale
analysis report referred to as a "Desk-Top
Appraisal Report" which generally consists of an
analysis of historical comparable sale information
on similar type properties through the use of
public record information or other on-line real
estate sale information services and does not
consist of an exterior or interior inspection of
the property. All appraisals are analyzed on an "as
is" valuation. There can be no assurance that the
values determined by appraisers at the time of loan
origination will be achieved in the event of
foreclosure sale or that a different appraiser (or
an appraisal which included an interior review)
would have arrived at the same opinion of value.
The Seller's underwriting standards generally are
less stringent than those of FNMA or FHLMC with
respect to a borrower's capacity, collateral and in
certain other respects. As a result of this
approach to underwriting, the Mortgage Loans in the
Trust Fund may experience higher rates of
delinquencies, defaults and foreclosures than
mortgage loans underwritten in a more traditional
manner.
In addition, the Seller's underwriting standards
allow loans to be approved with Combined Loan-to-
Value Ratios of up to approximately 125%. Because
the original Combined Loan-to-Value Ratios of the
Mortgage Loans may be high relative to that of other
similar subordinate lien mortgage loans, recoveries
on Defaulted Mortgage Loans may be lower than
6
<PAGE>
the level of recoveries experienced by such other
defaulted mortgage loans.
Prepayment and Yield
Considerations......... In general, the Mortgage Loans may be prepaid at
any time without penalty and, accordingly, the rate
of principal payments thereon is likely to vary
from time to time. The Class A Certificates may be
sold at a discount to their principal amounts. A
slower than anticipated rate of principal payments
on the Mortgage Loans will result in a lower than
anticipated yield on the Class A Certificates if
they are purchased at a discount.
Pre-Funding Feature...... On the Closing Date, approximately $70,000,000 (the
"Original Pre-Funded Amount") will be deposited
with the Trustee and used by the Trust Fund to
purchase the Subsequent Mortgage Loans.
The Trust Fund will be obligated, subject to the
satisfaction of certain conditions described in the
Prospectus Supplement, to purchase the Subsequent
Mortgage Loans from time to time during the Pre-
Funding Period defined below, subject to the
availability thereof. In connection with each
purchase of Subsequent Mortgage Loans, the Trust
Fund will be required to pay to the Depositor a
cash purchase price of 97.75% of the principal
amount thereof from the Pre-Funding Account; the
remaining 2.25% will be evidenced by an increase in
the Principal Balance of the Subordinate
Certificates. The Depositor will designate as a
cut-off date (each a "Subsequent Cut-Off Date") (i)
the last day of the month preceding the month in
which Subsequent Mortgage Loans will be conveyed by
the Depositor to the Trust Fund or (ii) the date of
origination, if any such Subsequent Mortgage Loan
is originated in the month of conveyance by the
Depositor to the Trust Fund (each a "Subsequent
Transfer Date") occurring during the Pre-Funding
Period (as defined herein). The Trust Fund may
purchase the Subsequent Mortgage Loans only from
the Depositor and not from any other person.
The "Pre-Funding Period" is the period from the
Closing Date until the earliest of (i) the date on
which the amount on deposit in the Pre-Funding
Account is less than $50,000, (ii) the date on
which an Event of Default occurs under the Pooling
and Servicing Agreement or (iii) March 11, 1997.
Any amount remaining in the Pre-Funding Account at
the end of the Pre-Funding Period will be
distributed to the Class A Certificates as an
additional distribution of principal on the
Distribution Date which follows the end of the Pre-
Funding Period.
Capitalized Interest
Account................ On the Closing Date, the Trustee, from amounts
received from the Depositor, will be required to
deposit funds in an account (the "Capitalized
Interest Account") in the name of the Trustee on
behalf of the Trust Fund. The amount deposited
therein will be used, as necessary, by the Trustee
7
<PAGE>
during the Pre-Funding Period to fund the negative
arbitrage on the Pre-Funding Account monies. Any
amounts remaining in the Capitalized Interest
Account on the Distribution Date which follows the
end of the Pre-Funding Period and not used for such
purpose on such Distribution Date are required to
be paid directly to the holders of the Subordinate
Certificates on such Distribution Date.
Mortgage Interest Rate.... The "Mortgage Interest Rate" of each Mortgage Loan
is the per annum interest rate required to be paid
by the mortgagor under the terms of the related
mortgage note (the "Mortgage Note"). The Mortgage
Interest Rate borne by each Mortgage Loan is fixed
on the related Mortgage Note.
Interest Distributions... On each Distribution Date,
the holders of the Class A Certificates will be
entitled to receive, to the extent of amounts
available for distribution as described herein,
interest distributions in an amount equal to the
sum of (i) interest accrued for the related Accrual
Period (as defined herein) on the related Class A
Principal Balance immediately prior to such
Distribution Date at the applicable Class A Pass-
Through Rate and (ii) the portion of the related
Class A Carry-Forward Amount (as defined herein),
allocable to interest (the "Class A Interest
Distribution Amount").
Interest on the Class A Certificates will accrue
during the calendar month immediately preceding the
month in which such Distribution Date occurs (each,
an "Accrual Period").
Principal Distributions The "Class A Principal Balance" at any time is
equal to the Class A Principal Balance as of the
Cut-Off Date (the "Original Class A Principal
Balance") minus the aggregate, cumulative amounts
actually distributed as principal to the Class A
Certificateholders.
