<PAGE>
Filed Pursuant to Rule 424(b)(4)
Registration File No.: 33-96378
PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED NOVEMBER 10, 1995)
$179,589,443 (APPROXIMATE)
STRUCTURED ASSET SECURITIES CORPORATION
MULTICLASS PASS-THROUGH CERTIFICATES, SERIES 1995-C4
Structured Asset Securities Corporation (the "Depositor") is forming a
trust (the "Trust") which will issue Multiclass Pass-Through Certificates,
Series 1995-C4 (the "Certificates") in the aggregate principal amount of
approximately $242,688,441. The Certificates are composed of eleven classes:
the Class A-1A, Class A-1B and Class A-2 Certificates (collectively, the
"Senior Certificates"), the Class B, Class C, Class D, Class E, Class F,
Class G and Class H Certificates (collectively, the "Subordinate
Certificates") and the Class R Certificates. Only the Senior Certificates and
the Class B, Class C and Class D Certificates are being offered hereby
(collectively, the "Offered Certificates"). It is a condition to their
issuance that each Class of the Senior Certificates be rated "AAA" by Fitch
Investors Service, L.P. ("Fitch'') and Standard & Poor's Ratings Services
("S&P"), that the Class B Certificates be rated "AAA" by Fitch and "AA" by
S&P, that the Class C Certificates be rated "AA" by Fitch and "A" by S&P and
that the Class D Certificates be rated "BBB+" by Fitch and "BBB" by S&P.
The Certificates will evidence, in the aggregate, all of the direct and
indirect beneficial ownership interests in the Trust established by the
Depositor pursuant to a Trust Agreement, dated as of November 1, 1995, among
the Depositor, LaSalle National Bank, as trustee (the "Trustee"), ABN AMRO
Bank, N.V. (the "Fiscal Agent"), GE Capital Asset Management Corporation (the
"Servicer") and Lennar Partners, Inc. (the "Special Servicer"). The
Certificates do not constitute obligations of the Depositor or the Trustee or
any of their respective affiliates and will not be insured or guaranteed by
any governmental instrumentality, Lehman Brothers Inc. ("Lehman Brothers") or
any affiliate thereof or any other person or entity. SEE "RISK FACTORS"
BEGINNING ON PAGE S-37 OF THIS PROSPECTUS SUPPLEMENT AND "RISK FACTORS"
BEGINNING ON PAGE 26 OF THE PROSPECTUS FOR CERTAIN FACTORS TO BE CONSIDERED
IN PURCHASING THE OFFERED CERTIFICATES.
The primary assets of the Trust will be fixed and adjustable rate
commercial and multifamily mortgage loans and a senior interest in a trust,
the principal asset of which is a mortgage loan (the "Senior Participation"
and, the mortgage loans and the Senior Participation collectively, the
"Mortgage Loans"), that have an aggregate Scheduled Principal Balance as of
November 1, 1995 (the "Cut-Off Date"), of approximately $242,688,441 (the
"Mortgage Pool") and certain Collection and Distribution Accounts (together
with the Mortgage Pool, the "Trust Fund"). The Mortgage Pool consists of two
groups, the Group 1 Mortgage Loans, which consist of fixed and adjustable
rate Mortgage Loans, and the Group 2 Mortgage Loans, which consist of
adjustable rate Mortgage Loans. The Mortgage Loans will be acquired by the
Depositor on the Closing Date from two affiliates of the Depositor and Lehman
Brothers (such affiliates, collectively the "Seller") which (i) either
directly or indirectly acquired such Mortgage Loans from (a) several
financial institutions (with respect to approximately 91.3% of the aggregate
principal balance of the Mortgage Loans) or (b) with respect to two Mortgage
Loans representing approximately 3.1% of the aggregate Scheduled Principal
Balance, indirectly from a partnership which is indirectly owned by
affiliates of Lehman Brothers, Westinghouse Electric Corporation ("WEC") and
Lennar Corporation ("Lennar") and which was formed in May 1993 in connection
with the sale of certain mortgage loans and real estate assets which were
primarily originated by Westinghouse Credit Corporation ("WCC") and certain
other partnerships affiliated therewith, or (ii) originated such Mortgage
Loans through the financing of the related properties by affiliates of the
Depositor after such affiliates acquired the related properties through
foreclosure or deed in lieu of foreclosure (with respect to approximately
5.6% of the aggregate principal balance of the Mortgage Loans).
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS SUPPLEMENT OR THE PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
THE ATTORNEY GENERAL OF THE STATE OF NEW YORK HAS NOT PASSED ON OR ENDORSED
THE MERITS OF THIS OFFERING. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL.
<TABLE>
<CAPTION>
FINAL SCHEDULED
INITIAL AGGREGATE CERTIFICATE CERTIFICATE INTEREST DISTRIBUTION
CLASS PRINCIPAL AMOUNT(1) RATE DATE(2) CUSIP NUMBER
- ------------ ----------------------------- -------------------- ------------------ --------------
<S> <C> <C> <C> <C>
Class A-1A . $52,129,745 6.90% June 25, 2026 863572 GP2
Class A-1B . $50,000,000 6.89% June 25, 2026 863572 GQ0
Class A-2 .. $14,360,704 (3) June 25, 2026 863572 GR8
Class B ..... $14,561,306 7.00% June 25, 2026 863572 GS6
Class C ..... $24,268,844 7.00% June 25, 2026 863572 GT4
Class D ..... $24,268,844 7.00% June 25, 2026 863572 GU1
</TABLE>
(Footnotes to table on next page)
The Offered Certificates will be purchased by Lehman Brothers and will be
offered by Lehman Brothers from time to time in negotiated transactions or
otherwise at varying prices to be determined at the time of sale. The
aggregate proceeds (excluding accrued interest) to the Depositor from sale of
the Offered Certificates will be approximately $177,957,857 before deduction
of expenses payable by the Depositor.
The Certificates offered by this Prospectus Supplement and the Prospectus
are offered by Lehman Brothers subject to prior sale, withdrawal,
cancellation or modification of the offer without notice, to delivery to and
acceptance by Lehman Brothers and certain further conditions. It is expected
that the Offered Certificates will be delivered in book-entry form through
the Same-Day Funds Settlement System of The Depository Trust Company against
payment therefor on or about November 30, 1995.
LEHMAN BROTHERS
November 21, 1995
<PAGE>
The footnotes to the table on the previous page are as follows:
(1) The initial aggregate principal amount of the Offered Certificates is
subject to a permitted variance of plus or minus 5%, depending on the
Mortgage Loans actually delivered to secure the Certificates.
(2) Determined on the basis of the assumptions set forth in "DESCRIPTION
OF THE CERTIFICATES -- Final Scheduled Distribution Date" herein.
(3) During the initial Interest Accrual Period, which begins on November
25, 1995 and ends on December 24, 1995, the Class A-2 Certificates
will bear interest at a per annum rate equal to 6.3625%. During each
Interest Accrual Period thereafter, the Class A-2 Certificates will
bear interest at a per annum rate equal to the London Interbank
Offered Rate for one-month United States Dollar deposits, determined
as described herein ("LIBOR"), plus 0.55% (the "Class A-2 Rate"),
subject to the Available Funds Cap described herein.
Lehman Brothers, directly or through one or more of its affiliates,
intends to make a secondary market in the Offered Certificates but is under
no obligation to do so. There can be no assurance that a secondary market for
the Offered Certificates will develop or, if it does develop, that it will
continue. See "RISK FACTORS" beginning on page S-37 herein.
The Certificates will bear interest at the respective rates per annum set
forth or described above. Interest on the Certificates will be payable on the
25th day of each month (or, if such day is not a Business Day, then the next
succeeding Business Day) (each such date, a "Distribution Date"), commencing
December 26, 1995. Interest will accrue on the Offered Certificates (other
than the Class A-2 Certificates, which accrue interest as described below)
from the first day of the month preceding the month in which the related
Distribution Date occurs through the last day of such month (each such
period, an "Interest Accrual Period"). The Interest Accrual Period for the
Class A-2 Certificates for each related Distribution Date will begin on the
25th day of the month preceding a Distribution Date and end on the 24th day
of the month in which the related Distribution Date occurs. Principal
payments on the Certificates of each Class will be made in the amounts and in
accordance with the priorities described herein on a pro rata basis among the
Certificates of each Class. Distributions of principal and interest on the
Class A-1A Certificates, the Class A-1B Certificates and the Subordinate
Certificates (collectively, the "Group 1 Certificates") generally will be
made from Mortgage Loans in Mortgage Loan Group 1, which will consist of (a)
fixed rate Mortgage Loans and (b) adjustable rate Mortgage Loans with
Mortgage Interest Rates based on various indices and with Maturity Dates
after September 1, 2002. Distributions of principal and interest on the Class
A-2 Certificates (the "Group 2 Certificates") generally will be made from
Mortgage Loans in Mortgage Loan Group 2, which will consist of adjustable
rate Mortgage Loans with Mortgage Interest Rates based on various indices and
with Maturity Dates no later than September 1, 2002. Realized Losses with
respect to the Mortgage Loans will be allocated to the Subordinate
Certificates prior to allocation thereof to the Senior Certificates.
An election will be made to treat the Trust Fund, or a segregated pool of
assets included therein (the "REMIC Pool"), as a "real estate mortgage
investment conduit" ("REMIC") for federal income tax purposes. As described
more fully herein and in the Prospectus, the Senior and Subordinate
Certificates will be designated as "regular interests" and the Class R
Certificates will be designated as the "residual interest" in the REMIC Pool.
See "FEDERAL INCOME TAX CONSIDERATIONS" herein and in the Prospectus.
This Prospectus Supplement does not contain complete information about the
offering of the Certificates. Additional information is contained in the
Prospectus and investors must read both the Prospectus and this Prospectus
Supplement to obtain material information about the offering. Sales of
Offered Certificates may not be consummated unless the purchaser has received
both the Prospectus and the Prospectus Supplement.
Until ninety days after the date of this Prospectus Supplement, all
dealers effecting transactions in the Offered Certificates, whether or not
participating in this distribution, may be required to deliver a Prospectus
Supplement and the Prospectus. This is in addition to the obligation of
dealers acting as underwriters to deliver a Prospectus Supplement and the
Prospectus with respect to their unsold allotments or subscriptions.
S-2
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
<S> <C>
EXECUTIVE SUMMARY ...................................................S-5
Summary of Terms .................................................... S-17
Risk Factors ........................................................ S-37
The Certificates ................................................... S-37
The Mortgage Loans ................................................. S-39
DESCRIPTION OF THE CERTIFICATES ..................................... S-44
General ............................................................ S-44
Certificate Balances ............................................... S-44
Registration; Denominations ........................................ S-44
Distributions ...................................................... S-45
Available Distribution Amount ...................................... S-45
Distributions of Interest .......................................... S-47
Excess Interest .................................................... S-50
Distributions of Principal ......................................... S-51
Subordination; Allocation of Losses and Certain Expenses .......... S-53
Advances ........................................................... S-54
Reports to Certificateholders; Available Information ............... S-55
Example of Distributions ........................................... S-57
Final Scheduled Distribution Date .................................. S-58
Optional Termination ............................................... S-59
Special Termination ................................................ S-59
The Trustee ........................................................ S-60
Collection Account and Distribution Account ........................ S-60
THE TRUST ........................................................... S-60
General ............................................................ S-60
The Seller ......................................................... S-60
Assignment of the Mortgage Loans; Repurchases ...................... S-61
Representations and Warranties; Repurchases ........................ S-62
The Mortgage Loans ................................................. S-63
The Senior Participation ........................................... S-64
Description of the Mortgage Pool ................................... S-64
Secondary Financing ................................................ S-163
Significant Property ............................................... S-163
Borrower Concentrations ............................................ S-164
Standard Hazard Insurance .......................................... S-164
Certain Environmental Matters ...................................... S-165
SERVICING OF MORTGAGE LOANS ......................................... S-167
General ............................................................ S-167
The Servicer ....................................................... S-168
The Special Servicer ............................................... S-169
The Operating Adviser .............................................. S-170
The Extension Adviser .............................................. S-172
Mortgage Loan Modifications ........................................ S-173
Foreclosures ....................................................... S-173
Sale of Defaulted Mortgage Loans and REO Properties ................ S-174
YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS ....................... S-175
General ............................................................ S-175
Weighted Average Life .............................................. S-177
LEGAL INVESTMENT CONSIDERATIONS ..................................... S-182
</TABLE>
S-3
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
Certain Legal Aspects of Mortgage Loans Located in California,
Connecticut and Pennsylvania ....................................... S-182
California ......................................................... S-182
Connecticut ........................................................ S-182
Pennsylvania ....................................................... S-182
USE OF PROCEEDS ..................................................... S-182
ERISA Considerations ................................................ S-183
Federal Income Tax Considerations ................................... S-185
General ............................................................ S-185
Characterization of Certificates ................................... S-185
Original Issue Discount ............................................ S-185
UNDERWRITING ........................................................ S-186
Legal Matters ....................................................... S-187
Certificate Rating .................................................. S-187
Index of Principal Terms ............................................ S-188
Appendix A--Characteristics of the Mortgage Loans ................... A-1
Appendix B--Debt Service Coverage Ratios: Description of Key Terms . B-1
</TABLE>
S-4
<PAGE>
EXECUTIVE SUMMARY
Prospective investors are advised to carefully read, and should rely
solely on, the detailed information appearing elsewhere in this Prospectus
Supplement and the Prospectus relating to the securities referred to herein
in making their investment decision. The following Executive Summary does not
include all relevant information relating to the securities and collateral
described herein, particularly with respect to the risks and special
considerations involved with an investment in such securities and is
qualified in its entirety by reference to the detailed information appearing
elsewhere in this Prospectus Supplement and the Prospectus. Prior to making
any investment decision, a prospective investor should fully review this
Prospectus Supplement and the Prospectus. Capitalized terms used and not
otherwise defined herein have the respective meanings assigned to them in
this Prospectus Supplement and the Prospectus.
[GRAPHIC REPRESENTING MORTGAGE CERTIFICATES AND CLASSES:
DATA IS FAIRLY REPRESENTED IN TABLE BELOW]
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE PRINCIPAL
RATING PRINCIPAL % OF LIFE(1) WINDOW(1)
CLASS FITCH / S&P AMOUNT TOTAL DESCRIPTION COUPON (YEARS) (YEARS)
<S> <C> <C> <C> <C> <C> <C> <C>
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
Senior Classes
- ---------------------- ------------- -------- ------------- --------- ---------- -------------
A-1A AAA/AAA $52,129,745 21.48% Fixed Rate 6.90% 2.26 0.07-4.32
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
A-1B AAA/AAA $50,000,000 20.60% Fixed Rate 6.89% 5.87 4.32-7.40
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
A-2 AAA/AAA $14,360,704 5.92% 1 Mo. LIBOR L+0.55% 6.27 0.07-9.82
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
Subordinate Classes
- ---------------------- ------------- -------- ------------- --------- ---------- -------------
B AAA/AA $14,561,306 6.00% Fixed Rate 7.00% 7.79 7.40-7.90
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
C AA/A $24,268,844 10.00% Fixed Rate 7.00% 8.67 7.90-9.15
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
D BBB+/BBB $24,268,844 10.00% Fixed Rate 7.00% 9.92 9.15-11.40
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
E BB/BB $26,695,728 11.00% WAC(2) (3)% 12.37 11.40-12.82
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
F B/B $12,134,422 5.00% WAC(2) (3)% 13.10 12.82-14.40
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
G NR/NR $12,134,422 5.00% WAC(2) (3)% 16.43 14.40-16.99
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
H NR/NR $12,134,421 5.00% WAC(2) (3)% 18.80 16.99-28.65
- -------- ------------ ------------- -------- ------------- --------- ---------- -------------
</TABLE>
(1) Using a Prepayment Assumption of 4% CPR and a Balloon Extension
Assumption of 3 Years, as more fully described under "YIELD, PREPAYMENT
AND MATURITY CONSIDERATIONS" herein.
(2) Classes E, F, G and H will bear interest each month at the weighted
average Mortgage Interest Rate of the Group 1 Mortgage Loans for that
month less the Administrative Fee Rate, as described herein.
(3) During the Initial Interest Accrual Period, the Class E, F, G, and H
Certificates will bear interest at a per annum rate equal to
approximately 8.77866% and thereafter the Coupon on such Certificates
will be calculated as described in "(2)" above.
N.B.The numbers in the above table and diagram are approximate.
S-5
<PAGE>
SECURITIES:
PAYMENT DATES .......... The Certificates will be paid monthly on the
25th day of the month, or the next
succeeding Business Day commencing on
December 26, 1995. All classes other than
Class A-2 have a "24-day delay" and accrue
interest from the first day of each month
on a 30/360 basis. Class A-2 (the LIBOR
class) has a "0-day delay" and accrues
interest from the 25th day of each month
on an actual/360 basis. "See DESCRIPTION
OF THE CERTIFICATES -- Distributions"
herein.
FINAL SCHEDULED
DISTRIBUTION DATE ...... June 25, 2026. See "DESCRIPTION OF THE
CERTIFICATES -- Final Scheduled
Distribution Date" herein.
TERMINATION RIGHTS ..... 10% optional termination, 25% auction
termination. See "DESCRIPTION OF THE
CERTIFICATES -- Optional Termination" and
"-- Special Termination" herein.
SERVICER ............... GE Capital Asset Management Corporation. See
"SERVICING OF MORTGAGE LOANS -- The
Servicer" herein.
SPECIAL SERVICER ....... Lennar Partners, Inc. See "SERVICING OF
MORTGAGE LOANS -- The Special Servicer"
herein.
TRUSTEE ................ LaSalle National Bank. See "DESCRIPTION OF
THE CERTIFICATES -- The Trustee" herein.
FISCAL AGENT ........... ABN AMRO Bank, N.V. See "DESCRIPTION OF THE
CERTIFICATES -- The Trustee" herein.
LEGAL STATUS ........... Class A-1A, Class A-1B, Class A-2, Class B,
Class C and Class D Certificates are
publicly registered securities; all other
Classes, which are not offered hereby, are
not being offered at the present time or
are being offered in private transactions.
See also "LEGAL INVESTMENT CONSIDERATIONS"
herein.
ERISA .................. The Class A-1A, Class A-1B and Class A-2
Certificates should qualify for an
exemption from the prohibited transaction
provisions of ERISA. The Class B, Class C
and Class D Certificates may be acquired
by employee benefit plans subject to ERISA
only if an exemption from the prohibited
transaction provisions of ERISA is
applicable. See "ERISA CONSIDERATIONS"
herein.
SMMEA .................. None of the Certificates are
mortgage-related securities pursuant to
the Secondary Mortgage Market Enhancement
Act of 1984 ("SMMEA").
DENOMINATIONS .......... $100,000 and integral multiples of $1,000 in
excess thereof.
DTC ELIGIBILITY ........ Class A-1A, Class A-1B, Class A-2, Class B,
Class C and Class D are being delivered
through the facilities of The Depository
Trust Company ("DTC").
S-6
<PAGE>
PROPOSED SETTLEMENT ... On or about November 30, 1995.
SENIOR CERTIFICATES .... Classes A-1A, A-1B and A-2.
SUBORDINATE
CERTIFICATES ........... Classes B, C, D, E, F, G and H.
RESIDUAL CERTIFICATE ... Class R.
OFFERED CERTIFICATES ... The Senior Certificates and Classes B, C and
D.
GROUP 1 CERTIFICATES ... Classes A-1A and A-1B and the Subordinate
Certificates.
GROUP 2 CERTIFICATES ... Class A-2.
STRUCTURAL SUMMARY:
LOAN GROUPS ............ The Mortgage Loans are divided into two
cross-collateralized Mortgage Loan Groups:
Mortgage Loan Group 1, which consists of
all of the fixed rate Mortgage Loans (five
of which provide for increases in the
fixed rate on specified dates) and those
adjustable rate Mortgage Loans which have
scheduled maturity dates later than
September 1, 2002 and Mortgage Loan Group
2, which consists of those adjustable rate
Mortgage Loans which have scheduled
maturity dates no later than September 1,
2002. See "Collateral Overview" in this
Executive Summary and "THE TRUST -- The
Mortgage Loans -- Mortgage Loan Group 1"
and "-- Mortgage Loan Group 2" herein.
INTEREST PAYMENT ....... Interest on the Certificates will generally
be distributed with respect to each
Mortgage Loan Group in the following
order:
Mortgage Loan Group 1:
First, to the Class A-1A and Class A-1B
Certificates, pro rata. Second, to the
Class B, Class C, Class D, Class E, Class
F, Class G and Class H Certificates, in
that order.
Mortgage Loan Group 2:
To Class A-2 Certificates. Interest
distributions on Class A-2 will be subject
to an Available Funds Cap.
See "DESCRIPTION OF THE CERTIFICATES --
Distributions of Interest" herein.
BASIS RISK ............. Class A-2 is a LIBOR floater that adjusts on
a monthly basis and is subject to an
Available Funds Cap. Mortgage Loan Group 2
is composed of Mortgage Loans that have
different interest rate adjustment
frequencies, payment adjustment
frequencies, indices, periodic rate and
payment adjustment caps, lifetime rate
caps and margins. The risk that, on any
Distribution Date, the Group 2 Available
Distribution Amount may be less than the
amount of interest that would
S-7
<PAGE>
be payable to the Class A-2 Certificates
in the absence of the Available Funds Cap
("Basis Risk") is mitigated by the use of
Excess Interest (as defined below) from
Mortgage Loan Group 1 to supplement the
Group 2 Interest Distribution Amount
available to pay interest on the Class A-2
Certificates. See "DESCRIPTION OF THE
CERTIFICATES -- Distributions of Interest"
herein.
PRINCIPAL PAYMENTS ..... Principal payments will generally be made
with respect to each Mortgage Loan Group
in the following order:
Mortgage Loan Group 1:
To Class A-1A Certificates, A-1B
Certificates, B Certificates, C
Certificates, D Certificates, E
Certificates, F Certificates, G
Certificates and H Certificates, in that
order.
Mortgage Loan Group 2:
To Class A-2 Certificates.
The exceptions to these rules are
described under "Crossover Payments," in
Executive Summary.
See "DESCRIPTION OF THE CERTIFICATES --
Distributions of Principal" herein. this
EXCESS INTEREST ........ "Excess Interest" is, subject to certain
modifications, the amount, if any, by
which the Group 2 Interest Distribution
Amount exceeds the interest accrued on the
Class A-2 Certificates ("Group 2 Excess
Interest") and the amount, if any, by
which the Group 1 Interest Distribution
Amount exceeds the interest accrued on all
other Classes of Certificates ("Group 1
Excess Interest'').
Any Excess Interest not distributed to the
Holders of the Group 1 or Group 2
Certificates (to cover shortfalls which
would otherwise occur due to Basis
Risk, Prepayment Interest Shortfalls,
Deferred Interest, Interest Shortfalls
and Realized Losses of interest) will be
paid to the Holders of the Class R
Certificates. See "DESCRIPTION OF THE
CERTIFICATES -- Excess Interest" herein.
CREDIT ENHANCEMENT ..... The Class A-1A, Class A-1B and Class A-2
Certificates are credit enhanced by the
Classes of Subordinate Certificates
consisting of the Class B, Class C, Class
D, Class E, Class F, Class G and Class H
Certificates.
Realized Losses from any Mortgage Loan will
generally be allocated to reduce the
Certificate Principal Amount of the
Subordinate Certificates in reverse
alphabetical order starting with the Class H
Certificates.
CROSSOVER PAYMENTS ..... Crossover Principal Amounts from the Group 1
to the Group 2 Certificates arise in two
cases, both of which can only occur
S-8
<PAGE>
while Class A-2 remains outstanding after
retirement of Classes A-1A and A-1B.
First, if Realized Losses have been taken
in Mortgage Loan Group 2 and allocated to
Subordinate Classes, then principal
received in Mortgage Loan Group 1 will be
"crossed over" to pay the Class A-2
Certificates up to the amount of such
previous Realized Losses, before any
principal is distributed to the
Subordinate Classes.
Second, if (i) the aggregate principal balance
of the Subordinate Certificates
(the "Class A-2 Credit Support") is less
than two times the principal balance
of the Class A-2 Certificates or (ii) such
Class A-2 Credit Support is less
than $15 million (provided, however, that
such $15 million amount shall only
apply if there are more than five Group 1
Mortgage Loans outstanding,
otherwise such amount shall be $10 million
and the 60-day delinquency rate on
the Group 2 Mortgage Loans exceeds 10%, then
all principal distributions which
would otherwise be payable to the
Subordinate Certificates will be diverted to
pay the Class A-2 Certificates until both of
these conditions (collectively,
the "Subordination Test") are satisfied. See
"DESCRIPTION OF THE CERTIFICATES --
Distributions of Principal" herein.
Any Crossover Principal Amounts paid from the
Group 1 to the Group 2 Certificates will
result in Crossover Interest Payments in
subsequent periods from the Group 2
to the Group 1 Certificates, to the
extent of the weighted
average Net Mortgage Interest Rate of the
Mortgage Loans in Mortgage Loan
Group 2 multiplied by the Group 2 Excess
Principal Amount.
ADVANCING .............. The Servicer, the Trustee and the Fiscal
Agent will be obligated to make advances
of scheduled principal and interest
payments and certain property and lien
priority protection expenses ("Advances").
None of these parties will be required to
make such Advances to the extent that such
Advances, in its reasonable business
judgment, are ultimately not recoverable
from future payments and collections from
the related Borrower, Insurance Proceeds,
Condemnation Proceeds, and net Liquidation
Proceeds from the related Mortgage Loans
and REO Property. To the extent that the
Servicer fails to make an Advance required
to be made, the Trustee shall then be
required to make such Advance. If both the
Servicer and the Trustee fail to make such
Advance, the Fiscal Agent shall be
required to make such Advance. The
Servicer's, the Trustee's and the Fiscal
Agent's obligations to make Advances will
not be subject to a dollar limitation. See
"DESCRIPTION OF THE CERTIFICATES --
Advances" herein.
OPERATING ADVISER ...... An Operating Adviser will be appointed by a
majority of Certificateholders of the
Controlling Class, which generally
S-9
<PAGE>
will be the most subordinate Class
outstanding, unless the Certificate
Principal Amount of that Class has been
reduced to less than 3% of the remaining
principal amount of all outstanding
Certificates. As holder of a majority of
the Class H Certificates, a Lehman
Brothers affiliate initially will act as
Operating Adviser. The Operating Adviser
may terminate the Special Servicer and
appoint a new one, subject to certain
conditions. The Operating Adviser will
direct the Special Servicer on how to best
resolve delinquent or defaulted Mortgage
Loans. See "SERVICING OF MORTGAGE LOANS --
The Operating Adviser" herein.
EXTENSION ADVISER ...... The holders of Certificates (other than the
Class R Certificates and the Class of
Certificates whose holders are entitled to
elect an Operating Adviser) evidencing
greater than 66 2/3 % of the aggregate
Certificate Principal Amount of such
Certificates will have the right, subject
to certain conditions described herein, to
elect an adviser (the "Extension Adviser")
from whom the Special Servicer will seek
approval prior to extending the maturity
of any Mortgage Loan beyond the third
anniversary of such Mortgage Loan's stated
maturity date. See "SERVICING OF MORTGAGE
LOANS -- The Extension Adviser" herein.
SPECIAL SERVICER
MODIFICATION, WAIVER
AND AMENDMENT RIGHTS .. The Special Servicer may modify, waive or
amend the terms of any Specially Serviced
Mortgage Loan with respect to which a
material default has occurred (or one on
which default is reasonably foreseeable)
or a payment default has occurred, if it
determines in its judgment that such
modification, waiver or amendment of the
terms of a Mortgage Loan is reasonably
likely to produce a greater recovery on a
net present value basis than liquidation
of such Mortgage Loan; provided that
neither the Special Servicer nor the
Servicer may agree to any modification,
waiver, or amendment that: (i) extends the
maturity date of such Mortgage Loan later
than the earlier of (A) two years prior to
the Final Scheduled Distribution Date and
(B) in the case of Mortgage Loans secured
by a leasehold estate, the date occurring
ten years prior to the termination of such
leasehold, (ii) reduces the Mortgage
Interest Rate to an amount less than, in
the case of fixed rate Mortgage Loans, the
greater of 7.0% per annum or the then
prevailing interest rate as determined by
the Special Servicer, or (iii) permits the
deferral of interest without accrual of
interest at the Mortgage Interest Rate
thereon. See "SERVICING OF MORTGAGE LOANS
-- Mortgage Loan Modifications" herein.
SPECIAL SERVICER ....... Lennar Partners, Inc. (the "Special
Servicer") is a wholly-owned subsidiary of
Lennar Corporation ("Lennar"). Lennar is a
full-service real estate company primarily
involved in home- building, the
development and management of commercial
S-10
<PAGE>
properties and real estate related
financial services. Lennar has regional
offices located throughout Florida, as
well as in a number of other states,
including California, Texas, Arizona and
Georgia. As a result of its real estate
and mortgage loan activities, Lennar and
its affiliates have personal experience in
loan workouts, asset management and
disposition, real estate development,
asset valuations, bulk portfolio
acquisitions and marketing and sales. The
principal business of the Special Servicer
is the management, turnaround and capital
recovery of distressed and underperforming
real estate loans, foreclosed real estate
and related assets and servicing
commercial real estate loans.
As of March 31, 1995, the Special Servicer and
its affiliates were managing a
portfolio including over 46,000 assets in 49
states with an original face
value of approximately $9 billion,
approximately $6 billion of which are
commercial real estate assets. Approximately
$3 billion of the commercial real
estate assets that are included in this
managed portfolio represent 10
securitization transactions for which the
Special Servicer is the servicer or
the special servicer. See "SERVICING OF THE
MORTGAGE LOANS -- The Special
Servicer" herein.
SERVICER ............... GE Capital Asset Management Corporation (the
"Servicer") is a wholly-owned subsidiary
of General Electric Capital Corporation,
which is an indirect wholly-owned
subsidiary of the General Electric
Company. As of October 31, 1995, the
Servicer serviced approximately 13,000
commercial and multifamily loans, totaling
approximately $8.2 billion in aggregate
outstanding principal amounts, including
loans securitized in mortgage-backed
securitization transactions. See
"SERVICING OF THE MORTGAGE LOANS -- The
Servicer" herein.
INVESTOR REPORTING ..... Generally, monthly reports will be
distributed to Certificateholders that
provide, in addition to standard
information as to principal and interest
distributions, factors and delinquencies,
the following data: stratifications and
weighted averages (by Mortgage Loan Group
and in the aggregate) of current Mortgage
Loan balances, remaining terms to
maturity, property types and state
locations. In addition, the Trustee will
prepare a schedule based on information
provided by the Servicer detailing certain
information on a loan-by-loan basis,
including: loan number, property type,
location, beginning principal balance,
maturity date, payments made, paid to date
and ending principal balance. In addition,
current debt coverage ratios will be
calculated by the Servicer, when
available, on an annual basis for each
Mortgage Loan.
The Servicer will prepare a monthly "Portfolio
Performance Report" (substantially in the
form currently used for recent
S-11
<PAGE>
RTC transactions) with respect to the
Mortgage Loans, which the Trustee will
make available to Certificateholders upon
request.
The Special Servicer will prepare reports which
the Trustee will distribute to
Certificateholders which give information on
the status of Specially Serviced
Mortgage Loans, on the status of any REO
Property and on any modifications
closed during the related period.
See "DESCRIPTION OF THE CERTIFICATES -- Reports
to Certificateholders; Available
Information" herein.
COLLATERAL OVERVIEW:
GENERAL ................ The Depositor will acquire the Mortgage
Loans (including the mortgage loan
underlying the Senior Participation) on
the Closing Date, with an aggregate
Scheduled Principal Balance of
approximately $242,688,441, from the
Seller. With four exceptions, the Seller
or its affiliates, either directly or
indirectly, acquired the Mortgage Loans
from several financial institutions.
The Seller acquired two Mortgage Loans with an
aggregate principal balance of
$7,511,487, indirectly from a partnership
which is indirectly owned by
affiliates of Lehman Brothers, Westinghouse
Electric Corporation and Lennar,
which partnership was formed in May 1993 in
connection with the sale of
certain mortgage loans and real estate
assets which were primarily originated
by Westinghouse Credit Corporation and
certain other affiliated partnerships.
The Seller originated two Mortgage Loans with
an aggregate Scheduled Principal
Balance as of the Cut-Off Date of
$13,600,000 through the financing of related
properties after an affiliate of the
Depositor acquired the related properties
through foreclosure or deed in lieu of
foreclosure.
MODIFICATIONS .......... Prior to being acquired by the Depositor,
terms of certain of the Mortgage Loans
were modified by the respective Seller
through negotiations with the respective
Mortgagors. The current terms of the
Mortgage Loans are described in this
Prospectus Supplement and summarized
below. The modifications included, among
other things, changes in the principal
balances of the Mortgage Loans (including
debt forgiveness equal to approximately
$48,526,849 in the aggregate), increases
and reductions of interest rates,
conversions of adjustable rates to fixed
rates, maturity extensions, changes to
amortization schedules, or a combination
thereof. In certain cases, the Seller may
have received subordinate mortgage loans
in connection with the modifications of
the original mortgage loans which will be
retained by Seller, subject to an
Intercreditor Agreement, which limits the
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<PAGE>
ability of the holder of any such
subordinate mortgage loan to exercise its
rights while the related senior
indebtedness remains outstanding. The
Seller makes no representations that the
underwriting of the modified Mortgage
Loans would conform in all respects to
procedures employed by federally insured
financial institutions.
LOAN DETAILS ........... See Appendix A hereto for certain
characteristics of the Mortgage Loans on a
loan-by-loan basis. See also "THE TRUST --
Description of the Mortgage Pool" for
additional tabular information regarding
the Mortgage Loans.
<TABLE>
<CAPTION>
CHARACTERISTICS TOTAL GROUP 1 GROUP 2
- ------------------------------- ---------------- ---------------- ---------------
<S> <C> <C> <C>
Scheduled Principal Balance ... $242,688,441 $228,327,736 $14,360,705
Number of Loans ................ 107 95 12
Weighted Average Interest Rate 8.84% 8.82% 9.19%
Weighted Average Maturity ..... 110 Mths 113 Mths 59 Mths
Weighted Average Seasoning .... 22 Mths 19 Mths 59 Mths
Weighted Average DSCR* ......... 1.35x 1.36x 1.26x
Weighted Average Lifetime
Interest Rate Cap** ........... 13.81% 14.83% 13.08%
Weighted Average Interest Rate
Floor*** ...................... 5.86% 5.89% 5.84%
Weighted Avg. Gross Margin .... 251 Bps 258 Bps 239 Bps
Average Loan Balance ........... $2,268,116 $2,403,450 $1,196,725
California Percent ............. 20.2% 19.6% 29.9%
Balloon Loans .................. 89.5% 88.8% 100.0%
</TABLE>
- ------------
Mths = Months; Bps = Basis Points.
* Debt Service Coverage Ratio is calculated based on the ratio of net
operating income to the annualized current scheduled payments under the
Mortgage Loans.
** For those Mortgage Loans with Lifetime Interest Rate Caps.
*** For those Mortgage Loans with Lifetime Interest Rate Floors.
SCHEDULED PRINCIPAL BALANCE DISTRIBUTION
<TABLE>
<CAPTION>
SCHEDULED PRINCIPAL BALANCE TOTAL GROUP 1 GROUP 2
- ------------------------------- --------- ----------- -----------
<S> <C> <C> <C>
$ 0- 500,000 ................... 3.0% 2.9% 3.9%
500,001-1,000,000 .............. 8.8% 8.0% 21.2%
1,000,001-2,000,000 ............ 13.0% 10.7% 49.2%
2,000,001-3,000,000 ............ 12.1% 12.8% 0.0%
3,000,001-4,000,000 ............ 13.5% 12.8% 25.7%
4,000,001-5,000,000 ............ 5.7% 6.1% 0.0%
5,000,001-10,000,000 ........... 35.7% 38.0% 0.0%
19,500,001-20,000,000 .......... 8.2% 8.7% 0.0%
</TABLE>
S-13
<PAGE>
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
STATE TOTAL GROUP 1 GROUP 2
- ----------------- --------- ----------- -----------
<S> <C> <C> <C>
California ....... 20.2% 19.6% 29.9%
Connecticut ...... 14.4% 14.4% 14.3%
Pennsylvania ..... 11.7% 12.4% 0.0%
Massachusetts ... 10.0% 10.4% 3.9%
New Jersey ....... 6.0% 6.4% 0.0%
Georgia .......... 5.6% 3.5% 39.7%
Other ............ 32.1% 33.3% 12.2%
</TABLE>
CALIFORNIA COUNTIES DISTRIBUTION
<TABLE>
<CAPTION>
COUNTY TOTAL GROUP 1 GROUP 2
- ------------------- --------- ----------- -----------
<S> <C> <C> <C>
Los Angeles ........ 30.6% 33.5% 0.0%
Orange ............. 21.0% 17.4% 59.1%
Riverside .......... 20.3% 22.3% 0.0%
San Diego .......... 11.9% 13.0% 0.0%
Kern ............... 7.7% 8.5% 0.0%
San Bernardino ..... 4.9% 5.4% 0.0%
San Luis Obispo ... 2.1% 0.0% 24.2%
Ventura ............ 1.5% 0.0% 16.7%
</TABLE>
DEBT SERVICE COVERAGE RATIOS*
<TABLE>
<CAPTION>
RANGE OF DEBT SERVICE COVERAGE RATIOS TOTAL GROUP 1 GROUP 2
- ----------------------------------------- --------- ----------- -----------
<S> <C> <C> <C>
|LZ1.00x ..................................0.8% 0.7% 1.6%
1.001-1.100x ............................. 12.2% 9.9% 48.5%
1.101-1.200x ............................. 15.3% 15.9% 6.1%
1.201-1.400x ............................. 32.0% 33.3% 12.1%
1.401-1.500x ............................. 6.6% 7.1% 0.0%
1.501-1.600x ............................. 26.5% 27.2% 15.5%
1.601-1.900x ............................. 5.2% 4.5% 16.2%
2.201-2.300x ............................. 0.3% 0.4% 0.0%
2.301-2.800x ............................. 1.1% 1.2% 0.0%
</TABLE>
* Calculated based on the ratio of net operating income to the
annualized current scheduled payments under the Mortgage Loans.
NET OPERATING INCOME (NOI) USED TO COMPUTE DEBT SERVICE COVERAGE RATIOS*
<TABLE>
<CAPTION>
NOI PERIOD TOTAL GROUP 1 GROUP 2
- ----------------- ------- --------- ---------
<S> <C> <C> <C>
Underwriting 1995 74.0% 74.3% 70.6%
1994 ............. 22.9% 23.3% 17.2%
Pro Forma ........ 3.1% 2.5% 12.2%
</TABLE>
* See Appendix B to this Prospectus Supplement for further discussion.
S-14
<PAGE>
PROPERTY TYPES
<TABLE>
<CAPTION>
PROPERTY TYPES TOTAL GROUP 1 GROUP 2
- -------------- ------- --------- ---------
<S> <C> <C> <C>
Office ........ 29.3% 30.9% 3.9%
Retail ........ 23.2% 23.8% 13.3%
Industrial .... 22.0% 21.4% 30.9%
Multifamily .. 19.3% 18.1% 38.0%
Hotel/Motel .. 5.0% 4.5% 13.9%
Warehouse ..... 1.2% 1.3% 0.0%
</TABLE>
SEASONING
<TABLE>
<CAPTION>
AGE IN MONTHS TOTAL GROUP 1 GROUP 2
- --------------- ------- --------- ---------
<S> <C> <C> <C>
0 - 12 ......... 67.1% 71.3% 0.0%
13 -24 ......... 12.6% 12.6% 13.3%
25 -60 ......... 9.1% 6.5% 50.7%
61 -144 ........ 9.7% 8.1% 36.0%
145+ ........... 1.5% 1.5% 0.0%
</TABLE>
BALLOON LOANS - YEARS TO FINAL SCHEDULED MATURITY
<TABLE>
<CAPTION>
REMAINING TERM IN MONTHS TOTAL GROUP 1 GROUP 2
- ------------------------ ------- --------- ---------
<S> <C> <C> <C>
0 - 24 .................. 9.9% 9.3% 17.0%
25 - 60 ................. 18.0% 18.0% 18.5%
61 - 84 ................. 25.4% 22.6% 64.5%
85 - 120 ................ 28.8% 30.8% 0.0%
121 - 180 ............... 18.0% 19.3% 0.0%
</TABLE>
DELINQUENCY STATUS (AS OF NOVEMBER 1, 1995)
STATUS TOTAL GROUP 1 GROUP 2
- ----------------- ------- --------- ---------
NO DELINQUENCIES 100% 100% 100%
MODIFIED LOANS
TOTAL GROUP 1 GROUP 2
------- --------- ---------
MODIFIED LOANS 71.3% 75.3% 7.7%
YEAR OF ORIGINATION OR MODIFICATION
YEAR TOTAL GROUP 1 GROUP 2
- ---------------- --------- ----------- -----------
1976 - 1987 ..... 8.2% 7.3% 22.7%
1988 - 1989 ..... 2.4% 2.2% 5.1%
1990 - 1991 ..... 2.2% 1.8% 8.2%
1992 - 1993 ..... 8.3% 5.6% 50.7%
1994 ............ 22.8% 23.4% 13.3%
1995 ............ 56.2% 59.7% 0.0%
S-15
<PAGE>
FIXED RATE AND ADJUSTABLE RATE (BY INDEX) MORTGAGE LOAN CONCENTRATIONS
<TABLE>
<CAPTION>
INDEX TOTAL GROUP 1 GROUP 2
- ------------------- ------- --------- ---------
<S> <C> <C> <C>
Fixed Rate ......... 84.2% 89.5% 0.0%
11th District COFI 6.5% 5.0% 29.8%
1 Year CMT ......... 0.7% 0.0% 12.3%
3 Year CMT ......... 3.2% 0.9% 39.7%
5 Year CMT ......... 3.8% 4.0% 0.0%
Prime .............. 1.6% 0.5% 18.2%
</TABLE>
S-16
<PAGE>
SUMMARY OF TERMS
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus Supplement and in
the Prospectus. Capitalized terms used and not otherwise defined herein have
the respective meanings assigned to them in the Prospectus.
DEPOSITOR .............. Structured Asset Securities Corporation (the
"Depositor"). The Depositor's principal
offices are located at 200 Vesey Street,
New York, New York 10285, telephone (212)
526-5594. See "THE ISSUER" in the
Prospectus.
OFFERED CERTIFICATES ... Multiclass Pass-Through Certificates, Series
1995-C4 (the "Certificates") in the
Classes and in the aggregate principal
amounts set forth on the cover page of
this Prospectus Supplement. The initial
aggregate principal amounts of the Offered
Certificates are subject to a permitted
variance of plus or minus 5%, depending on
the actual Mortgage Loans delivered.
The Class A-1A, Class A-1B, and Class A-2
Certificates are collectively referred
to herein as the "Senior Certificates." The
Class B, Class C, Class D, Class
E, Class F, Class G, and Class H
Certificates are referred to herein as the
"Subordinate Certificates." The Senior
Certificates and the Class B, Class C,
and Class D Certificates are collectively
referred to herein as the "Offered
Certificates." The Class A-1A, Class A-1B,
Class B, Class C, Class D, Class E,
Class F, Class G, and Class H Certificates
are referred to herein as the
"Group 1 Certificates." The Class A-2
Certificates are referred to herein as
the "Group 2 Certificates." See "DESCRIPTION
OF THE CERTIFICATES" herein.
The Senior and the Subordinate Certificates
will evidence beneficial ownership
interests in a trust (the "Trust"). The
primary assets of the Trust will be
the Mortgage Loans and certain other assets.
The Certificates will be issued
pursuant to a trust agreement to be dated as
of November 1, 1995 (the "Trust
Agreement"), among the Depositor, the
Trustee, the Fiscal Agent, and the
Servicer pursuant to which the Trust will be
created. See "DESCRIPTION OF THE
CERTIFICATES" herein.
CERTIFICATES NOT OFFERED
....................... The Class E, Class F, Class G, Class H, and
Class R Certificates (collectively, the
"Non-Offered Certificates") have not been
registered under the Securities Act of
1933, as amended (the "Act"), and are not
offered hereby. The initial aggregate
principal amount of the Non-Offered
Certificates is approximately $63,098,993
(subject to a permitted variance of plus
or minus 5%), representing approximately
26.0% of the initial aggregate principal
amount of the Mortgage Loans. The
Non-Offered Certificates will initially be
retained by the Depositor or sold or
transferred to one of its affiliates but
S-17
<PAGE>
may be sold at any time in accordance with
the terms of the Trust Agreement.
DENOMINATIONS .......... The Offered Certificates will be issued in
book-entry form in original denominations
of $100,000 and in integral multiples of
$1,000 in excess thereof. One Certificate
of each of the Classes of Offered
Certificates may be issued in a different
principal amount to accommodate the
remainder of the initial principal amount
of the Certificates of such Class. See
"DESCRIPTION OF THE CERTIFICATES --
Registration; Denominations" herein and
"DESCRIPTION OF THE SECURITIES --
Book-Entry Registration" in the
Prospectus.
SELLER ................. On the Closing Date, the Depositor will
acquire the Mortgage Loans from two
affiliates of the Depositor and Lehman
Brothers (such affiliates, collectively
the "Seller"). All but four of the
Mortgage Loans were acquired by the Seller
from various financial institutions. Two
Mortgage Loans in the aggregate principal
amount of approximately $13,600,000 were
originated by the Seller through the
financing of the related properties after
an affiliate of the Depositor acquired the
related properties through foreclosure or
deed in lieu of foreclosure. Two Mortgage
Loans in the aggregate principal amount of
$7,511,487 were acquired by the Seller
indirectly from a partnership which is
indirectly owned by affiliates of Lehman
Brothers, Westinghouse Electric
Corporation ("WEC") and Lennar
Corporation, which partnership was formed
in May 1993 in connection with the sale of
certain mortgage loans and real estate
assets which were primarily originated by
Westinghouse Credit Corporation ("WCC")
and certain other partnerships affiliated
therewith. See "THE TRUST -- General" and
" -- The Seller" herein.
TRUSTEE ................ LaSalle National Bank (the "Trustee") will
act as Trustee and will make Advances with
respect to the Mortgage Loans in certain
circumstances as described in "DESCRIPTION
OF THE CERTIFICATES -- Advances" herein.
SERVICER ............... GE Capital Asset Management Corporation (the
"Servicer") will be responsible for
servicing the Mortgage Loans (including
the mortgage loan underlying the Senior
Participation) and will receive a fixed
monthly servicing fee (the "Servicing
Fee") on the Scheduled Principal Balance
of each Mortgage Loan as of the first day
of the related Due Period. See "SERVICING
OF MORTGAGE LOANS -- The Servicer" herein.
The Servicer will make Advances with
respect to the Mortgage Loans in certain
circumstances. See "DESCRIPTION OF THE
CERTIFICATES -- Advances" herein.
SPECIAL SERVICER ....... Lennar Partners, Inc. will be appointed as
special servicer (the "Special Servicer")
to make certain decisions and take
S-18
<PAGE>
certain actions with respect to Specially
Serviced Mortgage Loans (including the
mortgage loan underlying the Senior
Participation, in the event that it
becomes a Specially Serviced Mortgage
Loan) and will receive special servicing
compensation. See "SERVICING OF MORTGAGE
LOANS -- The Special Servicer" herein.
FISCAL AGENT ........... ABN AMRO Bank, N.V. will make Advances with
respect to the Mortgage Loans in certain
circumstances as described in "DESCRIPTION
OF THE CERTIFICATES --Advances" herein.
CLOSING DATE ........... On or about November 30, 1995.
CUT-OFF DATE ........... November 1, 1995.
RECORD DATE ............ The record date (the "Record Date") for each
Class of Offered Certificates (other than
the Class A-2 Certificates) for each
Distribution Date will be the close of
business on the last day of the month
preceding the month in which such
Distribution Date occurs or, if such day
is not a Business Day, the Business Day
immediately preceding such day. The Record
Date for the Class A-2 Certificates for
each Distribution Date will be the close
of business on the 15th day of the month
in which such Distribution Date occurs or,
if such day is not a Business Day, the
Business Day immediately preceding such
day.
DISTRIBUTION DATE ...... The 25th day of each month or, if such day
is not a Business Day, then the next
succeeding Business Day, commencing
December 26, 1995.
CREDIT ENHANCEMENT ..... Credit enhancement for the Offered
Certificates will be provided by Classes
of Certificates which are subordinate to
such Offered Certificates (including,
except in the case of the Class D
Certificates, subordination provided by
other Offered Certificates to the extent
provided herein) with respect to (i)
rights to receive certain distributions of
interest and principal and (ii) the
allocation of Realized Losses incurred on
the Mortgage Loans. The initial amount of
credit enhancement provided to the Offered
Certificates is summarized below:
<TABLE>
<CAPTION>
INITIAL CREDIT ENHANCEMENT
AS A % OF THE
INITIAL AGGREGATE
CLASS AGGREGATE AGGREGATE SCHEDULED
OF OFFERED PRINCIPAL PRINCIPAL PRINCIPAL BALANCE
CERTIFICATES AMOUNT AMOUNT OF MORTGAGE LOANS
- -------------- -------------- -------------- -----------------
<S> <C> <C> <C>
Senior $116,490,449 $126,197,987 52%
B $ 14,561,306 $111,636,681 46%
C $ 24,268,844 $ 87,367,837 36%
D $ 24,268,844 $ 63,098,993 26%
</TABLE>
S-19
<PAGE>
The level of credit enhancement available
to any of the Offered Certificates will change
over time as a result of (i) principal
payments on the Mortgage Loans (including
Scheduled Payments, prepayments, liquidations
of Mortgage Loans or related REO Property or
the sale of Defaulted Mortgage Loans) being
allocated as described herein and (ii) the
allocation of Realized Losses to the most
subordinate Certificates outstanding.
PRINCIPAL AND INTEREST DISTRIBUTIONS
GENERAL ................ On each Distribution Date, scheduled
principal and interest payments, including
Balloon Payments ("Scheduled Payments")
due on the Mortgage Loans (which term for
the purposes of this Prospectus
Supplement, unless the context indicates
otherwise, shall include the Trust's
interest in the mortgage loan underlying
the Senior Participation) during the
related Due Period and collected on or
prior to the related Determination Date,
or advanced with respect to such
Distribution Date, and principal
prepayments ("Principal Prepayments")
collected during the related Prepayment
Period, will be distributed to
Certificateholders of record on the
related Record Date.
Interest to be distributed on a Distribution
Date on the Group 1 Certificates will
accrue during the period beginning on the
first day of the month preceding the month
in which the related Distribution Date
occurs and ending on the last day of the
month preceding the month in which such
Distribution Date occurs (with respect to
such Certificates, each, an "Interest
Accrual Period''). Interest to be
distributed on a Distribution Date on the
Group 2 Certificates will accrue during
the period beginning on the 25th day of
the month preceding the month in which
such Distribution Date occurs and ending
on the 24th day of the month in which such
Distribution Date occurs (with respect to
such Certificates, each, an "Interest
Accrual Period").
The "Due Period" relating to each
Distribution Date commences on the second
day of the month preceding the month in
which such Distribution Date occurs and
ends on the first day of the month in
which such Distribution Date occurs.
The "Determination Date" relating to each
Distribution Date will be the 15th day of
the month in which such Distribution Date
occurs or, if such day is not a Business
Day, the immediately preceding Business
Day.
The "Prepayment Period" relating to each
Distribution Date commences on the first
day following the Determination Date
occurring in the month preceding the
Distribution Date
S-20
<PAGE>
(or in the case of the first Distribution
Date, the Cut-Off Date) and ends on the
Determination Date in the month in which
the Distribution Date occurs. See
"DESCRIPTION OF THE CERTIFICATES --
Distributions" herein.
"Certificate Principal Amount" means, with
respect to any Certificate, as of any
Distribution Date, the maximum specified
dollar amount of principal to which the
Holder thereof is then entitled pursuant
to the Trust Agreement, such amount being
equal to the initial principal amount set
forth on the face of such Certificate, as
increased by any Deferred Interest (as
defined herein) allocated thereto and, in
the case of the Class E, Class F, Class G
and Class H Certificates, any portion of
the Appraisal Subordinate Entitlement
Reduction Capitalization Amount (as
defined herein) added to such principal
amount of each such Certificate pursuant
to the Trust Agreement, less the amount of
all principal distributions previously
made with respect to such Certificate, and
less all Realized Losses of principal (and
certain losses incurred as a result of the
payment of certain unanticipated expenses)
allocated to such Certificate pursuant to
the Trust Agreement.
DISTRIBUTION AMOUNTS ... Distributions on the Group 1 Certificates
will generally be made from the Available
Distribution Amount with respect to
Mortgage Loan Group 1. As of the Cut-Off
Date, the aggregate Scheduled Principal
Balance of the Mortgage Loans in Mortgage
Loan Group 1 was $228,327,736.
Distributions on the Group 2 Certificates
will generally be made from the Available
Distribution Amount for Mortgage Loan
Group 2. As of the Cut-Off Date, the
aggregate Scheduled Principal Balance of
the Mortgage Loans in Mortgage Loan Group
2 was $14,360,705.
The "Available Distribution Amount" for a
Mortgage Loan Group on any Distribution
Date will equal the sum of the following
amounts: (i) all Scheduled Payments due
during the related Due Period and Assumed
Scheduled Payments deemed to be due during
the related Due Period, to the extent
collected or advanced by the Servicer, the
Trustee or the Fiscal Agent for such
Distribution Date with respect to the
Mortgage Loans, (ii) all other collections
on a Mortgage Loan in such Mortgage Loan
Group including, but not limited to, net
Liquidation Proceeds, Principal
Prepayments, Insurance Proceeds and
Condemnation Proceeds, together with any
accrued interest thereon, to the extent
identified as having been received on the
Mortgage Loans or the REO Property during
the related Prepayment Period, (iii) any
other income collected with respect to the
REO Property, net of related expenses, to
the extent that it exceeds the Assumed
Scheduled Payments with respect to such
REO Prop-
S-21
<PAGE>
erty, (iv) the proceeds of any repurchase
of any Mortgage Loan required to be
repurchased by the Depositor, (v) all
Crossover Amounts paid to such Mortgage
Loan Group, and (vi) Excess Interest (as
defined herein) transferred to such
Mortgage Loan Group except:
(a) all Scheduled Payments collected but
due on a date subsequent to the related
Due Date;
(b) all other collections on the Mortgage
Loans in such Mortgage Loan Group,
including but not limited to, net
Liquidation Proceeds, Principal
Prepayments, Insurance Proceeds and
Condemnation Proceeds, together with any
accrued interest thereon received after
the related Prepayment Period (together
with any interest with respect thereto for
periods after the related Prepayment
Period);
(c) all amounts that are currently due or
reimbursable to the Servicer, the Special
Servicer, the Trustee or the Fiscal Agent
(including any Servicing Fee, any
compensation payable to the Special
Servicer and the Trustee Fee) or used to
pay certain unanticipated expenses of the
Trust Fund; and
(d) all Crossover Amounts and Excess
Interest paid from such Mortgage Loan
Group.
"Crossover Amounts" are amounts (other than
Excess Interest) attributable to
collections on the Mortgage Loans in one
Mortgage Loan Group that are transferred
to the Available Distribution Amount for
another Mortgage Loan Group and may be
Crossover Principal Amounts or Crossover
Interest Amounts.
INTEREST DISTRIBUTIONS
GROUP 1 CERTIFICATES ... On each Distribution Date, the Holders of
the Group 1 Certificates are entitled to
receive (subject to allocations of
Realized Losses of interest, Interest
Shortfalls, Deferred Interest, and
Appraisal Subordinate Entitlement
Reduction Capitalization Amounts), from
the sum of (i) the portion of the
Available Distribution Amount for the
Group 1 Mortgage Loans allocable to
interest, (ii) Crossover Interest Payments
from Mortgage Loan Group 2, and (iii)
after the Class A-2 Certificates have been
paid in full, the Group 2 Interest
Distribution Amount (such sum, the "Group
1 Interest Distribution Amount"), interest
accrued during the related Interest
Accrual Period on the outstanding related
Certificate Principal Amount of such
Certificates, respectively, immediately
preceding such Distribution Date at the
rate of 6.90% per annum, in the case of
the Class A-1A Certificates, at the rate
of 6.89% per annum, in the case of the
Class A-1B Certificates, at the rate of
7.00% per annum, in the case of each of
the Class B, Class C and Class D
Certificates, and at a rate equal to the
weighted average Net Mortgage Interest
Rate of the Group 1 Mortgage Loans, in
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<PAGE>
the case of each of the Class E, Class F,
Class G and Class H Certificates.
The "Net Mortgage Interest Rate" on each
Mortgage Loan during the period from the
prior Due Date for such Mortgage Loan to
the Due Date for such Mortgage Loan in the
related Due Period (each a "Mortgage Loan
Due Period") is equal to the interest rate
on such Mortgage Loan specified in the
related Mortgage Note (not taking account
of any increase in the interest rate of a
Mortgage Loan as a result of a default
thereon or, in the case of any fixed rate
Mortgage Loan, any scheduled increase in
the Mortgage Interest Rate thereof) (the
"Mortgage Interest Rate") during such
Mortgage Loan Due Period minus the
Administrative Cost Rate.
YIELD CONSIDERATION .... Because interest distributable on the
Certificates, other than the Class A-2
Certificates and the Class R Certificates,
on a Distribution Date will be deemed to
accrue through the last day of the month
preceding the month in which such
Distribution Date occurs, rather than
accruing to such Distribution Date, the
effective yield on such Certificates will
be lower than if interest were to accrue
to the applicable Distribution Date.
GROUP 2 CERTIFICATES ... On the initial Distribution Date, the
Holders of the Class A-2 Certificates are
entitled to receive, from the Group 2
Interest Distribution Amount (as defined
below), interest accrued during the
initial Interest Accrual Period on the
outstanding Certificate Principal Amount
thereof immediately prior to such
Distribution Date at a per annum rate
equal to 6.3625%. On each Distribution
Date after the initial Distribution Date,
Holders of the Class A-2 Certificates are
entitled to receive, from the Group 2
Interest Distribution Amount, and subject
to any allocation of Deferred Interest,
Realized Loss of Interest, or Prepayment
Interest Shortfalls, interest accrued
during the related Interest Accrual Period
on the outstanding Certificate Principal
Amount of such Class immediately prior to
such Distribution Date at a per annum rate
equal to LIBOR plus 0.55% (the "Class A-2
Rate"), subject to the Available Funds Cap
described herein. LIBOR will be determined
as provided herein on the LIBOR
Determination Date (as defined herein).
See "DESCRIPTION OF THE CERTIFICATES --
Distributions of Interest --Determination
of LIBOR" herein.
The "Group 2 Interest Distribution Amount"
will equal the sum of (i) the portion of
the Available Distribution Amount for the
Group 2 Mortgage Loans allocable to
interest for such Distribution Date, (ii)
the Group 1 Excess Interest for the
related Distribution Date, (iii) any
Crossover Interest Amounts from Mortgage
Loan Group 1 and (iv) an amount equal to
the Group 2 Excess Principal Percentage of
the
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<PAGE>
amounts collected in respect of principal
that are included in the Group 2 Available
Distribution Amount for such Distribution
Date.
The "Group 2 Excess Principal Percentage"
will equal a fraction, expressed as a
percentage, (x) the numerator of which is
the Group 2 Excess Principal Amount (as
defined below) outstanding immediately
prior to the related Distribution Date and
(y) the denominator of which is the
aggregate Scheduled Principal Balance of
the Group 2 Mortgage Loans immediately
prior to the related Distribution Date.
The "Group 2 Excess Principal Amount"
means, as of any Distribution Date, the
excess, if any, of the aggregate Scheduled
Principal Balance of the Group 2 Mortgage
Loans over the aggregate Certificate
Principal Amount of the Class A-2
Certificates. Excess Principal Amounts, if
any, will arise from the addition of
Deferred Interest to the Scheduled
Principal Balances of the Group 2 Mortgage
Loans without a corresponding increase in
the Certificate Principal Amount of the
Class A-2 Certificates.
DEFERRED INTEREST ...... If the amount of interest accrued on the
principal balance of any Mortgage Loan
during a Mortgage Loan Due Period exceeds
the related Scheduled Payment, the payment
of such excess interest will be deferred
(such amount, "Deferred Interest") and the
amount thereof will be added to the
Scheduled Principal Balance of such
Mortgage Loan. This may occur (a) as a
result of an adjustment to the Mortgage
Interest Rate on any adjustable rate
Mortgage Loan on any date on which the
Mortgage Interest Rate adjusts (the
"Mortgage Rate Adjustment Date'') if (i)
the Scheduled Payment is not adjusted
concurrently or (ii) the Mortgage Loan
provides for limitations on adjustments to
Scheduled Payments (a "Payment Adjustment
Cap") on any Mortgage Rate Adjustment
Date, or (b) because of the modification
of any Mortgage Loan, as described under
"SERVICING OF MORTGAGE LOANS -- Mortgage
Loan Modifications" herein.
On each Distribution Date on which the Group
2 Interest Distribution Amount is
insufficient to pay interest accrued on
the Class A-2 Certificates as a result of
Deferred Interest on the Group 2 Mortgage
Loans, an amount up to the aggregate
Deferred Interest accrued on the Group 2
Mortgage Loans during the related Mortgage
Loan Due Periods will be added to the
outstanding Certificate Principal Amount
of the Class A-2 Certificates to the
extent of the interest accrued thereon and
not currently paid.
As of the Cut-Off Date, none of the fixed
rate Group 1 Mortgage Loans provide for
negative amortization, and accordingly,
Deferred Interest will not arise on such
Mortgage Loans unless one or more of the
Group 1 Mortgage
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<PAGE>
Loans are modified in such a manner as to
allow for negative amortization.
Approximately 5.0% of the Group 1 Mortgage
Loans by aggregate principal balance as of
the Cut-Off Date are adjustable rate
Mortgage Loans that are subject to
negative amortization. On each
Distribution Date on which the Group 1
Interest Distribution Amount (excluding
Group 1 Excess Interest) is insufficient
to pay interest accrued (net of allocable
Prepayment Interest Shortfalls, Interest
Shortfalls and Realized Losses of
interest) on the Class A-1A, Class A-1B
and Subordinate Certificates, as the case
may be, as a result of Deferred Interest
on the Group 1 Mortgage Loans, an amount
up to the aggregate Deferred Interest
accrued on the Group 1 Mortgage Loans
during the related Mortgage Loan Due
Period will be added to the outstanding
Certificate Principal Amount of the Class
H, Class G, Class F, Class E, Class D,
Class C and the Class B Certificates, in
that order, and then to the outstanding
Certificate Principal Amount of the Class
A-1A and A-1B Certificates, pro rata, to
the extent of the interest accrued thereon
and not either currently paid or reduced
by Realized Losses of interest. See
"DESCRIPTION OF THE CERTIFICATES --
Distributions" and "SERVICING OF MORTGAGE
LOANS -- Mortgage Loan Modifications"
herein.
APPLICATION OF EXCESS
INTEREST
GROUP 1 EXCESS INTEREST
........................ "Group 1 Excess Interest" for any
Distribution Date is the amount, if any,
by which the Group 1 Interest Distribution
Amount exceeds (a) the aggregate amount of
interest accrued on the Group 1
Certificates during the Interest Accrual
Period relating to such Distribution Date
minus (b) (i) Realized Losses of interest
realized during the related Prepayment
Period, and (ii) Deferred Interest accrued
for the related Due Period on the Group 1
Mortgage Loans. Group 1 Excess Interest is
included in the calculation of the Group 2
Interest Distribution Amount.
GROUP 2 EXCESS INTEREST
........................ "Group 2 Excess Interest" for any
Distribution Date is the amount, if any,
by which the Group 2 Interest Distribution
Amount (including Group 1 Excess Interest)
exceeds the sum of (i) the aggregate
amount of interest accrued on the Group 2
Certificates during the Interest Accrual
Period relating to such Distribution Date
and (ii) the Crossover Interest Amounts
(as defined herein) transferred to the
Group 1 Interest Distribution Amount for
such Distribution Date. There can be no
assurance that any Group 2 Excess Interest
will actually accrue or be realized in
respect of any Distribution Date. Group 2
Excess Interest, if any, generally will be
transferred to the Group 1 Interest
Distribution Amount and used, if
necessary, to pay interest on the Group 1
Certificates (including (i) to reduce the
extent to which interest accrued on the
Group 1 Certificates is not paid currently
but added to the Certificate Principal
Amount
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<PAGE>
thereof as a result of Deferred Interest
on the Group 1 Mortgage Loans or Appraisal
Subordinate Entitlement Reduction
Capitalization Amounts, and (ii) to
reimburse Realized Losses of interest
incurred during the related Prepayment
Period and Interest Shortfalls), or paid
to the Holders of the Class R
Certificates.
PRINCIPAL DISTRIBUTIONS
....................... On each Distribution Date, distributions of
principal on the Certificates will be made
from (a) the portion of the related
Available Distribution Amount allocable to
principal (the "Principal Distribution
Amount'') and (b) in the case of the Group
1 Certificates, the Appraisal Subordinate
Entitlement Reduction Capitalization
Amount, to the Holders of Certificates
related to such Mortgage Loan Group as
described below.
Following payment in full of the Class A-2
Certificates, the Group 2 Available
Distribution Amount will be included in
the Group 1 Available Distribution Amount.
Any Available Distribution Amount
remaining after the Certificate Principal
Amount of all Classes of Certificates have
been reduced to zero will be distributed
to the Holders of the Class R
Certificates.
Principal distributed to a Class will be
paid to the Holders of the Certificates of
such Class pro rata in the proportion that
the Certificate Principal Amount of each
Certificate of such Class bears to the
aggregate Certificate Principal Amount of
all Certificates of such Class.
GROUP 1 PRINCIPAL
DISTRIBUTION AMOUNT ... The amounts collected in respect of
principal that are included in the Group 1
Available Distribution Amount (the "Group
1 Principal Distribution Amount") and an
amount equal to the Appraisal Subordinate
Entitlement Reduction Capitalization
Amount, if any, in the latter case to the
extent of the Group 1 Interest
Distribution Amount remaining after
payments of interest required to be made
on the Group 1 Certificates net of (i)
allocations of Realized Losses of
interest, Deferred Interest, and Appraisal
Subordinate Entitlement Reduction
Capitalization Amounts, and (ii) transfers
to the Group 2 Interest Distribution
Amount of Crossover Interest Amounts, will
be distributed in the following order of
priority:
(i) to the Holders of the Class A-1A
Certificates, until the outstanding
Certificate Principal Amount of such Class
has been reduced to zero;
(ii) then, to the Holders of the Class
A-1B Certificates, until the outstanding
Certificate Principal Amount of such Class
has been reduced to zero; and
(iii) then, unless otherwise provided
below, to the
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<PAGE>
Holders of the Class B, Class C, Class D,
Class E, Class F, Class G and Class H
Certificates, in that order, until the
outstanding Certificate Principal Amount
of each such Class has been reduced to
zero.
In the event that Realized Losses (as
defined below) of principal have occurred
in Mortgage Loan Group 2 and have been
allocated to the Class H, Class G, Class
F, Class E, Class D, Class C or Class B
Certificates, prior to making
distributions of amounts collected in
respect of principal from the Group 1
Mortgage Loans to the Holders of the
Subordinate Certificates pursuant to
clause (iii) above, such principal
collections will be included in the Group
2 Principal Distribution Amount for
distribution to the Holders of the Class
A-2 Certificates, until an amount of
principal from the Group 1 Mortgage Loans
equivalent to such Realized Losses of
principal has been distributed as
principal to the Holders of the Class A-2
Certificates. Such amounts, together with
collections of principal on the Group 1
Mortgage Loans that are transferred to the
Group 2 Principal Distribution Amount
pursuant to the Subordination Test
described below, together constitute
"Crossover Principal Amounts."
SUBORDINATION TEST ..... Distributions from the Group 1 Principal
Distribution Amount to the Holders of the
Subordinate Certificates pursuant to
clause (iii) in the second preceding
paragraph will not be made to the
Subordinate Certificates at any time when
the Class A-2 Certificates are outstanding
to the extent that, after making such
distributions, either:
(i) the sum of (a) the aggregate
Certificate Principal Amount of the
Subordinate Certificates and (b) the Group
2 Excess Principal Amount would be less
than two times the aggregate of the
outstanding Certificate Principal Amount
of the Class A-2 Certificates (after
giving effect to any distributions on such
Distribution Date to the Holders of the
Class A-2 Certificates from the Group 2
Principal Distribution Amount), or
(ii) (a) the principal balance of the
Group 2 Mortgage Loans as to which any
payments are 60 days or more delinquent,
as a percentage of the aggregate
outstanding principal balance of such
Mortgage Loans, exceeds 10% and (b) the
sum of (x) the aggregate Certificate
Principal Amount of the Subordinate
Certificates and (y) the Group 2 Excess
Principal Amount would be less than $15
million (provided, however, that such $15
million amount shall only apply if there
are more than five Group 1 Mortgage Loans
outstanding, otherwise such amount shall
be $10 million).
The foregoing tests are referred to herein
collectively as the "Subordination Test."
Distributions of amounts collected in
respect of principal that would have been
made to the
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<PAGE>
holders of Subordinate Certificates but
for the limitation set forth in the
preceding two paragraphs instead will be
added to the Group 2 Principal
Distribution Amount, for distribution to
the Holders of the Class A-2 Certificates
(as described below) until the
Subordination Test is passed. The Holders
of the Subordinate Certificates will be
entitled to Crossover Principal Amounts
representing a portion of the collections
of amounts attributable to principal on
the Mortgage Loans in Mortgage Loan Group
2 after the Class A-2 Certificates have
been retired. Such distributions will be
made to the Holders of the Class B, Class
C, Class D, Class E, Class F, Class G and
Class H Certificates, in that order, until
the Certificate Principal Amount of each
such Class has been reduced to zero.
GROUP 2 PRINCIPAL
DISTRIBUTION AMOUNT ... The "Group 2 Principal Distribution Amount"
includes amounts collected in respect of
principal that are included in the Group 2
Available Distribution Amount (except for
the principal portion of the Group 2
Available Distribution Amount included in
the Group 2 Interest Distribution Amount)
and may include certain Crossover
Principal Amounts from Mortgage Loan Group
1, if Realized Losses of principal have
occurred in Mortgage Loan Group 2 or,
after the Class A-1A and Class A-1B
Certificates have been retired, if the
Subordination Test is not satisfied. The
Group 2 Principal Distribution Amount will
be distributed to the Holders of the Class
A-2 Certificates, until the outstanding
Certificate Principal Amount of such Class
has been reduced to zero and thereafter
transferred to the Group 1 Principal
Distribution Amount.
ALLOCATION OF REALIZED
LOSSES
AND INTEREST SHORTFALLS
....................... Losses of principal and interest realized on
the Mortgage Loans ("Realized Losses"),
Additional Trust Fund Expenses (as defined
below) and Interest Shortfalls (but not
Net Prepayment Interest Shortfalls) on the
Group 1 Mortgage Loans will be allocated
(separately in the case of losses of
principal and losses of interest), to the
extent that such amounts exceed the excess
of the Scheduled Principal Balance of the
Group 1 Mortgage Loans over the aggregate
Certificate Principal Amount of the Group
1 Certificates (the "Group 1 Excess
Principal Amount"), if any, to reduce the
Certificate Principal Amount, or the
interest payable to, the Class H, Class G,
Class F, Class E, Class D, Class C and
Class B Certificates, in that order, until
the Certificate Principal Amount of (or
accrued interest payable to) each such
Class has been reduced to zero. Any
remaining Realized Losses of principal and
interest and Interest Shortfalls on
Mortgage Loans and Additional Trust Fund
Expenses in Mortgage Loan Group 1 will be
allocated to the Class A-1A and Class A-1B
Certificates (pro rata based on the then
outstanding Certificate Principal Amounts
of the Class A-1A and Class
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<PAGE>
A-1B Certificates to the extent of the
remaining Certificate Principal Amount
thereof, if any, and in the case of
Realized Losses of principal and certain
Expense Losses, if any, and, in the case
of Realized Losses of interest and
Interest Shortfalls, based on the interest
otherwise payable on the Class A-1A and
Class A-1B Certificates). To the extent
that the Available Interest Amount for
Mortgage Loan Group 1 is insufficient to
pay interest due and payable (net of
allocable Deferred Interest, Appraisal
Subordinate Entitlement Reduction
Capitalization Amounts and Realized Losses
of interest) to any Class of Certificates
or Regular Interests, such shortfall (an
"Interest Shortfall") will be created for
such Class. Interest will not accrue on
Interest Shortfalls, but such Interest
Shortfalls will be reimbursed in
subsequent periods to the extent that the
Available Interest Amount for Mortgage
Loan Group 1 is sufficient therefor.
Realized Losses (x) of principal and
Additional Trust Fund Expenses on Group 2
Mortgage Loans that exceed any Group 2
Excess Principal Amount and any Group 1
Excess Principal Amount, and (y) of
interest and Interest Shortfalls, will be
allocated (separately in the case of
losses of principal and losses of
interest) to the Subordinate Certificates
in the manner set forth above. Any
remaining Realized Losses, Additional
Trust Fund Expenses and Interest
Shortfalls on Group 2 Mortgage Loans will
be allocated to the Class A-2 Certificates
(in the case of Realized Losses of
principal and certain Additional Trust
Fund Expenses, based on the then
outstanding Certificate Principal Amount
of the Class A-2 Certificates and, in the
case of Realized Losses of interest and
Interest Shortfalls, based on the interest
otherwise payable on the Class A-2
Certificates). Realized Losses on a
Mortgage Loan (including the mortgage loan
underlying the Senior Participation to the
extent allocated to the Senior
Participation) will be allocated first to
the principal balance of that Mortgage
Loan, and then to interest. Interest
Shortfalls arising in Mortgage Loan Group
2 will be allocated in the same manner as
Realized Losses of interest. See
"DESCRIPTION OF THE CERTIFICATES --
Subordination; Allocation of Losses and
Certain Expenses" herein.
"Additional Trust Fund Expenses" generally
include certain expenses with respect to
delinquent or defaulted Mortgage Loans
that thereafter become current.
PREPAYMENT INTEREST
SHORT-
FALLS AND EXCESS
PREPAYMENT
INTEREST .............. A "Prepayment Interest Shortfall" is a
shortfall in the collection of a full
month's interest on any Mortgage Loan by
reason of a full or partial Principal
Prepayment or a Balloon Payment made
during any Prepayment Period prior to the
Due Date for such Mortgage Loan in any Due
Period. In any other case
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<PAGE>
in which a full or partial Principal
Prepayment or a Balloon Payment is made
during any Prepayment Period but after the
Due Date for such Mortgage Loan, "Excess
Prepayment Interest" will arise. The
amount of Excess Prepayment Interest in
any such case will equal the interest that
accrues on the Mortgage Loan from the last
Due Date for such Mortgage Loan to the
date such payment was made. To the extent
that aggregate Prepayment Interest
Shortfalls exceed aggregate Excess
Prepayment Interest for the Prepayment
Period related to a Distribution Date
("Net Prepayment Interest Shortfall"),
such shortfall generally will be covered
from the portion of the related Available
Distribution Amount allocable to interest,
to the extent such amounts are available
in accordance with the priorities
described herein. See "DESCRIPTION OF THE
CERTIFICATES -- Distributions of Interest
-- Net Prepayment Interest Shortfalls"
herein. Any remaining Prepayment Interest
Shortfall will generally be allocated to
each Class of Certificates in the ratio
that the interest otherwise payable (or
accrued and added to the principal balance
thereof) with respect to such Class, if
there had been no Net Prepayment Interest
Shortfall, bears to the total of the
interest payable (or accrued and added to
the Certificate Principal Amount thereof),
with respect to all such Classes of
Certificates, if there had been no Net
Prepayment Interest Shortfall.
OPTIONAL TERMINATION ... The Holder of the majority of the Class R
Certificates and the Servicer will each
have the option to purchase, in whole but
not in part, the Mortgage Loans (not
including the mortgage loan underlying the
Senior Participation), the Senior
Participation and any other property
remaining in the Trust Fund on any
Distribution Date on or after the
Distribution Date on which the aggregate
Certificate Principal Amount then
outstanding is less than or equal to 10%
of the initial aggregate Certificate
Principal Amount. Such purchase will be at
a price equal to the greater of (i) 100%
of the aggregate unpaid Scheduled
Principal Balance of the Mortgage Loans,
plus accrued and unpaid interest to the
last day of the Mortgage Loan Due Period
for each Mortgage Loan ending in the Due
Period with respect to which such purchase
occurs and the fair market value of any
other property remaining in the Trust Fund
and (ii) the fair market value of the
Mortgage Loans and any other property
remaining in the Trust Fund. The optional
termination of the Trust must be conducted
so as to constitute a "qualified
liquidation" of the REMIC Pool under
Section 860F of the Code. Upon any such
termination, the purchase price for the
Mortgage Loans and the other property in
the Trust Fund will be applied to pay the
outstanding Classes of the Certificates,
in the manner provided under "DESCRIPTION
OF THE CERTIFICATES -- Distributions of
Interest" and "-- Distributions of
Principal" herein and will reduce the
Certificate Principal Amount of
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<PAGE>
such Classes to zero. Notice of any
optional termination must be mailed by the
Trustee at least ten days prior to the
date set for optional termination. See
"DESCRIPTION OF THE CERTIFICATES --
Optional Termination" herein.
SPECIAL TERMINATION .... On or prior to the tenth Business Day after
any Distribution Date on which the
aggregate Certificate Principal Amount is
less than 25% of the initial aggregate
Certificate Principal Amount, the
Servicer, on behalf of the Trustee, will
solicit bids for the sale of the Mortgage
Loans (not including the mortgage loan
underlying the Senior Participation), the
Senior Participation and any other
property remaining in the Trust Fund,
provided, that the Trustee shall not
accept any bid for such sale unless the
proceeds distributable on the applicable
Distribution Date as a result thereof (net
of repayments of Advances and other
expenses) would equal the greater of (i)
100% of the aggregate unpaid Scheduled
Principal Balance of the Mortgage Loans
plus accrued and unpaid interest to the
last day of the Mortgage Loan Due Period
for each Mortgage Loan ending in the Due
Period with respect to which such purchase
occurs and the fair market value of any
other property remaining in the Trust Fund
and (ii) the fair market value of the
Mortgage Loans and any other property
remaining in the Trust Fund. If the
proceeds from such a sale would be
insufficient to permit such sale, as
described in the preceding sentence, the
Servicer on behalf of the Trustee will
continue to solicit bids as described
above, from time to time as it deems
appropriate, until a bid satisfying the
requirement of the preceding sentence is
received. The proceeds of such sale will
be treated as a prepayment of the Mortgage
Loans for purposes of distributions to
Certificateholders. Such sale will
terminate the Trust. The special
termination of the Trust must be conducted
so as to constitute a "qualified
liquidation" of the REMIC Pool under
Section 860F of the Code. Notice of a
special termination of the Trust and the
REMIC Pool must be mailed by the Trustee
to the Certificateholders at least ten
days prior to the date set for such
special termination. See "DESCRIPTION OF
THE CERTIFICATES -- Special Termination"
herein.
THE TRUST .............. The Trust will consist primarily of a pool
of fixed and adjustable rate Mortgage
Loans, with an aggregate Scheduled
Principal Balance of approximately
$242,688,441 as of the Cut-Off Date
(subject to a permitted variance of plus
or minus 5%). The Mortgage Loans are
divided into two groups. One group of
Mortgage Loans will consist of 79 fixed
rate and 16 adjustable rate commercial and
multifamily Mortgage Loans and, in one
case, a Senior Participation in a mortgage
loan (the "Group 1 Mortgage Loans"), and
the other group will consist of 12
adjustable rate commercial and multifamily
Mortgage Loans, based on various indices
(the "Group 2
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<PAGE>
Mortgage Loans"). See "THE TRUST" herein.
MORTGAGE LOAN GROUP 1 .. The Group 1 Mortgage Loans will consist of a
pool of approximately 79 fixed rate
Mortgage Loans with an aggregate Scheduled
Principal Balance as of the Cut-Off Date
of $204,423,624, and a weighted average
Mortgage Interest Rate of 8.959%, and
approximately 16 adjustable rate Mortgage
Loans which have scheduled maturity dates
later than September 1, 2002 with an
aggregate Scheduled Principal Balance as
of the Cut-Off Date of $23,904,112, a
weighted average Mortgage Interest Rate of
7.593% and a weighted average Gross Margin
of approximately 2.584%. As of the Cut-Off
Date, the Group 1 Mortgage Loans had an
aggregate Scheduled Principal Balance of
approximately $228,327,736 and a weighted
average Mortgage Interest Rate of 8.816%.
On each Mortgage Rate Adjustment Date, the
Mortgage Interest Rate on each adjustable
rate Group 1 Mortgage Loan will be reset
to the then applicable index plus the
related Gross Margin, subject to (i)
rounding as set forth in the related
Mortgage Note, (ii) the Lifetime Mortgage
Interest Rate Cap, if applicable, and
(iii) the Lifetime Mortgage Interest Rate
Floor, if applicable. As of the Cut-Off
Date, the principal indices of the
adjustable rate Group 1 Mortgage Loans (by
Scheduled Principal Balance) consisted of
approximately 47.9% 11th District Cost of
Funds Index, approximately 38.4% 5-year
Constant Maturity Treasury Index,
approximately 8.9% 3-year Constant
Maturity Treasury Index, and approximately
4.8% prime rates of various financial
institutions.
Included in the Group 1 Mortgage Loans
discussed above is a Senior Participation
which evidences a senior ownership
interest with a participation principal
balance of approximately $10,000,000 in a
Mortgage Loan with an aggregate Scheduled
Principal Balance of approximately
$11,500,000. The Senior Participation is
entitled to receive payments of interest
and principal on the underlying mortgage
loan prior to the holder of the
subordinated interest in the underlying
mortgage loan. Pursuant to the agreement
creating the Senior Participation (the
"Participation Agreement"), Realized
Losses on the underlying mortgage loan
(including losses due to modifications of
the underlying mortgage loan following a
default thereon) will be allocated to the
subordinated participation (created by the
Participation Agreement) related to such
mortgage loan prior to the Senior
Participation. For specific information
concerning the Senior Participation, see
"THE TRUST -- The Senior Participation"
herein.
MORTGAGE LOAN GROUP 2 .. The Group 2 Mortgage Loans will consist of a
pool of approximately 12 adjustable rate
Mortgage Loans which have sched-
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<PAGE>
uled maturity dates no later than
September 1, 2002. As of the Cut-Off Date,
the Mortgage Loans in Mortgage Loan Group
2 had an aggregate Scheduled Principal
Balance of approximately $14,360,705, a
weighted average Mortgage Interest Rate of
approximately 9.189% per annum and a
weighted average Gross Margin of
approximately 2.392%. On each Mortgage
Rate Adjustment Date, the Mortgage
Interest Rate on each Group 2 Mortgage
Loan will be reset to the then applicable
index plus the related Gross Margin,
subject to (i) rounding as set forth in
the related Mortgage Note, (ii) the
Lifetime Mortgage Interest Rate Cap, if
applicable, and (iii) the Lifetime
Mortgage Interest Rate Floor, if
applicable. As of the Cut-Off Date, the
principal indices of the Group 2 Mortgage
Loans consisted of the following
approximate percentages by Scheduled
Principal Balance: 29.8% 11th District
Cost of Funds Index, 39.7% 3-year Constant
Maturity Treasury Index, 12.3% 1-year
Constant Maturity Treasury Index, and
18.2% prime rates of various financial
institutions.
ADMINISTRATIVE COST RATE
....................... The administrative costs on each Mortgage
Loan will equal the sum of the Servicing
Fee, the Special Servicer's Basic Fee and
the Trustee Fee (collectively, expressed
as a per annum rate on the Scheduled
Principal Balance of each Mortgage Loan,
the "Administrative Cost Rate"). The
Administrative Cost Rate will equal a
fixed rate of 0.0375% per annum on the
Scheduled Principal Balance of each such
Mortgage Loan as of the first day of the
related Due Period.
ADVANCES ............... The Servicer, the Trustee and the Fiscal
Agent will each be obligated to make
Advances of scheduled principal and
interest payments and certain other
property and lien priority protection
expenses in accordance with the provisions
set forth in the Trust Agreement. See
"DESCRIPTION OF THE CERTIFICATES --
Advances" herein.
The Servicer, the Trustee and the Fiscal
Agent will be obligated to make advances
only to the extent that such Advances are,
in the reasonable business judgment of the
Servicer, the Trustee or the Fiscal Agent
(depending upon which party is making the
Advance), ultimately recoverable from
future payments and collections on, and
Insurance Proceeds, Condemnation Proceeds
and net Liquidation Proceeds from the
related Mortgage Loan or REO Property.
All Advances will bear interest on the
outstanding principal amount thereof for
the period during which the Advance is
outstanding at the Prime Rate in effect on
the first day of each month during which
the Advance was outstanding.
USE OF PROCEEDS ........ The Depositor will use substantially all of
the net proceeds from the sale of the
Certificates to purchase the Mortgage
Loans
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<PAGE>
from the Seller and to pay certain
expenses in connection with the issuance
of the Certificates. See "USE OF PROCEEDS"
herein.
FEDERAL INCOME TAX
CONSIDERATIONS ........ For federal income tax purposes, an election
will be made to treat the Trust Fund, or a
segregated pool of assets included therein
(the "REMIC Pool"), as a real estate
mortgage investment conduit and, based on
certain assumptions and representations,
Tax Counsel (as defined herein) will
render an opinion that the REMIC Pool will
so qualify. Each Class of Senior and
Subordinate Certificates (other than the
Class R Certificates) will be designated
as a Class of Regular Interests in the
REMIC Pool and represent rights in the
Mortgage Loans.
Because they represent REMIC regular
interests, each Class of the Senior and
the Subordinate Certificates (other than
the Class R Certificates) generally will
be treated as debt for federal income tax
purposes. Holders of such Classes of
Certificates will be required to include
in income all interest on such
Certificates in accordance with the
accrual method of accounting regardless of
a Certificateholder's usual method of
accounting. It is expected that the
Offered Certificates will be issued with
original issue discount ("OID") for
federal income tax purposes. See "FEDERAL
INCOME TAX CONSIDERATIONS" herein and
"FEDERAL INCOME TAX CONSIDERATIONS --
Taxation of Regular Interest Securities --
Interest and Acquisition Discount" in the
Prospectus. The prepayment assumption that
will be used in determining the rate of
accrual of OID for federal income tax
purposes is 4% CPR. No representation is
made that the Mortgage Loans will prepay
at that or any other rate.
For further information regarding the status
of the REMIC Pool as a REMIC and the
federal income tax consequences of
investing in the Offered Certificates, see
"FEDERAL INCOME TAX CONSIDERATIONS" herein
and in the Prospectus.
FINAL SCHEDULED
DISTRIBUTION DATE ..... The Final Scheduled Distribution Date of
each Class of Offered Certificates is June
25, 2026. The Final Scheduled Distribution
Date for each Class of the Offered
Certificates was set as the date 24 months
following the date after which no Offered
Certificates will remain outstanding,
assuming timely payments are made on the
Mortgage Loans in accordance with their
terms. Because the rate of distributions
of principal on the Offered Certificates
will depend on the rate of payment
(including prepayments) of principal on
the Mortgage Loans and on the timing of
receipt of net Liquidation Proceeds,
Insurance Proceeds and Condemnation
Proceeds with respect to the Mortgage
Loans, the actual final Distribution
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<PAGE>
Date for each Class of the Offered
Certificates may be earlier, and could be
substantially earlier, than the Final
Scheduled Distribution Date. In addition,
if the actual period for receipt of net
Liquidation Proceeds and Insurance
Proceeds with respect to Mortgage Loans
that are liquidated exceeds the 24-month
period assumed in calculating the Final
Scheduled Distribution Dates, the actual
final Distribution Date for each Class of
the Offered Certificates may be later, and
could be substantially later, than the
Final Scheduled Distribution Date. See
"DESCRIPTION OF THE CERTIFICATES -- Final
Scheduled Distribution Date" herein and
"YIELD, PREPAYMENT AND MATURITY
CONSIDERATIONS" herein.
CERTIFICATE RATING ..... It is a condition of the issuance of the
Offered Certificates that they receive the
following credit ratings from Fitch
Investors Service, L.P. ("Fitch") and
Standard & Poor's Ratings Services
("S&P"):
<TABLE>
<CAPTION>
CLASS OF
OFFERED
CERTIFICATES FITCH S&P
<S> <C> <C> <C>
Senior AAA AAA
Class B AAA AA
Class C AA A
Class D BBB+ BBB
</TABLE>
........................ A securities rating addresses the likelihood
of the receipt by Certificateholders of
distributions due on the Offered
Certificates. The rating takes into
consideration the characteristics of the
Mortgage Loans and the structural and
legal aspects associated with the Offered
Certificates, including distribution of
all principal by the Final Scheduled
Distribution Date.
The ratings of the Offered Certificates do
not address the likelihood that the
Available Funds Cap will apply. Each
security rating assigned to the Offered
Certificates should be evaluated
independently of any other security
rating.
A securities 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. In
addition, a securities rating does not
address the likelihood or frequency of
prepayments, including involuntary
prepayments, on Mortgage Loans, or the
corresponding effect on yield to
investors. See "CERTIFICATE RATING" herein
and "RISK FACTORS" in the Prospectus.