Holders of the Class A Certificates will be entitled
to receive on each Distribution Date, to the extent
of amounts available for distribution (as described
herein) remaining after interest on the Class A
Certificates is distributed, the "Class A Principal
Distribution Amount", which will generally reflect
principal collections on the Mortgage Loans with
respect to the prior calendar month (the
"Collection Period"), together with an amount
(which may not, on any particular Distribution
Date, be the full necessary amount) necessary to
increase the actual Overcollateralization Amount to
its Required Overcollateralization Level, and minus
an amount intended to reduce any excess
Overcollateralization Amount.
8
<PAGE>
Specifically, the "Class A Principal Distribution
Amount" for a Distribution Date will equal:
(a) the sum, without duplication, of:
(i) all scheduled and unscheduled amounts
relating to principal with respect to the
Mortgage Loans received by the Servicer during
the prior Collection Period to the extent
actually received by the Trustee,
(ii) the Principal Balance of each Mortgage
Loan that either was repurchased by the Seller
or by the Depositor to the extent such Principal
Balances are actually received by the Trustee,
(iii) any Substitution Adjustments (as defined
in the Prospectus Supplement) delivered by the
Depositor or the Seller on the related Servicer
Remittance Date in connection with a
substitution of a Mortgage Loan, to the extent
such Substitution Adjustments are actually
received by the Trustee,
(iv) the net Liquidation Proceeds (as defined
in the Prospectus Supplement) collected by the
Servicer of all the Mortgage Loans during the
prior calendar month (to the extent such net
Liquidation Proceeds are related to principal)
to the extent actually received by the Trustee,
(v) the portion of the Class A Carry-Forward
Amount which relates to a shortfall in a
distribution of a related Overcollateralization
Deficit,
(vi) any monies released from the Pre-Funding
Account as a prepayment of Class A Certificates
on the Distribution Date which immediately
follows the end of the Pre-Funding Period,
(vii) the proceeds received by the Trustee of
any termination of the Trust Fund (to the extent
such proceeds related to principal),
(viii) the amount of any Overcollateralization
Deficit (as defined in the Prospectus
Supplement) for such Distribution Date,
(ix) without duplication of amounts distributed
under clause (viii) above, the amount of any
related Overcollateralization Increase Amount
(as defined in the Prospectus Supplement) for
such Distribution Date;
minus
-----
9
<PAGE>
(b) the amount of any Overcollateralization
Reduction Amount (as defined in the Prospectus
Supplement) for such Distribution Date.
In no event will the Class A Principal Distribution
Amount with respect to any Distribution Date be
less than zero or greater than the Class A
Principal Balance of the Class A Certificates.
For purposes of receiving distributions with respect
to principal, the Class A Certificates have been
divided into six "sequential paying" classes. On
each Distribution Date until the Class A-1
Certificate Principal Balance has been reduced to
zero, the Holders of the Class A-1 Certificates
will be entitled to receive 100% of the
distribution with respect to the Class A Principal
Distribution Amount on such Distribution Date.
After the Class A-1 Certificate Principal Balance
has been reduced to zero, the Holders of the Class
A-2 Certificates will be entitled to receive 100%
of such distributions with respect to principal
until the Class A-2 Certificate Principal Balance
has been reduced to zero. After the Class A-2
Certificate Principal Balance has been reduced to
zero, the Holders of the Class A-3 Certificates
will be entitled to receive 100% of such
distributions with respect to principal until the
Class A-3 Certificate Principal Balance has been
reduced to zero. After the Class A-3 Certificate
Principal Balance has been reduced to zero, the
Holders of the Class A-4 Certificates shall be
entitled to receive 100% of such distributions with
respect to principal until the Class A-4
Certificate Principal Balance has been reduced to
zero. After the Class A-4 Certificate Principal
Balance has been reduced to zero, the Holders of
the Class A-5 Certificates shall be entitled to
receive 100% of such distributions with respect to
principal until the Class A-5 Certificate Principal
Balance has been reduced to zero. After the Class
A-5 Certificate Principal Balance has been reduced
to zero, the Holders of the Class A-6 Certificates
shall be entitled to receive 100% of remaining
distributions of principal.
The actual amount distributed with respect to the
Class A Certificates on any Distribution Date is
the "Class A Distribution Amount" for such
Distribution Date.
Upon the earlier of (a) the date on which a
Mortgage Loan has become delinquent for a period of
180 consecutive days or (b) the time at which a
Mortgage Loan becomes a Liquidated Loan, such
Mortgage Loan will become a "Charged-off Loan".
Once a Mortgage Loan becomes a Charged-off Loan,
its Principal Balance, for purposes of the Trust
Fund, will thereafter be considered to be zero.
A "Liquidated Mortgage Loan" is a Mortgage Loan as
to which the Servicer, in its reasonable, good
faith business judgment, has determined that all
amounts which will be
10
<PAGE>
recovered with respect to such Mortgage Loan have
been so recovered (exclusive of any possibility of
a deficiency judgment).
An amount to cover any loss on a Charged-off Loan
may or may not be distributed to the Holders of the
Class A Certificates on the Distribution Date which
immediately follows such Mortgage Loan becoming a
Charged-off Loan. However, the Holders of the
Class A Certificates are entitled to receive
ultimate recovery of any loss on the Mortgage Loans
which receipt will be no later than the
Distribution Date occurring after cumulative losses
on Charged-off Loans result in an
Overcollateralization Deficit.
Credit Enhancement........ The credit enhancement provided for the benefit of
the Class A Certificateholders consists of (a) the
overcollateralization provided by the Principal
Balance of the Subordinate Certificates, as
thereafter augmented by the acceleration feature
described below, which together with the
subordination mechanics utilize the internal cash
flows of the Mortgage Loans, and (b) the
Certificate Insurance Policy.