LEGAL INVESTMENT ....... The Certificates offered hereby do not
constitute "mortgage related securities"
for purposes of the Secondary Mortgage
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<PAGE>
Market Enhancement Act of 1984. Investors
should consult their legal advisors to
determine the extent to which the
Certificates may be purchased by such
investors. See "LEGAL INVESTMENT" in the
Prospectus.
ERISA CONSIDERATIONS ... A fiduciary of any employee benefit plan
subject to the Employee Retirement Income
Security Act of 1974, as amended
("ERISA"), or the Code should carefully
review with its legal advisors whether the
purchase or holding of the Offered
Certificates could either give rise to a
transaction prohibited or not otherwise
permissible under ERISA or the Code. The
Department of Labor has granted to Lehman
Brothers an administrative exemption
(Prohibited Transaction Exemption 91-14 et
al.; Exemption application No. D-7958 et
al., 56 Fed. Reg. 7,413 (1991)) (the
"Exemption") from certain of the
prohibited transaction provisions of ERISA
with respect to the initial purchase, the
holding, and the subsequent resale by
Plans of certificates in pass-through
trusts that consist of certain secured
receivables, loans, and other obligations
that meet the conditions and requirements
of the Exemption. The assets covered by
the Exemption include mortgage loans such
as the Mortgage Loans and fractional
undivided interests in such loans.
The Depositor believes that the Exemption
will apply to the acquisition and holding
of the Senior Certificates by Plans and
that all conditions of the Exemption other
than those within the control of the
investors have been met. See "ERISA
CONSIDERATIONS" herein and in the
Prospectus.
THE SUBORDINATE CERTIFICATES MAY NOT BE
PURCHASED BY OR TRANSFERRED TO AN ERISA
PLAN UNLESS SUCH TRANSFER AND SUBSEQUENT
HOLDING WOULD BE EXEMPT FROM THE
PROHIBITED TRANSACTION PROVISIONS OF
SECTION 406 OF ERISA AND SECTION 4975 OF
THE CODE. IN THIS REGARD, ANY INVESTOR
THAT IS AN INSURANCE COMPANY SHOULD NOTE
THAT PROHIBITED TRANSACTION CLASS
EXEMPTION 95-60 PROVIDES AN EXEMPTION FROM
THE PROHIBITED TRANSACTION PROVISIONS OF
ERISA WITH RESPECT TO THE ACQUISITION OF
CERTIFICATES SUCH AS THE SUBORDINATE
CERTIFICATES WITH THE ASSETS OF INSURANCE
COMPANY GENERAL ACCOUNTS. EACH ERISA PLAN
TRANSFEREE SHALL BE DEEMED TO HAVE
REPRESENTED THAT THE PURCHASE AND HOLDING
OF THE SUBORDINATE CERTIFICATES WILL NOT
RESULT IN A NON-EXEMPT PROHIBITED
TRANSACTION AS DESCRIBED HEREIN.
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<PAGE>
RISK FACTORS
Prospective purchasers should consider, among other things, the following
factors (as well as the factors set forth under "RISK FACTORS" in the
Prospectus) in connection with an investment in the Offered Certificates.
THE CERTIFICATES
LIMITED LIQUIDITY
There is currently no market for the Offered Certificates, and no listing
on any securities exchange or other arrangement for secondary market trading
of the Offered Certificates is being made. While the Underwriter has advised
that it (or its affiliates) intends to make a secondary market in the Offered
Certificates, it is under no obligation to do so. Accordingly, there can be
no assurance that such a market will develop or, if it does develop, that it
will provide holders of the Offered Certificates with liquidity of investment
or continue for the life of the Certificates.
CERTAIN YIELD AND MATURITY CONSIDERATIONS
The yield on any Offered Certificate will depend on the price paid for
such Certificate and the rate, timing and amount of distributions on such
Certificate. The rate, timing and amount of distributions on any Offered
Certificate will in turn depend on, among other things, the rate, timing and
amount of principal payments (including Principal Prepayments) and other
collections on the Mortgage Loans attributable to principal (including
proceeds from liquidations of Mortgage Loans or a repurchase of the Mortgage
Loans from the Trust by the Depositor).
Prepayments on the Mortgage Loans will be influenced by the prepayment
provisions of the related Mortgage Notes and may also be affected by a
variety of economic, geographic and other factors, including the difference
between the interest rates on the Mortgage Loans (giving consideration to the
cost of refinancing) and prevailing mortgage rates and the availability of
refinancing. In general, if prevailing interest rates fall significantly
below the interest rates on the Mortgage Loans, the rate of prepayment on the
Mortgage Loans would be expected to increase. Conversely, if prevailing
interest rates rise to a level significantly above the Mortgage Interest
Rates, the rate of prepayment would be expected to decrease. A significant
portion of the Mortgage Loans permit voluntary principal prepayments at any
time or after the expiration of a lockout period, although certain of the
Mortgage Loans may be prepaid only upon payment of a prepayment premium. The
Depositor makes no representations as to the effect of such lockout periods
or prepayment premiums on the rate of prepayment of the related Mortgage
Loans.
Delays in liquidations of defaulted Mortgage Loans and modifications
extending the maturity of Mortgage Loans will tend to extend the payment of
principal of the Mortgage Loans. Approximately 87 Mortgage Loans with an
aggregate Scheduled Principal Balance of approximately $217,221,811
constituting approximately 89.5% of the aggregate Scheduled Principal Balance
of the Mortgage Loans are Balloon Mortgage Loans. Because the ability of a
Mortgagor on any Mortgage Loan (a "Borrower") to make a Balloon Payment
typically will depend upon its ability either to refinance the Mortgage Loan
or to sell the related Mortgaged Property, there is a risk that Mortgage
Loans having Balloon Payments may default at maturity, or that, following
such a default, the Special Servicer may extend the maturity of a Mortgage
Loan in connection with working out such Mortgage Loans. In the case of
defaults, recovery of proceeds may be delayed by, among other things,
bankruptcy of the Mortgagor or adverse conditions in the market where the
Mortgaged Property is located. In order to minimize losses on defaulted
Mortgage Loans, the Special Servicer, with the approval of the Operating
Adviser, is given considerable flexibility under the Special Servicing
Agreement to modify Mortgage Loans that are in material default or as to
which a payment default has occurred. See "SERVICING OF MORTGAGE LOANS --
Mortgage Loan Modifications" herein.
In addition, because an amount equal to the Appraisal Subordinate
Entitlement Reduction Capitalization Amounts will be applied to the extent
available to reduce the Certificate Principal Amount of the Group 1
Certificates in the priority described herein, the amount of the Appraisal
Subordinate
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<PAGE>
Entitlement Reduction Capitalization Amounts and the timing of its receipt
will affect the average life of the Offered Certificates (other than the
Class A-2 Certificates). See "DESCRIPTION OF THE CERTIFICATES --
Distributions of Interest -- Appraisal Subordinate Entitlement Reductions."
LIMITED OBLIGATIONS
The Certificates will represent beneficial ownership interests solely in
the assets of the Trust Fund and will not represent an interest in or
obligation of Lehman Brothers, the Servicer, the Special Servicer, the Fiscal
Agent, the Trustee, the Seller, the Depositor or any of their respective
affiliates or any other person. Distributions on any Class of Certificates
will depend solely on the amount and timing of payments and other collections
in respect of the Mortgage Loans. Although amounts, if any, otherwise
distributable to the Subordinate Certificates on any Distribution Date will
be available to make distributions on the Senior Certificates in the event
that Realized Losses occur on the Mortgage Loans, to the extent set forth
herein, there can be no assurance that these amounts, together with other
payments and collections in respect of the Mortgage Loans, will be sufficient
to make full and timely distributions on the Offered Certificates.
SUBORDINATION OF CLASS B, CLASS C, CLASS D, CLASS E, CLASS F, CLASS G AND
CLASS H CERTIFICATES
As described herein, the rights of the Class B, Class C, Class D, Class E,
Class F, Class G and Class H Certificateholders to receive certain payments
of principal and interest otherwise payable on the Class B, Class C, Class D,
Class E, Class F, Class G and Class H Certificates will be subordinated to
those of the Senior Certificateholders, to the extent set forth herein. In
addition, certain rights of each Class of Subordinate Certificates to receive
payments will be subordinated to the rights of Certificates of Classes having
prior alphabetical designations. Realized Losses of principal on the Mortgage
Loans will be charged to reduce the outstanding principal amount of the
Subordinate Certificates, in reverse alphabetical order, until the aggregate
outstanding principal amount of each such Class of Certificates has been
reduced to zero. See "DESCRIPTION OF THE CERTIFICATES --Distributions of
Interest" and "-- Distributions of Principal" herein.
SPECIAL SERVICER ACTIONS WITH RESPECT TO SPECIALLY SERVICED MORTGAGE LOANS
In connection with the servicing of the Specially Serviced Mortgage Loans
(including the mortgage loan underlying the Senior Participation in the event
that it becomes a Specially Serviced Mortgage Loan), the Special Servicer
may, at the direction of the Operating Adviser, take actions with respect to
such Specially Serviced Mortgage Loans that could adversely affect the
Holders of some or all of the Classes of Offered Certificates. As described
herein under "SERVICING OF MORTGAGE LOANS -- The Operating Adviser," the
Operating Adviser will, in the absence of significant losses, be controlled
by the Holders of the Class H, Class G, Class F or Class E Certificates, that
may have interests in conflict with those of the Holders of the other Classes
of Certificates. As a result, it is possible that the Operating Adviser may
direct the Special Servicer to take actions which conflict with the interests
of certain other Classes of Certificates.
All or a portion of the Class G and Class H Certificates are expected to
be owned initially by the Depositor. As long as the Depositor and/or another
affiliate of the Depositor owns the Class H Certificates (or if such Class
has suffered significant Realized Losses, the Class G Certificates), the
Operating Adviser will be, or will be appointed by, the Depositor or an
affiliate of the Depositor. See "SERVICING OF MORTGAGE LOANS -- The Operating
Adviser" herein.
SPECIAL SERVICER AND SELLER RELATIONSHIPS
Lennar Partners, Inc. will act as Special Servicer on behalf of the Trust
and the Participation Agreements with respect to Specially Serviced Mortgage
Loans (including the mortgage loan underlying the Senior Participation in the
event that it becomes a Specially Serviced Mortgage Loan) (see "SERVICING OF
MORTGAGE LOANS -- The Special Servicer" herein). An affiliate of Lennar
Partners, Inc. holds an economic interest in a partnership among WEC, Lennar
Corporation and affiliates of Lehman Brothers, which owned mortgage loans,
originated by WCC and acted as servicer for two of the Mortgage Loans
aggregating approximately 3.1% of the Scheduled Principal Balance prior to
such Mortgage Loans being sold to the Depositor.
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<PAGE>
THE MORTGAGE LOANS
COMMERCIAL AND MULTIFAMILY LENDING GENERALLY
Commercial and multifamily lending is generally viewed as exposing the
lender to a greater risk of loss than one-to four-family residential lending.
Commercial and multifamily lending typically involves larger loans to single
borrowers or groups of related borrowers than one- to four-family residential
lending. Further, the repayment of loans secured by income producing
properties is typically dependent upon the successful operation of the
related real estate project. If the cash flow from the project is reduced
(for example, if leases are not obtained or renewed), the Borrower's ability
to repay the loan may be impaired. Commercial and multifamily real estate can
be affected significantly by the supply and demand in the market for the type
of property securing the loan and, therefore, may be subject to adverse
economic conditions. Market values may vary as a result of economic events or
governmental regulations outside the control of the borrower or lender, such
as rent control laws in the case of multifamily mortgage loans, which impact
the future cash flow of the property.
Generally, other than as stated below under "-- Mortgage Loans on
Properties Owned by Affiliates of the Depositor," no new appraisals of the
Mortgaged Properties for any Mortgage Loan have been or will be obtained and
no new valuations have been assigned to the Mortgage Loans by the Depositor
in connection with the offering of the Offered Certificates. In certain
cases, the Seller was provided with appraisals or valuations on Mortgage
Loans from the parties from which it acquired such Mortgage Loans. Neither
the Depositor nor the Seller makes any representations or warranties with
respect to such valuations. It is possible that the market values of the
Mortgaged Properties for any Mortgage Loan have declined since the
origination of the related Mortgage Loans.
LIMITED RECOURSE
The Mortgage Loans are not insured or guaranteed by any governmental
entity or private mortgage insurer. Although certain of the Mortgage Loans
may be guaranteed by, or provide for recourse to, the partners, shareholders
or affiliates of the related Mortgagors, it is unclear whether such
guarantees or recourse will provide any future value to the Trust in the
event that a default occurs on the related Mortgage Loan. As a result, it
should be assumed that recourse in the case of a default of a Mortgage Loan
will be limited to the related Mortgaged Property and such other assets, if
any, as were pledged to secure repayment thereof.
ENVIRONMENTAL LAW CONSIDERATIONS
Contamination of real property may give rise to a lien on that property to
assure payment of the cost of clean-up or, in certain circumstances, may
result in liability to the lender for that cost. Such contamination may also
reduce the value of a property. A "Phase I" and, in some cases, a "Phase II,"
environmental site assessment was performed on Mortgaged Properties securing
approximately 98.0% of the aggregate Scheduled Principal Balance of the
Mortgage Loans. Of this amount, approximately 99.0% related to environmental
site assessments conducted since June 1994, and approximately 80.8% related
to environmental site assessments conducted since January 1995. In no case
was it conducted prior to November 1993.
The Stonebridge Crossing Shopping Center Property (the "Stonebridge
Property"), which secures a Mortgage Loan with a Scheduled Principal Balance,
as of the Cut-Off Date of $3,600,000, is adjacent to a property owned by Emro
Marketing Company ("Emro") on which a gas station is located. Emro is wholly
owned by Marathon Oil Company ("Marathon") which is wholly owned by CSX
Corporation ("CSX"). Emro discovered two releases of petroleum product in
1993 which resulted in groundwater contamination to the Stonebridge Property
and voluntarily notified the State of Georgia, which identified Emro as the
responsible party for both releases. Emro accepted full responsibility for
the releases, filed a corrective action plan with the State of Georgia and is
now in the process of remediation. Emro has agreed in principle to indemnify
the related Borrower for the costs of remediation of the Stonebridge Property
to a level satisfactory to, and sufficient to obtain a "no further action"
letter from, the State of Georgia. Emro is currently negotiating a settlement
with the Borrower which would provide for Emro to
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<PAGE>
pay agreed upon damages to the Borrower and to indemnify the Borrower, its
successors and any purchasers of the Stonebridge Property for a period of ten
years.
The Special Servicing Agreement requires that the Special Servicer obtain
an environmental site assessment of a Mortgaged Property prior to acquiring
title thereto or assuming its operation. Such requirement effectively
precludes enforcement of the security for the related Mortgage Note until a
satisfactory environmental site assessment is obtained (or until any required
remedial action is thereafter taken) but will decrease the likelihood that
the Trust will become liable for a material adverse environmental condition
at the Mortgaged Property. However, there can be no assurance that the
requirements of the Trust Agreement will effectively insulate the Trust from
potential liability for a materially adverse environmental condition at any
Mortgaged Property. See "THE TRUST -- Certain Environmental Matters" herein
and "CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS -- Environmental Matters" in the
Prospectus.
On April 29, 1992, the United States Environmental Protection Agency
("EPA") issued a final rule intended to protect lenders from liability under
the federal Comprehensive Environmental Response, Compensation and Liability
Act of 1980, as amended ("CERCLA"). This rule was in response to a 1990
decision of the United States Court of Appeals for the Eleventh Circuit,
United States v. Fleet Factors Corp., which narrowly construed the security
interest exemption under CERCLA to hold lenders liable if they had the
capacity to influence their borrower's management of hazardous waste. On
February 4, 1994, the United States Court of Appeals for the District of
Columbia Circuit in Kelley v. EPA invalidated this EPA rule. As a result of
the Kelley case, the state of the law with respect to the secured creditor
exemption and the scope of permissible activities in which a lender may
engage to protect its security interest remain uncertain. In addition, even
if a new version of the EPA rule were to be adopted formally by EPA, followed
informally by EPA, enacted by statute, or otherwise reinstated, the rule
would not necessarily affect the potential for lender liability in actions by
parties other than EPA or under laws or legal theories other than CERCLA. If
a lender is or becomes liable, it can bring an action for contribution
against the owner or operator who created the environmental hazard, but that
person or entity may be bankrupt or otherwise judgment proof. Such clean-up
costs may be substantial. It is possible that such costs could become a
liability of the Trust and occasion a loss to Certificateholders in certain
circumstances described above if such remedial costs were incurred. See "THE
TRUST -- Certain Environmental Matters" herein and "CERTAIN LEGAL ASPECTS OF
THE MORTGAGE LOANS -- Environmental Matters" in the Prospectus.
CONCENTRATIONS OF MORTGAGE LOANS AND MORTGAGORS
As of the Cut-Off Date, several of the Mortgage Loans will have Scheduled
Principal Balances that are substantially higher than the average principal
balance of the Mortgage Loans. The ten largest and twenty largest Mortgage
Loans have aggregate principal balances which represent approximately 39.5%
and approximately 57.4%, respectively, of the aggregate Scheduled Principal
Balance of all of the Mortgage Loans as of the Cut-Off Date.
Further, certain of the Mortgagors are controlled by, or affiliated with,
the same entity as certain other Mortgagors. Such Mortgagor concentrations
are as follows: three Mortgage Loans totaling $29,957,667 (approximately
12.3% of the Cut-Off Date aggregate Scheduled Principal Balance); two
Mortgage Loans totaling approximately $1,720,706 (approximately 0.7% of the
Cut-Off Date aggregate Scheduled Principal Balance); three Mortgage Loans
totaling approximately $503,026 (approximately 0.2% of the Cut-Off Date
aggregate Scheduled Principal Balance); and three Mortgage Loans totaling
approximately $7,300,000 (approximately 3.0% of the Cut-Off Date aggregate
Scheduled Principal Balance). Additionally, two Mortgage Loans are Affiliate
Mortgage Loans totalling approximately $13,600,000 (approximately 5.6% of the
Cut-Off Date aggregate Scheduled Principal Balance), as described below under
"-- Mortgage Loans on Properties Owned by Affiliates of the Depositor."
In general, concentrations in a mortgage pool of loans with larger than
average principal balances can result in losses that are more severe,
relative to the size of the pool, than would be the case if the aggregate
principal balance of the pool were more evenly distributed. Concentration of
mortgagor representation in a mortgage pool can also pose increased risks. A
majority of the Mortgage Loans are non-recourse to
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<PAGE>
the Mortgagors, the general partners of the Mortgagors, and affiliated
entities, and such Mortgage Loans are intended to be paid solely from cash
flow generated from the related Mortgaged Properties, and therefore any
financial difficulties, including bankruptcy, receivership or insolvency of
these general partners and related entities could adversely affect the
abilities of these Mortgagors to continue to maintain the Mortgaged
Properties and therefore make payments on their Mortgage Loans.
GEOGRAPHIC CONCENTRATION
Approximately 20.2%, 14.4% and 11.7% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date consists of Mortgaged
Properties located in the States of California, Connecticut and Pennsylvania,
respectively. See "CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS LOCATED IN
CALIFORNIA, CONNECTICTUT AND PENNSYLVANIA" herein.
Repayments by Mortgagors and the market value of the Mortgaged Properties
securing the related Mortgage Loan could be affected by economic conditions
generally or in regions where the Mortgagors and the Mortgaged Properties
securing the related Mortgage Loan are located, conditions in the real estate
market where the Mortgaged Properties securing the related Mortgage Loan are
located, changes in governmental rules and fiscal policies, acts of nature,
including floods, tornadoes and earthquakes (which may result in uninsured
losses), and other factors which are beyond the control of the Mortgagors.
Moreover, in recent periods, several regions of the United States in which
one or more of the Mortgaged Properties are located have experienced
significant downturns in the market value of real estate.
MORTGAGE LOANS ON PROPERTIES OWNED BY AFFILIATES OF THE DEPOSITOR
Two Mortgage Loans with an aggregate Scheduled Principal Balance of
approximately $13,600,000 are secured by Mortgaged Properties (the "Affiliate
Properties") that are owned by an affiliate of the Depositor (the "Affiliate
Mortgage Loans"). Certain terms of the Mortgage Loans are summarized in
Appendix A.
The underwriting with respect to the Affiliate Mortgage Loans was
performed by the Seller or its affiliates on the basis of physical
conditions, property valuations and property financial performance, including
the historical and/or stabilized (giving effect to signed leases) net
operating income generated by the related Mortgaged Properties. The
underwriting debt service coverage ratios for these Mortgaged Properties are
1.548x and 1.425x, respectively. The Seller also had an updated MAI appraisal
performed on one of the Mortgaged Properties securing the Affiliate Mortgage
Loans with a Scheduled Principal Balance as of the Cut-Off Date of
$10,000,000. The ratio of the outstanding principal balance of the Mortgage
Loan to its appraised value was 76.9% as of the Cut-Off Date, and the
appraisal is dated June 26, 1995. Such appraisal assumes that the Affiliate
Mortgage Loan is assumable by a new owner of the related Mortgaged Property.
Such appraisal would be expected to result in values higher than if the
subject Mortgaged Property were assumed to sell for cash. There can be no
assurance that the net operating income of the Affiliate Properties is
reflective of the ability of such properties to continue to generate income
on an ongoing basis. Should such income be reduced, a default may occur with
respect to such Affiliate Mortgage Loans.
The Affiliate Mortgage Loans are non-recourse obligations, and are not
insured or guaranteed by any governmental entity or private insurer or any
other person, including the Seller, the Depositor, the Trustee, the
Underwriter or any of their affiliates.
SUBORDINATE INDEBTEDNESS RETAINED BY AFFILIATES
The Mortgage Loans include certain Mortgage Loans as to which the related
Mortgagors may have entered into other subordinated indebtedness secured by
the related Mortgaged Properties. In some instances, such subordinated
indebtedness may have been entered into in connection with a recent
modification of the related Mortgage Loans entered into by the Seller.
Subordinated mortgage indebtedness held by the Seller or certain affiliates
will initially continue to be held by an affiliate of the Seller. Pursuant to
an intercreditor agreement (the "Intercreditor Agreement") between the Seller
and the Depositor and its assignees, including the Trust, the Seller has
agreed not to exercise its right to foreclose under its subordinate mortgage
loan unless the Seller, or another party, purchases the Mortgage
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Loan from the Trust (in circumstances in which the Trust is permitted to sell
the related Mortgage Loan) at a price at least equal to 100% of the then
Scheduled Principal Balance thereof plus accrued interest thereon at the
applicable Mortgage Interest Rate and all related unpaid expenses incurred
with respect to such Mortgage Loan. Any such purchase would cause an
acceleration of principal payments to Certificateholders.
UNDERWRITING POLICIES/MODIFICATIONS OF CERTAIN MORTGAGE LOANS
Most of the Mortgage Loans were originally originated by various mortgage
banking companies and financial institutions. Two of the Mortgage Loans were
originated by Westinghouse Credit Corporation in the normal course of its
lending business. The Affiliate Mortgage Loans were originated by the Seller
or its affiliates. Each of the originators of these Mortgage Loans had
underwriting policies or standards applicable to the origination or purchase
of multifamily, mixed use and commercial mortgage loans that may have
differed from those of other such originators. There can be no assurance that
the Mortgage Loans were originated or acquired in all cases in accordance
with any originator's underwriting standards then in effect.
Prior to being acquired by the Depositor, terms of certain of the Mortgage
Loans were modified by a Seller through negotiations with the respective
Mortgagors. The current terms of the Mortgage Loans are described herein. The
modifications included, among other things, changes in the principal balances
of the Mortgage Loans (including debt forgiveness equal to approximately
$48,526,849 in the aggregate), increases and reductions of interest rates,
conversions of adjustable rates to fixed rates, maturity extensions, changes
to amortization schedules, or a combination thereof. In certain cases, the
Seller may have received subordinate mortgages in connection with the
modifications of the original mortgage loans which will be retained by such
Seller, subject to the Intercreditor Agreement, which limits the ability of
the holder of the subordinate mortgage loan to exercise its rights. See "--
Subordinate Indebtedness Retained by Affiliates" above. The Seller makes no
representations that the underwriting of the modified Mortgage Loans would
conform in all respects to procedures employed by federally insured financial
institutions.
BALLOON PAYMENT AT MATURITY AND EXTENSION OF MATURITY
Approximately 87 Mortgage Loans, with an aggregate Scheduled Principal
Balance of approximately $217,221,811, constituting approximately 89.5% of
the aggregate Scheduled Principal Balance of the Mortgage Loans, are Balloon
Mortgage Loans, which will have a Balloon Payment due for each such Mortgage
Loan at its respective Maturity Date. Mortgage Loans with balloon payments
involve a greater risk to a lender than self-amortizing loans, because the
ability of a mortgagor to pay such amount will normally depend on its ability
to obtain refinancing of the related mortgage loan or sell the related
mortgaged property at a price sufficient to permit the mortgagor to make the
balloon payments, which will depend on a number of factors prevailing at the
time such refinancing or sale is required, including, without limitation, the
strength of the commercial and multifamily real estate markets, tax laws, the
financial situation and operating history of the underlying property,
interest rates and general economic conditions. Neither the Depositor nor its
affiliates is under any obligation to refinance any Mortgage Loan.
Five Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $7,971,012, provide the Borrower with an option to extend the
Maturity Date of the related Mortgage Loan. With respect to one such Mortgage
Loan the Maturity Date may be extended, if no event of default under such
Mortgage Loan exists and with respect to two other such Mortgage Loans the
Maturity Date may be extended if the Borrower meets certain debt service
coverage and loan-to-value tests. See Appendix A, "Characteristics of the
Mortgage Loans -- Mortgage Loan Group 1."
The Special Servicing Agreement permits the Special Servicer to extend and
modify a defaulted Mortgage Loan (or one on which default is imminent) under
certain circumstances. There can be no assurance, however, that any such
extension or modification will increase the present value of a defaulted
Mortgage Loan. Such an extension or modification may cause the weighted
average life of the Certificates to be longer than if the Mortgage Loan had
been paid pursuant to its original terms. In addition, as
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described under "THE TRUST -- Description of the Mortgage Pool" herein,
certain of the Mortgage Loans are assumable under certain circumstances. This
characteristic may cause the weighted average life of the Certificates to be
longer than otherwise expected.
EARLY REPAYMENT OF MORTGAGE LOANS
A significant portion of the Mortgage Loans permit voluntary Principal
Prepayments at any time or after the expiration of a lockout period, although
certain of the Mortgage Loans may be prepaid only upon payment of a
prepayment premium, as more fully described herein. The Holders of the Class
R Certificates will be distributed any prepayment premiums collected on the
Mortgage Loans. In addition, the condemnation of, or the occurrence of a
casualty loss on, the Mortgaged Property securing any Mortgage Loan or the
acceleration of payments due under a Mortgage Loan by reason of default may
result in an unscheduled Principal Prepayment at any time without penalty.
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DESCRIPTION OF THE CERTIFICATES
GENERAL
The following summaries describe certain provisions relating to the
Certificates. The summaries do not purport to be complete and are subject,
and qualified in their entirety by reference, to the provisions of the Trust
Agreement. When particular provisions or terms used in the Trust Agreement
are referred to herein, the actual provisions (including definitions of
terms) are deemed to be incorporated herein by reference.
The Certificates will be issued pursuant to a trust agreement, dated as of
November 1, 1995 (the "Trust Agreement"), among the Depositor, the Trustee,
the Fiscal Agent and the Servicer. Reference is made to the Prospectus for
additional information regarding the terms of the Trust Agreement.
The Certificates will consist of eleven Classes: the Class A-1A, Class
A-1B and Class A-2 Certificates (collectively, the "Senior Certificates"),
the Class B, Class C, Class D, Class E, Class F, Class G and Class H
Certificates (the "Subordinate Certificates"), and the Class R Certificates.
Only the Senior Certificates and the Class B, Class C and Class D
Certificates (collectively, the "Offered Certificates") are being offered
hereby. The Class E, Class F, Class G, Class H and Class R Certificates
(collectively, the "Non-Offered Certificates") will initially be retained by
the Depositor or sold or transferred to one of its affiliates but may be sold
at any time in accordance with the terms of the Trust Agreement. The
Non-Offered Certificates have not been registered under the Act and are not
offered hereby. Accordingly, information herein regarding the terms of the
Non-Offered Certificates is provided primarily because of its potential
relevance to a prospective purchaser of an Offered Certificate.
The Trust Agreement provides for the formation of a REMIC (the "REMIC
Pool"). The assets of the REMIC Pool will consist primarily of the Mortgage
Loans (including the Senior Participation), a Collection Account and the
Distribution Account. The Class A-1A, Class A-1B, Class A-2, Class B, Class
C, Class D, Class E, Class F, Class G, Class H and Class R Certificates
represent direct interests in the REMIC Pool.
CERTIFICATE BALANCES
Upon initial issuance, the Class A-1A, Class A-1B, Class A-2, Class B,
Class C and Class D Certificates will have the respective Certificate
Principal Amounts set forth in the following table, subject to a permitted
aggregate variance of plus or minus 5%:
<TABLE>
<CAPTION>
INITIAL AGGREGATE APPROXIMATE PERCENT OF
CLASS OF OFFERED CERTIFICATES PRINCIPAL AMOUNT INITIAL POOL BALANCE
- ------------------------------- ----------------- ----------------------
<S> <C> <C>
Class A-1A ..................... $ 52,129,745 21.48%
Class A-1B ..................... 50,000,000 20.60
Class A-2 ...................... 14,360,704 5.92
----------------- ----------------------
Subtotal -- Senior
Certificates .................. $116,490,449 48.00%
----------------- ----------------------
Class B ........................ 14,561,306 6.00
Class C ........................ 24,268,844 10.00
Class D ........................ 24,268,844 10.00
----------------- ----------------------
Total ........................ $179,589,443 74.00%
================= ======================
</TABLE>
Upon initial issuance, the Class E, Class F, Class G and Class H
Certificates will have an aggregate Certificate Principal Amount of
approximately $63,098,993 (subject to a permitted variance of plus or minus
5%), representing approximately 26% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date.
REGISTRATION; DENOMINATIONS
The Offered Certificates (collectively, the "Book-Entry Certificates")
will be issued in book-entry form through the facilities of The Depository
Trust Company ("DTC") in denominations of $100,000 and
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in integral multiples of $1,000 in excess thereof. One Certificate of each of
the Classes of Offered Certificates may be issued in a different principal
amount to accommodate the remainder of the initial principal amount of the
Certificates of such Class.
Each Class of Book-Entry Certificates will initially be represented by one
or more global Certificates registered in the name of the nominee of DTC. The
Depositor has been informed by DTC that DTC's nominee will be Cede & Co. No
beneficial owner of a Book-Entry Certificate of any Class thereof (each, a
"Certificate Owner") will be entitled to receive a fully registered
Certificate (a "Definitive Certificate") representing its interest in such
Class except under the limited circumstances described in the Prospectus
under "DESCRIPTION OF THE SECURITIES -- Book-Entry Registration." Unless and
until Definitive Certificates are issued in respect of a Class of Book-Entry
Certificates, beneficial ownership interests in such Class of Certificates
will be maintained and transferred on the book-entry records of DTC and its
participating organizations (the "Participants"), and all references to
actions by Holders of such Class of Certificates will refer to actions taken
by DTC upon instructions received from the related Certificate Owners through
the Participants in accordance with DTC procedures, and all references herein
to payments, notices, reports and statements to holders of such Class of
Certificates will refer to payments, notices, reports and statements to DTC
or Cede & Co., as the registered holder thereof, for distribution to the
related Certificate Owners through the Participants in accordance with DTC
procedures. The form of such payments and transfers may result in certain
delays in receipt of payments by an investor and may restrict an investor's
ability to pledge its securities. See "DESCRIPTION OF THE SECURITIES --
Book-Entry Registration" in the Prospectus.
DISTRIBUTIONS
Distributions of principal and interest on the Certificates related to
each Mortgage Loan Group will be made out of the related Available
Distribution Amount on the 25th day of each month (or, if such day is not a
Business Day, on the next succeeding Business Day) (each such date, a
"Distribution Date"), commencing December 26, 1995. On each Distribution Date
and with respect to each Mortgage Loan Group, Scheduled Payments of principal
and interest due during the related Due Period and collected on or prior to
the related Determination Date or advanced with respect to such Distribution
Date, and other payments allocable to principal on the Mortgage Loans of such
Mortgage Loan Group collected during the related Prepayment Period, less
certain amounts due to the Servicer, the Special Servicer, the Fiscal Agent
and the Trustee, and certain expenses of the REMIC Pool will be distributed
from the REMIC Pool to the Certificateholders. The "Due Period" relating to a
Distribution Date will commence on the second day of the month preceding the
month in which such Distribution Date occurs and will end on the first day of
the month in which such Distribution Date occurs. The "Determination Date"
relating to a Distribution Date will be the 15th day of the month in which
such Distribution Date occurs or, if such day is not a Business Day, the
immediately preceding Business Day. The "Prepayment Period" relating to each
Distribution Date commences on the first day following the Determination Date
occurring in the month preceding the Distribution Date (or in the case of the
first Distribution Date, the Cut-Off Date) and ends on the Determination Date
in the month in which the Distribution Date occurs.
Notwithstanding the above, the final payment in retirement of any
Certificate will be made only upon presentation and surrender of such
Certificate at the Corporate Trust Office of the Trustee.
The record date (the "Record Date") for each Class of Offered Certificates
(other than the Class A-2 Certificates) for each Distribution Date will be
the close of business on the last day of the month preceding the month in
which such Distribution Date occurs or, if such day is not a Business Day,
the Business Day immediately preceding such day. The Record Date for the
Class A-2 Certificates for each Distribution Date will be the close of
business on the 15th day of the month in which such Distribution Date occurs
or, if such day is not a Business Day, the Business Day immediately preceding
such day.
AVAILABLE DISTRIBUTION AMOUNT
Distributions on the Class A-1A, Class A-1B, Class B, Class C, Class D,
Class E, Class F, Class G, Class H and Class R Certificates will generally be
made from the Available Distribution Amount with
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respect to Mortgage Loan Group 1. Distributions on the Class A-2 Certificates
will generally be made from the Available Distribution Amount for Mortgage
Loan Group 2.
The "Available Distribution Amount" for a Mortgage Loan Group on any
Distribution Date will equal the sum of the following amounts:
(i) all scheduled principal and interest payments, including Balloon
Payments, on the Mortgage Loans in such Mortgage Loan Group ("Scheduled
Payments") due during the related Due Period and Assumed Scheduled
Payments deemed to be due during the related Due Period, to the extent
collected or advanced by the Servicer, the Trustee or the Fiscal Agent for
such Distribution Date with respect to the Mortgage Loans, (ii) all other
collections on a Mortgage Loan in such Mortgage Loan Group, including but
not limited to, net Liquidation Proceeds, Principal Prepayments, Insurance
Proceeds and Condemnation Proceeds, together with any accrued interest
thereon, to the extent identified as having been received on the Mortgage
Loans or the REO Property during the related Prepayment Period, (iii) any
other income collected with respect to the REO Property, net of related
expenses, to the extent that it exceeds the Assumed Scheduled Payments
with respect to such REO Property, (iv) the proceeds of any repurchase of
any Mortgage Loan required to be repurchased by the Depositor, (v) all
Crossover Amounts paid to such Mortgage Loan Group, and (vi) Excess
Interest transferred to such Mortgage Loan Group except:
(a) all Scheduled Payments collected but due on a date subsequent to
the related Due Date;
(b) all other collections on the Mortgage Loans in such Mortgage Loan
Group, including but not limited to, net Liquidation Proceeds, Principal
Prepayments, Insurance Proceeds and Condemnation Proceeds, together with
any accrued interest thereon received after the related Prepayment Period
(together with any interest payments with respect thereto for periods
after the related Prepayment Period);
(c) all amounts that are currently due or reimbursable to the
Servicer, the Special Servicer, the Trustee or the Fiscal Agent (including
any Servicing Fee, any compensation payable to the Special Servicer and
the Trustee Fee) or used to pay certain unanticipated expenses of the
Trust Fund; and
(d) all Crossover Amounts paid from such Mortgage Loan Group.
"Assumed Scheduled Payments" means with respect to any Mortgage Loan Due
Period following the maturity date of a Mortgage Loan (but not including any
period following the modification or extension of such Mortgage Loan and
prior to its modified maturity date), including any Mortgage Loan Due Period
ending on or after the related Mortgaged Property has become an REO Property,
an amount deemed to be due for the Mortgage Loan during such Mortgage Loan
Due Period for purposes of calculating the Advances, which shall be equal to
the Scheduled Payment that would have been due on the Mortgage Loan for such
Mortgage Loan Due Period, if (i) the maturity date for such Mortgage Loan had
not occurred, (ii) the Mortgaged Property had not become an REO Property,
such Mortgage Loan was still outstanding and no acceleration of the Mortgage
Loan had occurred, (iii) in the case of any Mortgage Loan that provided for
amortization of principal prior to its maturity date, principal continued to
amortize on such schedule and (iv) in the case of any Mortgage Loan that does
not provide for amortization of principal prior to its maturity date, no
principal is amortized with respect to such Mortgage Loan.
"Balloon Mortgage Loan" means a Mortgage Loan that will not fully amortize
based on the fixed monthly Scheduled Payment by its maturity date. "Balloon
Payment" means, with respect to any Balloon Mortgage Loan, the Scheduled
Payment payable on the maturity date of such Mortgage Loan.
"Crossover Amounts" are amounts attributable to collections on the
Mortgage Loans in one Mortgage Loan Group that are transferred to the
Available Distribution Amount for another Mortgage Loan Group and may be
Crossover Principal Amounts or Crossover Interest Amounts. In certain
circumstances described herein, Crossover Principal Amounts may be
transferred from the Available Distribution Amount of Mortgage Loan Group 1
to the Available Distribution Amount of Mortgage Loan Group 2. The Principal
Distribution Amount for Mortgage Loan Group 2 will be transferred from
Mortgage Loan Group 2 to Mortgage Loan Group 1 after the Certificate
Principal Amount of the Class
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A-2 Certificates is reduced to zero. See "--Distributions of Principal." In
general terms, Crossover Principal Amounts may be paid from Mortgage Loan
Group 1 to Mortgage Loan Group 2 after the Class A-1A and Class A-1B
Certificates have been paid in full, to the extent that either (i) Realized
Losses of principal have occurred in Mortgage Loan Group 2, or (ii) the
aggregate principal balance of the Mortgage Loans in Mortgage Loan Group 1
has declined to a certain minimum level and delinquencies in Mortgage Loan
Group 2 exceed a certain level.
"Crossover Interest Amounts" will generally be transferred from the
Available Distribution Amount for Mortgage Loan Group 1 to Mortgage Loan
Group 2 to the extent of (i) the aggregate reduction in the Certificate
Principal Amount of the Subordinate Certificates as a result of Realized
Losses of principal on the Group 2 Mortgage Loans multiplied by (ii) the
weighted average Net Mortgage Interest Rate of the Group 1 Mortgage Loans.
Similarly, to the extent that Crossover Principal Amounts have previously
been transferred to Mortgage Loan Group 2 and the principal balance of the
Mortgage Loans in Mortgage Loan Group 2 exceeds the aggregate Certificate
Principal Amount of the Class A-2 Certificates (such amount, "Crossover
Excess Principal"), which generally would occur if Crossover Principal
Amounts are paid as a result of the Subordination Test (as defined herein),
Crossover Interest Amounts will be transferred from the Available
Distribution Amount for Mortgage Loan Group 2 to the Available Distribution
Amount for Mortgage Loan Group 1 in an amount equal to the Group 2 Excess
Principal multiplied by the weighted average of the Net Mortgage Interest
Rates of the Group 2 Mortgage Loans.
DISTRIBUTIONS OF INTEREST
Interest will accrue on the Offered Certificates (other than the Class A-2
Certificates, which accrue interest for the period described below) during
the period beginning on the first day of the month preceding the month in
which the related Distribution Date occurs and ending on the last day of the
month preceding the month in which such Distribution Date occurs (with
respect to such Offered Certificates, an "Interest Accrual Period"). Interest
will accrue on the Class A-2 Certificates during the period beginning on the
25th day of the month immediately preceding the month in which a Distribution
Date occurs and ending on the 24th day of the month in which such
Distribution Date occurs (with respect to such Certificates, an "Interest
Accrual Period"). Interest on the Offered Certificates (other than the Class
A-2 Certificates) will be calculated on the basis of a 360-day year
consisting of twelve 30-day months. Interest on the Class A-2 Certificates
will be calculated on the basis of the actual number of days in the related
Interest Accrual Period and a year assumed to consist of 360 days.
Each Class of Offered Certificates will accrue interest on its outstanding
Certificate Principal Amount immediately preceding the Distribution Date on
which such interest will be paid, at the respective rate per annum set forth
or described below.
GROUP 1 CERTIFICATES
On each Distribution Date, the Holders of the Group 1 Certificates are
entitled to receive (subject to allocations of Realized Losses of interest,
Deferred Interest, and Appraisal Subordinate Entitlement Reduction
Capitalization Amounts) from the Group 1 Interest Distribution Amount,
interest accrued during the related Interest Accrual Period on the
outstanding related Certificate Principal Amount of such Certificates,
respectively, immediately preceding such Distribution Date at the rate of
6.90% per annum, in the case of the Class A-1A Certificates, at the rate of
6.89% per annum, in the case of the Class A-1B Certificates, at the rate of
7.00% per annum, in the case of each of the Class B, Class C and Class D
Certificates, and at a rate equal to the weighted average Net Mortgage
Interest Rate of the Group 1 Mortgage Loans, in the case of each of the Class
E, Class F, Class G and Class H Certificates. The weighted average Net
Mortgage Interest Rate of the Group 1 Mortgage Loans for any Interest Accrual
Period is the weighted average (by Scheduled Principal Balance) of the Net
Mortgage Interest Rates of the Group 1 Mortgage Loans, calculated in the case
of each Mortgage Loan, as of the beginning of the Mortgage Loan Due Period
ending in the Due Period related to a Distribution Date (but not including
any additional interest paid in the event of a default on a Mortgage Loan or,
with respect to any step rate Mortgage Loan, any increase in the Mortgage
Interest Rate after the Closing Date).
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GROUP 2 CERTIFICATES
On the initial Distribution Date, the Holders of the Class A-2
Certificates are entitled to receive, from the Group 2 Interest Distribution
Amount, interest accrued during the initial Interest Accrual Period on the
outstanding Certificate Principal Amount thereof immediately prior to such
Distribution Date at a per annum rate equal to 6.3625%. On each Distribution
Date after the initial Distribution Date, Holders of the Class A-2
Certificates are entitled to receive, from the Group 2 Interest Distribution
Amount, interest accrued during the related Interest Accrual Period on the
outstanding Certificate Principal Amount of such Class immediately prior to
such Distribution Date at a per annum rate equal to LIBOR (calculated as
described below in "-- Determination of LIBOR") plus 0.55% (the "Class A-2
Rate"), subject to the Available Funds Cap. The "Available Funds Cap" means
for any Distribution Date, a rate equal to the quotient of (a) an amount
equal to the sum of (i) interest accrued for the related Due Period on all of
the Mortgage Loans and (ii) the amount described in clause (iv) of the
definition of Group 2 Interest Distribution Amount, minus interest accrued on
all outstanding Classes of Group 1 Certificates for the Interest Accrual
Period related to such Distribution Date, and (b) the outstanding Certificate
Principal Amount of the Class A-2 Certificates as of the close of the
preceding Distribution Date. The "Group 2 Interest Distribution Amount" will
equal the sum of (i) the portion of the Available Distribution Amount for the
Group 2 Mortgage Loans allocable to interest for such Distribution Date, (ii)
the Group 1 Excess Interest for the related Distribution Date, (iii) any
Crossover Interest Amounts from Mortgage Loan Group 1 and (iv) an amount
equal to the Group 2 Excess Principal Percentage of the amounts collected in
respect of principal that are included in the Group 2 Available Distribution
Amount for such Distribution Date. The "Group 2 Excess Principal Percentage"
will equal a fraction, expressed as a percentage, (x) the numerator of which
is the Group 2 Excess Principal Amount outstanding immediately prior to the
related Distribution Date and (y) the denominator of which is the aggregate
Scheduled Principal Balance of the Group 2 Mortgage Loans immediately prior
to the related Distribution Date. The "Group 2 Excess Principal Amount"
means, as of any Distribution Date, the excess, if any, of the aggregate
Scheduled Principal Balance of the Group 2 Mortgage Loans over the aggregate
Certificate Principal Amount of the Class A-2 Certificates.
DETERMINATION OF LIBOR
LIBOR for the first Interest Accrual Period shall be 5.8125% per annum. On
the second LIBOR Business Day prior to the first day of each Interest Accrual
Period (the "LIBOR Determination Date") for the Class A-2 Certificates, the
Trustee shall determine LIBOR by obtaining the quoted offered rate for
one-month United States dollar deposits with leading banks in the London
interbank market that appears as of 11:00 a.m. (London time) on the display
page designated as page 3750 on the Telerate monitor (or such other page or
service as shall replace it for the purposes of displaying London interbank
offered rates of major banks for U.S. dollar deposits). "Telerate" means the
Associated Press-Dow Jones Telerate Service. The term "LIBOR Business Day"
means a day upon which United States dollar deposits may be dealt in on the
London and the New York City interbank markets and commercial banks and
foreign exchange markets are open in London and New York City.
If on any LIBOR Determination Date, no quotation is given on Telerate
screen page 3750 (or such other page or service as may replace it for the
purpose of displaying London interbank offered rates of major banks for U.S.
dollar deposits), then the Trustee shall establish LIBOR on such LIBOR
Determination Date by requesting each of the designated Reference Banks
meeting the criteria set forth in the Trust Agreement to provide the
quotation offered by its principal London office for making one-month United
States dollar deposits with leading banks in the London interbank market as
of 11:00 a.m., London time, on such LIBOR Determination Date.
(i) If two or more Reference Banks provide such offered quotations,
then LIBOR for the next Interest Accrual Period shall be the arithmetic
mean of such offered quotations (rounded upward if necessary to the
nearest whole multiple of 1/10,000%).
(ii) If only one or none of the Reference Banks provides such offered
quotations, then LIBOR for the next Interest Accrual Period shall be the
Reserve Rate (as defined below).
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(iii) If on any LIBOR Determination Date the Trustee is required but
unable to determine LIBOR in the manner provided in paragraphs (i) and
(ii) above, LIBOR for the next Interest Accrual Period for such
Certificates shall be LIBOR as determined on the previous LIBOR
Determination Date, or in the case of the first LIBOR Determination Date,
5.8125%.
The "Reserve Rate" shall be the rate per annum which the Trustee
determines to be either (i) the arithmetic mean (rounded upward if necessary
to the nearest whole multiple of 1/10,000%) of the one-month United States
dollar lending rates that New York City banks selected by the Trustee are
quoting, on the relevant LIBOR Determination Date, to the principal London
offices of at least two of the Reference Banks to which such quotations are,
in the opinion of the Trustee, being so made, or (ii) in the event that the
Trustee can determine no such arithmetic mean, the lowest one-month United
States dollar lending rate which New York City banks selected by the Trustee
are quoting on such LIBOR Determination Date to leading European banks.
Each "Reference Bank" (i) shall be a leading bank engaged in transactions
in Eurodollar deposits in the international Eurocurrency market and (ii)
shall have an established place of business in London. If any of the
Reference Banks should fail to meet the qualifications of a Reference Bank,
the Trustee may designate alternative Reference Banks meeting the criteria
specified above. Initially, the Reference Banks shall be Bank of Tokyo Ltd.,
Barclay's Bank plc, National Westminster Bank plc and Bankers Trust Company.
The establishment of LIBOR on each LIBOR Determination Date by the Trustee
and its calculation of the rate of interest applicable to the Class A-2
Certificates for the related Interest Accrual Period will (in the absence of
manifest error) be final and binding. Each such rate of interest may be
obtained by telephoning the Trustee.
DEFERRED INTEREST
Deferred Interest, if any, on the underlying Mortgage Loans in each
Mortgage Loan Group will be added to the Scheduled Principal Balances of the
related Mortgage Loans. On each Distribution Date on which the Group 2
Interest Distribution Amount is insufficient to pay interest accrued on the
Class A-2 Certificates as a result of Deferred Interest on Group 2 Mortgage
Loans, an amount up to the aggregate Deferred Interest accrued on the Group 2
Mortgage Loans during the related Mortgage Loan Due Period will be added to
the outstanding Certificate Principal Amount of the Class A-2 Certificates to
the extent of the interest accrued thereon and not currently paid.
As of the Cut-Off Date, none of the fixed rate or step rate Group 1
Mortgage Loans provided for negative amortization, and accordingly, Deferred
Interest will not arise on such Mortgage Loans unless one or more of the
Group 1 Mortgage Loans are modified in such a manner as to allow for negative
amortization. Approximately 5.0% of the Group 1 Mortgage Loans by aggregate
principal balance as of the Cut-Off Date are adjustable rate Mortgage Loans
that by their terms provide for Payment Adjustment Caps that under certain
circumstances could cause negative amortization. On each Distribution Date on
which the Group 1 Interest Distribution Amount (reduced by Group 1 Excess
Interest) is insufficient to pay interest accrued on the Class A-1A, Class
A-1B and Subordinate Certificates, as the case may be, as a result of
Deferred Interest on the Group 1 Mortgage Loans, an amount up to the
aggregate Deferred Interest accrued on the Group 1 Mortgage Loans during the
related Mortgage Loan Due Periods will be added to the outstanding
Certificate Principal Amount of the Class H, Class G, Class F, Class E, Class
D, Class C and the Class B Certificates, in that order, and then to the
outstanding Certificate Principal Amount of the Class A-1A and A-1B
Certificates, pro rata, to the extent of the interest accrued thereon and not
either currently paid or reduced by Realized Losses of interest.
APPRAISAL SUBORDINATE ENTITLEMENT REDUCTIONS
Contemporaneously with the earliest of (i) 120 days (30 days in the case
of a Modified Mortgage Loan (as defined below)) after the occurrence of any
delinquency in payment with respect to a Mortgage Loan if such delinquency
remains uncured, (ii) the date 12 months after a receiver is appointed in
respect of such Mortgaged Property and (iii) the date a Mortgaged Property
becomes a REO Property, an
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appraisal of the related Mortgaged Property or REO Property, as the case may
be, will be obtained from an independent MAI appraiser (if such Scheduled
Principal Balance exceeds $1,000,000) or an internal valuation will be
performed (if such Scheduled Principal Balance is less than or equal to
$1,000,000). As a result of such appraisal or internal valuation, as the case
may be, an "Appraisal Subordinate Entitlement Reduction" may be created. The
Appraisal Subordinate Entitlement Reduction for any Mortgage Loan will equal
the excess, if any, of (a) the sum, as of the beginning of the Due Period in
which the appraisal or internal valuation is obtained, of (i) the Scheduled
Principal Balance of such Mortgage Loan or the related REO Mortgage Loan, as
the case may be, as of the related Determination Date, (ii) to the extent not
previously advanced by the Servicer, the Trustee or the Fiscal Agent, all
unpaid interest on such Mortgage Loan at a per annum rate equal to the
Mortgage Interest Rate, (iii) all unreimbursed Advances and interest thereon
in respect of such Mortgage Loan and (iv) all currently due and unpaid real
estate taxes and assessments, insurance premiums, and, if applicable, ground
rents in respect of such Mortgaged Property or REO Property, as the case may
be, over (b) 90% of the appraised value of such Mortgaged Property or REO
Property as determined by such appraisal or internal valuation, as the case
may be. However, if the Scheduled Principal Balance of the related Mortgage
Loan is less than or equal to $1,000,000, the Appraisal Subordinate
Entitlement Reduction will equal the greater of (a) the amount calculated in
the immediately preceding sentence and (b) 25% of such Scheduled Principal
Balance. An Appraisal Subordinate Entitlement Reduction related to a Mortgage
Loan will be reduced to zero as of the date such Mortgage Loan is paid in
full, liquidated, repurchased or otherwise disposed of, or in certain other
circumstances.
The aggregate Appraisal Subordinate Entitlement Reduction will be
allocated on each Distribution Date, for purposes of determining
distributions in respect of interest on such Distribution Date, to the
Certificate Principal Amount of the Class H, Class G, Class F and Class E
Certificates, in that order, after allocation of Realized Losses of interest
and Interest Shortfalls. For so long as any more senior Class of Certificates
is outstanding, the amount of interest otherwise required to be distributed
on such Distribution Date to each Class of Certificates to which an Appraisal
Subordinate Entitlement Reduction is allocated on such Distribution Date will
be reduced by the amount of interest accrued on the portion of the
Certificate Principal Amount of such Class equal to the Appraisal Subordinate
Entitlement Reductions allocated to such Class or Classes for such
Distribution Date, and such amount (the "Appraisal Subordinate Entitlement
Reduction Capitalization Amount") will be added to the Certificate Principal
Amount of such Class of Certificates for such Distribution Date.
Notwithstanding the foregoing, the portion of the Appraisal Subordinate
Entitlement Reduction Capitalization Amount added to the Certificate
Principal Amount of a Class of Certificates will be reduced, and interest
paid currently, to the extent that such amount can be paid out of the portion
of the Group 1 and Group 2 Interest Distribution Amounts that otherwise would
be available for distribution to the Class R Certificateholders.
"Modified Mortgage Loan" means any Specially Serviced Mortgage Loan which
was modified by the Special Servicer.
NET PREPAYMENT INTEREST SHORTFALLS
A significant portion of the Mortgage Loans may be prepaid without
penalty. If the Mortgagor makes a Principal Prepayment or a Balloon Payment
prior to the Due Date for such Mortgage Loan in any Due Period, a shortfall
in the interest from such prepaid Mortgage Loan available to make payments to
Certificateholders will result (a "Prepayment Interest Shortfall"). In any
other case in which a full or partial Principal Prepayment or a Balloon
Payment is made during any Prepayment Period after the Due Date for such
Mortgage Loan an "Excess Prepayment Interest" will arise. To the extent that
aggregate Prepayment Interest Shortfalls for all Mortgage Loans for any
Prepayment Period exceed Excess Prepayment Interest for such Mortgage Loans
as of any Distribution Date ("Net Prepayment Interest Shortfall"), such
shortfall will generally be covered from the portion of the related Available
Distribution Amount allocable to interest.
EXCESS INTEREST
"Group 1 Excess Interest" for any Distribution Date is the amount, if any,
by which the Group 1 Interest Distribution Amount exceeds (a) the aggregate
amount of interest accrued on the Class A-1A,
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Class A-1B, Class B, Class C, Class D, Class E, Class F, Class G and Class H
Certificates during the Interest Accrual Period relating to such Distribution
Date minus (b) (i) Realized Losses of interest realized during the related
Prepayment Period, (ii) Deferred Interest accrued for the related Due Period
on the Group 1 Mortgage Loans and (iii) the Appraisal Subordinate Entitlement
Reduction Capitalization Amount for the related Due Period.
As described herein, the Group 1 Excess Interest is included in the
calculation of the Group 2 Interest Distribution Amount.
"Group 2 Excess Interest" for any Distribution Date generally is the
amount, if any, by which the Group 2 Interest Distribution Amount (including
Group 1 Excess Interest) exceeds the sum of (i) the aggregate amount of
interest accrued on the Group 2 Certificates during the Interest Accrual
Period relating to such Distribution Date and (ii) the Crossover Interest
Amounts transferred to the Group 1 Interest Distribution Amount for such
Distribution Date. There can be no assurance that any Group 2 Excess Interest
will actually accrue or be realized in respect of any Distribution Date.
Group 2 Excess Interest, if any, generally will be transferred to the
Group 1 Interest Distribution Amount and used, if necessary, to pay interest
on the Group 1 Certificates (including (i) to reduce the extent to which
interest accrued on the Group 1 Certificates is not paid currently but added
to the Certificate Principal Amount thereof as a result of Deferred Interest
on the Group 1 Mortgage Loans or Appraisal Subordinate Entitlement Reduction
Capitalization Amounts and (ii) to reimburse Realized Losses of interest
incurred during the related Prepayment Period and Interest Shortfalls), or
paid to the Holders of the Class R Certificates.
DISTRIBUTIONS OF PRINCIPAL
On each Distribution Date, the related Principal Distribution Amount and
in the case of the Group 1 Certificates, the Appraisal Subordinate
Entitlement Reduction Capitalization Amount will be distributed to the
Holders of Certificates related to such Mortgage Loan Group as described
below.
Following payment in full of the Class A-2 Certificates, the Group 2
Available Distribution Amount will be included in the Group 1 Available
Distribution Amount. Any Available Distribution Amount remaining after the
Certificate Principal Amount of each Class of Certificates has been reduced
to zero will be distributed to the Holders of the Class R Certificates.
Principal distributed to a Class will be paid to the Holders of the
Certificates of such Class pro rata in the proportion that the aggregate
Certificate Principal Amount of each Certificate of such Class bears to the
aggregate Certificate Principal Amount of all Certificates of such Class.
GROUP 1 PRINCIPAL DISTRIBUTION AMOUNT
The amounts collected in respect of principal that are included in the
Group 1 Available Distribution Amount (the "Group 1 Principal Distribution
Amount") and an amount equal to the Appraisal Subordinate Entitlement
Reduction Capitalization Amount, if any, in the latter case to the extent of
the Group 1 Interest Distribution Amount remaining after payments of interest
required to be made on the Group 1 Certificates, net of (i) allocations of
Realized Losses of interest, Deferred Interest, and Appraisal Subordinate
Entitlement Reduction Capitalization Amounts and (ii) transfers to the Group
2 Interest Distribution Amount of Crossover Interest Amounts, will be
distributed in the following order of priority:
(i) to the Holders of the Class A-1A Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
(ii) then, to the Holders of the Class A-1B Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
and
(iii) then, unless otherwise provided below, to the Holders of the
Class B, Class C, Class D, Class E, Class F, Class G and Class H
Certificates, in that order, until the outstanding Certificate Principal
Amount of each such Class has been reduced to zero.
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CROSSOVER PRINCIPAL AMOUNTS
In the event that Realized Losses of principal have occurred in Mortgage
Loan Group 2 and have been allocated to the Class H, Class G, Class F, Class
E, Class D, Class C or Class B Certificates, prior to making distributions of
amounts collected in respect of principal from the Group 1 Mortgage Loans to
the Holders of the Subordinate Certificates pursuant to clause (iii) of the
immediately preceding paragraph, such principal collections will be included
in the Group 2 Principal Distribution Amount for distribution to the Holders
of the Class A-2 Certificates, until an amount of principal from the Group 1
Mortgage Loans equivalent to such Realized Losses of principal has been
distributed to the Holders of all outstanding Class A-2 Certificates. Such
amounts, together with collections of principal on the Group 1 Mortgage Loans
that are transferred to the Group 2 Principal Distribution Amount pursuant to
the Subordination Test described below, together constitute "Crossover
Principal Amounts." Following payment in full of the Class A-2 Certificates,
the Group 2 Principal Distribution Amount will be transferred (i) to the
Group 1 Principal Distribution Amount to the extent of prior Crossover
Principal Amounts resulting from the Subordination Test and (ii) to the Group
1 Interest Distribution Amount, to the extent of the Group 2 Excess Principal
Amount.
SUBORDINATION TEST
Distributions from the Group 1 Principal Distribution Amount to the
Holders of the Subordinate Certificates pursuant to clause (iii) in the
second preceding paragraph will not be made to the Subordinate Certificates
at any time when the Class A-2 Certificates are outstanding to the extent
that, after making such distributions, either:
(i) the sum of (a) the aggregate Certificate Principal Amount of the
Subordinate Certificates and (b) the Group 2 Excess Principal Amount would
be less than two times the aggregate of the outstanding Certificate
Principal Amount of the Class A-2 Certificates (after giving effect to any
distributions on such Distribution Date to the Holders of the Class A-2
Certificates from the Group 2 Principal Distribution Amount), or
(ii) (a) the principal balance of the Group 2 Mortgage Loans as to
which any payments are 60 days or more delinquent, as a percentage of the
aggregate outstanding principal balance of such Mortgage Loans, exceeds
10% and (b) the sum of (x) the aggregate Certificate Principal Amount of
the Subordinate Certificates and (y) the Group 2 Excess Principal Amount
would be less than $15 million (provided, however, that such $15 million
amount shall only apply if there are more than five Group 1 Mortgage Loans
outstanding, otherwise such amount shall be $10 million).
The foregoing tests are referred to herein collectively as the
"Subordination Test." Distributions of amounts collected in respect of
principal that would have been made to the holders of Subordinate
Certificates but for the limitation set forth in the preceding two paragraphs
instead will be added to the Group 2 Principal Distribution Amount, for
distribution to the Holders of the Class A-2 Certificates (as described
below) until the Subordination Test is passed. The Holders of the Subordinate
Certificates will be entitled to Crossover Principal Amounts representing a
portion of the collections of amounts attributable to principal on the
Mortgage Loans in Mortgage Loan Group 2 after the Class A-2 Certificates have
been retired. Such distributions will be made to the holders of the Class B,
Class C, Class D, Class E, Class F, Class G and Class H Certificates, in that
order, until the Certificate Principal Amount of each such Class has been
reduced to zero.
GROUP 2 PRINCIPAL DISTRIBUTION AMOUNT
The "Group 2 Principal Distribution Amount" includes amounts collected in
respect of principal that are included in the Group 2 Available Distribution
Amount (except for the principal portion of the Group 2 Available
Distribution Amount included in the Group 2 Interest Distribution Amount) and
may include certain Crossover Principal Amounts from Mortgage Loan Group 1 if
Realized Losses of principal have occurred in Mortgage Loan Group 2 or if the
Subordination Test is not satisfied.
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The Group 2 Principal Distribution Amount will be distributed to the
Holders of the Class A-2 Certificates, until the outstanding Certificate
Principal Amount of such Class has been reduced to zero and thereafter
transferred to the Group 1 Principal Distribution Amount.
SUBORDINATION; ALLOCATION OF LOSSES AND CERTAIN EXPENSES
The rights of Holders of the Class B, Class C, Class D Certificates and
each Class of the Non-Offered Certificates (collectively, the "Subordinate
Certificates") to receive distributions of amounts collected or advanced on
the Mortgage Loans will be subordinated, to the extent described herein, to
the rights of Holders of the Senior Certificates, and to the rights of the
Holders of each other such Class of Subordinate Certificates with an earlier
alphabetical Class designation. This subordination is intended to enhance the
likelihood of timely receipt by the Holders of the Senior Certificates of the
full amount of all interest payable in respect of the Senior Certificates on
each Distribution Date, and the ultimate receipt by the Holders of the Senior
Certificates of principal in an amount equal to the entire Certificate
Principal Amount of the Senior Certificates. Similarly, but to decreasing
degrees, this subordination is also intended to enhance the likelihood of
timely receipt by the Holders of the Class B, Class C and Class D
Certificates of the full amount of interest payable in respect of such
Classes of Certificates on each Distribution Date, and the ultimate receipt
by the Holders of the Class B, Class C and Class D Certificates of principal
equal to, in each case, the entire Certificate Principal Amount of such Class
of Certificates. The protection afforded to the Holders of the Class D
Certificates by means of the subordination of the Non-Offered Certificates,
to the Holders of the Class C Certificates by means of the subordination of
the Class D and the Non-Offered Certificates, to the Holders of the Class B
Certificates by means of the subordination of the Class C, the Class D and
the Non-Offered Certificates, and to the Holders of the Senior and Class R
Certificates by means of the subordination of the Subordinate Certificates,
will be accomplished by the application of the Available Distribution Amount
on each Distribution Date in accordance with the order of priority described
under "-- Distributions of Interest" and "-- Distributions of Principal"
above. No other form of credit support will be available for the benefit of
the Holders of the Offered Certificates.
Allocation to the Senior Certificates, for so long as they are
outstanding, of the entire Principal Distribution Amount for each
Distribution Date will have the effect of reducing the Certificate Principal
Amount of these Classes at a faster rate than the aggregate Scheduled
Principal Balance of the Mortgage Pool. Thus, as principal is distributed to
the Holders of the Senior Certificates, the percentage interest in the Trust
Fund evidenced by the Senior Certificates will be decreased (with a
corresponding increase in the percentage interest in the Trust Fund evidenced
by the Subordinate Certificates), thereby increasing, relative to their
respective Certificate Principal Amounts, the subordination afforded the
Senior Certificates by the Subordinate Certificates. Following retirement of
the Senior Certificates, the herein described successive allocation to the
Class B, Class C and Class D Certificates, in that order, in each case for so
long as they are outstanding, of the entire Principal Distribution Amount for
each Distribution Date will provide a similar benefit to each such Class of
Certificates as regards the relative amount of subordination afforded thereto
by the other Classes of Certificates with later alphabetical Class
designations.
Realized Losses, certain Additional Trust Fund Expenses and Interest
Shortfalls (but not Net Prepayment Interest Shortfalls) on the Group 1
Mortgage Loans will be allocated (separately in the case of losses of
principal and losses of interest), to the extent that such amounts exceed the
excess, if any, of the Scheduled Principal Balance of the Group 1 Mortgage
Loans over the aggregate Certificate Principal Amount of the Group 1
Certificates (the "Group 1 Excess Principal Amount"), if any, to reduce the
Certificate Principal Amount, or the interest payable to, the Class H, Class
G, Class F, Class E, Class D, Class C and Class B Certificates, in that
order, until the Certificate Principal Amount of (or accrued interest payable
to) each such Class has been reduced to zero. Any remaining Realized Losses
of principal and interest and Interest Shortfalls on Mortgage Loans and
Additional Trust Fund Expenses in Mortgage Loan Group 1 will be allocated to
the Class A-1A and Class A-1B Certificates (pro rata, based on the then
outstanding Certificate Principal Amounts of the Class A-1A and Class A-1B
Certificates to the extent of the remaining Certificate Principal Amount
thereof, if any, and, in the case of Realized Losses of interest and Interest
Shortfalls, based on the interest otherwise payable on the Class A-1A and
Class A-1B Certificates). Realized Losses (x) of principal and certain
Additional Trust Fund Expenses on Group 2
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Mortgage Loans that exceed the Group 2 Excess Principal Amount and the Group
1 Excess Principal Amount, and (y) of interest and Interest Shortfalls will
be allocated (separately in the case of losses of principal and losses of
interest) to the Class H, Class G, Class F, Class E, Class D, Class C and
Class B Certificates, in that order, until the Certificate Principal Amount
of each such Class has been reduced to zero (and, in the case of Realized
Losses of interest, to the extent of interest accrued for the related Due
Period on each such Class). Any remaining Realized Losses, Additional Trust
Fund Expenses and Interest Shortfalls on Group 2 Mortgage Loans will be
allocated to the Class A-2 Certificates.
"Realized Losses" are losses arising from the inability to collect all
amounts due and owing under any defaulted Mortgage Loan, including by reason
of fraud or bankruptcy of the Borrower or a casualty of any nature at the
related Mortgaged Property, to the extent not covered by insurance. Realized
Losses in respect of a liquidated Mortgage Loan (or final liquidation of the
related REO Property) is an amount generally equal to the excess, if any, of
(a) the outstanding principal balance of such Mortgage Loan as of the date of
liquidation, together with (i) all accrued and unpaid interest thereon at the
related Mortgage Interest Rate in effect from time to time but not including
the Due Date in the Due Period in which the liquidation occurred (exclusive,
in the case of the Mortgage Loans that permit negative amortization, of any
portion of such interest that has been added to its principal balance) and
(ii) certain related unreimbursed servicing expenses, over (b) the aggregate
amount of net Liquidation Proceeds, if any, recovered in connection with such
liquidation. If any portion of the debt due under a Mortgage Loan is
forgiven, whether in connection with a modification, waiver or amendment
granted or agreed to by the Special Servicer or in connection with the
bankruptcy or similar proceeding involving the related Borrower, the amount
so forgiven also will be treated as a Realized Loss. Realized Losses on a
Mortgage Loan (including the mortgage loan underlying the Senior
Participation to the extent allocated to the Senior Participation) will be
allocated first to the principal balance of that Mortgage Loan, and then to
interest.
"Additional Trust Fund Expenses" generally include certain expenses with
respect to delinquent or defaulted Mortgage Loans that thereafter become
current.
ADVANCES
With respect to all Mortgage Loans, the Servicer, the Trustee and the
Fiscal Agent will be obligated to make P&I Advances and Servicing Advances
(as described below and in the respective agreements) in accordance with the
provisions set forth in the Trust Agreement.
The Servicer, subject to the limitations described herein, and the
Trustee, if the Servicer fails to make an Advance required to be made, or the
Fiscal Agent, if both the Servicer and the Trustee fail to make an Advance
required to be made, will be obligated to make cash advances ("P&I
Advances"), of (i) delinquent Scheduled Payments; (ii) in the case of Balloon
Mortgage Loans for which the Balloon Payment has not been made at maturity
and REO Property, an amount equal to the excess, if any, of the Balloon
Payment for such Balloon Mortgage Loan over late collections received in
respect of such Balloon Payment during such Collection Period; and (iii) with
respect to REO Property, the excess of the Assumed Scheduled Payment for such
REO Property for the related Mortgage Loan Due Period over the net income
received with respect to such REO Property during such Mortgage Loan Due
Period and applied to amounts due on the related Mortgage Loan.
The Servicer, subject to the limitations described herein, and the
Trustee, if the Servicer fails to make an Advance required to be made, or the
Fiscal Agent, if both the Servicer and the Trustee fail to make an Advance
required to be made, will also be obligated to make certain advances with
respect to any Mortgaged Property to the extent necessary to pay taxes and
insurance premiums that the Borrower failed to pay and for certain other
Servicing Advances ("Servicing Advances," and together with P&I Advances,
"Advances").
The Servicer, the Trustee and the Fiscal Agent will not be obligated to
make any such Advances to the extent that such Advances, in the reasonable
business judgment of the Servicer, the Trustee or the Fiscal Agent
(depending, in part, upon which party is making the Advance), are ultimately
not recoverable from future payments and collections on, and Insurance
Proceeds, Condemnation Proceeds
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and net Liquidation Proceeds from, the related Mortgage Loan and REO
Property. Any determination of non-recoverability by the Servicer, the
Trustee or the Fiscal Agent shall be supported by analysis by the Servicer,
the Trustee or the Fiscal Agent, as appropriate, of the possibility for
repayment of such Advance giving full consideration to the cash flow
generated by and the value of the related Mortgaged Property. To the extent
such proceeds are not available in an amount sufficient to reimburse such
Advances and interest accrued thereon, the Servicer, the Trustee and the
Fiscal Agent, as applicable, may be reimbursed from collections with respect
to other Mortgage Loans. However, certain Servicing Advances with respect to
the Mortgage Loan underlying the Senior Participation may only be reimbursed
from proceeds of the related Mortgage Loan.
The Servicer, the Trustee and the Fiscal Agent are each entitled to
interest on the aggregate principal amount of Advances with respect to a
Mortgage Loan. Interest will accrue on all such Advances at a per annum rate
equal to the "Prime Rate" (as published in the "Money Rates" section of The
Wall Street Journal or such other publication as determined by the Trustee in
its reasonable discretion) until repaid and will be payable out of the
applicable Collection Account (except in the case of Servicing Advances on
the Senior Participation, which may only be reimbursed from the applicable
Collection Account and proceeds of the related Mortgage Loan). Pursuant to
the terms of the Trust Agreement, with respect to Advances made on all
Mortgage Loans, the Trustee or the Fiscal Agent, as appropriate, each will be
entitled to recover all of its Advances (and interest accrued thereon) before
the Servicer is entitled to recover any of its aggregate Advances (and
interest accrued thereon).
To the extent that (i) the Servicer, the Trustee or the Fiscal Agent is
entitled to interest on Advances or (ii) the Special Servicer is otherwise
entitled to supplemental workout, disposition, or other fees as described
above, Realized Losses may result. Such Realized Losses will be allocated to
Certificateholders as described under "-- Subordination; Allocation of Losses
and Certain Expenses" herein.
REPORTS TO CERTIFICATEHOLDERS; AVAILABLE INFORMATION
TRUSTEE REPORTS
Based on information provided in monthly reports prepared by the Servicer
and the Special Servicer and delivered to the Trustee, the Trustee will
prepare and forward on each Distribution Date to each Certificateholder, the
Depositor, the Servicer, the Special Servicer and each Rating Agency:
1. A statement setting forth, to the extent applicable: (i) the amount, if
any, of such distributions to the Holders of each Class of Offered
Certificates applied to reduce the respective Certificate Principal Amounts
thereof; (ii) the amount of such distribution to Holders of each Class of
Offered Certificates allocable to interest accrued at the respective
Pass-Through Rates less any Net Prepayment Interest Shortfalls; (iii) the
amount of Deferred Interest allocated to such Class; (iv) the number of
outstanding Mortgage Loans and the aggregate Scheduled Principal Balance of
the Mortgage Loans in each Mortgage Loan Group at the close of business on
such Distribution Date, identifying the total amount of any Deferred
Interest; (v) the number and aggregate principal balance of Mortgage Loans in
each Mortgage Loan Group (a) delinquent one month, (b) delinquent two or more
months or (c) as to which foreclosure proceedings have been commenced; (vi)
with respect to any Mortgage Loan that became a REO Mortgage Loan during the
preceding calendar month, the Scheduled Principal Balance of such Mortgage
Loan as of the date it became a REO Mortgage Loan; (vii) as of the related
Determination Date (a) the book value of any REO Property, (b) as to any REO
Property sold during the related Due Period, the date of the related
determination by the Special Servicer that it has recovered all payments
which it expects to be finally recoverable (the "Final Recovery
Determination") and the amount of the proceeds of such sale deposited into
the Collection Account, and (c) the aggregate amount of other revenues
collected by the Special Servicer with respect to each REO Property during
the related Due Period and credited to the Collection Account, in each case
identifying such REO Property by the loan number of the related Mortgage
Loan; (viii) the aggregate Certificate Principal Amount of each Class of
Offered Certificates before and after giving effect to the distribution made
on such Distribution Date, separately identifying any increase in the
Certificate Principal Amount of each such Class of Certificates due to
Deferred Interest; (ix) the Pass-Through Rate applicable to each Class of
Offered Certificates for such
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Distribution Date; (x) the aggregate amount of servicing fees retained by or
paid to the Servicer and the Special Servicer; (xi) the amount of Interest
Shortfalls, Realized Losses or Additional Trust Fund Expenses, if any,
incurred with respect to the Mortgage Loans in each Mortgage Loan Group;
(xii) the aggregate amount of Servicing Advances and P&I Advances outstanding
which have been made by the Servicer, the Trustee and the Fiscal Agent; and
(xiii) the amount of any Appraisal Subordinate Entitlement Reductions
effected during the related Due Period and the total Appraisal Subordinate
Entitlement Reduction Capitalization Amounts as of such Distribution Date on
a loan-by-loan basis. In the case of information furnished pursuant to
subclauses (i), (ii) and (xi) above, the amounts shall be expressed as a
dollar amount in the aggregate for all Certificates of each applicable Class
and per $1,000 denomination.
2. A report containing information regarding the Mortgage Loans as of the
end of the related Due Period and Prepayment Period, which report shall
contain substantially the following categories of information regarding the
Mortgage Loans set forth in this Prospectus Supplement under the caption "THE
TRUST -- Description of the Mortgage Pool" and such information shall be
presented in a tabular format substantially similar to the format utilized in
this Prospectus Supplement under such caption and a loan-by-loan listing (in
descending balance order by Mortgage Loan Group) showing loan name, property
type, location, unpaid principal balance, interest rate, paid through date,
and maturity date.
Certain information made available on the statements referred to in item 1
above may be accessed by calling LaSalle National Bank's ASAP System at (312)
904-2200 and requesting statement number 161 or such other mechanism that the
Trustee may have in place from time to time.
On an annual basis, the Servicer shall deliver to the Trustee, who will
deliver such report to Certificateholders, the Depositor, the Special
Servicer and the Rating Agencies a report setting forth the Debt Service
Coverage Ratio (and the calculation thereof) with respect to each Mortgage
Loan for which the Servicer obtains operating statements.
PORTFOLIO PERFORMANCE REPORTS
On or about the third Business Day preceding the tenth day of each month,
commencing no later than April 1996, the Servicer will prepare a "Portfolio
Performance Report" with respect to the Mortgage Loans and deliver each such
report to the Trustee and the Rating Agencies. Upon request, the Trustee will
make such report available to the current Certificateholders, the Special
Servicer, and the Depositor. Such report will be prepared in part based on
information provided to the Servicer each month by the Special Servicer with
respect to Specially Serviced Mortgage Loans. Such report will set forth
detailed information with respect to the delinquency status of the Mortgage
Loans in each Mortgage Loan Group and for the aggregate of all Mortgage
Loans, including, among other things, the following: (i) number of days
delinquent (ranging from less than one month to over two years) and causes of
servicing transfers, (ii) delinquency status by state, including the five
states with the largest delinquency concentrations, (iii) delinquency status
by property type, (iv) delinquency status by state and property type, (v)
Mortgage Loans returned to the Servicer, with and without modifications, (vi)
Mortgage Loans liquidated, including by payment in full, discounted pay-off,
sale of the Mortgage Loan, repurchase for breach of representations and
warranties and sale of REO Property and (vii) REO Property by state and
property type.
COMPARATIVE FINANCIAL STATUS REPORTS; OPERATING STATEMENT ANALYSIS
The Servicer also will prepare (i) a "Comparative Financial Status Report"
setting forth the occupancy, revenue, net operating income and debt service
coverage ratio for each Mortgage Loan for each of four periods: the current
year-to-date, the previous two full years, and the "basis year" (representing
the original underwriting information), and (ii) an "Operating Statement
Analysis" including a description of the property, the occupancy rate, the
average rental rate, the effective gross income, the individual and total
operating expenses, the operating expense ratio, net operating income,
capital expenditures, debt service and debt service coverage ratio. The full
year net operating income and debt service coverage figures in the
Comparative Financial Status Report will be normalized following the
methodology described in the Servicing Agreement. The Servicer will deliver
each of the foregoing
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reports to the Trustee and the Rating Agencies on or about the third Business
Day preceding the tenth day of each month, commencing no later than April
1996. Upon request, the Trustee will make such reports available to the
Certificateholders, the Special Servicer and the Depositor.
SPECIAL SERVICER REPORTS
With respect to each Determination Date, the Special Servicer shall
prepare the following reports with respect to Specially Serviced Mortgage
Loans (collectively, the "Special Servicer Reports"): (i) a report showing
loan by loan detail on each Specially Serviced Mortgage Loan which is 30 days
delinquent, 60 days delinquent, 90 days delinquent, current but specially
serviced or REO Property, (ii) a REO status report for each REO Property,
(iii) a modification report showing loan-by-loan detail for each modification
closed during the most recent reporting period or since the formation of the
Trust and (iv) a historical liquidation loss information report including a
listing of the aggregate amount of Liquidation Proceeds and Liquidation
Expenses. The Special Servicer Reports will be delivered to the Trustee, the
Servicer and the Depositor, and the Trustee will distribute such reports to
the Certificateholders.
OTHER INFORMATION
The Trust Agreement requires that the Servicer make available at its
offices primarily responsible for servicing the Mortgage Loans, during normal
business hours, for review by any Holder of an Offered Certificate or any
other Person to whom the Depositor believes such disclosure is appropriate,
originals or copies of, among other things, the following items (except to
the extent not permitted by applicable law or under any of the Mortgage Loan
documents): (i) the Trust Agreement and any amendments thereto, (ii) all
Distribution Date Statements delivered to Holders of the relevant Class of
Offered Certificates since the Closing Date, (iii) all officers' certificates
delivered to the Trustee since the Closing Date, (iv) all accountants'
reports delivered to the Trustee since the Closing Date, (v) the most recent
property inspection report prepared by or on behalf of the Servicer or the
Special Servicer in respect of each Mortgaged Property, (vi) the most recent
Mortgaged Property annual operating statements, if any, collected by or on
behalf of the Servicer or the Special Servicer, (vii) any and all
modifications, waivers and amendments of the terms of a Mortgage Loan entered
into by the Servicer and/or the Special Servicer, and (viii) any and all
officers' certificates and other evidence delivered to the Trustee to support
the Servicer's determination that any Advance was or, if made, would not be
recoverable and (ix) any other materials provided to a requesting
Certificateholder as provided in the Servicing Agreement in situations where
such requesting Certificateholder declined to enter into a confidentiality
arrangement with the Servicer. Copies of any and all of the foregoing items
will be available from the Servicer upon request; however, the Servicer will
be permitted to require payment of a sum sufficient to cover the reasonable
costs and expenses of providing such copies.
BOOK-ENTRY CERTIFICATES
Until such time as Definitive Certificates are issued in respect of the
Book-Entry Certificates, the foregoing information and access will be
available to the Book-Entry Certificate Owners only to the extent it is
forwarded by or otherwise available through DTC and its Participants. The
manner in which notices and other communications are conveyed by DTC to
Participants, and by Participants to the Book-Entry Certificate Owners, will
be governed by arrangements among them, subject to any statutory or
regulatory requirements as may be in effect from time to time. The Servicer,
the Special Servicer, the Trustee and the Depositor are required to recognize
as Certificateholders only those persons in whose names the Certificates are
registered on the books and records of the Certificate Registrar.
EXAMPLE OF DISTRIBUTIONS
The following chart sets forth an example of distributions on the
Certificates (other than the Class A-2 Certificates) for the first month of
the Trust's existence, assuming the Certificates are issued on November 30,
1995:
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<TABLE>
<CAPTION>
NOVEMBER 1 (A) CUT-OFF DATE.
<S> <C> <C>
November 30 (B) Record Date for Group 1 Certificates.
The Servicer receives Scheduled Payments due after the Cut-Off
November 2-December 1 (C) Date and on or prior to December 1, the last day of the Due Period.
The Servicer receives any Principal Prepayments made after the
November 2-December 15 (D) Cut-Off Date and on or prior to December 15.
The Due Period. Scheduled Payments due during this period will be
November 2-December 1 (E) distributed on December 26th.
December 15 (F) Determination Date.
December 15 (B) Record Date for Class A-2 Certificates.
December 26 (G) Distribution Date.
</TABLE>
Succeeding monthly periods follow the pattern of (B) through (G) (except
as described below).
(A) The outstanding principal balance of the Mortgage Loans will be the
aggregate Scheduled Principal Balance of the Mortgage Loans at the close of
business on November 1, 1995 (after deducting principal payments due on or
before such date). Those principal payments due on or before such date, and
the accompanying interest payments, are not part of the Trust.
(B) Distributions on the next Distribution Date will be made to those
persons that are Certificateholders of record on this date.
(C) Scheduled Payments due after the Cut-Off Date and on or prior to
December 1, to the extent collected prior to the related Determination Date,
will be deposited in the Collection Account as described in "-- Collection
Account and Distribution Account" herein. Each subsequent Due Period will
begin on the second day of the month preceding the month in which the related
Distribution Date occurs and end on the first day of the month in which such
Distribution Date occurs.
(D) Any Principal Prepayments made after the Cut-Off Date and on or prior
to December 15, 1995 will be deposited in the Collection Account as described
in " --Collection Account and Distribution Account" herein. Each subsequent
Prepayment Period will begin on the day immediately following the
Determination Date in the month prior to the month of distribution and will
end on the Determination Date in the month in which the Distribution Date
occurs. The Servicer will offset any net Prepayment Interest Shortfalls to
the extent of the aggregate amount of the Servicing Fee payable to the
Servicer with respect to the related Due Period. See " -- Distributions of
Interest -- Net Prepayment Interest Shortfalls" above.
(F) As of the close of business on the Determination Date, the Servicer
will have determined the amounts of principal and interest that will be
remitted to the Distribution Account. Payments will be remitted from the
Distribution Account to each Class of Certificateholders.
(G) The Trustee will make distributions to Certificateholders on the 25th
day of each month or, if such day is not a Business Day, the next succeeding
Business Day.
FINAL SCHEDULED DISTRIBUTION DATE
The Final Scheduled Distribution Date of each Class of Offered
Certificates is June 25, 2026. The Final Scheduled Distribution Date for each
Class of the Offered Certificates was set as the date 24 months following the
date after which no Offered Certificates will remain outstanding, assuming
timely payments on the Mortgage Loans in accordance with their terms. The
24-month period was selected to reflect a reasonable liquidation time with
respect to any Mortgage Loans that may be delinquent. If the actual period
for receipt of net Liquidation Proceeds and Insurance Proceeds with respect
to Mortgage Loans that are liquidated exceeds such 24-month period, the
actual final Distribution Date for each Class of the Offered Certificates may
be later, and could be substantially later, than the Final Scheduled
Distribution Date.
Since the rate of payment (including prepayments) on the Mortgage Loans
can be expected to exceed the scheduled rate of payments, and could exceed
such scheduled rate by a substantial amount, the actual
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final Distribution Date for each Class of the Offered Certificates may be
earlier, and could be substantially earlier, than the Final Scheduled
Distribution Date. The rate of payments (including prepayments) on the
Mortgage Loans will depend on the characteristics of the Mortgage Loans, as
well as on the prevailing level of interest rates and other economic factors,
and no assurance can be given as to actual payment experience. See "YIELD,
PREPAYMENT AND MATURITY CONSIDERATIONS" herein and "YIELD AND PREPAYMENT
CONSIDERATIONS" in the Prospectus.
OPTIONAL TERMINATION
The Holder of the majority of the Class R Certificates and the Servicer
will each have the option to purchase, in whole but not in part, the Mortgage
Loans (other than the Mortgage Loan underlying the Senior Participation), the
Senior Participation and any other property remaining in the Trust Fund on
any Distribution Date on or after the Distribution Date on which the
aggregate Certificate Principal Amount then outstanding is less than or equal
to 10% of the initial aggregate Certificate Principal Amount. Such purchase
will be at a price equal to the greater of (i) 100% of the aggregate unpaid
Scheduled Principal Balance of the Mortgage Loans, plus accrued and unpaid
interest to the last day of the Mortgage Loan Due Period for each Mortgage
Loan ending in the Due Period with respect to which such purchase occurs and
the fair market value of any other property remaining in the Trust Fund and
(ii) the fair market value of the Mortgage Loans and any other property
remaining in the Trust Fund. The optional termination of the Trust must be
conducted so as to constitute a "qualified liquidation" of the REMIC Pool
under Section 860F of the Code. Upon any such termination, the purchase price
for the Mortgage Loans and the other property in the Trust Fund will be
applied to pay the outstanding Classes of the Certificates, in the manner
provided under "--Distributions of Interest" and "-- Distributions of
Principal" herein and will reduce the Certificate Principal Amount of such
Classes to zero. Notice of any optional termination must be mailed by the
Trustee to the Certificateholders at least ten days prior to the date set for
optional termination.
ANY SUCH TERMINATION WOULD RESULT IN PREPAYMENT IN FULL OF THE
CERTIFICATES AND WOULD HAVE AN ADVERSE EFFECT ON THE YIELD OF ANY OUTSTANDING
CERTIFICATES PURCHASED AT A PREMIUM, BECAUSE A TERMINATION WOULD HAVE THE
SAME EFFECT AS A PREPAYMENT IN FULL OF THE MORTGAGE LOANS AND, AS A RESULT,
INVESTORS IN ANY CERTIFICATES PURCHASED AT A PREMIUM MIGHT NOT FULLY RECOUP
THEIR INITIAL INVESTMENT. SEE "YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS"
HEREIN.
SPECIAL TERMINATION
On or prior to the tenth Business Day after any Distribution Date on which
the aggregate Certificate Principal Amount is less than 25% of the initial
aggregate Certificate Principal Amount, the Servicer, on behalf of the
Trustee, will solicit bids for the sale of the Mortgage Loans (other than the
Mortgage Loan underlying the Senior Participation), the Senior Participation
and any other property remaining in the Trust Fund; provided that the Trustee
shall not accept any bid for such sale unless the proceeds distributable on
the applicable Distribution Date as a result thereof (net of repayments of
Advances and other expenses) would equal the greater of (i) 100% of the
aggregate unpaid Scheduled Principal Balance of the Mortgage Loans, plus
accrued and unpaid interest to the last day of the Mortgage Loan Due Period
for each Mortgage Loan ending in the Due Period with respect to which such
purchase occurs and the fair market value of any other property remaining in
the Trust Fund and (ii) the fair market value of the Mortgage Loans and any
other property remaining in the Trust Fund. If the proceeds from such a sale
would be insufficient to permit such sale, as described in the preceding
sentence, the Servicer on behalf of the Trustee will continue to solicit bids
as described above, from time to time as it deems appropriate, until a bid
satisfying the requirement of the preceding sentence is received. The
proceeds of such sale will be treated as a prepayment of the Mortgage Loans
for purposes of distributions to Certificateholders. Such sale will terminate
the Trust. The special termination of the Trust must be conducted so as to
constitute a "qualified liquidation" of the REMIC Pool under Section 860F of
the Code. Notice of a special termination of the Trust and the REMIC Pool
must be mailed by the Trustee to the Certificateholders at least ten days
prior to the date set for such special termination.
ANY SUCH TERMINATION WOULD RESULT IN PREPAYMENT IN FULL OF THE
CERTIFICATES AND WOULD HAVE AN ADVERSE EFFECT ON THE YIELD OF ANY OUTSTANDING
CERTIFICATES PURCHASED AT A PREMIUM, BECAUSE A TERMINATION
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<PAGE>
WOULD HAVE THE SAME EFFECT AS A PREPAYMENT IN FULL OF THE MORTGAGE LOANS AND,
AS A RESULT, INVESTORS IN ANY CERTIFICATES PURCHASED AT A PREMIUM MIGHT NOT
FULLY RECOUP THEIR INITIAL INVESTMENT. SEE "YIELD, PREPAYMENT AND MATURITY
CONSIDERATIONS" HEREIN.