Overcollateralization. The overcollateralization is
evidenced by the Subordinate Certificates, which
represent the right to receive excess principal
(which initially equals the Overcollateralization
Amount (as defined below) on the Cut-off Date) and
excess interest (the excess of interest collections
on the Mortgage Loans over Class A Certificate
interest, plus fees) as described more fully in the
Prospectus Supplement.
The Pooling and Servicing Agreement defines the
"Overcollateralization Amount" to be, as of the end
of the related Collection Period, the excess of the
sum of (i) the amount then on deposit in the Pre-
Funding Account and (ii) the then outstanding
aggregate Principal Balance of the Mortgage Loans
over the then outstanding Class A Principal
Balance. Following the Closing Date, the
overcollateralization provisions will result in a
limited acceleration of the Class A Certificates
relative to the amortization of the Mortgage Loans
in the early months of the transaction. The
accelerated amortization is achieved by the
application of 100% of principal payments on the
Mortgage Loans and certain excess interest (i.e.,
----
the cash flows otherwise payable to the Subordinate
Certificates) to the payment of the related Class A
Principal Balance until the Overcollateralization
Amount reaches a target level (the "Required
Overcollateralization Level") mandated by the
Certificate Insurer. Once the Required
Overcollateralization Level is reached, and subject
to the provisions described in the next paragraph,
the acceleration feature will cease, unless
necessary to maintain the actual
11
<PAGE>
Overcollateralization Amount at the Required
Overcollateralization Level in effect at that time.
The Pooling and Servicing Agreement provides that,
subject to certain trigger tests, the Required
Overcollateralization Level may increase or
decrease over time. An increase would result in a
temporary period of accelerated amortization of the
related Class A Certificates to increase the actual
Overcollateralization Amount to the Required
Overcollateralization Level; a decrease would
result in a temporary period of decelerated
amortization to reduce the actual
Overcollateralization Amount to the Required
Overcollateralization Level.
Subordination. The rights of the holders of the
Subordinate Certificates to receive distributions
with respect to the Mortgage Loans in the Trust
Fund will be subordinated, to the extent described
in the Prospectus Supplement, to such rights of the
holders of the Class A Certificates. This
subordination is intended to enhance the likelihood
of regular receipt by the holders of the Class A
Certificates of the full amount of their principal
and scheduled monthly payments of interest and to
afford such holders protection against losses on
the Mortgage Loans.
Mandatory Prepayment of
Class A Certificates... The Original Pre-Funded Amount may be used to
acquire Subsequent Mortgage Loans. If by the end of
the Pre-Funding Period, not all of the Original
Pre-Funded Amount has been used to acquire
Subsequent Mortgage Loans, then the Class A
Certificates will be prepaid in part on the
Distribution Date which follows the end of the Pre-
Funding Period, from and to the extent of such
remaining funds.
Servicing of the
Mortgage Loans.......... The Servicer has agreed to service the Mortgage
Loans on a "scheduled/actual" basis (i.e., the
Servicer is responsible for advancing scheduled
payments of interest to the extent described in
"Delinquency Interest Advances and Compensating
Interest" below) in accordance with the Pooling and
Servicing Agreement and to cause the Mortgage Loans
to be serviced with the same care as it customarily
employs in servicing and administering mortgage
loans of the same type for its own account in
accordance with accepted mortgage servicing
practices of prudent lending institutions.
Delinquency Interest
Advances and Compensating
Interest............... The Servicer will be obligated to make Delinquency
Interest Advances (as defined below) unless it
reasonably believes that the amount of such
Delinquency Interest Advance will ultimately not be
recoverable with respect to the related Mortgage
Loan (exclusive of any possibility of a deficiency
judgment). Delinquency Interest Advances may be
funded by the Servicer from subsequent collections
on the
12
<PAGE>
Mortgage Loans generally, and are reimbursable from
(i) future collections and (ii) Net Liquidation
Proceeds. "Delinquency Interest Advances" are
amounts deposited in the Certificate Account by the
Servicer equal to the sum of the interest portions
(net of the Servicing Fees) due, but not collected
with respect to delinquent Mortgage Loans during
the related Collection Period, all as more fully
described in the Prospectus Supplement.
In addition, the Servicer will also be required to
deposit Compensating Interest (as defined in the
Prospectus Supplement) in the Certificate Account
with respect to any full Prepayment received on a
Mortgage Loan during the related Collection Period
out of its own funds without any right of
reimbursement therefor.
Servicing Fee............ The Servicer is entitled to a servicing fee of
0.65% per annum of the Principal Balance of each
Mortgage Loan (the "Servicing Fee"), calculated and
payable monthly. The Servicer is entitled to other
compensation to the extent set forth in the Pooling
and Servicing Agreement.
Optional Termination..... The Holders of the Residual Certificates or
Servicer may, at their option (and if neither
option is exercised, the Certificate Insurer may,
at its option) terminate the Trust Fund on any date
on which the aggregate Principal Balances of the
Mortgage Loans is less than 10% (if the Holders of
the Residual Certificates are exercising their
option) or is less than 5% (if the Servicer (or the
Certificate Insurer, if the Servicer fails to
exercise its option) is exercising its option) of
the sum of (a) the aggregate Principal Balances of
the Initial Mortgage Loans as of the Cut-Off Date
plus (b) the aggregate Principal Balance of the
Subsequent Mortgage Loans, as of the related
Subsequent Cut-Off Date (such sum, the "Maximum
Collateral Amount"), by purchasing from the Trust
Fund, on the next succeeding Distribution Date, all
of the property of such Trust Fund at a price equal
to the sum of (a) the greater of (i) 100% of the
aggregate Principal Balances of each outstanding
Mortgage Loan and each REO Property plus accrued
and unpaid interest on the Mortgage Loans through
the related Collection Period (ii) the fair market
value (disregarding accrued interest) of the
Mortgage Loans and such REO Properties, (as more
fully described in the Prospectus Supplement), (b)
any unreimbursed amounts due to the Certificate
Insurer under the Pooling and Servicing Agreement
and any accrued and unpaid Insured Payments, plus
interest thereon and (c) any unreimbursed Servicing
Fees and Advances due to the Servicer under the
Pooling and Servicing Agreement. The first date on
which the Holders of the Residual Certificates may
exercise their option is the "Clean-Up Call Date".