THE TRUSTEE
LaSalle National Bank will act as Trustee under the Trust Agreement and
the Participation Agreement. As compensation for the performance of its
duties, the Trustee will be paid a monthly fee (the "Trustee Fee"). The
Trustee may be removed only for cause by the holders of 66 2/3 % of the
voting rights of the Trust. LaSalle National Bank is a subsidiary of LaSalle
National Corporation which is a subsidiary of ABN AMRO Bank, N.V. (the
"Fiscal Agent"), which as of December 31, 1994 had assets of approximately
$291,000,000,000.
COLLECTION ACCOUNT AND DISTRIBUTION ACCOUNT
The Collection Account for the Trust will be established by the Servicer
in the name of the Trustee in an account or accounts as described in the
Servicing Agreement (each, an "Eligible Account") that is either, (i)
maintained with a depository institution, under terms and conditions which
will not adversely affect the rating of the Certificates by S&P and Fitch or
(ii) a segregated trust account. The Servicer will deposit in the Collection
Account (or a separate Collection Account, in the case of the Senior
Participation) on the Business Day following the day of receipt or
identification thereof all payments and collections due after the Cut-Off
Date and received or advanced by it, and other amounts received with respect
to the Mortgage Loans and the Senior Participation, and will be permitted to
make withdrawals therefrom as set forth in the Servicing Agreement. See
"SERVICING OF MORTGAGE LOANS" in the Prospectus.
Funds in the Collection Account (other than the initial deposit thereto)
may be invested and, if invested, will be invested in the name of the Trustee
(in its capacity as such) in Eligible Investments that mature not later than
the Business Day preceding each Distribution Date and will not be sold or
disposed of prior to its maturity. All income and gain realized from any such
investments will accrue to the benefit of the Servicer, as additional
servicing compensation and will be subject to withdrawal from time to time.
Likewise, all losses realized from any such investments will be borne by the
Servicer.
A distribution account (the "Distribution Account") will be established by
the Trustee in an Eligible Account or Accounts. No later than one Business
Day prior to the Distribution Date, the net collections will be remitted by
the Servicer to the Trustee for deposit into the Distribution Account. On
each Distribution Date, the Trustee will withdraw all amounts in the
Distribution Account and, after paying fees and expenses described in the
Trust Agreement, will pay interest and principal on the Certificates as
described herein.
THE TRUST
GENERAL
The primary assets of the Trust will be fixed and adjustable rate
commercial and multifamily mortgage loans and a senior interest in a trust,
the principal asset of which is a mortgage loan (the "Senior Participation"
and, the mortgage loans and the Senior Participation, collectively, the
"Mortgage Loans"), that have an aggregate Scheduled Principal Balance as of
the Cut-Off Date (including the Senior Participation's beneficial interest in
the mortgage loan underlying the Senior Participation) of approximately
$242,688,441. The Mortgage Loans are to be purchased by the Depositor from
the Seller, pursuant to two mortgage loan purchase agreements, to be dated as
of November 1, 1995, and deposited in the Trust or, in the case of one
Mortgage Loan, in the trust subject to the Participation Agreement (described
below), together with all payments on the Mortgage Loans due after the
Cut-Off Date.
THE SELLER
On the Closing Date, the Depositor will acquire the Mortgage Loans from
two affiliates of the Depositor and Lehman Brothers (collectively, the
"Seller"). The Seller, (i) either directly or indirectly,
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<PAGE>
acquired such Mortgage Loans from (a) several financial institutions, or (b)
with respect to two Mortgage Loans in the aggregate principal amount of
$7,511,487, indirectly from a partnership which is indirectly owned by
affiliates of Lehman Brothers, Westinghouse Electric Corporation ("WEC") and
Lennar Corporation, which partnership was formed in May 1993 in connection
with the sale of certain mortgage loans and real estate assets which were
primarily originated by Westinghouse Credit Corporation ("WCC") and certain
other partnerships affiliated therewith or (ii) originated two Mortgage Loans
with an aggregate Scheduled Principal Balance as of the Cut-Off Date of
$13,600,000 through the financing of the related properties after an
affiliate of the Depositor acquired the related properties through
foreclosure or deed in lieu of foreclosure.
Prior to being sold to the Depositor, approximately 71.3% of the Mortgage
Loans were extended or otherwise modified by the Seller. See "RISK FACTORS --
The Mortgage Loans -- Underwriting Policies/Modifications of Certain Mortgage
Loans." Most modifications involved one or more of the following: (i)
negotiated partial prepayments, (ii) interest rate reductions or increases,
(iii) conversions of adjustable rates to fixed rates, (iv) extensions or
shortenings of terms to maturity, (v) debt forgiveness (approximately
$48,526,849 in the aggregate), and (vi) conversion of a portion of the
principal balance of a first mortgage loan into a second mortgage loan
retained by the Seller (and subject to the Intercreditor Agreements).
ASSIGNMENT OF THE MORTGAGE LOANS; REPURCHASES
At the time of issuance of the Certificates, the Depositor will cause the
Mortgage Loans to be assigned to the Trustee, together with all principal and
interest due on or with respect to such Mortgage Loans, other than principal,
interest and other amounts due on or before the Cut-Off Date and Principal
Prepayments received on or before the Cut-Off Date. The Trustee, concurrently
with such assignment, will execute and deliver Certificates evidencing the
beneficial ownership interests in the Trust Fund to the Depositor in exchange
for the Mortgage Loans. Each Mortgage Loan will be identified in a schedule
appearing as an exhibit to the Trust Agreement (the "Mortgage Loan
Schedule"). The Mortgage Loan Schedule will include, among other things, as
to each Mortgage Loan, information as to its outstanding principal balance as
of the close of business on the Cut-Off Date, as well as information
respecting the interest rate, the scheduled monthly payment of principal and
interest as of the Cut-Off Date and the maturity date of each Mortgage Note.
In addition, the Depositor will require the Seller to deliver to the
Trustee or to a document custodian appointed by the Trustee (a "Custodian"),
among other things, the following documents with respect to each Mortgage
Loan (collectively, as to each Mortgage Loan, the "Mortgage File"): (i) the
original Mortgage Note, endorsed in blank or to the order of the Trustee in
either case without recourse; (ii) the original or a copy of the Mortgage,
together with originals or certified copies of any intervening assignments of
the Mortgage, in each case with evidence of recording indicated thereon;
(iii) the original or a copy of any related assignment of leases (if such
item is a document separate from the Mortgage), together with originals or
copies of any intervening assignments of such document, in each case with
evidence of recording indicated thereon; (iv) an assignment of leases (if
such item is a document separate from the Mortgage) in favor of the Trustee
and in recordable form; (v) an assignment of any related assignment of the
Mortgage in favor of the Trustee and in recordable form; (vi) originals or
copies of all assumption, modification and substitution agreements in those
instances where the terms or provisions of the Mortgage or Mortgage Note have
been modified or the Mortgage Loan has been assumed; (vii) the original of
each guaranty constituting additional security for the Mortgage Loan; (viii)
the original or copy of the lender's title insurance policy issued on the
date of the origination of such Mortgage Loan; and (ix) with respect to any
participation, the original of the participation certificate and/or
participation agreement relating thereto.
The Trustee or a Custodian on its behalf will be required to review each
Mortgage File within a specified period following its receipt thereof. If any
of the above-described documents is found during the course of such review to
be missing from any Mortgage File or defective, and in either case such
omission or defect materially and adversely affects the interests of the
Certificateholders, the applicable Seller, if it cannot deliver the document
or cure the defect within a period of 75 days following its receipt of notice
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thereof, will be obligated pursuant to its respective mortgage loan purchase
agreement (the relevant rights under which will be assigned by the Depositor
to the Trustee) to repurchase the affected Mortgage Loan within such 75-day
period at a price (the "Purchase Price") generally equal to the greater of
(i) sum of (a) the unpaid principal balance of such Mortgage Loan, (b) unpaid
and uncapitalized accrued interest on such Mortgage Loan (calculated at the
Mortgage Interest Rate) to but not including the Due Date in the Due Period
in which the purchase is to occur, and (c) certain servicing expenses that
are reimbursable to the Servicer and (ii) the fair market value thereof at
the time of purchase (as determined in accordance with the Trust Agreement).
The Trust Agreement will require the Trustee promptly (and in any event
within 30 days of the Closing Date) to cause each of the assignments
described in clauses (iv) and (v) of the second preceding paragraph to be
submitted for recording in the real property records of the jurisdiction in
which the related Mortgaged Property is located. See "THE TRUST AGREEMENT --
Assignment of Mortgage Assets" in the Prospectus.
REPRESENTATIONS AND WARRANTIES; REPURCHASES
In the Trust Agreement, the Depositor will represent and warrant with
respect to each Mortgage Loan, as of the Cut-Off Date, or as of such other
date specifically provided in the representation and warranty, among other
things, that: (i) the information set forth in the schedule of Mortgage Loans
(which contains certain of the information set forth in Appendix A) is true
and correct in all material respects; (ii) the Seller owns the Mortgage Loan
and is transferring the Mortgage Loan free and clear of any and all liens,
pledges, charges or security interests of any nature encumbering such
Mortgage Loan; (iii) the proceeds of the Mortgage Loan have been fully
disbursed and there is no requirement for future advances thereunder; (iv)
each of the related Mortgage Note, related Mortgage and other agreements
executed in connection therewith is the legal, valid and binding obligation
of the maker thereof, enforceable in accordance with its terms, except as
such enforcement may be limited by bankruptcy, insolvency, reorganization or
other similar laws affecting the enforcement of creditors' rights generally,
and by general principles of equity (regardless of whether such enforcement
is considered in a proceeding in equity or at law); (v) the assignment of the
related Mortgage to the Trustee on behalf of the Certificateholders
constitutes the legal, valid and binding assignment of such Mortgage; (vi)
subject to exceptions set forth below, the related Mortgage is a valid and
enforceable first priority mortgage lien on the related Mortgaged Property
or, if not a first lien, the first lien on such Mortgaged Property is
represented by a Mortgage Loan also included in the Trust, which Mortgaged
Property is free and clear of all liens or encumbrances having priority over
or on parity with the first lien of the Mortgage except for (A) the lien of
real estate taxes and special assessments not yet due and payable, (B)
covenants, conditions and restrictions, rights of way, easements and other
matters that are of public record as of the date of recording of such
Mortgage, such exceptions appearing of record being acceptable to mortgage
lending institutions generally, and (C) other matters to which like
properties are commonly subject which do not individually or in the
aggregate, materially interfere with the value of the security intended to be
provided by such Mortgage; (vii) prior to the Cut-Off Date, any taxes that
had become due and owing in respect of the related Mortgaged Property were
paid or, in one case, in the process of being paid pursuant to a confirmed
bankruptcy plan, being appealed, or an escrow of funds sufficient to cover
such payment had been established; (viii) no scheduled payment of principal
or interest is 30 days or more past due; (ix) to the best of the Depositor's
knowledge, there is no proceeding pending for the total or partial
condemnation of the related Mortgaged Property; (x) if such Mortgage Loan
permits the Mortgagor to extend the maturity date thereof (A) the extension
is solely at the option of the Mortgagor and the lender does not have a right
to consent to any such extension, (B) if it provides for the payment of a fee
by the Mortgagor the amount of such fee was fixed in the original loan
documentation and (C) if it provides for any other changes in the terms of
such Mortgage Loan, such terms were fixed in the original loan documentation;
and (xi) Loan Number 30 listed in Appendix A --Characteristics of the
Mortgage Loans --Mortgage Loan Group I will not be in material default as of
the date 75 days after the Closing Date.
In the case of a breach of any of the foregoing representations and
warranties that materially and adversely affects the interests of the
Certificateholders, the Depositor, if it cannot cure such breach within a
period of 90 days following its discovery or its receipt of notice thereof
(or in the case of clause (xi)
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above, 90 days following the Closing Date), will be obligated pursuant to the
Trust Agreement to repurchase the affected Mortgage Loan at its applicable
purchase price described in the Trust Agreement or substitute it with a
Qualifying Substitute Mortgage Loan, as described in the Trust Agreement
within such period.
The foregoing repurchase obligation will constitute the sole remedy
available to the Certificateholders and the Trustee for any uncured breach of
the Depositor's representations and warranties regarding the Mortgage Loans.
The Depositor will be the sole warranting party in respect of the Mortgage
Loans, and none of its other affiliates will be obligated to repurchase any
affected Mortgage Loan in connection with a breach of the Depositor's
representations and warranties if the Depositor defaults on its obligation to
do so. See "THE TRUST AGREEMENT -- Repurchase of Non-Conforming Loans" in the
Prospectus.
THE MORTGAGE LOANS
GENERAL
The Mortgage Loans will consist of approximately 107 Mortgage Loans with
an aggregate Scheduled Principal Balance as of the Cut-Off Date of
approximately $242,688,441. All percentages of the Mortgage Loans, or of any
specified group of Mortgage Loans, referred to herein without further
description are approximate percentages by aggregate Scheduled Principal
Balance as of the Cut-Off Date. References to percentages of Mortgaged
Properties are references to the percentages of the related Mortgage Loans
represented by the aggregate Scheduled Principal Balance of the related
Mortgage Loans as of the Cut-Off Date. All statistical information provided
herein with respect to the Mortgage Pool is provided on an approximate basis.
The Mortgage Loans are segregated into two Mortgage Loan Groups, as
summarized in the table below:
<TABLE>
<CAPTION>
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
AS OF CUT-OFF AS OF CUT-OFF AS OF CUT-OFF
DATE DATE(1) DATE
-------------- ----------------- -----------------
<S> <C> <C> <C>
Group 1 Mortgage Loans 95 $228,327,736 94.1%
Group 2 Mortgage Loans 12 14,360,705 5.9
-------------- ----------------- -----------------
Total ............... 107 $242,688,441 100.0%
============== ================= =================
</TABLE>
(1) Subject to permitted variance of plus or minus 5%.
As of the Cut-Off Date, none of the Mortgage Loans were 30 days or more
delinquent.
MORTGAGE LOAN GROUP 1
Seventy-four of the Mortgage Loans in Mortgage Loan Group 1 (82.3% by
Scheduled Principal Balance as of the Cut-Off Date) bear a fixed Mortgage
Interest Rate, five of the Mortgage Loans in Mortgage Loan Group 1 (7.3% by
Scheduled Principal Balance as of the Cut-Off Date) have a step rate and
sixteen of the Mortgage Loans in Mortgage Loan Group 1 (10.5% by Scheduled
Principal Balance as of the Cut-Off Date) bear an adjustable Mortgage
Interest Rate, which is adjusted periodically to equal, generally, an index
(the "Index") plus a fixed percentage set forth in the related Mortgage Note
(the "Gross Margin"), the sum of which may be rounded as provided in the
related Mortgage Note, subject to certain limitations, to the extent
applicable, including periodic rate caps, lifetime Mortgage Interest Rate
caps and lifetime Mortgage Interest Rate floors. Approximately 3.6% of the
Mortgage Loans in Mortgage Loan Group 1 (by Scheduled Principal Balance) are
subject to periodic rate caps that range from approximately 2.00% to 5.00%.
The weighted average of such periodic rate caps is approximately 4.84%. The
respective Index on which each such adjustment will be based, and the
intervals between the dates of such adjustments (each such date, an
"Adjustment Date," the first Adjustment Date with respect to each Mortgage
Loan hereinafter referred to as the "First Adjustment Date"), are described
below. If
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the Index for any Mortgage Loan becomes unavailable, the Servicer will select
an alternative index based on comparable information and such alternative
index will become the Index (to the extent permitted by the related Mortgage
Note), provided that such Index must be a qualifying index for REMIC
purposes. With the exception of one Group 1 Mortgage Loan originated in June
1994 with a 5 year Constant Maturity Treasury Index that has not passed its
First Adjustment Date, substantially all of the Group 1 Mortgage Loans have
passed their First Adjustment Date. The Depositor has reason to believe that
Loan Number 30 listed in Appendix A -- Characteristics of the Mortgage Loans
- --Mortgage Loan Group I may be in technical default. However, the Depositor
is obligated to repurchase such Mortgage Loan, if it is in material default
as of the date 75 days after the Closing Date and such default is not cured
by the 90th day after the Closing Date. See "THE TRUST -- Representations and
Warranties; Repurchases."
MORTGAGE LOAN GROUP 2
All of the Mortgage Loans in Mortgage Loan Group 2 are mortgage loans
bearing interest at a Mortgage Interest Rate which is adjusted periodically
to equal, generally, the Index plus the Gross Margin, the sum of which may be
rounded as provided in the related Mortgage Note, subject to certain
limitations including periodic rate caps, lifetime Mortgage Interest Rate
caps and lifetime Mortgage Interest Rate floors. Approximately 29.9% of the
Mortgage Loans in Mortgage Loan Group 2 (by Scheduled Principal Balance) are
subject to periodic rate caps that range from approximately 2.00% to 5.00%.
The weighted average of such periodic rate caps is approximately 4.27%. The
respective Index on which each such adjustment will be based and the
intervals between the Adjustment Dates are described below. If the Index for
any Mortgage Loan becomes unavailable, the Servicer will select an
alternative index based on comparable information and such alternative index
will become the Index (to the extent permitted by the related Mortgage Note),
provided that such Index must be a qualifying index for REMIC purposes.
Substantially all of the Group 2 Mortgage Loans have passed their First
Adjustment Date.
THE SENIOR PARTICIPATION
Included within Mortgage Loan Group 1 is a "Senior Participation," which
evidences a senior ownership interest with a participation principal balance
of approximately $10,000,000 in a mortgage loan with an aggregate Scheduled
Principal Balance of approximately $11,500,000. Such mortgage loan is secured
by a Mortgage on a retail property located in Pasadena, Maryland. The related
mortgage loan was modified after the acquisition of such mortgage loan by the
Seller.
Pursuant to the Participation Agreement, the Senior Participation will be
a senior regular interest, and a subordinated participation will represent
the residual interest in such Participation Agreement which will initially be
retained by the Seller or one of its affiliates. The subordinated
participation will incur Realized Losses on the underlying mortgage loan
(including losses due to modifications of the underlying Mortgage Loan
following default thereon) prior to the allocation of such losses to the
Senior Participation. Based upon interim unaudited financial statements from
the Mortgagor, the 1994 debt service coverage ratio is approximately 1.43x
for the Senior Participation. Unless otherwise stated, references in this
section and in the related tables to information concerning the Mortgage
Loans and the Mortgage Loan Groups include the Senior Participation's
beneficial ownership interest in the mortgage loan underlying the Senior
Participation.
DESCRIPTION OF THE MORTGAGE POOL
For a detailed presentation of the characteristics of the Mortgage Loans
and the Mortgaged Properties on an individual basis, see Appendix A hereto.
The following tables set forth certain characteristics of each of the
Mortgage Loan Groups as of the Cut-Off Date. In each of the following tables,
the term "Principal Balance" means the aggregate Scheduled Principal Balance
for such Mortgage Loan Group or Groups, as applicable as of the Cut-Off Date
(or in the case of the Senior Participation, the Scheduled Principal Balance
of such participation). The information under the heading "Principal Balance"
may not total the "Total" shown, and the information expressed as percentages
may not total 100% due to rounding. The weighted average and minimum/maximum
calculations used for certain of the tables do not take into account Mortgage
Loans for which the subject loan characteristics are not applicable.
S-64
<PAGE>
The descriptions in this Prospectus Supplement of the Mortgage Pool and
the Mortgaged Properties are based upon the Mortgage Pool as of the close of
business on the Cut-Off Date, as adjusted for the scheduled principal and
interest payments due on or before such date. Prior to the issuance of the
Certificates, Mortgage Loans may be removed from the Mortgage Pool as a
result of prepayments, delinquencies, incomplete documentation, or otherwise
if the Depositor deems such removal necessary or desirable. A limited number
of other mortgage loans may be included in the Mortgage Pool prior to the
issuance of the Certificates, unless including such mortgage loans would
materially alter the characteristics of the Mortgage Pool as described
herein. The Depositor believes that the information set forth herein will be
representative of the characteristics of the Mortgage Pool as it will be
constituted at the time the Certificates are issued, although the range of
Mortgage Interest Rates and maturities and certain other characteristics of
the Mortgage Loans in either Mortgage Loan Group may vary.
A Current Report on Form 8-K (the "Form 8-K") containing a detailed
description of the Mortgage Loans will be available to purchasers of the
Offered Certificates on or shortly after the Closing Date and will be filed
with the Securities and Exchange Commission within fifteen days after the
Closing Date, if there is a material difference between the description of
the Mortgage Pool contained herein and the Mortgage Pool as constituted on
the Closing Date. The Form 8-K will specify the precise aggregate outstanding
Scheduled Principal Balance of the Mortgage Loans as of the Cut-Off Date and
will set forth on a precise basis the other information presented herein on
an approximate basis. Certain additional information regarding the Mortgage
Loans is contained herein under "-- Standard Hazard Insurance" and "SERVICING
OF MORTGAGE LOANS" and in the Prospectus under "CERTAIN LEGAL ASPECTS OF
MORTGAGE LOANS," "DESCRIPTION OF INSURANCE ON THE MORTGAGE LOANS" and
"SERVICING OF MORTGAGE LOANS."
Substantially all of the Mortgage Loans are assumable by a qualified buyer
who meets the underwriting guidelines of the Servicer. See "SERVICING OF
MORTGAGE LOANS -- Enforcement of Due-On-Sale Clauses" in the Prospectus.
DEBT SERVICE COVERAGE RATIOS
For purposes of the table entitled "Distribution of Debt Service Coverage
Ratios of the Mortgage Loans," the Seller made certain adjustments to
operating statements and operating information obtained from the respective
Mortgagors with respect to the periods shown in the table, resulting in
either an increase or a decrease in the net operating income stated therein,
based upon the Seller's evaluation of such operating statement and operating
information, as described in Appendix B.
With respect to 72 Mortgage Loans, with an aggregate Scheduled Principal
Balance as of the Cut-Off Date of approximately $179,693,995, the Seller
calculated an "Underwriting 1995 NOI" that is an estimate of operating income
which takes into consideration year to date 1995 operating statements,
current rent rolls, historical financial statements, and material changes in
the operating position of the related Mortgaged Property of which the Seller
was aware (e.g., new signed leases or end of rent concession periods and
market data). "Underwriting 1995 NOI" is further described in Appendix B. For
seven Mortgage Loans with an aggregate Scheduled Principal Balance as of the
Cut-Off Date of $7,421,522, the Seller calculated a "Pro Forma NOI" where no
operating statement or current rent roll was available. "Pro Forma NOI" is
further described in Appendix B. No assurance can be given with respect to
the accuracy of the information provided by any Mortgagor or the results of
any adjustments thereto by or on behalf of the Seller concerning the
presented operating income derived from any Mortgaged Property (including any
"Underwriting 1995 NOI" or "Pro Forma NOI"). Furthermore, since some of the
information provided by the Borrowers and used by the Seller to calculate
debt service coverage ratios may be for periods that ended as of December 31,
1994 and the Seller does not have information or more current operating
information with respect to such Mortgaged Properties, debt service coverage
ratios set forth in the table below may have changed substantially since the
end of the periods for which such ratios were calculated.
The table below sets forth debt service coverage ratios (which assume no
adjustment to debt service for adjustable rate loan changes) based upon the
above-described available operating income data. The following operating
income data was utilized for each Mortgage Loan in calculating debt service
coverage
S-65
<PAGE>
ratios: (i) if a projected operating income derived from the Mortgagor's
Underwriting 1995 NOI was calculated, such amount was utilized; (ii) if the
amount described in (i) was not calculated and an actual year 1994 operating
statement was available, such amount was utilized, as described in Appendix
B; and (iii) if neither of the foregoing was available, a "Pro Forma NOI" was
utilized.
Fifty-seven of the Mortgage Loans (67.6% by aggregate Scheduled Principal
Balance as of the Cut-Off Date) require the Borrower to provide property
operating statements; 15.5% of the Mortgage Loans by aggregate Scheduled
Principal Balance as of the Cut-Off Date require only monthly operating
statements; 5.0% of the Mortgage Loans by aggregate Scheduled Principal
Balance as of the Cut-Off Date require only quarterly operating statements;
28.2% of the Mortgage Loans by aggregate Scheduled Principal Balance as of
the Cut-Off Date require only annual operating statements; and 18.8% of the
Mortgage Loans by aggregate Scheduled Principal Balance as of the Cut-Off
Date require a combination of monthly, quarterly and/or annual operating
statements.
The Mortgage Loans are expected to have the following characteristics as
of the Cut-Off Date:
S-66
<PAGE>
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ....... 22 $ 6,718,102 2.9% 2 $ 560,055 3.9%
$ 500,001-$1,000,000 ... 23 18,333,315 8.0 4 3,044,640 21.2
$1,000,001-$1,500,000 .. 7 9,072,388 4.0 3 3,248,459 22.6
$1,500,001-$2,000,000 .. 9 15,361,372 6.7 2 3,810,274 26.5
$2,000,001-$2,500,000 .. 4 9,717,198 4.3 0 0 0.0
$2,500,001-$3,000,000 .. 7 19,591,669 8.6 0 0 0.0
$3,000,001-$3,500,000 .. 1 3,239,158 1.4 0 0 0.0
$3,500,001-$4,000,000 .. 7 25,907,288 11.3 1 3,697,277 25.7
$4,000,001-$4,500,000 .. 1 4,419,908 1.9 0 0 0.0
$4,500,001-$5,000,000 .. 2 9,443,517 4.1 0 0 0.0
$5,000,001-$5,500,000 .. 2 10,707,252 4.7 0 0 0.0
$6,000,001-$6,500,000 .. 2 12,935,677 5.7 0 0 0.0
$7,500,001-$8,000,000 .. 2 15,967,578 7.0 0 0 0.0
$8,000,001-$8,500,000 .. 1 8,486,015 3.7 0 0 0.0
$9,000,001-$9,500,000 .. 2 18,568,240 8.1 0 0 0.0
$9,500,001-$10,000,000 . 2 20,000,000 8.8 0 0 0.0
$19,500,001-$20,000,000 1 19,859,060 8.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Average ................. $ 2,403,450 $ 1,196,725
Maximum ................ $ 19,859,060 $ 3,697,277
Minimum ................ $ 89,648 $ 231,306
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ....... 24 $ 7,278,157 3.0%
$ 500,001-$1,000,000 ... 27 21,377,954 8.8
$1,000,001-$1,500,000 .. 10 12,320,847 5.1
$1,500,001-$2,000,000 .. 11 19,171,646 7.9
$2,000,001-$2,500,000 .. 4 9,717,198 4.0
$2,500,001-$3,000,000 .. 7 19,591,669 8.1
$3,000,001-$3,500,000 .. 1 3,239,158 1.3
$3,500,001-$4,000,000 .. 8 29,604,565 12.2
$4,000,001-$4,500,000 .. 1 4,419,908 1.8
$4,500,001-$5,000,000 .. 2 9,443,517 3.9
$5,000,001-$5,500,000 .. 2 10,707,252 4.4
$6,000,001-$6,500,000 .. 2 12,935,677 5.3
$7,500,001-$8,000,000 .. 2 15,967,578 6.6
$8,000,001-$8,500,000 .. 1 8,486,015 3.5
$9,000,001-$9,500,000 .. 2 18,568,240 7.7
$9,500,001-$10,000,000 . 2 20,000,000 8.2
$19,500,001-$20,000,000 1 19,859,060 8.2
------------ ------------ ------------
Total ................. 107 $242,688,441 100.0%
============ ============ ============
Average ................. $ 2,268,116
Maximum ................ $ 19,859,060
Minimum ................ $ 89,648
</TABLE>
S-67
<PAGE>
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6.501%-7.000% ......... 1 $ 9,174,899 4.0% 0 $ 0 0.0%
7.001%-7.500% ......... 8 8,504,175 3.7 1 1,813,280 12.6
7.501%-8.000% ......... 14 45,872,512 20.1 2 1,439,608 10.0
8.001%-8.500% ......... 7 24,588,731 10.8 0 0 0.0
8.501%-9.000% ......... 19 67,029,462 29.4 1 730,392 5.1
9.001%-9.500% ......... 20 41,041,256 18.0 2 2,067,061 14.4
9.501%-10.000% ........ 22 27,849,997 12.2 4 7,750,309 54.0
10.001%-10.500% ....... 2 2,173,631 1.0 1 328,749 2.3
10.501%-11.000% ....... 0 0 0.0 1 231,306 1.6
11.001%-11.500% ....... 1 935,169 0.4 0 0 0.0
11.501%-12.000% ....... 1 1,157,904 0.5 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 8.816% 9.189%
Maximum .............. 12.000% 10.750%
Minimum .............. 7.000% 7.391%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
6.501%-7.000% ......... 1 $ 9,174,899 3.8%
7.001%-7.500% ......... 9 10,317,455 4.3
7.501%-8.000% ......... 16 47,312,120 19.5
8.001%-8.500% ......... 7 24,588,731 10.1
8.501%-9.000% ......... 20 67,759,854 27.9
9.001%-9.500% ......... 22 43,108,318 17.8
9.501%-10.000% ........ 26 35,600,306 14.7
10.001%-10.500% ....... 3 2,502,380 1.0
10.501%-11.000% ....... 1 231,306 0.1
11.001%-11.500% ....... 1 935,169 0.4
11.501%-12.000% ....... 1 1,157,904 0.5
------------ ------------ ------------
Total ............... 107 $242,688,441 100.0%
============ ============ ============
Weighted Average ...... 8.838%
Maximum .............. 12.000%
Minimum .............. 7.000%
</TABLE>
S-68
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
[MAP OF THE UNITED STATES]
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Arizona ....... 2 $ 4,621,304 2.0% 0 $ 0 0.0%
California .... 18 44,796,624 19.6 4 4,293,306 29.9
Colorado ...... 1 7,983,789 3.5 0 0 0.0
Connecticut .. 13 32,937,671 14.4 2 2,056,038 14.3
Florida ....... 1 3,716,506 1.6 0 0 0.0
Georgia ....... 4 7,909,737 3.5 2 5,694,271 39.7
Kentucky ...... 1 352,963 0.2 0 0 0.0
Massachusetts 18 23,757,574 10.4 2 560,055 3.9
Maryland ...... 3 10,988,554 4.8 0 0 0.0
Michigan ...... 1 9,393,341 4.1 1 730,392 5.1
Minnesota ..... 2 5,384,670 2.4 0 0 0.0
New Hampshire 1 447,852 0.2 0 0 0.0
New Jersey .... 7 14,510,602 6.4 0 0 0.0
Nevada ........ 1 1,157,904 0.5 0 0 0.0
New York ...... 8 13,016,665 5.7 0 0 0.0
Ohio .......... 1 2,399,347 1.1 0 0 0.0
Pennsylvania . 5 28,366,819 12.4 0 0 0.0
Rhode Island . 3 4,149,769 1.8 0 0 0.0
South Carolina 1 2,377,962 1.0 0 0 0.0
South Dakota . 1 5,329,082 2.3 0 0 0.0
Texas ......... 0 0 0.0 1 1,026,643 7.1
Utah .......... 1 779,936 0.3 0 0 0.0
Virginia ...... 2 3,949,065 1.7 0 0 0.0
-------------- -------------- -------------- -------------- -------------- --------------
Total ........ 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
Arizona ....... 2 $ 4,621,304 1.9%
California .... 22 49,089,930 20.2
Colorado ...... 1 7,983,789 3.3
Connecticut .. 15 34,993,709 14.4
Florida ....... 1 3,716,506 1.5
Georgia ....... 6 13,604,008 5.6
Kentucky ...... 1 352,963 0.1
Massachusetts 20 24,317,629 10.0
Maryland ...... 3 10,988,554 4.5
Michigan ...... 2 10,123,733 4.2
Minnesota ..... 2 5,384,670 2.2
New Hampshire 1 447,852 0.2
New Jersey .... 7 14,510,602 6.0
Nevada ........ 1 1,157,904 0.5
New York ...... 8 13,016,665 5.4
Ohio .......... 1 2,399,347 1.0
Pennsylvania . 5 28,366,819 11.7
Rhode Island . 3 4,149,769 1.7
South Carolina 1 2,377,962 1.0
South Dakota . 1 5,329,082 2.2
Texas ......... 1 1,026,643 0.4
Utah .......... 1 779,936 0.3
Virginia ...... 2 3,949,065 1.6
-------------- -------------- --------------
Total ........ 107 $242,688,441 100.0%
============== ============== ==============
</TABLE>
S-70
<PAGE>
COUNTIES OF MORTGAGED PROPERTIES IN CALIFORNIA
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Kern County ........... 1 $ 3,800,000 8.5% 0 $ 0 0.0%
Los Angeles County ... 5 15,001,965 33.5 0 0 0.0
Orange County ......... 2 7,774,112 17.4 2 2,537,035 59.1
Riverside County ...... 2 9,983,789 22.3 0 0 0.0
San Bernardino County 2 2,414,575 5.4 0 0 0.0
San Diego County ...... 6 5,822,182 13.0 0 0 0.0
San Luis Obispo County 0 0 0.0 1 1,040,418 24.2
Ventura County ........ 0 0 0.0 1 715,853 16.7
------------ ------------ ------------ ------------ ------------ ------------
Total ................ 18 $44,796,624 100.0% 4 $4,293,306 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Kern County ........... 1 $ 3,800,000 7.7%
Los Angeles County ... 5 15,001,965 30.6
Orange County ......... 4 10,311,147 21.0
Riverside County ...... 2 9,983,789 20.3
San Bernardino County 2 2,414,575 4.9
San Diego County ...... 6 5,822,182 11.9
San Luis Obispo County 1 1,040,418 2.1
Ventura County ........ 1 715,853 1.5
------------ ------------ ------------
Total ................ 22 $49,089,930 100.0%
============ ============ ============
</TABLE>
TYPES OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
PROPERTY TYPE DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- --------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Hotel/Motel ... 3 $ 10,174,840 4.5% 1 $ 1,996,994 13.9%
Industrial ..... 18 48,938,863 21.4 4 4,434,286 30.9
Multifamily ... 28 41,393,337 18.1 3 5,454,312 38.0
Office ......... 22 70,613,413 30.9 2 560,055 3.9
Retail ......... 21 54,273,406 23.8 2 1,915,058 13.3
Warehouse ...... 3 2,933,877 1.3 0 0 0.0
-------------- -------------- -------------- -------------- -------------- --------------
Total ......... 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
PROPERTY TYPE DATE CUT-OFF DATE CUT-OFF DATE
- --------------- -------------- -------------- --------------
<S> <C> <C> <C>
Hotel/Motel ... 4 $ 12,171,834 5.0%
Industrial ..... 22 53,373,149 22.0
Multifamily ... 31 46,847,649 19.3
Office ......... 24 71,173,467 29.3
Retail ......... 23 56,188,464 23.2
Warehouse ...... 3 2,933,877 1.2
-------------- -------------- --------------
Total ......... 107 $242,688,441 100.0%
============== ============== ==============
</TABLE>
S-71
<PAGE>
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DETERMINED (1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1994 .................... 24 $ 53,101,079 23.3% 4 $ 2,471,845 17.2%
Pro Forma ............... 5 5,665,251 2.5 2 1,756,271 12.2
Underwriting 1995 ....... 66 169,561,406 74.3 6 10,132,589 70.6
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2)
- ------------------ ...................
0.801x to 0.900x ........ 2 $ 536,462 0.2% 0 $ 0 0.0%
0.901x to 1.000x ........ 2 1,079,772 0.5 1 231,306 1.6
1.001x to 1.100x ........ 11 22,549,584 9.9 4 6,964,704 48.5
1.101x to 1.200x ........ 19 36,249,631 15.9 1 874,640 6.1
1.201x to 1.300x ........ 17 35,709,977 15.6 2 1,742,495 12.1
1.301x to 1.400x ........ 17 40,307,612 17.7 0 0 0.0
1.401x to 1.500x ........ 7 16,130,728 7.1 0 0 0.0
1.501x to 1.600x ........ 11 61,992,405 27.2 2 2,221,816 15.5
1.601x to 1.700x ........ 4 8,331,298 3.6 1 1,996,994 13.9
1.701x to 1.800x ........ 1 1,459,730 0.6 1 328,749 2.3
1.801x to 1.900x ........ 1 392,063 0.2 0 0 0.0
2.201x to 2.300x ........ 1 840,881 0.4 0 0 0.0
2.301x to 2.400x ........ 1 2,600,000 1.1 0 0 0.0
2.701x to 2.800x ........ 1 147,595 0.1 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ........ 1.360x 1.263x
Maximum ................ 2.717x 1.787x
Minimum ................ 0.865x 0.994x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS LOANS AS OF OF CUT-OFF OF CUT-OFF
DETERMINED (1) CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1994 .................... 28 $ 55,572,924 22.9%
Pro Forma ............... 7 7,421,522 3.1
Underwriting 1995 ....... 72 179,693,995 74.0
------------ ------------ ------------
Total ................. 107 $242,688,441 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2)
- ------------------ ...................
0.801x to 0.900x ........ 2 $ 536,462 0.2%
0.901x to 1.000x ........ 3 1,311,078 0.5
1.001x to 1.100x ........ 15 29,514,288 12.2
1.101x to 1.200x ........ 20 37,124,271 15.3
1.201x to 1.300x ........ 19 37,452,472 15.4
1.301x to 1.400x ........ 17 40,307,612 16.6
1.401x to 1.500x ........ 7 16,130,728 6.6
1.501x to 1.600x ........ 13 64,214,221 26.5
1.601x to 1.700x ........ 5 10,328,292 4.3
1.701x to 1.800x ........ 2 1,788,479 0.7
1.801x to 1.900x ........ 1 392,063 0.2
2.201x to 2.300x ........ 1 840,881 0.3
2.301x to 2.400x ........ 1 2,600,000 1.1
2.701x to 2.800x ........ 1 147,595 0.1
------------ ------------ ------------
Total ................. 107 $242,688,441 100.0%
============ ============ ============
Weighted Average ........ 1.354x
Maximum ................ 2.717x
Minimum ................ 0.865x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-72
<PAGE>
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
1-12 ...................... 1 $ 984,386 0.5% 0 $0 0.0%
13-24 ..................... 9 17,982,258 8.9 3 2,439,346 17.0
25-36 ..................... 1 268,258 0.1 2 1,059,141 7.4
37-48 ..................... 2 3,984,709 2.0 1 874,640 6.1
49-60 ..................... 11 32,179,082 15.9 1 723,755 5.0
61-72 ..................... 6 22,275,171 11.0 2 1,756,271 12.2
73-84 ..................... 20 23,557,503 11.6 3 7,507,551 52.3
85-96 ..................... 2 3,375,639 1.7 0 0 0.0
97-108 .................... 3 2,486,299 1.2 0 0 0.0
109-120 ................... 16 56,635,235 27.9 0 0 0.0
157-168 ................... 2 24,579,498 12.1 0 0 0.0
169-180 ................... 2 14,553,068 7.2 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................... 75 $202,861,107 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .......... 96 months 59 months
Maximum .................. 178 months 82 months
Minimum .................. 10 months 21 months
FULLY AMORTIZING MORTGAGE
LOANS
73-84 ..................... 1 $ 2,399,347 9.4% 0 $0 0.0%
97-108 .................... 1 352,963 1.4 0 0 0.0
109-120 ................... 1 779,936 3.1 0 0 0.0
133-144 ................... 1 546,242 2.1 0 0 0.0
(is greater than or equal
to) 181 .................. 16 21,388,142 84.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................... 20 $ 25,466,630 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .......... 247 months 0 months
Maximum .................. 344 months 0 months
Minimum .................. 73 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- -------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGE LOANS
1-12 ...................... 1 $ 984,386 0.5%
13-24 ..................... 12 20,421,605 9.4
25-36 ..................... 3 1,327,399 0.6
37-48 ..................... 3 4,859,349 2.2
49-60 ..................... 12 32,902,838 15.1
61-72 ..................... 8 24,031,442 11.1
73-84 ..................... 23 31,065,054 14.3
85-96 ..................... 2 3,375,639 1.6
97-108 .................... 3 2,486,299 1.1
109-120 ................... 16 56,635,235 26.1
157-168 ................... 2 24,579,498 11.3
169-180 ................... 2 14,553,068 6.7
------------ ------------ ------------
Total ................... 87 $217,221,811 100.0%
============ ============ ============
Weighted Average .......... 94 months
Maximum .................. 178 months
Minimum .................. 10 months
FULLY AMORTIZING MORTGAGE
LOANS
73-84 ..................... 1 $ 2,399,347 9.4%
97-108 .................... 1 352,963 1.4
109-120 ................... 1 779,936 3.1
133-144 ................... 1 546,242 2.1
(is greater than or equal
to) 181 .................. 16 21,388,142 84.0
------------ ------------ ------------
Total ................... 20 $ 25,466,630 100.0%
============ ============ ============
Weighted Average .......... 247 months
Maximum .................. 344 months
Minimum .................. 73 months
</TABLE>
- ------------
Note: Weighted Average Remaining Term to Maturity for all Mortgage Loans
is 110 months.
S-73
<PAGE>
BALLOON MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
BALLOONS DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- ---------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
No ........ 20 $ 25,466,630 11.2% 0 $ 0 0.0%
Yes ....... 75 202,861,107 88.8 12 14,360,705 100.0
-------------- -------------- -------------- -------------- -------------- --------------
Total .. 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
BALLOONS DATE CUT-OFF DATE CUT-OFF DATE
- ---------- -------------- -------------- --------------
<S> <C> <C> <C>
No ........ 20 $ 25,466,630 10.5%
Yes ....... 87 217,221,811 89.5
-------------- -------------- --------------
Total .. 107 $242,688,441 100.0%
============== ============== ==============
</TABLE>
S-74
<PAGE>
DISTRIBUTION OF OCCUPANCY PERCENTAGES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
50% or less ......... 4 $ 2,688,691 1.2% 0 $ 0 0.0%
55.01 - 60.00 ....... 1 89,648 0.0 0 0 0.0
60.01 - 65.00 ....... 2 9,986,015 4.4 1 1,040,418 7.2
65.01 - 70.00 ....... 1 2,998,059 1.3 0 0 0.0
70.01 - 75.00 ....... 2 1,651,720 0.7 0 0 0.0
75.01 - 80.00 ....... 3 9,774,243 4.3 2 2,208,041 15.4
80.01 - 85.00 ....... 5 14,816,600 6.5 0 0 0.0
85.01 - 90.00 ....... 8 19,091,633 8.4 0 0 0.0
90.01 - 95.00 ....... 22 84,682,031 37.1 2 1,105,945 7.7
95.01 - 100.00% .... 47 82,549,097 36.2 7 10,006,300 69.7
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 91% 93%
Maximum ............ 100% 100%
Minimum ............ 31% 65%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
50% or less ......... 4 $ 2,688,691 1.1%
55.01 - 60.00 ....... 1 89,648 0.0
60.01 - 65.00 ....... 3 11,026,433 4.5
65.01 - 70.00 ....... 1 2,998,059 1.2
70.01 - 75.00 ....... 2 1,651,720 0.7
75.01 - 80.00 ....... 5 11,982,284 4.9
80.01 - 85.00 ....... 5 14,816,600 6.1
85.01 - 90.00 ....... 8 19,091,633 7.9
90.01 - 95.00 ....... 24 85,787,976 35.3
95.01 - 100.00% .... 54 92,555,397 38.1
------------ ------------ ------------
Total ............. 107 $242,688,441 100.0%
============ ============ ============
Weighted Average ... 91%
Maximum ............ 100%
Minimum ............ 31%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 - 60 months .. 16 $ 33,115,607 14.5% 4 $ 2,461,337 17.1%
61 - 120 months 47 105,441,615 46.2 5 8,646,480 60.2
121 - 180 months 11 55,128,986 24.1 3 3,252,888 22.7
181 - 240 months 2 9,721,141 4.3 0 0 0.0
241 - 300 months 4 8,955,355 3.9 0 0 0.0
301 - 360 months 15 15,965,032 7.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 134 months 118 months
Maximum ........ 360 months 180 months
Minimum ........ 23 months 53 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------
<S> <C> <C> <C>
1 - 60 months .. 20 $ 35,576,944 14.7%
61 - 120 months 52 114,088,095 47.0
121 - 180 months 14 58,381,874 24.1
181 - 240 months 2 9,721,141 4.0
241 - 300 months 4 8,955,355 3.7
301 - 360 months 15 15,965,032 6.6
------------ ------------ ------------
Total ......... 107 $242,688,441 100.0%
============ ============ ============
Weighted Average 133 months
Maximum ........ 360 months
Minimum ........ 23 months
</TABLE>
S-75
<PAGE>
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Interest only ... 1 $ 10,000,000 4.4% 0 $ 0 0.0%
61 - 120 months . 2 630,366 0.3 0 0 0.0
121 - 180 months 3 3,817,253 1.7 1 231,306 1.6
181 - 240 months 12 11,285,028 4.9 1 328,749 2.3
241 - 300 months 15 48,359,254 21.2 2 2,727,386 19.0
301 - 360 months 62 154,235,835 67.6 6 9,017,226 62.8
361+ months ...... 0 0 0.00 2 2,056,038 14.3
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 319 months 380 months
Maximum ......... 360 months 654 months(1)
Minimum ......... 0 months 180 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
Interest only ... 1 $ 10,000,000 4.1%
61 - 120 months . 2 630,366 0.3
121 - 180 months 4 4,048,559 1.7
181 - 240 months 13 11,613,777 4.8
241 - 300 months 17 51,086,640 21.1
301 - 360 months 68 163,253,061 67.3
361+ months ...... 2 2,056,038 0.8
------------ ------------ ------------
Total .......... 107 $242,688,441 100.0%
============ ============ ============
Weighted Average 323 months
Maximum ......... 654 months
Minimum ......... 0 months
</TABLE>
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(2)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Interest only .......... 1 $ 10,000,000 4.4% 0 $ 0 0.0%
1977 ................... 2 2,752,310 1.2 0 0 0.0
1980 ................... 1 779,936 0.3 0 0 0.0
1985 ................... 2 2,072,480 0.9 1 723,755 5.0
1986 ................... 4 4,108,316 1.8 1 715,853 5.0
1987 ................... 4 6,858,697 3.0 1 1,813,280 12.6
1988 ................... 2 1,259,125 0.6 1 730,392 5.1
1989 ................... 2 2,453,611 1.1 0 0 0.0
1990 ................... 2 2,173,631 1.0 1 1,181,398 8.2
1991 ................... 3 3,215,694 1.4 0 0 0.0
1992 ................... 2 4,403,089 1.9 3 6,720,914 46.8
1993 ................... 3 7,263,984 3.2 2 560,055 3.9
1994 ................... 13 33,744,141 14.8 2 1,915,058 13.3
1995 ................... 54 147,242,723 64.5 0 0 0.0
------------ ------------ ------------ ------------ ------------
Total ................ 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE
- ----------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Interest only .......... 1 $ 10,000,000 4.1%
1977 ................... 2 2,752,310 1.1
1980 ................... 1 779,936 0.3
1985 ................... 3 2,796,235 1.2
1986 ................... 5 4,824,168 2.0
1987 ................... 5 8,671,977 3.6
1988 ................... 3 1,989,517 0.8
1989 ................... 2 2,453,611 1.0
1990 ................... 3 3,355,029 1.4
1991 ................... 3 3,215,694 1.3
1992 ................... 5 11,124,003 4.6
1993 ................... 5 7,824,038 3.2
1994 ................... 15 35,659,199 14.7
1995 ................... 54 147,242,723 60.7
------------ ------------ ------------
Total ................ 107 $242,688,441 100.0%
============ ============ ============
</TABLE>
- ------------
(1) This loan is a fixed principal loan which amortizes over 654 months.
(See Appendix A--characteristics of the Mortgage Loans--Mortgage Loan
S-76
<PAGE>
Group 2, footnote 1).
(2) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for
Mortgage Loans which were modified by the Seller, the year in which
the first Scheduled Principal Payment was, or in the case of recently
modified Mortgage Loans, will be due, under such modification.
S-76
<PAGE>
DISTRIBUTION OF SEASONING OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
SEASONING CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0 ............... 3 $ 23,906,051 10.5% 0 $ 0 0.0%
1-12 ............ 55 138,821,481 60.8 0 0 0.0
13-24 ........... 11 28,706,322 12.6 2 1,915,058 13.3
25-36 ........... 3 7,263,984 3.2 2 560,055 3.9
37-48 ........... 2 4,403,089 1.9 3 6,720,914 46.8
49-60 ........... 3 3,215,694 1.4 0 0 0.0
61-72 ........... 2 2,173,631 1.0 1 1,181,398 8.2
73-84 ........... 2 2,453,611 1.1 0 0 0.0
85-96 ........... 1 812,135 0.4 1 730,392 5.1
97-108 .......... 5 7,767,328 3.4 1 1,813,280 12.6
109-120 ......... 3 3,199,685 1.4 1 715,853 5.0
121-132 ......... 2 2,072,480 0.9 1 723,755 5.0
181-192 ......... 1 779,936 0.3 0 0 0.0
217-228 ......... 2 2,752,310 1.2 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 19 months 59 months
Maximum ........ 227 months 126 months
Minimum ........ 0 months 20 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
SEASONING CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------
<S> <C> <C> <C>
0 ............... 3 $ 23,906,051 9.9%
1-12 ............ 55 138,821,481 57.2
13-24 ........... 13 30,621,380 12.6
25-36 ........... 5 7,824,038 3.2
37-48 ........... 5 11,124,003 4.6
49-60 ........... 3 3,215,694 1.3
61-72 ........... 3 3,355,029 1.4
73-84 ........... 2 2,453,611 1.0
85-96 ........... 2 1,542,527 0.6
97-108 .......... 6 9,580,608 3.9
109-120 ......... 4 3,915,537 1.6
121-132 ......... 3 2,796,235 1.2
181-192 ......... 1 779,936 0.3
217-228 ......... 2 2,752,310 1.1
------------ ------------ ------------
Total ......... 107 $242,688,441 100.0%
============ ============ ============
Weighted Average 22 months
Maximum ........ 227 months
Minimum ........ 0 months
</TABLE>
S-77
<PAGE>
FIXED RATE AND ADJUSTABLE RATE (BY INDEX)
MORTGAGE LOAN CONCENTRATIONS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
INDEX CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 Year CMT ........ 0 $ 0 0.0% 2 $ 1,770,810 12.3%
3 Year CMT ........ 2 2,122,382 0.9 2 5,694,271 39.7
5 Year CMT ........ 1 9,174,899 4.0 0 0 0.0
11th District COFI 11 11,453,228 5.0 4 4,279,531 29.8
Prime ............. 2 1,153,603 0.5 4 2,616,092 18.2
Fixed Rate ........ 79 204,423,624 89.5 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............ 95 $228,327,736 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
INDEX CUT-OFF DATE DATE DATE
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1 Year CMT ........ 2 $ 1,770,810 0.7%
3 Year CMT ........ 4 7,816,653 3.2
5 Year CMT ........ 1 9,174,899 3.8
11th District COFI 15 15,732,759 6.5
Prime ............. 6 3,769,695 1.6
Fixed Rate ........ 79 204,423,624 84.2
------------ ------------ ------------
Total ............ 107 $242,688,441 100.0%
============ ============ ============
</TABLE>
S-78
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
CURRENT INTEREST RATES AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6.501%-7.000% ........ 0 $ 0 0.0% 1 $ 9,174,899 81.2%
7.001%-7.500% ........ 8 8,504,175 74.3 0 0 0.0
7.501%-8.000% ........ 3 2,949,053 25.7 1 446,990 4.0
9.501%-10.000% ....... 0 0 0.0 1 1,675,392 14.8
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 7.472% 7.484%
Maximum ............. 7.679% 10.000%
Minimum ............. 7.391% 7.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6.501%-7.000% ........ 0 $ 0 0.0% 1 $ 9,174,899 38.4%
7.001%-7.500% ........ 0 0 0.0 8 8,504,175 35.6
7.501%-8.000% ........ 0 0 0.0 4 3,396,044 14.2
9.501%-10.000% ....... 2 1,153,603 100.0 3 2,828,995 11.8
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.868% 7.593%
Maximum ............. 10.000% 10.000%
Minimum ............. 9.750% 7.000%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% .. 0 $ 0 0.0% 0 $ 0 0.0%
1.251%-1.500% .. 0 0 0.0 0 0 0.0
2.001%-2.250% .. 7 6,851,492 59.8 0 0 0.0
2.251%-2.500% .. 4 4,601,737 40.2 1 446,990 4.0
2.751%-3.000% .. 0 0 0.0 2 10,850,291 96.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 2.329% 2.980%
Maximum ........ 2.500% 3.000%
Minimum ........ 2.250% 2.500%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% .. 1 $ 607,361 52.6% 1 $ 607,361 2.5%
1.251%-1.500% .. 1 546,242 47.4 1 546,242 2.3
2.001%-2.250% .. 0 0 0.0 7 6,851,492 28.7
2.251%-2.500% .. 0 0 0.0 5 5,048,727 21.1
2.751%-3.000% .. 0 0 0.0 2 10,850,291 45.4
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 1.237% 2.584%
Maximum ........ 1.500% 3.000%
Minimum ........ 1.000% 1.000%
</TABLE>
S-79
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $ 0 0.0% 3 $11,297,281 100.0%
Yes .................. 11 11,453,228 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 2 $1,153,603 100.0% 5 $12,450,884 52.1%
Yes .................. 0 0 0.0 11 11,453,228 47.9
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
RATE ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 .................... 11 $11,453,228 100.0% 0 $0 0.0%
12 ................... 0 0 0.0 0 0 0.0
36 ................... 0 0 0.0 2 2,122,382 18.8
60 ................... 0 0 0.0 1 9,174,899 81.2
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 1 month 55 months
Maximum ............. 1 month 60 months
Minimum ............. 1 month 36 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
RATE ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 .................... 1 $607,361 52.6% 12 $12,060,589 50.5%
12 ................... 1 546,242 47.4 1 546,242 2.3
36 ................... 0 0 0.0 2 2,122,382 8.9
60 ................... 0 0 0.0 1 9,174,899 38.4
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 6 months 27 months
Maximum ............. 12 months 60 months
Minimum ............. 1 month 1 month
</TABLE>
S-80
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE GROUP
1
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PAYMENT ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6 .................... 0 $0 0.0% 0 $0 0.0%
12 ................... 11 11,453,228 100.0 0 0 0.0
36 ................... 0 0 0.0 2 2,122,382 18.8
60 ................... 0 0 0.0 1 9,174,899 81.2
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 12 months 55 months
Maximum ............. 12 months 60 months
Minimum ............. 12 months 36 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PAYMENT ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6 .................... 1 $607,361 52.6% 1 $607,361 2.5%
12 ................... 1 546,242 47.4 12 11,999,470 50.2
36 ................... 0 0 0.0 2 2,122,382 8.9
60 ................... 0 0 0.0 1 9,174,899 38.4
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9 months 32 months
Maximum ............. 12 months 60 months
Minimum ............. 6 months 6 months
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 7 $ 6,812,998 59.5% 1 $ 9,174,899 81.2%
12.001%-14.000% . 2 2,947,436 25.7 0 0 0.0
14.001%-16.000% . 2 1,692,794 14.8 2 2,122,382 18.8
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 14.368% 15.842%
Maximum ......... 16.000% 16.000%
Minimum ......... 13.750% 15.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 2 $1,153,603 100.0% 10 $17,141,499 71.7%
12.001%-14.000% . 0 0 0.0 2 2,947,436 12.3
14.001%-16.000% . 0 0 0.0 4 3,815,177 16.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 14.831%
Maximum ......... 0.000% 16.000%
Minimum ......... 0.000% 13.750%
</TABLE>
S-81
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None .................. 7 $ 6,812,998 59.5% 1 $ 9,174,899 81.2%
2.001%-4.000% ......... 2 2,947,436 25.7 0 0 0.0
4.001%-6.000% ......... 2 1,692,794 14.8 1 446,990 4.0
8.001%-10.000% ........ 0 0 0 1 1,675,392 14.8
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 4.473% 9.00%
Maximum .............. 6.000% 10.000%
Minimum .............. 3.750% 5.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None .................. 2 $1,153,603 100.0% 10 $17,141,499 71.7%
2.001%-4.000% ......... 0 0 0.0 2 2,947,436 12.3
4.001%-6.000% ......... 0 0 0.0 3 2,139,785 9.0
8.001%-10.000% ........ 0 0 0.0 1 1,675,392 7.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 0.000% 5.894%
Maximum .............. 0.000% 10.000%
Minimum .............. 0.000% 3.750%
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 .. 11 $11,453,228 100.0% 0 $0 0.0%
January 1996 ... 0 0 0.0 0 0 0.0
April 1997 ...... 0 0 0.0 1 1,675,392 14.8
May 1997 ........ 0 0 0.0 1 446,990 4.0
October 2000 ... 0 0 0.0 1 9,174,899 81.2
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 11 $11,453,228 100.0% 3 $11,297,281 100.0%
============ ============ ============ ============ ============ ============
Weighted Average December 1995 February 2000
Maximum ........ December 1995 October 2000
Minimum ........ December 1995 April 1997
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 .. 1 $607,361 52.6% 12 $12,060,589 50.5%
January 1996 ... 1 546,242 47.4 1 546,242 2.3
April 1997 ...... 0 0 0.0 1 1,675,392 7.0
May 1997 ........ 0 0 0.0 1 446,990 1.9
October 2000 ... 0 0 0.0 1 9,174,899 38.4
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 2 $1,153,603 100.0% 16 $23,904,112 100.0%
============ ============ ============ ============ ============ ============
Weighted Average December 1995 December 1997
Maximum ........ January 1996 October 2000
Minimum ........ December 1995 December 1995
</TABLE>
S-82
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
CURRENT INTEREST RATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 1 $1,813,280 42.4% 0 $ 0 0.0%
7.501%-8.000% ........ 2 1,439,608 33.6 0 0 0.0
8.501%-9.000% ........ 0 0 0.0 1 730,392 9.8
9.001%-9.500% ........ 1 1,026,643 24.0 1 1,040,418 13.9
9.501%-10.000% ....... 0 0 0.0 2 5,694,271 76.3
10.001%-10.500% ...... 0 0 0.0 0 0 0.0
10.501%-11.000% ...... 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 8.023% 9.607%
Maximum ............. 9.500% 9.750%
Minimum ............. 7.391% 9.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 0 $0 0.0% 1 $ 1,813,280 12.6%
7.501%-8.000% ........ 0 0 0.0 2 1,439,608 10.0
8.501%-9.000% ........ 0 0 0.0 1 730,392 5.1
9.001%-9.500% ........ 0 0 0.0 2 2,067,061 14.4
9.501%-10.000% ....... 2 2,056,038 78.6 4 7,750,309 54.0
10.001%-10.500% ...... 1 328,749 12.6 1 328,749 2.3
10.501%-11.000% ...... 1 231,306 8.8 1 231,306 1.6
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.901% 9.189%
Maximum ............. 10.750% 10.750%
Minimum ............. 9.750% 7.391%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% .. 0 $ 0 0.0% 0 $ 0 0.0%
1.251%-1.500% .. 0 0 0.0 0 0 0.0
1.751%-2.000% .. 0 0 0.0 0 0 0.0
2.001%-2.250% .. 1 1,813,280 42.4 0 0 0.0
2.251%-2.500% .. 1 715,853 16.7 2 5,694,271 76.3
2.501%-2.750% .. 1 723,755 16.9 1 730,392 9.8
3.251%-3.500% .. 1 1,026,643 24.0 1 1,040,418 13.9
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 2.676% 2.664%
Maximum ........ 3.500% 3.500%
Minimum ........ 2.250% 2.500%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% .. 2 $2,056,038 78.6% 2 $ 2,056,038 14.3%
1.251%-1.500% .. 1 328,749 12.6 1 328,749 2.3
1.751%-2.000% .. 1 231,306 8.8 1 231,306 1.6
2.001%-2.250% .. 0 0 0.0 1 1,813,280 12.6
2.251%-2.500% .. 0 0 0.0 3 6,410,124 44.6
2.501%-2.750% .. 0 0 0.0 2 1,454,148 10.1
3.251%-3.500% .. 0 0 0.0 2 2,067,061 14.4
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 1.151% 2.392%
Maximum ........ 2.000% 3.500%
Minimum ........ 1.000% 1.000%
</TABLE>
S-83
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $ 0 0.0% 3 $6,424,663 86.1%
Yes .................. 4 4,279,531 100.0 1 1,040,418 13.9
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 4 $2,616,092 100.0% 7 $ 9,040,756 63.0%
Yes .................. 0 0 0.0 5 5,319,949 37.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
RATE ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 .................... 4 $4,279,531 100.0% 1 $730,392 9.8%
6 .................... 0 0 0.0 1 1,040,418 13.9
12 ................... 0 0 0.0 2 5,694,271 76.3
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 1 month 10 months
Maximum ............. 1 month 12 months
Minimum ............. 1 month 1 month
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
RATE ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 .................... 4 $2,616,092 100.0% 9 $7,626,015 53.1%
6 .................... 0 0 0.0 1 1,040,418 7.2
12 ................... 0 0 0.0 2 5,694,271 39.7
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 1 month 6 months
Maximum ............. 1 month 12 months
Minimum ............. 1 month 1 month
</TABLE>
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
FREQUENCY OF MORTGAGE NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
PAYMENT MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 .................... 0 $0 0.0% 1 $730,392 9.8%
12 ................... 4 4,279,531 100.0 3 6,734,690 90.2
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 12 months 11 months
Maximum ............. 12 months 12 months
Minimum ............. 12 months 1 month
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
S-84
<PAGE>
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
FREQUENCY OF MORTGAGE NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
PAYMENT MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
ADJUSTMENTS LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 .................... 4 $2,616,092 100.0% 5 $3,346,484 23.3%
12 ................... 0 0 0.0 7 11,014,220 76.7
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 1 months 9 months
Maximum ............. 1 months 12 months
Minimum ............. 1 month 1 month
</TABLE>
S-84
<PAGE>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None .................. 2 $1,439,608 33.6% 1 $ 730,392 9.8%
10.001%-12.000% ....... 0 0 0.0 2 5,694,271 76.3
12.001%-14.000% ....... 1 1,813,280 42.4 1 1,040,418 13.9
16.001%+ .............. 1 1,026,643 24.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 15.286% 12.154%
Maximum .............. 18.000% 13.000%
Minimum .............. 13.750% 12.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None .................. 4 $2,616,092 100.0% 7 $ 4,786,092 33.3%
10.001%-12.000% ....... 0 0 0.0 2 5,694,271 39.7
12.001%-14.000% ....... 0 0 0.0 2 2,853,698 19.9
16.001%+ .............. 0 0 0.0 1 1,026,643 7.1
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 0.000% 13.083%
Maximum .............. 0.000% 18.000%
Minimum .............. 0.000% 12.000%
</TABLE>
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None .................. 2 $1,439,608 33.6% 1 $ 730,392 9.8%
2.001%-4.000% ......... 1 1,813,280 42.4 0 0 0.0
4.001%-6.000% ......... 0 0 0.0 3 6,734,690 90.2
8.001%-10.000% ........ 1 1,026,643 24.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 5.829% 5.846%
Maximum .............. 9.500% 6.000%
Minimum .............. 3.750% 5.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None .................. 4 $2,616,092 100.0% 7 $ 4,786,092 33.3%
2.001%-4.000% ......... 0 0 0.0 1 1,813,280 12.6
4.001%-6.000% ......... 0 0 0.0 3 6,734,690 46.9
8.001%-10.000% ........ 0 0 0.0 1 1,026,643 7.1
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 0.000% 5.841%
Maximum .............. 0.000% 9.500%
Minimum .............. 0.000% 3.750%
</TABLE>
S-85
<PAGE>
<TABLE>
<CAPTION>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN GROUP 2
SCHEDULE OF RATE RESET DATES
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
November 1995 . 0 $ 0 0.0% 0 $ 0 0.0%
December 1995 . 4 4,279,531 100.0 0 0 0.0
March 1996 ..... 0 0 0.0 3 6,734,690 90.2
June 1996 ...... 0 0 0.0 1 730,392 9.8
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 4 $4,279,531 100.0% 4 $7,465,082 100.0%
============ ============ ============ ============ ============ ============
Weighted
Average ....... December 1995 March 1996
Maximum ....... December 1995 June 1996
Minimum ....... December 1995 March 1996
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN GROUP 2
SCHEDULE OF RATE RESET DATES
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
November 1995 . 1 $ 231,306 8.8% 1 $ 231,306 1.6%
December 1995 . 3 2,384,787 91.2 7 6,664,318 46.4
March 1996 ..... 0 0 0.0 3 6,734,690 46.9
June 1996 ...... 0 0 0.0 1 730,392 5.1
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 4 $2,616,092 100.0% 12 $14,360,705 100.0%
============ ============ ============ ============ ============ ============
Weighted
Average ....... December 1995 February 1996
Maximum ....... December 1995 June 1996
November 1995
Minimum ....... November 1995
</TABLE>
S-86
<PAGE>
OFFICE PROPERTIES
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ....... 3 $ 719,960 1.0% 2 $560,055 100.0%
$ 500,001-$1,000,000 ... 7 4,880,838 6.9 0 0 0.0
$1,000,001-$1,500,000 .. 1 1,093,824 1.5 0 0 0.0
$1,500,001-$2,000,000 .. 1 1,876,088 2.7 0 0 0.0
$2,000,001-$2,500,000 .. 1 2,377,962 3.4 0 0 0.0
$2,500,001-$3,000,000 .. 2 5,591,689 7.9 0 0 0.0
$3,000,001-$3,500,000 .. 1 3,239,158 4.6 0 0 0.0
$4,000,001-$4,500,000 .. 1 4,419,908 6.3 0 0 0.0
$4,500,001-$5,000,000 .. 1 4,720,437 6.7 0 0 0.0
$5,000,001-$5,500,000 .. 1 5,378,170 7.6 0 0 0.0
$6,000,001-$6,500,000 .. 1 6,456,318 9.1 0 0 0.0
$9,500,001-$10,000,000 . 1 10,000,000 14.2 0 0 0.0
$19,500,001-$20,000,000 1 19,859,060 28.1 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Average ................. $ 3,209,701 $280,027
Maximum ................ $19,859,060 $328,749
Minimum ................ $ 89,648 $231,306
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ....... 5 $ 1,280,014 1.8%
$ 500,001-$1,000,000 ... 7 4,880,838 6.9
$1,000,001-$1,500,000 .. 1 1,093,824 1.5
$1,500,001-$2,000,000 .. 1 1,876,088 2.6
$2,000,001-$2,500,000 .. 1 2,377,962 3.3
$2,500,001-$3,000,000 .. 2 5,591,689 7.9
$3,000,001-$3,500,000 .. 1 3,239,158 4.6
$4,000,001-$4,500,000 .. 1 4,419,908 6.2
$4,500,001-$5,000,000 .. 1 4,720,437 6.6
$5,000,001-$5,500,000 .. 1 5,378,170 7.6
$6,000,001-$6,500,000 .. 1 6,456,318 9.1
$9,500,001-$10,000,000 . 1 10,000,000 14.1
$19,500,001-$20,000,000 1 19,859,060 27.9
------------ ------------ ------------
Total ................. 24 $71,173,467 100.0%
============ ============ ============
Average ................. $ 2,965,561
Maximum ................ $19,859,060
Minimum ................ $ 89,648
</TABLE>
S-87
<PAGE>
OFFICE PROPERTIES
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.501%-8.000% ......... 3 $ 5,246,165 7.4% 0 $ 0 0.0%
8.001%-8.500% ......... 3 16,295,996 23.1 0 0 0.0
8.501%-9.000% ......... 4 27,660,835 39.2 0 0 0.0
9.001%-9.500% ......... 5 13,999,356 19.8 0 0 0.0
9.501%-10.000% ........ 6 6,475,892 9.2 0 0 0.0
10.001%-10.500% ....... 0 0 0.0 1 328,749 58.7
10.501%-11.000% ....... 0 0 0.0 1 231,306 41.3
11.001%-11.500% ....... 1 935,169 1.3 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 9.000% 10.457%
Maximum .............. 11.350% 10.750%
Minimum .............. 8.00% 10.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
7.501%-8.000% ......... 3 $ 5,246,165 7.4%
8.001%-8.500% ......... 3 16,295,996 22.9
8.501%-9.000% ......... 4 27,660,835 38.9
9.001%-9.500% ......... 5 13,999,356 19.7
9.501%-10.000% ........ 6 6,475,892 9.1
10.001%-10.500% ....... 1 328,749 0.5
10.501%-11.000% ....... 1 231,306 0.3
11.001%-11.500% ....... 1 935,169 1.3
------------ ------------ ------------
Total ............... 24 $71,173,467 100.0%
============ ============ ============
Weighted Average ...... 9.011%
Maximum .............. 11.350%
Minimum .............. 8.000%
</TABLE>
S-88
<PAGE>
OFFICE PROPERTIES
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
California .... 1 $10,000,000 14.2% 0 $ 0 0.0%
Connecticut .. 7 31,410,109 44.5 0 0 0.0
Massachusetts 5 6,701,625 9.5 2 560,055 100.0
Maryland ...... 1 840,881 1.2 0 0 0.0
New Jersey .... 4 9,132,693 12.9 0 0 0.0
New York ...... 1 6,456,318 9.1 0 0 0.0
Rhode Island . 2 3,693,824 5.2 0 0 0.0
South Carolina 1 2,377,962 3.4 0 0 0.0
-------------- -------------- -------------- -------------- -------------- --------------
Total ........ 22 $70,613,413 100.0% 2 $560,055 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
California .... 1 $10,000,000 14.1%
Connecticut .. 7 31,410,109 44.1
Massachusetts 7 7,261,680 10.2
Maryland ...... 1 840,881 1.2
New Jersey .... 4 9,132,693 12.8
New York ...... 1 6,456,318 9.1
Rhode Island . 2 3,693,824 5.2
South Carolina 1 2,377,962 3.3
-------------- -------------- --------------
Total ........ 24 $71,173,467 100.0%
============== ============== ==============
</TABLE>
COUNTIES OF MORTGAGED PROPERTIES IN CALIFORNIA
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Los Angeles County 1 $10,000,000 100.0% 0 $0 0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............ 1 $10,000,000 100.0% 0 $0 0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE
- ------------------ ------------ ------------ ------------
<S> <C> <C> <C>
Los Angeles County 1 $10,000,000 100.0%
------------ ------------ ------------
Total ............ 1 $10,000,000 100.0%
============ ============ ============
</TABLE>
S-89
<PAGE>
OFFICE PROPERTIES
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1994 ................................ 8 $23,536,164 33.3% 2 $560,055 100.0%
Underwriting 1995 ................... 14 47,077,249 66.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.801x to 0.900x .................... 1 $ 268,203 0.4% 0 $ 0 0.0%
0.901x to 1.000x .................... 0 0 0.0 1 231,306 41.3
1.001x to 1.100x .................... 1 362,108 0.5 0 0 0.0
1.101x to 1.200x .................... 3 9,769,449 13.8 0 0 0.0
1.201x to 1.300x .................... 3 4,238,026 6.0 0 0 0.0
1.301x to 1.400x .................... 6 15,840,073 22.4 0 0 0.0
1.401x to 1.500x .................... 2 1,869,463 2.6 0 0 0.0
1.501x to 1.600x .................... 3 30,405,302 43.1 0 0 0.0
1.601x to 1.700x .................... 1 4,419,908 6.3 0 0 0.0
1.701x to 1.800x .................... 0 0 0.0 1 328,749 58.7
2.201x to 2.300x .................... 1 840,881 1.2 0 0 0.0
2.301x to 2.400x .................... 1 2,600,000 3.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .................... 1.475x 1.460x
Maximum ............................ 2.312x 1.787x
Minimum ............................ 0.893x 0.994x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1994 ................................ 10 $24,096,219 33.9%
Underwriting 1995 ................... 14 47,077,249 66.1
------------ ------------ ------------
Total ............................. 24 $71,173,467 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.801x to 0.900x .................... 1 $ 268,203 0.4%
0.901x to 1.000x .................... 1 231,306 0.3
1.001x to 1.100x .................... 1 362,108 0.5
1.101x to 1.200x .................... 3 9,769,449 13.7
1.201x to 1.300x .................... 3 4,238,026 6.0
1.301x to 1.400x .................... 6 15,840,073 22.3
1.401x to 1.500x .................... 2 1,869,463 2.6
1.501x to 1.600x .................... 3 30,405,302 42.7
1.601x to 1.700x .................... 1 4,419,908 6.2
1.701x to 1.800x .................... 1 328,749 0.5
2.201x to 2.300x .................... 1 840,881 1.2
2.301x to 2.400x .................... 1 2,600,000 3.7
------------ ------------ ------------
Total ............................. 24 $71,173,467 100.0%
============ ============ ============
Weighted Average .................... 1.475x
Maximum ............................ 2.312x
Minimum ............................ 0.893x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-90
<PAGE>
OFFICE PROPERTIES
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ............................ 4 $ 8,573,919 12.6% 1 $231,306 41.3%
25-36 ............................ 0 0 0.0 1 328,749 58.7
37-48 ............................ 1 268,203 0.4 0 0 0.0
61-72 ............................ 1 6,456,318 9.5 0 0 0.0
73-84 ............................ 4 1,872,556 2.7 0 0 0.0
85-96 ............................ 2 3,375,639 5.0 0 0 0.0
109-120 .......................... 5 17,686,780 25.9 0 0 0.0
157-168 .......................... 2 24,579,498 36.0 0 0 0.0
169-180 .......................... 1 5,378,170 7.9 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 20 $68,191,082 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 121 months 25 months
Maximum ......................... 172 months 25 months
Minimum ......................... 14 months 24 months
FULLY AMORTIZING MORTGAGE LOANS
133-144 .......................... 1 $ 546,242 22.6% 0 $0 0.0%
(is greater than or equal to) 181 1 1,876,088 77.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 2 $ 2,422,330 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 297 months 0 months
Maximum ......................... 344 months 0 months
Minimum ......................... 134 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ............................ 5 $ 8,805,225 12.8%
25-36 ............................ 1 328,749 0.5
37-48 ............................ 1 268,203 0.4
61-72 ............................ 1 6,456,318 9.4
73-84 ............................ 4 1,872,556 2.7
85-96 ............................ 2 3,375,639 4.9
109-120 .......................... 5 17,686,780 25.7
157-168 .......................... 2 24,579,498 35.8
169-180 .......................... 1 5,378,170 7.8
------------ ------------ ------------
Total .......................... 22 $68,751,137 100.0%
============ ============ ============
Weighted Average ................. 120 months
Maximum ......................... 172 months
Minimum ......................... 14 months
FULLY AMORTIZING MORTGAGE LOANS
133-144 .......................... 1 $ 546,242 22.6%
(is greater than or equal to) 181 1 1,876,088 77.4
------------ ------------ ------------
Total .......................... 2 $ 2,422,330 100.0%
============ ============ ============
Weighted Average ................. 297 months
Maximum ......................... 344 months
Minimum ......................... 134 months
</TABLE>
S-91
<PAGE>
OFFICE PROPERTIES
DISTRIBUTION OF OCCUPANCY PERCENTAGE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
70.01 - 75.00% ...... 1 $ 775,639 1.1% 0 $ 0 0.0%
75.01 - 80.00 ....... 1 6,456,318 9.1 0 0 0.0
80.01 - 85.00 ....... 4 9,487,518 13.4 0 0 0.0
90.01 - 95.00 ....... 4 35,277,486 50.0 1 231,306 41.3
95.01 - 100.00% .... 12 18,616,452 26.4 1 328,749 58.7
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 92% 97%
Maximum ............ 100% 100%
Minimum ............ 75% 93%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
70.01 - 75.00% ...... 1 $ 775,639 1.1%
75.01 - 80.00 ....... 1 6,456,318 9.1
80.01 - 85.00 ....... 4 9,487,518 13.3
90.01 - 95.00 ....... 5 35,508,791 49.9
95.01 - 100.00% .... 13 18,945,201 26.6
------------ ------------ ------------
Total ............. 24 $71,173,467 100.0%
============ ============ ============
Weighted Average ... 92%
Maximum ............ 100%
Minimum ............ 75%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 - 60 months .. 4 $ 4,422,215 6.3% 2 $560,055 100.0%
61 - 120 months 11 29,725,687 42.1 0 0 0.0
121 - 180 months 5 34,043,181 48.2 0 0 0.0
181 - 240 months 1 546,242 0.8 0 0 0.0
301 - 360 months 1 1,876,088 2.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 143 months 57 months
Maximum ........ 360 months 60 months
Minimum ........ 36 months 53 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------
<S> <C> <C> <C>
1 - 60 months .. 6 $ 4,982,270 7.0%
61 - 120 months 11 29,725,687 41.8
121 - 180 months 5 34,043,181 47.8
181 - 240 months 1 546,242 0.8
301 - 360 months 1 1,876,088 2.6
------------ ------------ ------------
Total ......... 24 $71,173,467 100.0%
============ ============ ============
Weighted Average 142 months
Maximum ........ 360 months
Minimum ........ 36 months
</TABLE>
S-92
<PAGE>
OFFICE PROPERTIES
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
61 - 120 months . 1 $ 362,108 0.5% 0 $0 0.0%
121 - 180 months 1 935,169 1.3 1 231,306 41.3
181 - 240 months 3 1,655,326 2.3 1 328,749 58.7
241 - 300 months 3 15,195,547 21.5 0 0 0.0
301 - 360 months 14 52,465,263 74.3 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 336 months 215 months
Maximum ......... 360 months 240 months
Minimum ......... 120 months 180 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
61 - 120 months . 1 $ 362,108 0.5%
121 - 180 months 2 1,166,474 1.6
181 - 240 months 4 1,984,075 2.8
241 - 300 months 3 15,195,547 21.4
301 - 360 months 14 52,465,263 73.7
------------ ------------ ------------
Total .......... 24 $71,173,467 100.0%
============ ============ ============
Weighted Average 335 months
Maximum ......... 360 months
Minimum ......... 120 months
</TABLE>
S-93
<PAGE>
OFFICE PROPERTIES
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1987 .......................... 2 $ 4,966,150 7.0% 0 $ 0 0.0%
1992 .......................... 1 840,881 1.2 0 0 0.0
1993 .......................... 0 0 0.0 2 560,055 100.0
1994 .......................... 6 16,634,178 23.6 0 0 0.0
1995 .......................... 13 48,172,204 68.2 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ....................... 22 $70,613,413 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE
- ------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1987 .......................... 2 $ 4,966,150 7.0%
1992 .......................... 1 840,881 1.2
1993 .......................... 2 560,055 0.8
1994 .......................... 6 16,634,178 23.4
1995 .......................... 13 48,172,204 67.7
------------ ------------ ------------
Total ....................... 24 $71,173,467 100.0%
============ ============ ============
</TABLE>
- ------------
(1) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for Mortgage
Loans which were modified by the Seller, the year in which the first
Scheduled Principal Payment was, or in the case of recently modified Mortgage
Loans, will be due, under such modification.
S-94
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
10.000% .............. 0 $0 0% 0 $0 0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0% 0 $0 0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
10.000% .............. 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1.500% ...... 0 $0 0% 0 $0 0%
------------ ------------ ------------ ------------ ------------ ------------
Total ...... 0 $0 0% 0 $0 0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1.500% ...... 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ...... 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0% 0 $0 0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0% 0 $0 0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-95
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ........... 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ........... 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ........... 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ........... 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-96
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEXT RATE RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
January 1996 ........ 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEXT RATE RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
January 1996 ........ 1 $546,242 100.0% 1 $546,242 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $546,242 100.0% 1 $546,242 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-97
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
10.001%-10.500% ...... 0 $ 0 0.0% 0 $ 0 0.0%
10.501%-11.000% ...... 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $ 0 0.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 0.000%
Maximum ............. 0.000% 0.000%
Minimum ............. 0.000% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
10.001%-10.500% ...... 1 $328,749 58.7% 1 $328,749 58.7%
10.501%-11.000% ...... 1 231,306 41.3 1 231,306 41.3
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 10.457% 10.457%
Maximum ............. 10.750% 10.750%
Minimum ............. 10.250% 10.250%
</TABLE>
GROSS MARGIN
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1.251%-1.500% .. 0 $ 0 0.0% 0 $ 0 0.0%
1.751%-2.000% .. 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $ 0 0.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 0.000%
Maximum ........ 0.000% 0.000%
Minimum ........ 0.000% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1.251%-1.500% .. 1 $328,749 58.7% 1 $328,749 58.7%
1.751%-2.000% .. 1 231,306 41.3 1 231,306 41.3
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 1.707% 1.707%
Maximum ........ 2.000% 2.000%
Minimum ........ 1.500% 1.500%
</TABLE>
S-98
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
No ................... 2 $560,055 100.0% 2 $560,055 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 Month ............. 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 Month ............. 2 $560,055 100.0% 2 $560,055 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-99
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 2 $560,055 100.0% 2 $560,055 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 2 $560,055 100.0% 2 $560,055 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-100
<PAGE>
OFFICE PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $0 0.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 2 $560,055 100.0% 2 $560,055 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE RESET LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
November 1995 ...... 0 $0 0.0% 0 $0 0.0%
December 1995 ...... 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .. -- --
Maximum ........... -- --
Minimum ........... -- --
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE RESET LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
November 1995 ...... 1 $231,306 41.3% 1 $231,306 41.3%
December 1995 ...... 1 328,749 58.7 1 328,749 58.7
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 2 $560,055 100.0% 2 $560,055 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .. December 1995 December 1995
Maximum ........... December 1995 December 1995
Minimum ........... November 1995 November 1995
</TABLE>
S-101
<PAGE>
RETAIL PROPERTIES
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ...................... 4 $ 1,430,260 2.6% 0 $ 0 0.0%
$ 500,001-$1,000,000 ................... 2 1,705,458 3.1 1 874,640 45.7
$1,000,001-$1,500,000 .................. 3 4,229,144 7.8 1 1,040,418 54.3
$1,500,001-$2,000,000 .................. 2 3,675,392 6.8 0 0 0.0
$2,000,001-$2,500,000 .................. 1 2,449,867 4.5 0 0 0.0
$2,500,001-$3,000,000 .................. 2 5,819,637 10.7 0 0 0.0
$3,500,001-$4,000,000 .................. 4 14,911,487 27.5 0 0 0.0
$4,500,001-$5,000,000 .................. 1 4,723,080 8.7 0 0 0.0
$5,000,001-$5,500,000 .................. 1 5,329,082 9.8 0 0 0.0
$9,500,001-$10,000,000 ................. 1 10,000,000 18.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................................ 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Average ................................ $ 2,584,448 $ 957,529
Maximum ............................... $10,000,000 $1,040,418
Minimum ............................... $ 267,637 $ 874,640
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF
BALANCE CUT-OFF DATE DATE DATE
- --------------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ...................... 4 $ 1,430,260 2.5%
$ 500,001-$1,000,000 ................... 3 2,580,098 4.6
$1,000,001-$1,500,000 .................. 4 5,269,562 9.4
$1,500,001-$2,000,000 .................. 2 3,675,392 6.5
$2,000,001-$2,500,000 .................. 1 2,449,867 4.4
$2,500,001-$3,000,000 .................. 2 5,819,637 10.4
$3,500,001-$4,000,000 .................. 4 14,911,487 26.5
$4,500,001-$5,000,000 .................. 1 4,723,080 8.4
$5,000,001-$5,500,000 .................. 1 5,329,082 9.5
$9,500,001-$10,000,000 ................. 1 10,000,000 17.8
------------ ------------ ------------
Total ................................ 23 $56,188,464 100.0%
============ ============ ============
Average ................................ $ 2,442,977
Maximum ............................... $10,000,000
Minimum ............................... $ 267,637
</TABLE>
S-102
<PAGE>
RETAIL PROPERTIES
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.501%-8.000% ......... 1 $ 446,990 0.8% 0 $ 0 0.0%
8.001%-8.500% ......... 1 2,821,578 5.2 0 0 0.0
8.501%-9.000% ......... 7 22,025,426 40.6 0 0 0.0
9.001%-9.500% ......... 7 19,000,066 35.0 1 1,040,418 54.3
9.501%-10.000% ........ 4 8,709,932 16.0 1 874,640 45.7
10.001%-10.500% ....... 1 1,269,413 2.3 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 9.254% 9.478%
Maximum .............. 10.500% 9.750%
Minimum .............. 8.000% 9.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
7.501%-8.000% ......... 1 $ 446,990 0.8%
8.001%-8.500% ......... 1 2,821,578 5.0
8.501%-9.000% ......... 7 22,025,426 39.2
9.001%-9.500% ......... 8 20,040,484 35.7
9.501%-10.000% ........ 5 9,584,572 17.1
10.001%-10.500% ....... 1 1,269,413 2.3
------------ ------------ ------------
Total ............... 23 $56,188,464 100.0%
============ ============ ============
Weighted Average ...... 9.261%
Maximum .............. 10.500%
Minimum .............. 8.000%
</TABLE>
S-103
<PAGE>
RETAIL PROPERTIES
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
California .... 3 $ 7,300,000 13.5% 1 $1,040,418 54.3%
Connecticut .. 1 446,990 0.8 1 874,640 45.7
Georgia ....... 2 5,275,392 9.7 0 0 0.0
Maryland ...... 1 10,000,000 18.4 0 0 0.0
Massachusetts 3 5,683,986 10.5 0 0 0.0
Minnesota ..... 1 2,821,578 5.2 0 0 0.0
New Hampshire 1 447,852 0.8 0 0 0.0
New Jersey .... 1 2,998,059 5.5 0 0 0.0
New York ...... 4 3,264,562 6.0 0 0 0.0
Pennsylvania . 3 10,705,905 19.7 0 0 0.0
South Dakota . 1 5,329,082 9.8 0 0 0.0
-------------- -------------- -------------- -------------- -------------- --------------
Total ........ 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
California .... 4 $ 8,340,418 14.8%
Connecticut .. 2 1,321,630 2.4
Georgia ....... 2 5,275,392 9.4
Maryland ...... 1 10,000,000 17.8
Massachusetts 3 5,683,986 10.1
Minnesota ..... 1 2,821,578 5.0
New Hampshire 1 447,852 0.8
New Jersey .... 1 2,998,059 5.3
New York ...... 4 3,264,562 5.8
Pennsylvania . 3 10,705,905 19.1
South Dakota . 1 5,329,082 9.5
-------------- -------------- --------------
Total ........ 23 $56,188,464 100.0%
============== ============== ==============
</TABLE>
COUNTIES OF MORTGAGED PROPERTIES IN CALIFORNIA
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Kern County ............ 1 $3,800,000 52.1% 0 $ 0 0.0%
Riverside County ....... 1 2,000,000 27.4 0 0 0.0
San Bernardino County . 1 1,500,000 20.5 0 0 0.0
San Luis Obispo County 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 3 $7,300,000 100.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE
- ----------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Kern County ............ 1 $3,800,000 45.6%
Riverside County ....... 1 2,000,000 24.0
San Bernardino County . 1 1,500,000 18.0
San Luis Obispo County 1 1,040,418 12.5
------------ ------------ ------------
Total ................. 4 $8,340,418 100.0%
============ ============ ============
</TABLE>
S-104
<PAGE>
RETAIL PROPERTIES
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1994 ................................ 3 $ 5,895,777 10.9% 0 $ 0 0.0%
Pro Forma ........................... 0 0 0.0 1 1,040,418 54.3
Underwriting 1995 ................... 18 48,377,629 89.1 1 874,640 45.7
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.901x to 1.000x .................... 1 $ 267,637 0.5% 0 $ 0 0.0%
1.001x to 1.100x .................... 1 1,269,413 2.3 0 0 0.0
1.101x to 1.200x .................... 6 10,334,000 19.0 1 874,640 45.7
1.201x to 1.300x .................... 3 9,496,310 17.5 0 0 0.0
1.301x to 1.400x .................... 4 14,309,966 26.4 0 0 0.0
1.401x to 1.500x .................... 2 13,600,000 25.1 0 0 0.0
1.501x to 1.600x .................... 3 3,536,349 6.5 1 1,040,418 54.3
1.701x to 1.800x .................... 1 1,459,730 2.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .................... 1.331x 1.363x
Maximum ............................ 1.792x 1.552x
Minimum ............................ 0.959x 1.138x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1994 ................................ 3 $ 5,895,777 10.5%
Pro Forma ........................... 1 1,040,418 1.9
Underwriting 1995 ................... 19 49,252,268 87.7
------------ ------------ ------------
Total ............................. 23 $56,188,464 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.901x to 1.000x .................... 1 $ 267,637 0.5%
1.001x to 1.100x .................... 1 1,269,413 2.3
1.101x to 1.200x .................... 7 11,208,640 19.9
1.201x to 1.300x .................... 3 9,496,310 16.9
1.301x to 1.400x .................... 4 14,309,966 25.5
1.401x to 1.500x .................... 2 13,600,000 24.2
1.501x to 1.600x .................... 4 4,576,767 8.1
1.701x to 1.800x .................... 1 1,459,730 2.6
------------ ------------ ------------
Total ............................. 23 $56,188,464 100.0%
============ ============ ============
Weighted Average .................... 1.332x
Maximum ............................ 1.792x
Minimum ............................ 0.959x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-105
<PAGE>
RETAIL PROPERTIES
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ............................ 1 $2,821,578 6.0% 0 $0 0.0%
37-48 ............................ 0 0 0.0 1 874,640 45.7
49-60 ............................ 5 10,029,144 21.4 0 0 0.0
61-72 ............................ 2 3,800,596 8.1 1 1,040,418 54.3
73-84 ............................ 4 5,667,390 12.1 0 0 0.0
97-108 ........................... 1 732,228 1.6 0 0 0.0
109-120 .......................... 5 23,771,005 50.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 18 $46,821,942 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 88 months 53 months
Maximum ......................... 120 months 64 months
Minimum ......................... 14 months 40 months
FULLY AMORTIZING MORTGAGE LOANS
(is greater than or equal to) 181 3 $7,451,464 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 3 $7,451,464 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 281 months 0 months
Maximum ......................... 286 months 0 months
Minimum ......................... 210 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ............................ 1 $2,821,578 5.8%
37-48 ............................ 1 874,640 1.8
49-60 ............................ 5 10,029,144 20.6
61-72 ............................ 3 4,841,014 9.9
73-84 ............................ 4 5,667,390 11.6
97-108 ........................... 1 732,228 1.5
109-120 .......................... 5 23,771,005 48.8
------------ ------------ ------------
Total .......................... 20 $48,737,000 100.0%
============ ============ ============
Weighted Average ................. 87 months
Maximum ......................... 120 months
Minimum ......................... 14 months
FULLY AMORTIZING MORTGAGE LOANS
(is greater than or equal to) 181 3 $7,451,464 100.0%
------------ ------------ ------------
Total .......................... 3 $7,451,464 100.0%
============ ============ ============
Weighted Average ................. 281 months
Maximum ......................... 286 months
Minimum ......................... 210 months
</TABLE>
S-106
<PAGE>
RETAIL PROPERTIES
DISTRIBUTION OF OCCUPANCY PERCENTAGE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Less than 50.00% ... 2 $ 999,866 1.8% 0 $ 0 0.0%
60.01 - 65.00 ....... 1 1,500,000 2.8 1 1,040,418 54.3
65.01 - 70.00 ....... 1 2,998,059 5.5 0 0 0.0
80.01 - 85.00 ....... 1 5,329,082 9.8 0 0 0.0
85.01 - 90.00 ....... 4 9,299,342 17.1 0 0 0.0
90.01 - 95.00 ....... 1 3,600,000 6.6 1 874,640 45.7
95.01 - 100.00% .... 11 30,547,057 56.3 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 91% 77%
Maximum ............ 100% 92%
Minimum ............ 31% 65%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Less than 50.00% ... 2 $ 999,866 1.8%
60.01 - 65.00 ....... 2 2,540,418 4.5
65.01 - 70.00 ....... 1 2,998,059 5.3
80.01 - 85.00 ....... 1 5,329,082 9.5
85.01 - 90.00 ....... 4 9,299,342 16.6
90.01 - 95.00 ....... 2 4,474,640 8.0
95.01 - 100.00% .... 11 30,547,057 54.4
------------ ------------ ------------
Total ............. 23 $56,188,464 100.0%
============ ============ ============
Weighted Average ... 90%
Maximum ............ 100%
Minimum ............ 31%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 - 60 months .. 5 $11,581,308 21.3% 1 $874,640 45.7%
61 - 120 months 11 28,067,687 51.7 1 1,040,418 54.3
121 - 180 months 2 7,172,947 13.2 0 0 0.0
241 - 300 months 2 5,776,072 10.6 0 0 0.0
301 - 360 months 1 1,675,392 3.1 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 125 months 73 months
Maximum ........ 360 months 84 months
Minimum ........ 24 months 60 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------
<S> <C> <C> <C>
1 - 60 months .. 6 $12,455,948 22.2%
61 - 120 months 12 29,108,105 51.8
121 - 180 months 2 7,172,947 12.8
241 - 300 months 2 5,776,072 10.3
301 - 360 months 1 1,675,392 3.0
------------ ------------ ------------
Total ......... 23 $56,188,464 100.0%
============ ============ ============
Weighted Average 123 months
Maximum ........ 360 months
Minimum ........ 24 months
</TABLE>
S-107
<PAGE>
RETAIL PROPERTIES
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Interest Only ... 1 $10,000,000 18.4% 0 $0 0.0%
181 - 240 months 2 4,802,372 8.8 0 0 0.0
241 - 300 months 6 15,897,650 29.3 0 0 0.0
301 - 360 months 12 23,573,383 43.4 1 1,040,418 54.3
361+ months ...... 0 0 0.0 1 874,640 45.7
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 263 months 457 months
Maximum ......... 360 months 573 months
Minimum ......... 0 months 360 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
Interest Only ... 1 $10,000,000 17.8%
181 - 240 months 2 4,802,372 8.5
241 - 300 months 6 15,897,650 28.3
301 - 360 months 13 24,613,801 43.8
361+ months ...... 1 874,640 1.6
------------ ------------ ------------
Total .......... 23 $56,188,464 100.0%
============ ============ ============
Weighted Average 270 months
Maximum ......... 573 months
Minimum ......... 0 months
</TABLE>
S-108
<PAGE>
RETAIL PROPERTIES
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
YEAR OF FIRST PRINCIPAL PAYMENT DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Interest only ....................... 1 $10,000,000 18.4% 0 $ 0 0.0%
1988 ................................ 1 446,990 0.8 0 0 0.0
1989 ................................ 1 1,675,392 3.1 0 0 0.0
1990 ................................ 1 1,269,413 2.3 0 0 0.0
1994 ................................ 1 5,329,082 9.8 2 1,915,058 100.0
1995 ................................ 16 35,552,528 65.5 0 0 0.0
------------ ------------ ------------ ------------ ------------
Total ............................. 21 $54,273,406 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
YEAR OF FIRST PRINCIPAL PAYMENT DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
Interest only ....................... 1 $10,000,000 17.8%
1988 ................................ 1 446,990 0.8
1989 ................................ 1 1,675,392 3.0
1990 ................................ 1 1,269,413 2.3
1994 ................................ 3 7,244,140 12.9
1995 ................................ 16 35,552,528 63.3
------------ ------------ ------------
Total ............................. 23 $56,188,464 100.0%
============ ============ ============
</TABLE>
- ------------
(1) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for Mortgage
Loans which were modified by the Seller, the year in which the first
Scheduled Principal Payment was, or in the case of recently modified Mortgage
Loans, will be due, under such modification.