13
<PAGE>
Trustee.................. Bankers Trust Company, a New York banking
corporation with offices located at Four Albany
Street, New York, New York.
ERISA Considerations..... The Class A Certificates may not be purchased by an
employee benefit plan (a "Plan") subject to the
Employee Retirement Income Security Act of 1974, as
amended ("ERISA") and/or Section 4975 of the
Internal Revenue Code of 1986, as amended (the
"Code") until the earlier of the (i) the end of the
Pre-Funding Period or (ii) the date on which the
U.S. Department of Labor amends the exemption (as
defined below) to permit the use thereunder of pre-
funding accounts as described herein. On or after
the earlier to occur of such dates, a fiduciary of
any Plan should carefully review with its legal
advisors whether the purchase or holding of Class A
Certificates could give rise to a transaction
prohibited or not otherwise permissible under ERISA
or the Code. The U.S. Department of Labor has
issued an individual exemption to the Underwriter
(the "Exemption"), which generally exempts from the
application of certain of the prohibited
transaction provisions of ERISA, and the excise
taxes imposed on such prohibited transactions by
Section 4975(a) and (b) of the Code and Section
502(i) of ERISA, transactions relating to the
purchase, sale and holding of pass-through
certificates such as the Class A Certificates and
the servicing and operation of asset pools such as
the Trust Fund, provided that certain conditions
are satisfied.
Legal Investment......... The Class A Certificates will not constitute
"mortgage related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of 1984.
Certain Federal Income
Tax Consequences....... For federal income tax purposes, one or more
elections will be made to treat certain assets of
the Trust Fund as a "real estate mortgage
investment conduit" (a "REMIC"). The Class A
Certificates will be designated as "regular
interests" issued by a REMIC and will be treated as
debt instruments issued by a REMIC for federal
income tax purposes.
Certificate Ratings...... It is a condition to the issuance of Class A
Certificates that the Class A Certificates shall
have been rated not lower than AAA by Standard &
Poor's Ratings Group ("Standard & Poor's") and Aaa
by Moody's Investors Service ("Moody's"). A
security rating is not a recommendation to buy,
sell or hold securities and may be subject to
revision or withdrawal at any time by the assigning
rating organization. The ratings do not address the
possibility that Senior Certificateholders may
suffer a lower than anticipated yield.
14
<PAGE>
Delinquency, Loan Loss and
Foreclosure Experience The Seller was incorporated as a California
corporation in January, 1992 and has been
originating subordinate lien mortgage loans since
August 1994. Accordingly, the Seller has
insufficient historical delinquency, bankruptcy,
foreclosure or default experience that may be
referred to for purposes of estimating the future
delinquency and loss experience of mortgage loans
similar to the Mortgage Loans being sold to the
Trust Fund.
Set forth below is a description of certain
additional characteristics of the Initial Mortgage
Loans as of the Statistical Calculation Date
(except as otherwise indicated). Dollar amounts
and percentages may not add up to totals due to
rounding.
15
<PAGE>
MORTGAGE INTEREST RATES
<TABLE>
<CAPTION>
PERCENTAGE OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE DATE AGGREGATE
INITIAL MORTGAGE AGGREGATE UNPAID UNPAID
MORTGAGE INTEREST RATES LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------------- ----- ----------------- -----------------
<S> <C> <C> <C>
10.000 - 10.249 1 $ 59,858.01 0.03%
10.250 - 10.499 1 35,000.00 0.02
10.500 - 10.749 3 110,555.41 0.05
10.750 - 10.999 42 1,424,850.77 0.67
11.000 - 11.249 8 464,341.26 0.22
11.250 - 11.499 76 2,613,112.43 1.23
11.500 - 11.749 28 1,111,640.44 0.52
11.750 - 11.999 342 12,147,673.11 5.73
12.000 - 12.249 50 1,839,181.87 0.87
12.250 - 12.499 208 7,584,983.25 3.58
12.500 - 12.749 563 20,330,722.21 9.59
12.750 - 12.999 372 12,556,966.96 5.92
13.000 - 13.249 213 7,822,778.00 3.69
13.250 - 13.499 491 17,208,742.36 8.12
13.500 - 13.749 1,360 46,248,230.07 21.81
13.750 - 13.999 1,125 37,466,834.53 17.67
14.000 - 14.249 304 10,975,469.55 5.18
14.250 - 14.499 128 4,477,988.08 2.11
14.500 - 14.749 471 15,332,929.48 7.23
14.750 - 14.999 111 3,579,383.80 1.69
15.000 - 15.249 86 2,905,589.76 1.37
15.250 - 15.499 54 1,782,073.24 0.84
15.500 - 15.749 16 511,500.52 0.24
15.750 - 15.999 81 2,484,404.51 1.17
16.000 - 16.249 4 131,518.99 0.06
16.250 - 16.499 20 582,908.67 0.27
16.500 - 16.749 5 135,714.82 0.06
16.750 - 16.999 3 81,911.50 0.04
17.000 - 17.250 1 24,874.84 0.01
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
The weighted average Mortgage Interest Rate of the Initial Mortgage Loans is
approximately 13.46% per annum.