S-109
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.501%-8.000% ........ 0 $ 0 0.0% 1 $ 446,990 21.1%
9.501%-10.000% ....... 0 0 0.0 1 1,675,392 78.9
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $ 0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 9.579%
Maximum ............. 0.000% 10.000%
Minimum ............. 0.000% 8.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.501%-8.000% ........ 0 $0 0.0% 1 $446,990 21.1%
9.501%-10.000% ....... 0 0 0.0 1 1,675,392 78.9
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 9.579%
Maximum ............. 0.000% 10.000%
Minimum ............. 0.000% 8.000%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.251%-2.500% .. 0 $ 0 0.0% 1 $ 446,990 21.1%
2.751%-3.000% .. 0 0 0.0 1 1,675,392 78.9
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $ 0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 2.895%
Maximum ........ 0.000% 3.000%
Minimum ........ 0.000% 2.500%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.251%-2.500% .. 0 $0 0.0% 1 $ 446,990 21.1%
2.751%-3.000% .. 0 0 0.0 1 1,675,392 78.9
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 2.895%
Maximum ........ 0.000% 3.000%
Minimum ........ 0.000% 2.500%
</TABLE>
S-110
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
FREQUENCY OF NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
36 months .. 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ..... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
FREQUENCY OF NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
36 months .. 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ..... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-111
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
FREQUENCY OF NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PAYMENT LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
36 months ...... 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
FREQUENCY OF NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PAYMENT LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
36 months ...... 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
14.001%-16.000% . 0 $ 0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $ 0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 15.842%
Maximum ......... 0.000% 16.000%
Minimum ......... 0.000% 15.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
14.001%-16.000% . 0 $0 0.0% 2 $2,122,382 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 15.842%
Maximum ......... 0.000% 16.000%
Minimum ......... 0.000% 15.250%
</TABLE>
S-112
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
4.001%-6.000% ... 0 $ 0 0.0% 1 $ 446,990 21.1%
8.001%-10.000% .. 0 0 0.0 1 1,675,392 78.9
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $ 0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 9.000%
Maximum ......... 0.000% 10.000%
Minimum ......... 0.000% 5.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
4.001%-6.000% ... 0 $0 0.0% 1 $ 446,990 21.1%
8.001%-10.000% .. 0 0 0.0 1 1,675,392 78.9
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 9.000%
Maximum ......... 0.000% 10.000%
Minimum ......... 0.000% 5.250%
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE RESET LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
April 1997 ...... 0 $0 0.0% 1 $1,675,392 78.9%
May 1997 ........ 0 0 0.0 1 446,990 21.1
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average -- April 1997
Maximum ........ -- May 1997
Minimum ........ -- April 1997
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE RESET LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
April 1997 ...... 0 $0 0.0% 1 $1,675,392 78.9%
May 1997 ........ 0 0 0.0 1 446,990 21.1
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $0 0.0% 2 $2,122,382 100.0%
============ ============ ============ ============ ============ ============
Weighted Average -- April 1997
Maximum ........ -- May 1997
Minimum ........ -- April 1997
</TABLE>
S-113
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
9.001%-9.500% ........ 0 $ 0 0.0% 1 $1,040,418 100.0%
9.501%-10.000% ....... 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $ 0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 9.250%
Maximum ............. 0.000% 9.250%
Minimum ............. 0.000% 9.250%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
9.001%-9.500% ........ 0 $0 0.0% 1 $1,040,418 54.3%
9.501%-10.000% ....... 1 874,640 100.0 1 874,640 45.7
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.750% 9.478%
Maximum ............. 9.750% 9.750%
Minimum ............. 9.750% 9.250%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% ... 0 $ 0 0.0% 0 $ 0 0.0%
3.251%-3.500% ... 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $ 0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 3.500%
Maximum ......... 0.000% 3.500%
Minimum ......... 0.000% 3.500%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% ... 1 $874,640 100.0% 1 $ 874,640 45.7%
3.251%-3.500% ... 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 1.000% 2.358%
Maximum ......... 1.000% 3.500%
Minimum ......... 1.000% 1.000%
</TABLE>
S-114
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 0 $ 0 0.0%
Yes .................. 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------------------------------
-
APPROXIMATE % OF APPROXIMATE
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF % OF SCHEDULED PRINCIPAL BALANCE
AS
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE OF CUT-OFF DATE
- --------------------- ------------ ------------ ------------ ------------ ------------
-------------------------------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 1 $874,640 100.0% 1 $874,640 45.7%
Yes .................. 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------
-------------------------------------
Total .............. 1 $874,640 100.0% 2 $1,915,058 100.0%
Frequency of Mortgage Rate Adjustments
=================================================================================================================
=================================================================================================================
=================================================================================================================
=================================================================================================================
=================================================================================================================
================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $0 0.0% 0 $0 0.0%
6 months ............ 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 0 months 6 months
Maximum ............ 0 months 6 months
Minimum ............ 0 months 6 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 1 $874,640 100.0% 1 $874,640 45.7%
6 months ............ 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 1 month 4 months
Maximum ............ 1 month 6 months
Minimum ............ 1 month 1 month
</TABLE>
S-115
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $0 0.0% 0 $0 0.0%
12 months ........... 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 0 months 12 months
Maximum ............ 0 months 12 months
Minimum ............ 0 months 12 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 1 $874,640 100.0% 1 $874,640 45.7%
12 months ........... 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 1 month 7 months
Maximum ............ 1 month 12 months
Minimum ............ 1 month 1 month
</TABLE>
LIFETIME MORTGAGE RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $ 0 0.0% 0 $ 0 0.0%
12.001%-14.000% . 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $ 0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 13.000%
Maximum ......... 0.000% 13.000%
Minimum ......... 0.000% 13.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
None ............. 1 $874,640 100.0% 1 $874,640 45.7%
12.001%-14.000% . 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 13.000%
Maximum ......... 0.000% 13.000%
Minimum ......... 0.000% 13.000%
</TABLE>
S-116
<PAGE>
RETAIL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $ 0 0.0% 0 $ 0 0.0%
4.001%-6.000% ... 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $ 0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 5.000%
Maximum ......... 0.000% 5.000%
Minimum ......... 0.000% 5.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $874,640 100.0% 1 $ 874,640 45.7%
4.001%-6.000% ... 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 5.000%
Maximum ......... 0.000% 5.000%
Minimum ......... 0.000% 5.000%
</TABLE>
SCHEDULE OF RATE RESET DATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEXT RATE RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 ....... 0 $0 0.0% 0 $0 0.0%
March 1996 .......... 0 0 0.0 1 1,040,418 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 1 $1,040,418 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... -- March 1996
Maximum ............ -- March 1996
Minimum ............ -- March 1996
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEXT RATE RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 ....... 1 $874,640 100.0% 1 $874,640 45.7%
March 1996 .......... 0 0 0.0 1 1,040,418 54.3
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $874,640 100.0% 2 $1,915,058 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... December 1995 February 1996
Maximum ............ December 1995 March 1996
Minimum ............ December 1995 December 1995
</TABLE>
S-117
<PAGE>
INDUSTRIAL PROPERTIES
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ....... 6 $ 1,897,489 3.9% 0 $ 0 0.0%
$ 500,000-$1,000,000 ... 3 2,221,965 4.5 2 1,439,608 32.5
$1,000,001-$1,500,000 .. 0 0 0.0 1 1,181,398 26.6
$1,500,001-$2,000,000 .. 1 1,528,092 3.1 1 1,813,280 40.9
$2,000,001-$2,500,000 .. 1 2,490,022 5.1 0 0 0.0
$2,500,001-$3,000,000 .. 2 5,617,251 11.5 0 0 0.0
$3,500,001-$4,000,000 .. 1 3,562,209 7.3 0 0 0.0
$6,000,001-$6,500,000 .. 1 6,479,359 13.2 0 0 0.0
$7,500,001-$8,000,000 .. 2 15,967,578 32.6 0 0 0.0
$9,000,001-$9,500,000 .. 1 9,174,899 18.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Average ................. $ 2,718,826 $1,108,571
Maximum ................ $ 9,174,899 $1,813,280
Minimum ................ $ 89,648 $ 715,853
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ....... 6 $ 1,897,489 3.6%
$ 500,000-$1,000,000 ... 5 3,661,573 6.9
$1,000,001-$1,500,000 .. 1 1,181,398 2.2
$1,500,001-$2,000,000 .. 2 3,341,372 6.3
$2,000,001-$2,500,000 .. 1 2,490,022 4.7
$2,500,001-$3,000,000 .. 2 5,617,251 10.5
$3,500,001-$4,000,000 .. 1 3,562,209 6.7
$6,000,001-$6,500,000 .. 1 6,479,359 12.1
$7,500,001-$8,000,000 .. 2 15,967,578 29.9
$9,000,001-$9,500,000 .. 1 9,174,899 17.2
------------ ------------ ------------
Total ................. 22 $53,373,149 100.0%
============ ============ ============
Average ................. $ 2,426,052
Maximum ................ $ 9,174,899
Minimum ................ $ 89,648
</TABLE>
S-118
<PAGE>
INDUSTRIAL PROPERTIES
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE INTEREST LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6.501%-7.000% ........ 1 $ 9,174,899 18.7% 0 $ 0 0.0%
7.001%-7.500% ........ 0 0 0.0 1 1,813,280 40.9
7.501%-8.000% ........ 3 22,446,937 45.9 2 1,439,608 32.5
8.501%-9.000% ........ 3 3,975,586 8.1 0 0 0.0
9.001%-9.500% ........ 2 3,162,216 6.5 0 0 0.0
9.501%-10.000% ....... 9 10,179,225 20.8 1 1,181,398 26.6
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 8.384% 8.141%
Maximum ............. 10.000% 9.750%
Minimum ............. 7.000% 7.391%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
MORTGAGE INTEREST LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------
<S> <C> <C> <C>
6.501%-7.000% ........ 1 $ 9,174,899 17.2%
7.001%-7.500% ........ 1 1,813,280 3.4
7.501%-8.000% ........ 5 23,886,545 44.8
8.501%-9.000% ........ 3 3,975,586 7.4
9.001%-9.500% ........ 2 3,162,216 5.9
9.501%-10.000% ....... 10 11,360,623 21.3
------------ ------------ ------------
Total .............. 22 $53,373,149 100.0%
============ ============ ============
Weighted Average .... 8.364%
Maximum ............. 10.000%
Minimum ............. 7.000%
</TABLE>
S-119
<PAGE>
INDUSTRIAL PROPERTIES
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
California .... 2 $14,463,148 29.6% 3 $3,252,888 73.4%
Colorado ...... 1 7,983,789 16.3 0 0 0.0
Connecticut .. 3 681,636 1.4 1 1,181,398 26.6
Kentucky ...... 1 352,963 0.7 0 0 0.0
Massachusetts 5 7,957,426 16.3 0 0 0.0
New Jersey .... 1 834,669 1.7 0 0 0.0
New York ...... 2 3,148,190 6.4 0 0 0.0
Pennsylvania . 1 9,174,899 18.7 0 0 0.0
Utah .......... 1 779,936 1.6 0 0 0.0
Virginia ...... 1 3,562,209 7.3 0 0 0.0
-------------- -------------- -------------- -------------- -------------- --------------
Total ........ 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
California .... 5 $17,716,036 33.2%
Colorado ...... 1 7,983,789 15.0
Connecticut .. 4 1,863,034 3.5
Kentucky ...... 1 352,963 0.7
Massachusetts 5 7,957,426 14.9
New Jersey .... 1 834,669 1.6
New York ...... 2 3,148,190 5.9
Pennsylvania . 1 9,174,899 17.2
Utah .......... 1 779,936 1.5
Virginia ...... 1 3,562,209 6.7
-------------- -------------- --------------
Total ........ 22 $53,373,149 100.0%
============== ============== ==============
</TABLE>
COUNTIES OF MORTGAGED PROPERTIES IN CALIFORNIA
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Orange County ... 1 $ 6,479,359 44.8% 2 $2,537,035 78.0%
Riverside County 1 7,983,789 55.2 0 0 0.0
Ventura County .. 0 0 0.0 1 715,853 22.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 2 $14,463,148 100.0% 3 $3,252,888 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
Orange County ... 3 $ 9,016,394 50.9%
Riverside County 1 7,983,789 45.1
Ventura County .. 1 715,853 4.0
------------ ------------ ------------
Total ........... 5 $17,716,036 100.0%
============ ============ ============
</TABLE>
S-120
<PAGE>
INDUSTRIAL PROPERTIES
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1994 ................................ 6 $10,894,466 22.3% 1 $1,181,398 26.6%
Pro Forma ........................... 0 0 0.0 1 715,853 16.1
Underwriting 1995 ................... 12 38,044,398 77.7 2 2,537,035 57.2
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.801x to 0.900x .................... 1 $ 268,258 0.5% 0 $ 0 0.0%
1.001x to 1.100x .................... 3 11,482,926 23.5 2 2,537,035 57.2
1.101x to 1.200x .................... 1 6,479,359 13.2 0 0 0.0
1.201x to 1.300x .................... 4 14,763,220 30.2 1 715,853 16.1
1.301x to 1.400x .................... 3 3,352,912 6.9 0 0 0.0
1.401x to 1.500x .................... 1 89,648 0.2 0 0 0.0
1.501x to 1.600x .................... 2 8,591,150 17.6 1 1,181,398 26.6
1.601x to 1.700x .................... 3 3,911,390 8.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .................... 1.273x 1.201x
Maximum ............................ 1.666x 1.543x
Minimum ............................ 0.865x 1.018x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1994 ................................ 7 $12,075,864 22.6%
Pro Forma ........................... 1 715,853 1.3
Underwriting 1995 ................... 14 40,581,433 76.0
------------ ------------ ------------
Total ............................. 22 $53,373,149 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.801x to 0.900x .................... 1 $ 268,258 0.5%
1.001x to 1.100x .................... 5 14,019,962 26.3
1.101x to 1.200x .................... 1 6,479,359 12.1
1.201x to 1.300x .................... 5 15,479,072 29.0
1.301x to 1.400x .................... 3 3,352,912 6.3
1.401x to 1.500x .................... 1 89,648 0.2
1.501x to 1.600x .................... 3 9,772,548 18.3
1.601x to 1.700x .................... 3 3,911,390 7.3
------------ ------------ ------------
Total ............................. 22 $53,373,149 100.0%
============ ============ ============
Weighted Average .................... 1.267x
Maximum ............................ 1.666x
Minimum ............................ 0.865x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-121
<PAGE>
INDUSTRIAL PROPERTIES
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ............................ 2 $6,052,231 12.8% 1 $1,181,398 26.6%
25-36 ............................ 1 268,258 0.6 0 0 0.0
49-60 ............................ 1 7,983,789 16.9 1 723,755 16.3
61-72 ............................ 1 7,983,789 16.9 1 715,853 16.1
73-84 ............................ 6 11,045,330 23.4 1 1,813,280 40.9
109-120 .......................... 3 4,690,308 9.9 0 0 0.0
169-180 .......................... 1 9,174,899 19.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 15 $47,198,604 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 89 months 58 months
Maximum ......................... 178 months 82 months
Minimum ......................... 19 months 23 months
FULLY AMORTIZING MORTGAGE LOANS
97-108 ........................... 1 $352,963 20.3% 0 $0 0.0%
109-120 .......................... 1 779,936 44.8 0 0 0.0
(is greater than or equal to) 181 1 607,361 34.9 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 3 $1,740,260 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 150 months 0 months
Maximum ......................... 225 months 0 months
Minimum ......................... 106 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ............................ 3 $7,233,629 14.0%
25-36 ............................ 1 268,258 0.5
49-60 ............................ 2 8,707,544 16.9
61-72 ............................ 2 8,699,641 16.8
73-84 ............................ 7 12,858,610 24.9
109-120 .......................... 3 4,690,308 9.1
169-180 .......................... 1 9,174,899 17.8
------------ ------------ ------------
Total .......................... 19 $51,632,889 100.0%
============ ============ ============
Weighted Average ................. 87 months
Maximum ......................... 178 months
Minimum ......................... 19 months
FULLY AMORTIZING MORTGAGE LOANS
97-108 ........................... 1 $352,963 20.3%
109-120 .......................... 1 779,936 44.8
(is greater than or equal to) 181 1 607,361 34.9
------------ ------------ ------------
Total .......................... 3 $1,740,260 100.0%
============ ============ ============
Weighted Average ................. 150 months
Maximum ......................... 225 months
Minimum ......................... 106 months
</TABLE>
S-122
<PAGE>
INDUSTRIAL PROPERTIES
DISTRIBUTION OF OCCUPANCY PERCENTAGE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
55.01 - 60.00% ...... 1 $ 89,648 0.2% 0 $ 0 0.0%
75.01 - 80.00 ....... 2 3,317,925 6.8 1 1,181,398 26.6
85.01 - 90.00 ....... 2 8,336,752 17.0 0 0 0.0
90.01 - 95.00 ....... 3 17,186,906 35.1 0 0 0.0
95.01 - 100.00% .... 10 20,007,633 40.9 3 3,252,888 73.4
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 94% 94%
Maximum ............ 100% 100%
Minimum ............ 58% 78%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
55.01 - 60.00% ...... 1 $ 89,648 0.2%
75.01 - 80.00 ....... 3 4,499,323 8.4
85.01 - 90.00 ....... 2 8,336,752 15.6
90.01 - 95.00 ....... 3 17,186,906 32.2
95.01 - 100.00% .... 13 23,260,520 43.6
------------ ------------ ------------
Total ............. 22 $53,373,149 100.0%
============ ============ ============
Weighted Average ... 94%
Maximum ............ 100%
Minimum ............ 58%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 - 60 months ... 2 $ 6,052,231 12.4% 0 $0 0.0%
61 - 120 months . 11 29,247,716 59.8 1 1,181,398 26.6
121 - 180 months 1 2,723,758 5.6 3 3,252,888 73.4
181 - 240 months 1 9,174,899 18.7 0 0 0.0
241 - 300 months 1 779,936 1.6 0 0 0.0
301 - 360 months 2 960,324 2.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 106 months 154 months
Maximum ......... 324 months 180 months
Minimum ......... 23 months 84 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
1 - 60 months ... 2 $ 6,052,231 11.3%
61 - 120 months . 12 30,429,114 57.0
121 - 180 months 4 5,976,646 11.2
181 - 240 months 1 9,174,899 17.2
241 - 300 months 1 779,936 1.5
301 - 360 months 2 960,324 1.8
------------ ------------ ------------
Total .......... 22 $53,373,149 100.0%
============ ============ ============
Weighted Average 110 months
Maximum ......... 324 months
Minimum ......... 23 months
</TABLE>
S-123
<PAGE>
INDUSTRIAL PROPERTIES
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
61 - 120 months . 1 $ 268,258 0.5% 0 $0 0.0%
121 - 180 months 1 2,490,022 5.1 0 0 0.0
181 - 240 months 2 1,045,819 2.1 0 0 0.0
241 - 300 months 2 7,259,295 14.8 0 0 0.0
301 - 360 months 12 37,875,469 77.4 3 3,252,888 73.4
361 + months ..... 0 0 0.0 1 1,181,398 26.6
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 336 months 438 months
Maximum ......... 360 months 654 months
Minimum ......... 120 months 360 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
61 - 120 months . 1 $ 268,258 0.5%
121 - 180 months 1 2,490,022 4.7
181 - 240 months 2 1,045,819 2.0
241 - 300 months 2 7,259,295 13.6
301 - 360 months 15 41,128,357 77.1
361 + months ..... 1 1,181,398 2.2
------------ ------------ ------------
Total .......... 22 $53,373,149 100.0%
============ ============ ============
Weighted Average 344 months
Maximum ......... 654 months
Minimum ......... 120 months
</TABLE>
S-124
<PAGE>
INDUSTRIAL PROPERTIES
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1977 .......................... 1 $ 352,963 0.7% 0 $ 0 0.0%
1980 .......................... 1 779,936 1.6 0 0 0.0
1985 .......................... 0 0 0.0 1 723,755 16.3
1986 .......................... 0 0 0.0 1 715,853 16.1
1987 .......................... 0 0 0.0 1 1,813,280 40.9
1990 .......................... 0 0 0.0 1 1,181,398 26.6
1991 .......................... 1 268,258 0.5 0 0 0.0
1992 .......................... 1 3,562,209 7.3 0 0 0.0
1994 .......................... 1 9,174,899 18.7 0 0 0.0
1995 .......................... 13 34,800,599 71.1 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ....................... 18 $48,938,863 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE
- ------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1977 .......................... 1 $ 352,963 0.7%
1980 .......................... 1 779,936 1.5
1985 .......................... 1 723,755 1.4
1986 .......................... 1 715,853 1.3
1987 .......................... 1 1,813,280 3.4
1990 .......................... 1 1,181,398 2.2
1991 .......................... 1 268,258 0.5
1992 .......................... 1 3,562,209 6.7
1994 .......................... 1 9,174,899 17.2
1995 .......................... 13 34,800,599 65.2
------------ ------------ ------------
Total ....................... 22 $53,373,149 100.0%
============ ============ ============
</TABLE>
- ------------
(1) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for Mortgage
Loans which were modified by the Seller, the year in which the first
Scheduled Principal Payment was, or in the case of recently modified Mortgage
Loans, will be due, under such modification.
S-125
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.000% ............... 0 $ 0 0.0% 1 $9,174,899 100.0%
9.750% ............... 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $ 0 0.0% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 7.000%
Maximum ............. 0.000% 7.000%
Minimum ............. 0.000% 7.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.000% ............... 0 $0 0.0% 1 $9,174,899 93.8%
9.750% ............... 1 607,361 100.0 1 607,361 6.2
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.750% 7.171%
Maximum ............. 9.750% 9.750%
Minimum ............. 9.750% 7.000%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1.000% .......... 0 $ 0 0.0% 0 $ 0 0.0%
3.000% .......... 0 0 0.0 1 9,174,899 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $ 0 0.0% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 3.000%
Maximum ........ 0.000% 3.000%
Minimum ........ 0.000% 3.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1.000% .......... 1 $607,361 100.0% 1 $ 607,361 6.2%
3.000% .......... 0 0 0.0 1 9,174,899 93.8
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 1.000% 2.876%
Maximum ........ 1.000% 3.000%
Minimum ........ 1.000% 1.000%
</TABLE>
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 1 $9,174,899 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0.0% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
S-126
<PAGE>
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 1 $607,361 100.0% 2 $9,782,260 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-126
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $0 0.0% 0 $ 0 0.0%
60 months ........... 0 0 0.0 1 9,174,899 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total: ............. 0 $0 0.0% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 1 $607,361 100.0% 1 $607,361 6.2%
60 months ........... 0 0 0.0 1 9,174,899 93.8
------------ ------------ ------------ ------------ ------------ ------------
Total: ............. 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6 months ............ 0 $0 0.0% 0 $ 0 0.0%
60 months ........... 0 0 0.0 1 9,174,899 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total: ............. 0 $0 0.0% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6 months ............ 1 $607,361 100.0% 1 $607,361 6.2%
60 months ........... 0 0 0.0 1 9,174,899 93.8
------------ ------------ ------------ ------------ ------------ ------------
Total: ............. 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-127
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $0 0.00% 1 $9,174,899 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.00% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $607,361 100.0% 2 $9,782,260 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $0 0.00% 1 $9,174,899 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.00% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $607,361 100.0% 2 $9,782,260 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEXT RATE RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 ....... 0 $0 0.00% 0 $ 0 0.0%
October 2000 ........ 0 0 0.00 1 9,174,899 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.00% 1 $9,174,899 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEXT RATE RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE LANCE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 ....... 1 $607,361 100.0% 1 $ 607,361 6.2%
October 2000 ........ 0 0 0.0 1 9,174,899 93.8
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $607,361 100.0% 2 $9,782,260 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-128
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
CURRENT INTEREST RATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 1 $1,813,280 55.7% 0 $ 0 0.0%
7.501%-8.000% ........ 2 1,439,608 44.3 0 0 0.0
9.501%-10.000% ....... 0 0 0.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 3 $3,252,888 100.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 7.557% 0.000%
Maximum ............. 7.891% 0.000%
Minimum ............. 7.391% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 0 $0 0.0% 1 $1,813,280 40.9%
7.501%-8.000% ........ 0 0 0.0 2 1,439,608 32.5
9.501%-10.000% ....... 1 1,181,398 100.0 1 1,181,398 26.6
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.750% 8.141%
Maximum ............. 9.750% 9.750%
Minimum ............. 9.750% 7.391%
</TABLE>
GROSS MARGIN
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% .. 0 $ 0 0.0% 0 $ 0 0.0%
2.001%-2.250% .. 1 1,813,280 55.7 0 0 0.0
2.251%-2.500% .. 1 715,853 22.0 0 0 0.0
2.501%-2.750% .. 1 723,755 22.2 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 3 $3,252,888 100.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average 2.416% 0.000%
Maximum ........ 2.750% 0.000%
Minimum ........ 2.250% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
0.751%-1.000% .. 1 $1,181,398 100.0% 1 $1,181,398 26.6%
2.001%-2.250% .. 0 0 0.0 1 1,813,280 40.9
2.251%-2.500% .. 0 0 0.0 1 715,853 16.1
2.501%-2.750% .. 0 0 0.0 1 723,755 16.3
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 1.000% 2.039%
Maximum ........ 1.000% 2.750%
Minimum ........ 1.000% 1.000%
</TABLE>
S-129
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $ 0 0.0% 0 $0 0.0%
Yes .................. 3 3,252,888 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 3 $3,252,888 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 1 $1,181,398 100.0% 1 $1,181,398 26.6%
Yes .................. 0 0 0.0 3 3,252,888 73.4
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 3 $3,252,888 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 3 $3,252,888 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 1 $1,181,398 100.0% 4 $4,434,286 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-130
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $ 0 0.0% 0 $0 0.0%
12 months ........... 3 3,252,888 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 3 $3,252,888 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 1 $1,181,398 100.0% 1 $1,181,398 26.6%
12 months ........... 0 0 0.0 3 3,252,888 73.4
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAPS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 2 $1,439,608 44.3% 0 $ 0 0.0%
12.001%-14.000% . 1 1,813,280 55.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 3 $3,252,888 100.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average 13.750% 0.000%
Maximum ......... 13.750% 0.000%
Minimum ......... 13.750% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAPS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $1,181,398 100.0% 3 $2,621,006 59.1%
12.001%-14.000% . 0 0 0.0 1 1,813,280 40.9
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 13.750%
Maximum ......... 0.000% 13.750%
Minimum ......... 0.000% 13.750%
</TABLE>
S-131
<PAGE>
INDUSTRIAL PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 2 $1,439,608 44.3% 0 $ 0 0.0%
2.001%-4.000% ... 1 1,813,280 55.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 3 $3,252,888 100.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted average 3.750% 0.000%
Maximum ......... 3.750% 0.000%
Minimum ......... 3.750% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 1 $1,181,398 100.0% 3 $2,621,006 59.1%
2.001%-4.000% ... 0 0 0.0 1 1,813,280 40.9
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
Weighted average 0.000% 3.750%
Maximum ......... 0.000% 3.750%
Minimum ......... 0.000% 3.750%
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 3 $3,252,888 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ...... 3 $3,252,888 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 1 $1,181,398 100.0% 4 $4,434,286 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ...... 1 $1,181,398 100.0% 4 $4,434,286 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-132
<PAGE>
MULTIFAMILY PROPERTIES
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ....... 6 $ 1,743,801 4.2% 0 $ 0 0.0%
$ 500,001-$1,000,000 ... 11 9,525,053 23.0 1 730,392 13.4
$1,000,001-$1,500,000 .. 2 2,452,657 5.9 1 1,026,643 18.8
$1,500,001-$2,000,000 .. 5 8,281,800 20.0 0 0 0.0
$2,500,001-$3,000,000 .. 1 2,563,092 6.2 0 0 0.0
$3,500,001-$4,000,000 .. 2 7,433,592 18.0 1 3,697,277 67.8
$9,000,001-$9,500,000 .. 1 9,393,341 22.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Average ................. $ 1,478,333 $1,818,104
Maximum ................ $ 9,393,341 $3,697,277
Minimum ................ $ 147,595 $ 730,392
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ....... 6 $ 1,743,801 3.7%
$ 500,001-$1,000,000 ... 12 10,255,446 21.9
$1,000,001-$1,500,000 .. 3 3,479,300 7.4
$1,500,001-$2,000,000 .. 5 8,281,800 17.7
$2,500,001-$3,000,000 .. 1 2,563,092 5.5
$3,500,001-$4,000,000 .. 3 11,130,869 23.8
$9,000,001-$9,500,000 .. 1 9,393,341 20.1
------------ ------------ ------------
Total ................. 31 $46,847,649 100.0%
============ ============ ============
Average ................. $ 1,511,214
Maximum ................ $ 9,393,341
Minimum ................ $ 147,595
</TABLE>
S-133
<PAGE>
MULTIFAMILY PROPERTIES
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE INTEREST LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 8 $ 8,504,175 20.5% 0 $ 0 0.0%
7.501%-8.000% ........ 7 17,732,420 42.8 0 0 0.0
8.001%-8.500% ........ 3 5,471,157 13.2 0 0 0.0
8.501%-9.000% ........ 4 4,881,600 11.8 1 730,392 13.4
9.001%-9.500% ........ 3 796,652 1.9 1 1,026,643 18.8
9.501%-10.000% ....... 1 1,945,212 4.7 1 3,697,277 67.8
10.001%-10.500% ...... 1 904,218 2.2 0 0 0.0
11.501%-12.000% ...... 1 1,157,904 2.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 8.327% 9.603%
Maximum ............. 12.000% 9.750%
Minimum ............. 7.391% 9.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
MORTGAGE INTEREST LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------
<S> <C> <C> <C>
7.001%-7.500% ........ 8 $ 8,504,175 18.2%
7.501%-8.000% ........ 7 17,732,420 37.9
8.001%-8.500% ........ 3 5,471,157 11.7
8.501%-9.000% ........ 5 5,611,992 12.0
9.001%-9.500% ........ 4 1,823,295 3.9
9.501%-10.000% ....... 2 5,642,489 12.0
10.001%-10.500% ...... 1 904,218 1.9
11.501%-12.000% ...... 1 1,157,904 2.5
------------ ------------ ------------
Total .............. 31 $46,847,649 100.0%
============ ============ ============
Weighted Average .... 8.475%
Maximum ............. 12.000%
Minimum ............. 7.391%
</TABLE>
S-134
<PAGE>
MULTIFAMILY PROPERTIES
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Arizona ....... 2 $ 4,621,304 11.2% 0 $ 0 0.0%
California .... 12 13,033,476 31.5 0 0 0.0
Connecticut .. 2 398,936 1.0 0 0 0.0
Florida ....... 1 3,716,506 9.0 0 0 0.0
Georgia ....... 2 2,634,345 6.4 1 3,697,277 67.8
Massachusetts 3 1,725,711 4.2 0 0 0.0
Michigan ...... 1 9,393,341 22.7 1 730,392 13.4
Minnesota ..... 1 2,563,092 6.2 0 0 0.0
New Jersey .... 1 1,545,182 3.7 0 0 0.0
Nevada ........ 1 1,157,904 2.8 0 0 0.0
New York ...... 1 147,595 0.4 0 0 0.0
Rhode Island . 1 455,945 1.1 0 0 0.0
Texas ......... 0 0 0.0 1 1,026,643 18.8
-------------- -------------- -------------- -------------- -------------- --------------
Total ........ 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
Arizona ....... 2 $ 4,621,304 9.9%
California .... 12 13,033,476 27.8
Connecticut .. 2 398,936 0.9
Florida ....... 1 3,716,506 7.9
Georgia ....... 3 6,331,622 13.5
Massachusetts 3 1,725,711 3.7
Michigan ...... 2 10,123,733 21.6
Minnesota ..... 1 2,563,092 5.5
New Jersey .... 1 1,545,182 3.3
Nevada ........ 1 1,157,904 2.5
New York ...... 1 147,595 0.3
Rhode Island . 1 455,945 1.0
Texas ......... 1 1,026,643 2.2
-------------- -------------- --------------
Total ........ 31 $46,847,649 100.0%
============== ============== ==============
</TABLE>
COUNTIES OF MORTGAGED PROPERTIES IN CALIFORNIA
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Los Angeles County .. 4 $ 5,001,965 38.4% 0 $0 0.0%
Orange County ........ 1 1,294,753 9.9 0 0 0.0
San Bernardino County 1 914,575 7.0 0 0 0.0
San Diego County .... 6 5,822,182 44.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 12 $13,033,476 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
CALIFORNIA COUNTY CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Los Angeles County .. 4 $ 5,001,965 38.4%
Orange County ........ 1 1,294,753 9.9
San Bernardino County 1 914,575 7.0
San Diego County .... 6 5,822,182 44.7
------------ ------------ ------------
Total .............. 12 $13,033,476 100.0%
============ ============ ============
</TABLE>
S-135
<PAGE>
MULTIFAMILY PROPERTIES
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1994 ................................ 4 $ 2,599,833 6.3% 1 $ 730,392 13.4%
Pro Forma ........................... 5 5,665,251 13.7 0 0 0.0
Underwriting 1995 ................... 19 33,128,253 80.0 2 4,723,920 86.6
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.901x to 1.000x .................... 1 $ 812,135 2.0% 0 $ 0 0.0%
1.001x to 1.100x .................... 6 9,435,136 22.8 2 4,427,669 81.2
1.101x to 1.200x .................... 8 9,279,967 22.4 0 0 0.0
1.201x to 1.300x .................... 6 4,813,074 11.6 1 1,026,643 18.8
1.301x to 1.400x .................... 3 5,507,897 13.3 0 0 0.0
1.401x to 1.500x .................... 1 423,943 1.0 0 0 0.0
1.501x to 1.600x .................... 2 10,973,589 26.5 0 0 0.0
2.701x to 2.800x .................... 1 147,595 0.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .................... 1.278x 1.107x
Maximum ............................ 2.717x 1.200x
Minimum ............................ 0.955x 1.061x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1994 ................................ 5 $ 3,330,225 7.1%
Pro Forma ........................... 5 5,665,251 12.1
Underwriting 1995 ................... 21 37,852,173 80.8
------------ ------------ ------------
Total ............................. 31 $46,847,649 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
0.901x to 1.000x .................... 1 $ 812,135 1.7%
1.001x to 1.100x .................... 8 13,862,805 29.6
1.101x to 1.200x .................... 8 9,279,967 19.8
1.201x to 1.300x .................... 7 5,839,717 12.5
1.301x to 1.400x .................... 3 5,507,897 11.8
1.401x to 1.500x .................... 1 423,943 0.9
1.501x to 1.600x .................... 2 10,973,589 23.4
2.701x to 2.800x .................... 1 147,595 0.3
------------ ------------ ------------
Total ............................. 31 $46,847,649 100.0%
============ ============ ============
Weighted Average .................... 1.258x
Maximum ............................ 2.717x
Minimum ............................ 0.955x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-136
<PAGE>
MULTIFAMILY PROPERTIES
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
1-12 ............................. 1 $984,386 3.3% 0 $0 0.0%
13-24 ............................ 0 0 0.0 1 1,026,643 18.8
25-36 ............................ 0 0 0.0 1 730,392 13.4
37-48 ............................ 1 3,716,506 12.4 0 0 0.0
49-60 ............................ 5 14,166,150 47.3 0 0 0.0
61-72 ............................ 2 4,034,468 13.5 0 0 0.0
73-84 ............................ 4 3,283,402 11.0 1 3,697,277 67.8
97-108 ........................... 2 1,754,070 5.9 0 0 0.0
109-120 .......................... 2 2,001,127 6.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 17 $29,940,109 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 61 months 60 months
Maximum ......................... 113 months 76 months
Minimum ......................... 10 months 21 months
FULLY AMORTIZING MORTGAGE LOANS
(is greater than or equal to) 181 11 $11,453,228 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 265 months 0 months
Maximum ......................... 303 months 0 months
Minimum ......................... 237 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGE LOANS
1-12 ............................. 1 $ 984,386 2.8%
13-24 ............................ 1 1,026,643 2.9
25-36 ............................ 1 730,392 2.1
37-48 ............................ 1 3,716,506 10.5
49-60 ............................ 5 14,166,150 40.0
61-72 ............................ 2 4,034,468 11.4
73-84 ............................ 5 6,980,679 19.7
97-108 ........................... 2 1,754,070 5.0
109-120 .......................... 2 2,001,127 5.7
------------ ------------ ------------
Total .......................... 20 $35,394,421 100.0%
============ ============ ============
Weighted Average ................. 61 months
Maximum ......................... 113 months
Minimum ......................... 10 months
FULLY AMORTIZING MORTGAGE LOANS
(is greater than or equal to) 181 11 $11,453,228 100.0%
------------ ------------ ------------
Total .......................... 11 $11,453,228 100.0%
============ ============ ============
Weighted Average ................. 265 months
Maximum ......................... 303 months
Minimum ......................... 237 months
</TABLE>
S-137
<PAGE>
MULTIFAMILY PROPERTIES
DISTRIBUTION OF OCCUPANCY PERCENTAGE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
70.01 - 75.00% ...... 1 $ 876,081 2.1% 0 $ 0 0.0%
75.01 - 80.00 ....... 0 0 0.0 1 1,026,643 18.8
85.01 - 90.00 ....... 2 1,455,539 3.5 0 0 0.0
90.01 - 95.00 ....... 14 28,617,639 69.1 0 0 0.0
95.01 - 100.00% .... 11 10,444,078 25.2 2 4,427,669 81.2
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 94% 95%
Maximum ............ 100% 99%
Minimum ............ 73% 79%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
70.01 - 75.00% ...... 1 $ 876,081 1.9%
75.01 - 80.00 ....... 1 1,026,643 2.2
85.01 - 90.00 ....... 2 1,455,539 3.1
90.01 - 95.00 ....... 14 28,617,639 61.1
95.01 - 100.00% .... 13 14,871,747 31.7
------------ ------------ ------------
Total ............. 31 $46,847,649 100.0%
============ ============ ============
Weighted Average ... 94%
Maximum ............ 100%
Minimum ............ 73%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 - 60 months .. 3 $10,525,323 25.4% 1 $1,026,643 18.8%
61 - 120 months 12 16,711,700 40.4 2 4,427,669 81.2
121 - 180 months 2 2,703,086 6.5 0 0 0.0
301 - 360 months 11 11,453,228 27.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 158 months 109 months
Maximum ........ 360 months 120 months
Minimum ........ 36 months 60 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------
<S> <C> <C> <C>
1 - 60 months .. 4 $11,551,965 24.7%
61 - 120 months 14 21,139,369 45.1
121 - 180 months 2 2,703,086 5.8
301 - 360 months 11 11,453,228 24.4
------------ ------------ ------------
Total ......... 31 $46,847,649 100.0%
============ ============ ============
Weighted Average 152 months
Maximum ........ 360 months
Minimum ........ 36 months
</TABLE>
S-138
<PAGE>
MULTIFAMILY PROPERTIES
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
181 - 240 months 3 $3,246,980 7.8% 0 $0 0.0%
241 - 300 months 3 7,607,415 18.4 1 730,392 13.4
301 - 360 months 22 30,538,942 73.8 2 4,723,920 86.6
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 337 months 352 months
Maximum ......... 360 months 360 months
Minimum ......... 240 months 300 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
181 - 240 months 3 $3,246,980 6.9%
241 - 300 months 4 8,337,807 17.8
301 - 360 months 24 35,262,862 75.3
------------ ------------ ------------
Total .......... 31 $46,847,649 100.0%
============ ============ ============
Weighted Average 339 months
Maximum ......... 360 months
Minimum ......... 240 months
</TABLE>
S-139
<PAGE>
MULTIFAMILY PROPERTIES
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
YEAR OF FIRST MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1985 .................. 2 $ 2,072,480 5.0% 0 $ 0 0.0%
1986 .................. 4 4,108,316 9.9 0 0 0.0
1987 .................. 2 1,892,547 4.6 0 0 0.0
1988 .................. 1 812,135 2.0 1 730,392 13.4
1989 .................. 1 778,219 1.9 0 0 0.0
1990 .................. 1 904,218 2.2 0 0 0.0
1991 .................. 2 2,947,436 7.1 0 0 0.0
1992 .................. 0 0 0.0 2 4,723,920 86.6
1993 .................. 3 7,263,984 17.5 0 0 0.0
1994 .................. 3 2,071,452 5.0 0 0 0.0
1995 .................. 9 18,542,551 44.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 28 $41,393,337 100.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
YEAR OF FIRST MORTGAGE BALANCE AS BALANCE AS
PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
1985 .................. 2 $ 2,072,480 4.4%
1986 .................. 4 4,108,316 8.8
1987 .................. 2 1,892,547 4.0
1988 .................. 2 1,542,527 3.3
1989 .................. 1 778,219 1.7
1990 .................. 1 904,218 1.9
1991 .................. 2 2,947,436 6.3
1992 .................. 2 4,723,920 10.1
1993 .................. 3 7,263,984 15.5
1994 .................. 3 2,071,452 4.4
1995 .................. 9 18,542,551 39.6
------------ ------------ ------------
Total ............... 31 $46,847,649 100.0%
============ ============ ============
</TABLE>
- ------------
(1) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for Mortgage
Loans which were modified by the Seller, the year in which the first
Scheduled Principal Payment was, or in the case of recently modified Mortgage
Loans, will be due, under such modification.