16
<PAGE>
REMAINING MONTHS TO STATED MATURITY
<TABLE>
<CAPTION>
STATISTICAL PERCENTAGE OF
CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
REMAINING MONTHS TO STATED INITIAL MORTGAGE UNPAID UNPAID
MATURITY LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------- ----- ----------------- -----------------
<S> <C> <C> <C>
106 1 $ 14,103.52 0.01%
162 1 36,405.25 0.02
163 5 182,344.70 0.09
164 10 280,531.25 0.13
165 18 478,457.93 0.23
166 37 965,005.05 0.46
167 32 965,211.45 0.46
168 108 3,656,306.41 1.72
169 143 5,004,332.28 2.36
170 167 6,416,524.61 3.03
171 258 10,067,848.08 4.75
172 313 11,140,073.36 5.25
173 399 13,208,584.19 6.23
174 373 12,010,001.83 5.66
175 436 14,167,681.12 6.68
176 432 14,731,741.32 6.95
177 465 15,527,066.66 7.32
178 670 22,896,252.03 10.80
179 946 32,643,057.71 15.40
180 1,350 47,506,959.69 22.41
240 3 133,250.00 0.06
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
The weighted average remaining term to stated maturity of the Initial Mortgage
Loans is approximately 176.24 months.
17
<PAGE>
ORIGINATION MONTH
<TABLE>
<CAPTION>
STATISTICAL PERCENTAGE OF
NUMBER OF CALCULATION DATE STATISTICAL CALCULATION
INITIAL MORTGAGE AGGREGATE UNPAID DATE AGGREGATE UNPAID
ORIGINATION MONTH LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------- ----- ----------------- -----------------
<S> <C> <C> <C>
May 1995 5 $ 156,907.41 .07%
June 1995 10 292,652.27 .14
July 1995 16 419,874.82 .20
August 1995 31 871,022.17 .41
September 1995 29 831,335.59 .39
October 1995 64 2,028,184.70 .96
November 1995 149 5,021,457.87 2.37
December 1995 171 6,345,480.70 2.99
January 1996 256 10,278,594.02 4.85
February 1996 287 10,512,197.88 4.96
March 1996 424 14,319,074.62 6.75
April 1996 378 12,199,848.40 5.75
May 1996 440 14,092,892.41 6.65
June 1996 401 13,483,049.80 6.36
July 1996 396 13,380,111.52 6.31
August 1996 730 24,718,677.94 11.66
September 1996 880 30,256,544.14 14.27
October 1996 1,247 44,274,737.18 20.88
November 1996 253 8,549,095.00 4.03
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
The earliest month and year of origination of any Initial Mortgage Loan is
May 1995 and the latest month and year of origination is November 1996.
18
<PAGE>
COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
PERCENTAGE OF
STATISTICAL STATISTICAL CALCULATION
NUMBER OF CALCULATION DATE DATE AGGREGATE
COMBINED LOAN-TO-VALUE INITIAL MORTGAGE AGGREGATE UNPAID UNPAID
RATIOS LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------ ----- ----------------- -----------------
<S> <C> <C> <C>
20.00 - 24.99 2 $ 72,695.90 0.03%
25.00 - 29.99 2 38,232.13 0.02
35.00 - 39.99 4 133,266.35 0.06
45.00 - 49.99 4 108,603.52 0.05
50.00 - 54.99 3 107,093.50 0.05
55.00 - 59.99 3 76,705.90 0.04
60.00 - 64.99 6 99,966.70 0.05
65.00 - 69.99 15 492,948.21 0.23
70.00 - 74.99 31 1,143,472.46 0.54
75.00 - 79.99 110 3,968,194.36 1.87
80.00 - 84.99 136 4,350,563.76 2.05
85.00 - 89.99 305 10,313,043.26 4.86
90.00 - 94.99 250 8,071,480.24 3.81
95.00 - 99.99 709 24,110,753.55 11.37
100.00 - 104.99 494 17,129,648.28 8.08
105.00 - 109.99 565 19,359,591.49 9.13
110.00 - 114.99 711 23,440,453.38 11.06
115.00 - 119.99 840 28,090,572.89 13.25
120.00 - 124.99 1,900 68,190,814.50 32.16
125.00 - 129.99 77 2,733,638.06 1.29
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
The minimum and maximum Combined Loan-to-Value Ratios of the Initial Mortgage
Loans as of the Statistical Calculation Date are approximately 21.65% and
125.00%, respectively, and the weighted average Combined Loan-to-Value Ratio as
of the Statistical Calculation Date of the Initial Mortgage Loans is
approximately 110.19%. The "Combined Loan-to-Value Ratio" of a Mortgage Loan is
the ratio, expressed as a percentage, equal to the sum of any outstanding senior
liens mortgage balance plus the original balance of the Mortgage Loan divided by
the appraised value of the Mortgaged Property. In the instance where more than
one appraisal was performed on the subject property, the lesser of the two
values will be used to determine the Combined Loan-to-Value Ratio.
19
<PAGE>
CREDIT BUREAU RISK SCORES
<TABLE>
<CAPTION>
PERCENTAGE OF
STATISTICAL STATISTICAL
NUMBER OF CALCULATION DATE CALCULATION DATE
INITIAL MORTGAGE AGGREGATE UNPAID AGGREGATE UNPAID
CREDIT BUREAU RISK SCORE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------ ----- ----------------- -----------------
<S> <C> <C> <C>
560 - 569 2 $ 54,011.07 0.03%
570 - 579 1 14,103.52 0.01
580 - 589 3 77,209.83 0.04
590 - 599 6 157,715.08 0.07
600 - 609 40 1,319,893.06 0.62
610 - 619 72 2,232,349.45 1.05
620 - 629 297 9,513,648.82 4.49
630 - 639 351 11,255,458.77 5.31
640 - 649 650 22,771,898.13 10.74
650 - 659 607 20,855,848.59 9.84
660 - 669 763 27,395,324.26 12.92
670 - 679 676 23,834,810.01 11.24
680 - 689 651 23,060,828.06 10.88
690 - 699 464 15,734,636.04 7.42
700 - 709 427 15,095,321.44 7.12
710 - 719 337 11,338,778.75 5.35
720 - 729 268 9,217,665.94 4.35
730 - 739 228 7,536,671.60 3.55
740 - 749 130 4,248,500.22 2.00
750 - 759 83 2,753,248.96 1.30
760 - 769 53 1,634,397.10 0.77
770 - 779 24 876,376.24 0.41
780 - 789 19 584,445.12 0.28
790 - 799 6 163,180.74 0.08
800 - 809 7 219,117.47 0.10
810 - 819 2 86,300.17 0.04
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
As of the Statistical Calculation Date, the weighted average Credit Bureau
Risk Score of the Initial Mortgage Loans is 677.71.
20
<PAGE>
SUBORDINATE MORTGAGE RATIOS OF MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
STATISTICAL STATISTICAL
NUMBER OF CALCULATION DATE CALCULATION DATE
INITIAL MORTGAGE AGGREGATE UNPAID AGGREGATE UNPAID
SUBORDINATE MORTGAGE RATIOS LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------------------- ----- ----------------- -----------------
<S> <C> <C> <C>
4.50 to 9.99 92 $ 2,017,366.81 0.95%
10.00 to 19.99 2,072 60,324,966.54 28.47
20.00 to 29.99 2,518 91,191,818.39 43.04
30.00 to 39.99 969 37,079,191.74 17.50
40.00 to 49.99 336 13,928,427.12 6.53
50.00 to 59.99 117 5,166,502.27 2.44
60.00 to 69.99 32 1,230,804.99 0.58
70.00 to 79.99 22 811,142.26 0.38
80.00 to 89.99 4 193,482.40 0.09
90.00 to 99.99 1 49,686.09 0.02
----- --------------- ------
TOTAL 6,163 $211,893,388.61 100.00%
</TABLE>
As of the Statistical Calculation Date, the weighted average Subordinate
Mortgage Ratio of the Initial Mortgage Loans will be approximately 26.20%. The
"Subordinate Mortgage Ratio" of a Mortgage Loan which is in a subordinate lien
position is equal to the ratio (expressed as a percentage) of the original
principal balance of such Mortgage Loan to the sum of (i) the original principal
balance of such Mortgage Loan and (ii) the principal balance at the time of
origination of any senior liens (computed at the time of origination of such
Mortgage Loan).
21
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
STATISTICAL PERCENTAGE OF
CALCULATION STATISTICAL
ORIGINAL MORTGAGE LOAN NUMBER OF DATE CALCULATION DATE
PRINCIPAL BALANCE OF THE INITIAL MORTGAGE AGGREGATE UNPAID AGGREGATE UNPAID
INITIAL MORTGAGE LOANS LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------------- ---------------- ----------------- ------------------
<S> <C> <C> <C>
10,000 - 14,999 86 $ 1,042,547.04 0.49%
15,000 - 19,999 359 6,089,104.89 2.87
20,000 - 24,999 724 15,784,595.30 7.44
25,000 - 29,999 1,172 30,716,433.44 14.49
30,000 - 34,999 954 29,903,934.40 14.10
35,000 - 39,999 797 28,621,025.31 13.50
40,000 - 44,999 641 26,210,911.89 12.36
45,000 - 49,999 502 23,108,613.88 10.90
50,000 - 54,999 615 30,602,411.94 14.43
55,000 - 59,999 122 6,772,677.40 3.19
60,000 - 64,999 95 5,764,894.48 2.72
65,000 - 69,999 50 3,255,312.18 1.54
70,000 - 74,999 7 488,757.46 0.23
75,000 - 79,999 19 1,414,422.43 0.67
80,000 - 84,999 5 393,444.17 0.19
85,000 - 89,999 2 169,807.24 0.08
90,000 - 94,999 4 346,838.11 0.16
95,000 - 99,999 4 369,464.18 0.17
100,000 - 104,999 6 590,174.10 0.28
120,000 - 124,999 1 119,912.61 0.06
130,000 - 134,999 1 126,856.35 0.06
145,000 - 149,999 1 139,599.64 0.07
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
As of the Statistical Calculation Date, the average Original Principal Balance
of the Initial Mortgage Loans is approximately $34,674.71.
22
<PAGE>
MORTGAGED PROPERTY TYPES
<TABLE>
<CAPTION>
STATISTICAL PERCENTAGE OF
CALCULATION STATISTICAL
NUMBER OF DATE CALCULATION DATE
INITIAL MORTGAGE AGGREGATE UNPAID AGGREGATE UNPAID
PROPERTY TYPE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------- ---------------- ----------------- ------------------
<S> <C> <C> <C>
Single Family 5,643 $195,297,414.19 92.11%
Low-rise Condo 383 12,027,391.33 5.67
High-rise Condo 26 853,801.91 0.40
PUD 94 3,217,299.16 1.52
2 - Unit 13 398,719.76 0.19
3 - Unit 6 174,112.09 0.08
4 - Unit 2 63,000.00 0.03
----- --------------- ------
Total 6,167 $212,031,738.44 100.00%
</TABLE>
23
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
STATISTICAL PERCENTAGE OF
CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE DATE
INITIAL MORTGAGE AGGREGATE UNPAID AGGREGATE UNPAID
STATE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- ---------------- ----------------- ------------------------
<S> <C> <C> <C>
Alaska 61 $ 2,379,706.52 1.12%
Arizona 64 2,235,594.89 1.05
California 4,169 146,620,897.92 69.15
Colorado 176 5,798,688.13 2.73
Florida 6 164,591.36 0.08
Georgia 82 2,607,533.96 1.23
Hawaii 2 69,161.30 0.03
Idaho 457 14,696,321.25 6.93
Illinois 2 74,918.00 0.04
Indiana 36 1,185,938.60 0.56
Iowa 138 4,651,696.66 2.19
Kansas 7 211,500.00 0.10
Kentucky 2 53,893.42 0.03
Louisiana 8 253,050.00 0.12
Minnesota 33 1,039,578.64 0.49
Missouri 10 408,777.19 0.19
Montana 158 4,912,317.57 2.32
Nebraska 151 4,584,135.81 2.16
Nevada 27 853,491.77 0.40
New Mexico 1 36,938.86 0.02
North Carolina 48 1,530,246.19 0.72
Ohio 47 1,457,668.30 0.69
Oklahoma 10 215,784.71 0.10
Oregon 99 3,623,719.91 1.71
South Dakota 108 3,579,781.33 1.69
Tennessee 6 204,787.42 0.10
Utah 34 1,032,133.61 0.49
Virginia 5 211,921.42 0.10
Washington 68 2,280,763.91 1.08
Wisconsin 1 45,000.00 0.02
Wyoming 151 5,011,199.79 2.36
----- --------------- ------
TOTAL 6,167 $212,031,738.44 100.00%
</TABLE>
No more than approximately 0.80% of the Initial Mortgage Loans are secured
by Mortgaged Properties located in any one zip code.
24
<PAGE>
EXHIBIT 99.2
------------
<PAGE>
Preferred Mortgage 1996-2 CS First Boston Computational Materials
BOND PROFILE SUMMARY
<TABLE>
<CAPTION>
_____________________________________________________________________________________
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class Original Coupon Avg. CBE 1st Last Mod. Legal
# Name Par % Life Yield Price Pay Pay Dur. Final
(yrs) (mm/yy) (mm/yy) (yrs.) (mm/yy)
____________________________________________________________________________________
1 A1 80,200,000 6.34 0.90 5.965 99-31 1/97 7/98 0.85 5/03
2 A2 29,800,000 6.22 2.00 6.093 99-31 7/98 4/99 1.84 3/05
3 A3 43,700,000 6.33 3.00 6.268 99-31 4/99 8/00 2.66 4/07
4 A4 59,800,000 6.47 5.00 6.469 99-30 8/00 7/03 4.15 9/09
5 A5 16,300,000 6.85 7.20 6.869 99-31+ 7/03 9/04 5.53 4/10
6 A6 50,200,000 7.08 10.60 7.120 100-00 9/04 7/11 7.20 2/18
___________________________________________
TO CALL:
6 A6 50,200,000 7.08 9.75 7.121 99-31 9/04 6/07 6.84 2/18
</TABLE>
(1) Fixed Rate Certificates Prepayment Curve (PPC)= 100% of PPC.
A 100% Prepayment Assumption assumes prepayments start at 4% in month 1,
rise by 1.00% per month to 15% CPR in month 12 at 15% CPR thereafter on a
seasoning adjusted basis.
(2) Coupon and price are assumed for computational materials.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
[LOGO] CS FIRST BOSTON
<PAGE>
Preferred Mortgage 1996-2 CS First Boston Computational Materials
BOND PROFILE SUMMARY
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of PPC: 0 75 100 115 125 150 200
Implied Seasoned CPR: 0 11.25% 15.00% 17.25% 18.75% 22.50% 30.00%
_______________________________________________________________________________________
Class A1 $80,200,000; Legal Final 5/03
_______________________________________________________________________________________
TO MATURITY (Assumed Coupon 6.34%; Assumed Price 99-31)
Bond Yield: 6.28 6.02 5.97 5.93 5.91 5.87 5.77
Average Life: 3.08 1.04 0.90 0.84 0.81 0.74 0.63
Duration: 2.63 0.98 0.85 0.80 0.77 0.70 0.60
First Prin Pay: 1/97 1/97 1/97 1/97 1/97 1/97 1/97
Last Prin Pay: 5/03 12/98 7/98 5/98 5/98 3/98 12/97
_______________________________________________________________________________________
CLASS A2 $29,800,000; Legal Final 3/05
_______________________________________________________________________________________
TO MATURITY (Assumed Coupon 6.22%; Assumed Price 99-31)
Bond Yield: 6.24 6.13 6.09 6.07 6.06 6.03 5.97
Average Life: 7.43 2.47 2.00 1.80 1.70 1.49 1.24
Duration: 5.80 2.23 1.84 1.66 1.57 1.39 1.17
First Prin Pay: 5/03 12/98 7/98 5/98 5/98 3/98 12/97
Last Prin Pay: 3/05 11/99 4/99 1/99 12/98 8/98 4/98
_______________________________________________________________________________________
CLASS A3 $43,700,000; Legal Final 4/07
_______________________________________________________________________________________
TO MATURITY (Assumed Coupon 6.33%; Assumed Price 99-31)
Bond Yield: 6.36 6.29 6.27 6.25 6.24 6.22 6.17
Average Life: 9.38 3.73 3.00 2.69 2.51 2.16 1.70
Duration: 6.89 3.24 2.66 2.41 2.26 1.97 1.58
First Prin Pay: 3/05 11/99 4/99 1/99 12/98 8/98 4/98
Last Prin Pay: 4/07 6/01 8/00 3/00 12/99 7/99 12/98
_______________________________________________________________________________________
CLASS A4 $59,800,000; Legal Final 9/09
_______________________________________________________________________________________
TO MATURITY (Assumed Coupon 6.47%; Assumed Price 99-30)
Bond Yield: 6.51 6.48 6.47 6.46 6.45 6.44 6.41
Average Life: 11.63 6.14 5.00 4.48 4.18 3.58 2.74
Duration: 7.96 4.92 4.15 3.78 3.56 3.10 2.44
First Prin Pay: 4/07 6/01 8/00 3/00 12/99 7/99 12/98
Last Prin Pay: 9/09 12/04 7/03 11/02 6/02 9/01 7/00
_______________________________________________________________________________________
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
[LOGO] CS FIRST BOSTON
<PAGE>
Preferred Mortgage 1996-2 CS First Boston Computational Materials
BOND PROFILE SUMMARY
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of PPC: 0 75 100 115 125 150 200
Implied Seasoned CPR: 0 11.25% 15.00% 17.25% 18.75% 22.50% 30.00%
_______________________________________________________________________________________
CLASS A5 $16,300,000; Legal Final 4/10
_______________________________________________________________________________________
TO MATURITY (Assumed Coupon 6.85%; Assumed Price 99-31+)
Bond Yield: 6.90 6.88 6.87 6.86 6.86 6.85 6.82
Average Life: 13.10 8.63 7.20 6.50 6.08 5.21 4.00
Duration: 8.42 6.34 5.53 5.10 4.84 4.27 3.40
First Prin Pay: 9/09 12/04 7/03 11/02 6/02 9/01 7/00
Last Prin Pay: 4/10 3/06 9/04 12/03 7/03 8/02 4/01
_______________________________________________________________________________________
CLASS A6 $50,200,000; Legal Final 2/18
_______________________________________________________________________________________
TO MATURITY (Assumed Coupon 7.08%; Assumed Price 100-00)
Bond Yield: 7.13 7.12 7.12 7.12 7.11 7.11 7.09
Average Life: 14.18 11.78 10.60 9.90 9.44 8.37 6.60
Duration: 8.71 7.74 7.20 6.85 6.62 6.06 5.06
First Prin Pay: 4/10 3/06 9/04 12/03 7/03 8/02 4/01
Last Prin Pay: 12/11 9/11 7/11 5/11 3/11 9/10 3/09
____________________________________
CALL (Assumed Coupon 7.08%; Assumed Price 99-31)
Bond Yield: 7.13 7.13 7.12 7.12 7.11 7.11 7.09
Average Life: 14.03 11.14 9.75 8.98 8.45 7.38 5.70
Duration: 8.66 7.49 6.84 6.45 6.17 5.58 4.55
First Prin Pay: 4/10 3/06 9/04 12/03 7/03 8/02 4/01
Last Prin Pay: 3/11 10/08 6/07 9/06 2/06 1/05 3/03
_______________________________________________________________________________________
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
[LOGO] CS FIRST BOSTON
<PAGE>
Preferred Mortgage 1996-2 CS First Boston Computational Materials
FIXED RATE COLLATERAL SUMMARY
<TABLE>
<CAPTION>
<S> <C> <C>
Total Number of Loans 6,167 Level Pay 100.00%
Total Outstanding Loan Balance $212,031,738 1st Lien .07%
2nd Lien 99.67%
3rd Lien .26%
</TABLE>
<TABLE>
<CAPTION>
RANGE % TOTAL # LOANS
<S> <C> <C> <C> <C>
Avg Loan Balance $ 34,381.67 (Less than)= 14,999.99 .96 153
Highest Balance $139,599.64 15,000 - 29,999.99 28.70 2,500
Lowest Balance $ 9,830.53 30,000 - 44,999.99 39.09 2,246
45,000 - 59,999.99 26.50 1,125
60,000 - 74,999.99 3.55 115
75,000 - 139,599.64 1.21 28
RANGE % TOTAL # LOANS
Wtg Avg Coupon 13.46% (Less than) = 10.99% .77 47
Highest Coupon 17.25% 11.00% - 11.99% 7.70 454
Lowest Coupon 10.21% 12.00% - 12.99% 19.96 1,193
13.00% - 13.99% 51.29 3,189
14.00% - 14.99% 16.21 1,014
15.00% - 17.25% 4.08 270
RANGE LEVEL PAY BALLOON
Wtd Avg Remaining Term 176.24 1 - 172 18.49% .00%
Highest Remaining Term 240 173 - 176 25.52% .00%
Lowest Remaining Term 106 177 - 180 55.92% .00%
181 - 240 .06% .00%
</TABLE>
Wtd Avg Seasoning 3.79
Highest Seasoning 18
Lowest Seasoning 0
<TABLE>
<CAPTION>
RANGE % TOTAL # LOANS
<S> <C> <C> <C> <C>
Wtd Avg Orig CLTV 110.19% 0.01% - 80.00% 2.99 182
Highest CLTV 125.00% 80.01% - 90.00% 6.98 448
90.01% - 100.00% 16.52 1,035
100.01% - 109.99% 15.75 974
110.00% - 125.00% 57.75 3,528
</TABLE>
Geographics CA 69%, ID 7%, CO 3%, WY 2%, SD 2%, OR 2%, NE 2%
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by CS First Boston. All information described above
is preliminary, limited in nature and subject to completion or amendment. CS
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
[LOGO] CS FIRST BOSTON