S-140
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 8 $ 8,504,175 74.3% 0 $0 0.0%
7.501%-8.000% ........ 3 2,949,053 25.7 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 7.472% 0.000%
Maximum ............. 7.679% 0.000%
Minimum ............. 7.391% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
7.001%-7.500% ........ 0 $0 0.0% 8 $8,504,175 74.3%
7.501%-8.000% ........ 0 0 0.0 3 2,949,053 25.7
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 7.472%
Maximum ............. 0.000% 7.679%
Minimum ............. 0.000% 7.391%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.001%-2.250% .. 7 $ 6,851,492 59.8% 0 $0 0.0%
2.251%-2.500% .. 4 4,601,737 40.2 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average 2.329% 0.000%
Maximum ........ 2.500% 0.000%
Minimum ........ 2.250% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.001%-2.250% .. 0 $0 0.0% 7 $ 6,851,492 59.8%
2.251%-2.500% .. 0 0 0.0 4 4,601,737 40.2
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 2.329%
Maximum ........ 0.000% 2.500%
Minimum ........ 0.000% 2.250%
</TABLE>
S-141
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 11 $11,453,228 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 0 $0 0.0% 11 $11,453,228 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-142
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Yes .................. 11 $11,453,228 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Yes .................. 0 $0 0.0% 11 $11,453,228 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
FREQUENCY OF MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month .............. 11 $11,453,228 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
FREQUENCY OF MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month .............. 0 $0 0.0% 11 $11,453,228 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
FREQUENCY OF MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ............ 11 $11,453,228 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 11 $11,453,228 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
FREQUENCY OF MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
12 months ............ 0 $0 0.0% 11 $11,453,228 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-143
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
LIFETIME MORTGAGE RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ...................... 7 $ 6,812,998 59.5% 0 $ 0 0.0%
12.001%-14.000% ........... 2 2,947,436 25.7 0 0 0.0
14.001%-16.000% ........... 2 1,692,794 14.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................... 11 $11,453,228 100.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .......... 14.368% 0.000%
Maximum .................. 16.000% 0.000%
Minimum .................. 13.750% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
LIFETIME MORTGAGE RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ...................... 0 $0 0.0% 7 $ 6,812,998 59.5%
12.001%-14.000% ........... 0 0 0.0 2 2,947,436 25.7
14.001%-16.000% ........... 0 0 0.0 2 1,692,794 14.8
------------ ------------ ------------ ------------ ------------ ------------
Total ................... 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .......... 0.000% 14.368%
Maximum .................. 0.000% 16.000%
Minimum .................. 0.000% 13.750%
</TABLE>
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
LIFETIME MORTGAGE RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ........................ 7 $ 6,812,998 59.5% 0 $ 0 0.0%
2.001%-4.000% ............... 2 2,947,436 25.7 0 0 0.0
4.001%-6.000% ............... 2 1,692,794 14.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ..................... 11 $11,453,228 100.0% 0 $ 0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average ............ 4.473% 0.000%
Maximum .................... 6.000% 0.000%
Minimum .................... 3.750% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
LIFETIME MORTGAGE RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ........................ 0 $0 0.0% 7 $ 6,812,998 59.5%
2.001%-4.000% ............... 0 0 0.0 2 2,947,436 25.7
4.001%-6.000% ............... 0 0 0.0 2 1,692,794 14.8
------------ ------------ ------------ ------------ ------------ ------------
Total ..................... 0 $0 0.0% 11 $11,453,228 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ............ 0.000% 4.473%
Maximum .................... 0.000% 6.000%
Minimum .................... 0.000% 3.750%
</TABLE>
S-144
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
8.501%-9.000 % ....... 0 $ 0 0.0% 1 $ 730,392 16.5%
9.001%-9.500% ........ 1 1,026,643 100.0 0 0 0.0
9.501%-10.000% ....... 0 0 0.0 1 3,697,277 83.5
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.500% 9.626%
Maximum ............. 9.500% 9.750%
Minimum ............. 9.500% 9.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
8.501%-9.000 % ....... 0 $0 0.0% 1 $ 730,392 13.4%
9.001%-9.500% ........ 0 0 0.0 1 1,026,643 18.8
9.501%-10.000% ....... 0 0 0.0 1 3,697,277 67.8
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 0 $0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 0.000% 9.603%
Maximum ............. 0.000% 9.750%
Minimum ............. 0.000% 9.000%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.251%-2.500% ... 0 $ 0 0.0% 1 $3,697,277 83.5%
2.501%-2.750% ... 0 0 0.0 1 730,392 16.5
3.251%-3.500% ... 1 1,026,643 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 3.500% 2.541%
Maximum ......... 3.500% 2.750%
Minimum ......... 3.500% 2.500%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.251%-2.500% ... 0 $ 0 0.0% 1 $3,697,277 67.8%
2.501%-2.750% ... 0 0 0.0 1 730,392 13.4
3.251%-3.500% ... 0 0 0.0 1 1,026,643 18.8
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $ 0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 2.722%
Maximum ......... 0.000% 3.500%
Minimum ......... 0.000% 2.500%
</TABLE>
S-145
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $ 0 0.0% 2 $4,427,669 100.0%
Yes .................. 1 1,026,643 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 2 $4,427,669 81.2%
Yes .................. 0 0 0.0 1 1,026,643 18.8
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 1 $1,026,643 100.0% 1 $730,392 16.5%
12 months ........... 0 0 0.0 1 3,697,277 83.5
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 1 month 10months
Maximum ............ 1 month 12months
Minimum ............ 1 month 1month
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $0 0.0% 2 $1,757,035 32.2%
12 months ........... 0 0 0.0 1 3,697,277 67.8
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 0 months 8months
Maximum ............ 0 months 12months
1 month
Minimum ............ 0 months
</TABLE>
S-146
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $ 0 0.0% 1 $ 730,392 16.5%
12 months ........... 1 1,026,643 100.0 1 3,697,277 83.5
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 month ............. 0 $0 0.0% 1 $ 730,392 13.4%
12 months ........... 0 0 0.0 2 4,723,920 86.6
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $ 0 0.0% 1 $ 730,392 16.5%
10.001%-12.000% . 0 0 0.0 1 3,697,277 83.5
16.000%+ ......... 1 1,026,643 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 18.000% 12.000%
Maximum ......... 18.000% 12.000%
Minimum ......... 18.000% 12.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $ 0 0.0% 1 $ 730,392 13.4%
10.001%-12.000% . 0 0 0.0 1 3,697,277 67.8
16.000%+ ......... 0 0 0.0 1 1,026,643 18.8
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $ 0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 13.304%
Maximum ......... 0.000% 18.000%
Minimum ......... 0.000% 12.000%
</TABLE>
S-147
<PAGE>
MULTIFAMILY PROPERTIES
CERTAIN CHARACTERISTICS OF ADJUSTABLE RATE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $ 0 0.0% 1 $ 730,392 16.5%
4.001%-6.000% ... 0 0 0.0 1 3,697,277 83.5
8.001%-10.000% .. 1 1,026,643 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 9.500% 6.000%
Maximum ......... 9.500% 6.000%
Minimum ......... 9.500% 6.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
None ............. 0 $ 0 0.0% 1 $ 730,392 13.4%
4.001%-6.000% ... 0 0 0.0 1 3,697,277 67.8
8.001%-10.000% .. 0 0 0.0 1 1,026,643 18.8
------------ ------------ ------------ ------------ ------------ ------------
Total ........... 0 $ 0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 0.000% 6.761%
Maximum ......... 0.000% 9.500%
Minimum ......... 0.000% 6.000%
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 .. 1 $1,026,643 100.0% 0 $ 0 0.0%
March 1996 ...... 0 0 0.0 1 3,697,277 83.5
June 1996 ....... 0 0 0.0 1 730,392 16.5
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 1 $1,026,643 100.0% 2 $4,427,669 100.0%
============ ============ ============ ============ ============ ============
Weighted Average December1995 March1996
Maximum ........ December 1995 June 1996
Minimum ........ December 1995 March 1996
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RESET DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
December 1995 .. 0 $0 0.0% 1 $1,026,643 18.8%
March 1996 ...... 0 0 0.0 1 3,697,277 67.8
June 1996 ....... 0 0 0.0 1 730,392 13.4
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 0 $0 0.0% 3 $5,454,312 100.0%
============ ============ ============ ============ ============ ============
Weighted Average -- March1996
Maximum ........ -- June1996
December 1995
Minimum ........ --
</TABLE>
S-148
<PAGE>
HOTEL/MOTEL PROPERTIES
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ...... 1 $ 392,063 3.9% 0 $ 0 0.0%
$1,000,000-$1,500,000 . 1 1,296,763 12.7 0 0 0.0
$1,500,001-$2,000,000 . 0 0 0.0 1 1,996,994 100.0
$8,000,001-$8,500,000 . 1 8,486,015 83.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................ 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Average ................ $ 3,391,613 $1,996,994
Maximum ............... $ 8,486,015 $1,996,994
Minimum ............... $ 392,063 $1,996,994
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE
- ----------------------- ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ...... 1 $ 392,063 3.2%
$1,000,000-$1,500,000 . 1 1,296,763 10.7
$1,500,001-$2,000,000 . 1 1,996,994 16.4
$8,000,001-$8,500,000 . 1 8,486,015 69.7
------------ ------------ ------------
Total ................ 4 $12,171,834 100.0%
============ ============ ============
Average ................ $ 3,042,959
Maximum ............... $ 8,486,015
Minimum ............... $ 392,063
</TABLE>
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
8.501%-9.000% ......... 1 $ 8,486,015 83.4% 0 $ 0 0.0%
9.001%-9.500% ......... 1 1,296,763 12.7 0 0 0.0
9.501%-10.000% ........ 1 392,063 3.9 1 1,996,994 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............... 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ...... 9.102% 9.750%
Maximum .............. 10.000% 9.750%
Minimum .............. 9.000% 9.750%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
MORTGAGE INTEREST RATE CUT-OFF DATE DATE DATE
- ---------------------- ------------ ------------ ------------
<S> <C> <C> <C>
8.501%-9.000% ......... 1 $ 8,486,015 69.7%
9.001%-9.500% ......... 1 1,296,763 10.7
9.501%-10.000% ........ 2 2,389,057 19.6
------------ ------------ ------------
Total ............... 4 $12,171,834 100.0%
============ ============ ============
Weighted Average ...... 9.209%
Maximum .............. 10.000%
Minimum .............. 9.000%
</TABLE>
S-149
<PAGE>
HOTEL/MOTEL PROPERTIES
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- --------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Georgia ........ 0 $ 0 0.0% 1 $1,996,994 100.0%
Massachusetts . 2 1,688,825 16.6 0 0 0.0
Pennsylvania .. 1 8,486,015 83.4 0 0 0.0
-------------- -------------- -------------- -------------- -------------- --------------
Total ......... 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- --------------- -------------- -------------- --------------
<S> <C> <C> <C>
Georgia ........ 1 $ 1,996,994 16.4%
Massachusetts . 2 1,688,825 13.9
Pennsylvania .. 1 8,486,015 69.7
-------------- -------------- --------------
Total ......... 4 $12,171,834 100.0%
============== ============== ==============
</TABLE>
S-150
<PAGE>
HOTEL/MOTEL PROPERTIES
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1994 ................................ 3 $10,174,840 100.0% 0 $ 0 0.0%
Underwriting 1995 ................... 0 0 0.0 1 1,996,994 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2)
- ------------------------------------
1.301x to 1.400x .................... 1 $ 1,296,763 12.7% 0 $ 0 0.0%
1.501x to 1.600x .................... 1 8,486,015 83.4 0 0 0.0
1.601x to 1.700x .................... 0 0 0.0 1 1,996,994 100.0
1.801x to 1.900x .................... 1 392,063 3.9 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Weighted Average .................... 1.505x 1.675x
Maximum ............................ 1.829x 1.675x
Minimum ............................ 1.389x 1.675x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1994 ................................ 3 $10,174,840 83.6%
Underwriting 1995 ................... 1 1,996,994 16.4
------------ ------------ ------------
Total ............................. 4 $12,171,834 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2)
- ------------------------------------
1.301x to 1.400x .................... 1 $ 1,296,763 10.7%
1.501x to 1.600x .................... 1 8,486,015 69.7
1.601x to 1.700x .................... 1 1,996,994 16.4
1.801x to 1.900x .................... 1 392,063 3.2
------------ ------------ ------------
Total ............................. 4 $12,171,834 100.0%
============ ============ ============
Weighted Average .................... 1.533x
Maximum ............................ 1.829x
Minimum ............................ 1.389x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-151
<PAGE>
HOTEL/MOTEL PROPERTIES
DISTRIBUTION OF OCCUPANCY PERCENTAGES OF THE MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Less than 50.00% ... 2 $ 1,688,825 16.6% 0 $ 0 0.0%
60.01 - 65.00 ....... 1 8,486,015 83.4 0 0 0.0
95.01 - 100.00% .... 0 0 0.0 1 1,996,994 100.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 60% 97%
Maximum ............ 62% 97%
Minimum ............ 43% 97%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
Less than 50.00% ... 2 $ 1,688,825 13.9%
60.01 - 65.00 ....... 1 8,486,015 69.7
95.01 - 100.00% .... 1 1,996,994 16.4
------------ ------------ ------------
Total ............. 4 $12,171,834 100.0%
============ ============ ============
Weighted Average ... 66%
Maximum ............ 97%
Minimum ............ 43%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
61 - 120 months 2 $1,688,825 16.6% 1 $1,996,994 100.0%
121 - 180 months 1 8,486,015 83.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ......... 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 116 months 120 months
Maximum ........ 122 months 120 months
Minimum ........ 84 months 120 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ---------------- ------------ ------------ ------------
<S> <C> <C> <C>
61 - 120 months 3 $3,685,820 30.3%
121 - 180 months 1 8,486,015 69.7
------------ ------------ ------------
Total ......... 4 $12,171,834 100.0%
============ ============ ============
Weighted Average 117 months
Maximum ........ 122 months
Minimum ........ 84 months
</TABLE>
S-152
<PAGE>
HOTEL/MOTEL PROPERTIES
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
121 - 180 months 1 $392,063 3.9% 0 $0 0.0%
241 - 300 months 0 0 0.0 1 1,996,994 100.0
301 - 360 months 2 9,782,777 96.1 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Weighted Average 353 months 300 months
Maximum ......... 360 months 300 months
Minimum ......... 180 months 300 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
121 - 180 months 1 $392,063 3.2%
241 - 300 months 1 1,996,994 16.4
301 - 360 months 2 9,782,777 80.4
------------ ------------ ------------
Total .......... 4 $12,171,834 100.0%
============ ============ ============
Weighted Average 344 months
Maximum ......... 360 months
Minimum ......... 180 months
</TABLE>
S-153
<PAGE>
HOTEL/MOTEL PROPERTIES
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGES
73-84 ............................ 2 $1,688,825 16.6% 1 $1,996,994 100.0%
109-120 .......................... 1 8,486,015 83.4 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......................... 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
Weighted Average ................. 112 months 76 months
Maximum ......................... 119 months 76 months
Minimum ......................... 76 months 76 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- --------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGES
73-84 ............................ 3 $3,685,820 30.3%
109-120 .......................... 1 8,486,015 69.7
------------ ------------ ------------
Total .......................... 4 $12,171,834 100.0%
============ ============ ============
Weighted Average ................. 106 months
Maximum ......................... 119 months
Minimum ......................... 76 months
</TABLE>
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
YEAR OF FIRST PRINCIPAL PAYMENT DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1992 ................................ 0 $ 0 0.0% 1 $1,996,994 100.0%
1995 ................................ 3 10,174,840 100.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 3 $10,174,840 100.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
YEAR OF FIRST PRINCIPAL PAYMENT DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1992 ................................ 1 $ 1,996,994 16.4%
1995 ................................ 3 10,174,840 83.6
------------ ------------ ------------
Total ............................. 4 $12,171,834 100.0%
============ ============ ============
</TABLE>
- ------------
(1) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for
Mortgage Loans which were modified by the Seller, the year in which
the first Scheduled Principal Payment was, or in the case of recently
modified Mortgage Loans, will be due, under such modification.
S-154
<PAGE>
HOTEL/MOTEL PROPERTIES
CERTAIN CHARACTERISTICS OF MORTGAGE LOANS IN MORTGAGE LOAN GROUP 2
CURRENT INTEREST RATE
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
9.750% ............... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
CURRENT INTEREST RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
9.750% ............... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.500% ........... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
GROSS MARGIN RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
2.500% ........... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
NEGATIVE AMORTIZATION
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
NEGATIVE AMORTIZATION CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
No ................... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
FREQUENCY OF MORTGAGE RATE ADJUSTMENTS
<PAGE>
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months .......... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total ............ 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months .......... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............ 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-155
<PAGE>
HOTEL/MOTEL PROPERTIES
CERTAIN CHARACTERISTICS OF MORTGAGE LOANS IN MORTGAGE LOAN GROUP 2
FREQUENCY OF MORTGAGE PAYMENT ADJUSTMENTS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ........... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
FREQUENCY OF MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT ADJUSTMENTS CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12 months ........... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE CAPS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12.000% .......... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CAP CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
12.000% .......... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
LIFETIME MORTGAGE RATE FLOORS
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6.000% ........... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LIFETIME MORTGAGE LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE FLOOR CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
6.000% ........... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
SCHEDULE OF RATE RESET DATES
<TABLE>
<CAPTION>
11TH DISTRICT CONSTANT
COST OF FUNDS INDEX MATURITY TREASURY INDEX
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE RESET LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
March 1996 ..... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------
Total ........ 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
PRIME TOTAL
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
NEXT RATE RESET LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
DATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
March 1996 ..... 0 $0 0.0% 1 $1,996,994 100.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ........ 0 $0 0.0% 1 $1,996,994 100.0%
============ ============ ============ ============ ============ ============
</TABLE>
S-156
<PAGE>
WAREHOUSE PROPERTIES
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less ....... 2 $ 534,530 18.2% 0 $0 0.0%
$2,000,001-$2,500,000 .. 1 2,399,347 81.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ................. 3 $2,933,877 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Average ................. $ 977,959 $0
Maximum ................ $2,399,347 $0
Minimum ................ $ 147,673 $0
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
CUT-OFF DATE SCHEDULED LOANS AS OF OF CUT-OFF OF CUT-OFF
PRINCIPAL BALANCE CUT-OFF DATE DATE DATE
- ------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
$ 500,000 or less ....... 2 $ 534,530 18.2%
$2,000,001-$2,500,000 .. 1 2,399,347 81.8
------------ ------------ ------------
Total ................. 3 $2,933,877 100.0%
============ ============ ============
Average ................. $ 977,959
Maximum ................ $2,399,347
Minimum ................ $ 147,673
</TABLE>
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
MORTGAGE INTEREST LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
9.001%-9.500% ........ 2 $2,786,204 95.0% 0 $0 0.0%
9.501%-10.000% ....... 1 147,673 5.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .............. 3 $2,933,877 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .... 9.423% 0.000%
Maximum ............. 10.000% 0.000%
Minimum ............. 9.375% 0.000%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
MORTGAGE INTEREST LOANS AS OF OF CUT-OFF OF CUT-OFF
RATE CUT-OFF DATE DATE DATE
- --------------------- ------------ ------------ ------------
<S> <C> <C> <C>
9.001%-9.500% ........ 2 $2,786,204 95.0%
9.501%-10.000% ....... 1 147,673 5.0
------------ ------------ ------------
Total .............. 3 $2,933,877 100.0%
============ ============ ============
Weighted Average .... 9.423%
Maximum ............. 10.000%
Minimum ............. 9.375%
</TABLE>
S-157
<PAGE>
WAREHOUSE PROPERTIES
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------------- ----------------------------------------------
APPROXIMATE APPROXIMATE APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE DATE CUT-OFF DATE CUT-OFF DATE
- ----------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Maryland .. 1 $ 147,673 5.0% 0 $0 0%
Ohio ....... 1 2,399,347 81.8 0 0 0
Virginia .. 1 386,857 13.2 0 0 0
-------------- -------------- -------------- -------------- -------------- --------------
Total ..... 3 $2,933,877 100.0% 0 $0 0%
============== ============== ============== ============== ============== ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------------
APPROXIMATE APPROXIMATE
NUMBER OF SCHEDULED % OF SCHEDULED
MORTGAGE LOANS PRINCIPAL PRINCIPAL
AS OF CUT-OFF BALANCE AS OF BALANCE AS OF
STATES DATE CUT-OFF DATE CUT-OFF DATE
- ----------- -------------- -------------- --------------
<S> <C> <C> <C>
Maryland .. 1 $ 147,673 5.0%
Ohio ....... 1 2,399,347 81.8
Virginia .. 1 386,857 13.2
-------------- -------------- --------------
Total ..... 3 $2,933,877 100.0%
============== ============== ==============
</TABLE>
S-158
<PAGE>
WAREHOUSE PROPERTIES
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Underwriting 1995 ................... 3 $2,933,877 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 3 $2,933,877 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
1.101x to 1.200x .................... 1 $ 386,857 13.2% 0 $0 0.0%
1.201x to 1.300x .................... 1 2,399,347 81.8 0 0 0.0
1.401x to 1.500x .................... 1 147,673 5.0 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total ............................. 3 $2,933,877 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average .................... 1.228x 0.000x
Maximum ............................ 1.427x 0.000x
Minimum ............................ 1.115x 0.000x
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
PERIOD FOR WHICH NOI WAS DETERMINED LOANS AS OF OF CUT-OFF OF CUT-OFF
(1) CUT-OFF DATE DATE DATE
- ------------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
Underwriting 1995 ................... 3 $2,933,877 100.0%
------------ ------------ ------------
Total ............................. 3 $2,933,877 100.0%
============ ============ ============
DEBT SERVICE COVERAGE RATIO (2) ...................
- ------------------------ .........................
1.101x to 1.200x .................... 1 $ 386,857 13.2%
1.201x to 1.300x .................... 1 2,399,347 81.8
1.401x to 1.500x .................... 1 147,673 5.0
------------ ------------ ------------
Total ............................. 3 $2,933,877 100.0%
============ ============ ============
Weighted Average .................... 1.228x
Maximum ............................ 1.427x
Minimum ............................ 1.115x
</TABLE>
- ------------
(1) See "--Description of the Mortgage Pool--Debt Service Coverage
Ratios."
(2) With respect to the Mortgage Loans (other than the Mortgage Loan
underlying the Senior Participation), the calculation of the debt service
coverage ratios set forth in the table was based upon the ratio of net
operating income, derived from operating statements referred to above, to,
generally, the annualized current Scheduled Payments from Mortgagors under
the relevant Mortgage Loans. With respect to the Mortgage Loan underlying the
Senior Participation, the calculation of the debt service coverage ratios set
forth in the table was based upon the ratio of net operating income, derived
from operating statements referred to above, to, generally, the Senior
Participation's beneficial interest in the annualized current Scheduled
Payment from the Mortgagor under the Mortgage Loan underlying the Senior
Participation.
S-159
<PAGE>
WAREHOUSE PROPERTIES
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ........................... 2 $534,530 100.0% 0 $0 0%
------------ ------------ ------------ ------------ ------------ ------------
Total ......................... 2 $534,530 100.0% 0 $0 0%
============ ============ ============ ============ ============ ============
Weighted Average ................ 20 months 0 months
Maximum ........................ 22 months 0 months
Minimum ........................ 13 months 0 months
FULLY AMORTIZING MORTGAGE LOANS
73 .............................. 1 $2,399,347 100.0% 0 $0 0%
------------ ------------ ------------ ------------ ------------ ------------
Total ......................... 1 $2,399,347 100.0% 0 $0 0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
REMAINING TERM TO MATURITY LOANS AS OF OF CUT-OFF OF CUT-OFF
(MONTHS) CUT-OFF DATE DATE DATE
- -------------------------------- ------------ ------------ ------------
<S> <C> <C> <C>
BALLOON MORTGAGE LOANS
13-24 ........................... 2 $534,530 100.0%
------------ ------------ ------------
Total ......................... 2 $534,530 100.0%
============ ============ ============
Weighted Average ................ 20 months
Maximum ........................ 22 months
Minimum ........................ 13 months
FULLY AMORTIZING MORTGAGE LOANS
73 .............................. 1 $2,399,347 100.0%
------------ ------------ ------------
Total ......................... 1 $2,399,347 100.0%
============ ============ ============
</TABLE>
S-160
<PAGE>
WAREHOUSE PROPERTIES
DISTRIBUTION OF OCCUPANCY PERCENTAGE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
100% ................ 3 $2,933,877 100.0% 0 $0 0.0%
------------ ------------ ------------ ------------ ------------ ------------
Total ............. 3 $2,933,877 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average ... 100.0% 0.0%
Maximum ............ 100.0% 0.0%
Minimum ............ 100.0% 0.0%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
OCCUPANCY PERCENTAGE CUT-OFF DATE DATE DATE
- -------------------- ------------ ------------ ------------
<S> <C> <C> <C>
100% ................ 3 $2,933,877 100.0%
------------ ------------ ------------
Total ............. 3 $2,933,877 100.0%
============ ============ ============
Weighted Average ... 100.0%
Maximum ............ 100.0%
Minimum ............ 100.0%
</TABLE>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1 - 60 months ... 2 $534,530 18.2% 0 $0 0.0%
241 - 300 months 1 2,399,347 81.8 0 0 0.0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 3 $2,933,877 100.0% 0 $0 0.0%
============ ============ ============ ============ ============ ============
Weighted Average 252 months 0 months
Maximum ......... 300 months 0 months
Minimum ......... 30 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
ORIGINAL TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
1 - 60 months ... 2 $534,530 18.2%
241 - 300 months 1 2,399,347 81.8
------------ ------------ ------------
Total .......... 3 $2,933,877 100.0%
============ ============ ============
Weighted Average 252 months
Maximum ......... 300 months
Minimum ......... 30 months
</TABLE>
S-161
<PAGE>
WAREHOUSE PROPERTIES
DISTRIBUTION OF AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
MORTGAGE GROUP LOAN 1 MORTGAGE GROUP LOAN 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
181 - 240 months 2 $534,530 18.2% 0 $0 0%
241 - 300 months 1 2,399,347 81.8 0 0 0
------------ ------------ ------------ ------------ ------------ ------------
Total .......... 3 $2,933,877 100.0% 0 $0 0%
============ ============ ============ ============ ============ ============
Weighted Average 289 months 0 months
Maximum ......... 300 months 0 months
Minimum ......... 240 months 0 months
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
LOANS AS OF OF CUT-OFF OF CUT-OFF
AMORTIZATION TERM CUT-OFF DATE DATE DATE
- ----------------- ------------ ------------ ------------
<S> <C> <C> <C>
181 - 240 months 2 $534,530 18.2%
241 - 300 months 1 2,399,347 81.8
------------ ------------ ------------
Total .......... 3 $2,933,877 100.0%
============ ============ ============
Weighted Average 289 months
Maximum ......... 300 months
Minimum ......... 240 months
</TABLE>
YEAR OF FIRST PRINCIPAL PAYMENT DATE OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
MORTGAGE LOAN GROUP 1 MORTGAGE LOAN GROUP 2
---------------------------------------- ----------------------------------------
APPROXIMATE % OF APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE CUT-OFF DATE DATE DATE
- ------------------------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
1977 .......................... 1 $2,399,347 81.8% 0 $0 0%
1994 .......................... 2 534,530 18.2 0 0 0
------------ ------------ ------------ ------------ ------------ ------------
Total ....................... 3 $2,933,877 100.0% 0 $0 0%
============ ============ ============ ============ ============ ============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
TOTAL MORTGAGE POOL
----------------------------------------
APPROXIMATE % OF
APPROXIMATE SCHEDULED SCHEDULED
NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE BALANCE AS BALANCE AS
YEAR OF FIRST PRINCIPAL LOANS AS OF OF CUT-OFF OF CUT-OFF
PAYMENT CUT-OFF DATE DATE DATE
- ------------------------------ ------------ ------------ ------------
<S> <C> <C> <C>
1977 .......................... 1 $2,399,347 81.8%
1994 .......................... 2 534,530 18.2
------------ ------------ ------------
Total ....................... 3 $2,933,877 100.0%
============ ============ ============
</TABLE>
- ------------
(1) The year of First Principal Payment Date for a Mortgage Loan is the
year in which the first Scheduled Principal Payment was due, or for Mortgage
Loans which were modified by the Seller, the year in which the first
Scheduled Principal Payment was, or in the case of recently modified
MortgageLoans, will be due, under such modification.
S-162
<PAGE>
SECONDARY FINANCING
In connection with recent modifications of certain of the Mortgage Loans,
the Seller or one or more of its affiliates may have obtained a mortgage loan
which constitutes a second lien on the Mortgaged Property (a "Second Mortgage
Loan") related to the Mortgage Loan with respect to which such modification
occurred. In the Intercreditor Agreement, the Seller has agreed not to
exercise its right to foreclose under a Second Mortgage Loan unless, the
Seller, or another party, purchases the Mortgage Loan from the Trust (in
circumstances in which the Trust is permitted to sell the related Mortgage
Loan) at a price at least equal to 100% of the then Scheduled Principal
Balance thereof plus accrued interest thereon at the applicable Mortgage
Interest Rate and all related unpaid expenses incurred with respect to such
Mortgage Loan. In addition to the foregoing, certain of the Mortgaged
Properties may be subject to subordinated liens held by persons not
affiliated with the Seller.
SIGNIFICANT PROPERTY
Set forth below is a description of the only Mortgaged Property that will
represent security for a Mortgage Loan with a Scheduled Principal Balance
exceeding 5% of the aggregate Scheduled Principal Balance of all the Mortgage
Loans.
POND VIEW CORPORATE CENTER
The Mortgage Loan that will have the largest Scheduled Principal Balance
as of the Cut-Off Date, of approximately $19,859,060 (8.2% of the aggregate
Cut-Off Date Scheduled Principal Balance), is secured by a first fee mortgage
on an office property that constitutes the Pond View Corporate Center (see
Appendix A, "Characteristics of the Mortgage Loans -- Mortgage Loan Group 1,"
Loan Number 1) (the "Center"). Pond View Corporate Center contains 233,500
net rentable square feet. It is located in Farmington, Connecticut, adjacent
to Interstate Route 84, approximately 15 miles west of Hartford. Pond View
Corporate Center consists of two buildings, one constructed in 1988 and one
in 1989. Each building contains 116,750 net rentable square feet. There is
on-site parking for 1,027 cars (4.4 parking spaces per 1,000 square feet).
Currently, the major tenants at the Center are Kaiser Permanente Health Fund
(52,030 square feet or 22.3% of the total square footage), a non-profit
entity that provides hospital and medical service plans, whose lease expires
May 31, 1997 and Allstate Insurance Company (41,349 square feet or 17.7% of
the total square footage), whose lease expires October 31, 1997. Other
tenants include Continental Insurance Company, Microsoft, and Levy & Droney.
The Center was 94% occupied as of July 1995. The Center's 1994 NOI was
$3,064,391 which provided debt service coverage of 1.589x.
The Mortgage Loan for the Center was modified by the Seller in October
1995. The modified loan documents require the Borrower to maintain an
operating account, a tax escrow account and a tenant improvement account.
Withdrawals from the operating account are limited to operating expenses,
debt service and deposits into the tax escrow account and tenant improvement
account. Distributions to the Borrower's partners are prohibited unless the
Borrower has either extended the leases or re-leased the space occupied by
the major tenants for a minimum of five years or established a balance in the
tenant improvement account of at least $30 per square foot (i.e., $5,668,700,
which will cover tenant improvement costs for 80.9% of the net rentable
square feet), with credit given in the event that space, which was vacant at
the time such Mortgage Loan was restructured, is subsequently leased up.
There is a $350,000 inter-company loan that was funded from the tenant
improvement account to pay for improvements for a new major tenant at an
affiliate's property in Meriden, Connecticut (referred to below). This
affiliate loan is fully guaranteed by Edmund Fusco, Jr. and is due December
31, 1997. Repayment of this loan will be made directly into the tenant
improvement account. Such loan and the guaranty will be assigned to the Trust
as additional security for the Center Mortgage Loan. As of the Cut-Off Date,
the balance in the tenant improvement account was $521,711. The Seller has
retained a mortgage loan with a scheduled principal balance of $5,000,000, as
of the Cut-Off Date, which constitutes a second lien on the Center. Such
mortgage loan is subject to the Intercreditor Agreement. See "The Mortgage
Loans" and "-- Secondary Financing" herein.
S-163
<PAGE>
The Borrower and owner of the Center is Fusco Farmington Associates
Limited, a Connecticut limited partnership, whose general partner is Edmund
Fusco, Jr. The limited partners are related Fusco entities. The partnership
was formed in 1988. It is a single purpose entity. The Borrower is affiliated
with the Borrower of two other Mortgage Loans in Mortgage Loan Group 1 with
an aggregate Scheduled Principal Balance of $10,098,607, which Mortgage Loans
are secured by two office properties located in the same office park in
Meriden, Connecticut. (See Loan Numbers 11 and 14 listed in Appendix A,
"Characteristics of the Mortgage Loans -- Mortgage Loan Group 1.") None of
these Mortgage Loans are cross-defaulted or cross-collateralized.
BORROWER CONCENTRATIONS
There are five groups of Mortgage Loans for which the Mortgagors are the
same or affiliated with one another.
(i) Pond View Corporate Center (described above), with a Scheduled
Principal Balance of approximately $19,859,060 and the two office properties
located in Meriden, Connecticut securing two Mortgage Loans respectively with
a Scheduled Principal Balance of approximately $5,378,170 and $4,720,437
(described above under "-- Significant Property"). None of these Mortgage
Loans are cross-defaulted or cross-collateralized with one another or any
other Mortgage Loan. (See Loan Numbers 1, 11 and 14 listed in Appendix A,
"Characteristics of the Mortgage Loans -- Mortgage Loan Group 1.")
(ii) Two Mortgage Loans with an aggregate Scheduled Principal Balance of
$1,720,706 (see Loan Numbers 46 and 79 listed in Appendix A, "Characteristics
of the Mortgage Loans -- Mortgage Loan Group 1,") are secured by a
multifamily property located in Kingston, Massachusetts and a hotel property
located in Fitchburg, Massachusetts. These Mortgage Loans are cross-defaulted
and cross-collateralized.
(iii) Three Mortgage Loans with an aggregate Scheduled Principal Balance
of $503,026 (see Loan Numbers 84, 94, and 95 listed in Appendix A,
"Characteristics of the Mortgage Loans -- Mortgage Loan Group 1.") Two of
these Mortgage Loans are secured by two industrial properties located in
Essex, Connecticut and one office property located in Old Saybrook,
Connecticut, respectively. These Mortgage Loans are cross-defaulted, but not
cross-collateralized.
(iv) Three Mortgage Loans (see Loan Numbers 17, 35 and 44 listed in
Appendix A, "Characteristics of the Mortgage Loans -- Mortgage Loan Group
1.") with an aggregate Scheduled Principal Balance of approximately
$7,300,000 are secured by three retail properties that are owned by the same
Borrower. These properties are located in Bakersfield, Riverside and Colton,
California, respectively. These Mortgage Loans are not cross-defaulted or
cross-collateralized.
(v) Two Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $13,600,000 (see Loan Numbers 2 and 20 listed in Appendix A,
"Characteristics of the Mortgage Loans -- Mortgage Loan Group 1.") are
respectively secured by two Mortgaged Properties that are owned by an
affiliate of the Depositor (the "Affiliate Mortgage Loans"). See "RISK
FACTORS -- The Mortgage Loans -- Mortgage Loans on Properties Owned by
Affiliates of the Depositor" herein.
STANDARD HAZARD INSURANCE
To the extent permitted by the related Mortgage Loan and required by the
servicing standards set forth in the Servicing Agreement, the Servicer will
require each Mortgagor to maintain a Standard Hazard Insurance Policy in the
form of a fire insurance policy with extended coverage. The coverage of each
such Standard Hazard Insurance Policy will be in an amount that is not less
than the lesser of the full replacement cost of the improvements securing
such Mortgage Loan or the outstanding principal balance owing on such
Mortgage Loan, but in any event, in an amount sufficient to avoid the
application of any co-insurance clause, unless otherwise specified in the
related Mortgage Note and the Mortgage. If, on the date of origination of the
Mortgage Loans, the Mortgaged Property was in an area identified in the
Federal Register by the Federal Emergency Management Agency as having special
flood hazards (and such flood insurance has been made available), the
Servicer will cause to be maintained a flood insurance policy meeting the
requirements of the current guidelines of the Federal Insurance
Administration in an
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amount representing coverage not less than the maximum amount required under
such current guidelines, unless otherwise specified in the related Mortgage,
but only to the extent that the related Mortgage Loan permits the lender to
require such coverage and such coverage is required in accordance with the
servicing standards set forth in the Servicing Agreement. The Special
Servicer will also maintain fire insurance with extended coverage and, if
applicable, flood insurance on property acquired upon foreclosure, or by deed
in lieu of foreclosure, of any Mortgage Loan in an amount not less than the
maximum amount obtainable with respect to such Mortgage Loan. In addition,
the Servicer may require the Mortgagor to maintain other forms of insurance
as may be required under the related Mortgage, including, but not limited to,
loss of rents endorsements and comprehensive public liability insurance. Any
losses incurred with respect to Mortgage Loans due to uninsured risks
(including earthquakes, mudflows and floods) or insufficient hazard insurance
proceeds may adversely affect payments to Certificateholders. Any cost
incurred by the Servicer in maintaining any such insurance policy if the
Mortgagor defaults on its obligation to do so will be charged to the related
Mortgagor.
Such costs may be recovered by the Servicer from reimbursements received
from the Mortgagor or, if the Mortgagor does not pay such amounts, the
Collection Account, at the time set forth in the Trust Agreement.
No pool insurance policy, special hazard insurance policy, bankruptcy
bond, repurchase bond or certificate guarantee insurance will be maintained
with respect to the Mortgage Loans, nor will any Mortgage Loan be subject to
FHA insurance. See "DESCRIPTION OF INSURANCE ON THE MORTGAGE LOANS" in the
Prospectus.
CERTAIN ENVIRONMENTAL MATTERS
The Mortgaged Properties include commercial and multifamily properties,
and as such, are subject to federal, state, and local laws and regulations
relating to environmental protection. Such laws may include laws regulating
emissions of air pollutants, discharges of waste water or storm water, the
generation, transport, storage or disposal of hazardous waste, underground
storage tanks, the removal and disposal of asbestos-containing materials and
the management of electrical equipment containing polychlorinated biphenyls.
The failure to comply with such laws and regulations may result in
significant penalties, including civil and criminal fines.
Moreover, under various federal, state and local laws, ordinances and
regulations, an owner or operator of real estate may be liable for the costs
of removal or remediation of hazardous substances or toxic substances on, in
or beneath such property. Such liability may be imposed without regard to
whether the owner knew of, or was responsible for, the presence of such
hazardous or toxic substances. The cost of any required remediation and the
owner or operator's liability therefor as to any property is generally not
limited under such laws, ordinances and regulations and could exceed the
value of the property and the aggregate assets of the owner or operator. In
addition, as to the owners or operators of Mortgaged Properties that generate
hazardous substances that are disposed of at "off-site" locations, said
owners or operators may be held strictly, jointly and severally liable if
there are releases or threatened releases of hazardous substances at the
off-site locations where said person's hazardous substances were disposed.
Although the federal Comprehensive Environmental Response, Compensation
and Liability Act of 1980, as amended ("CERCLA"), provides an exemption from
the definition of "owner" for lenders whose primary indicia of ownership in a
particular property is the holding of a security interest, lenders may
forfeit, as a result of their actions with respect to particular borrowers,
their secured creditor exemption and be deemed an owner or operator of
property such that they are liable for remediation costs. On April 29, 1992,
the United States Environmental Protection Agency ("EPA") issued a final rule
intended to protect lenders from liability under CERCLA. This rule was in
response to a 1990 decision of the United States Court of Appeals for the
Eleventh Circuit, United States v. Fleet Factors Corp., which narrowly
construed the security interest exemption under CERCLA to hold lenders liable
if they had the capacity to influence their borrower's management of
hazardous waste. On February 4, 1994, the United States Court of Appeals for
the District of Columbia Circuit in Kelley v. EPA invalidated this EPA rule.
As a result of the Kelley case, the state of the law with respect to the
secured creditor exemption and the scope of permissible activities in which a
lender may engage to protect its security interest remain uncertain. In
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addition, even if a new version of the EPA rule were to be adopted formally
by EPA, followed informally by EPA, enacted by statute, or otherwise
reinstated, the rule would not necessarily affect the potential for lender
liability in actions by parties other than EPA or under laws or legal
theories other than CERCLA. If a lender is or becomes liable, it can bring an
action for contribution against the owner or operator who created the
environmental hazard, but that person or entity may be bankrupt or otherwise
judgment proof. Such clean-up costs may be substantial. It is possible that
such costs could become a liability of the Trust and occasion a loss to
Certificateholders in certain circumstances described above if such remedial
costs were incurred. See "CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS --
Environmental Matters" in the Prospectus.
It is the policy of the Seller to avoid acquiring an interest in any
Mortgage Loan thought to have environmental concerns which could have a
material negative impact on the economic viability of the related Mortgaged
Property. As part of its due diligence and in order to adhere to those
policies, the Seller performed a Phase I, and in some cases a Phase II,
environmental site assessment on Mortgaged Properties securing approximately
98.0% of the aggregate Scheduled Principal Balance of the Mortgage Loans. The
Seller concluded that, in its opinion, any issues raised by these reports
were not so detrimental as to constitute a material adverse condition.
The Stonebridge Crossing Shopping Center Property (the "Stonebridge
Property"), which secures a Mortgage Loan with a Scheduled Principal Balance
as of the Cut-Off Date of $3,600,000, is adjacent to a property owned by Emro
Marketing Company ("Emro") on which a gas station is located. Emro is a
wholly owned subsidiary of Marathon Oil Company which is a wholly owned
subsidiary of CSX Corporation. Emro was identified by the State of Georgia as
the responsible party in connection with releases of petroleum product (two
occurrences) at its property. Emro has accepted full responsibility for the
releases, has filed a corrective action plan with the State of Georgia and is
in the process of remediation. Emro has agreed in principle to indemnify the
related Borrower for the costs of remediation of the Stonebridge Property to
a level satisfactory to, and sufficient to obtain a "no further action"
letter from, the State of Georgia. Emro is currently negotiating a settlement
with the Borrower which would provide for Emro to pay agreed upon damages to
the Borrower and to indemnify the Borrower and its successors and any
purchasers of the Stonebridge Property for a period of ten years.
It should be noted, however, that neither the Seller nor the Depositor has
made any representation or warranty as to the environmental condition of any
Mortgaged Property, the impact of such condition on the prospective
performance of any Mortgage Loan or the compliance of the Mortgaged
Properties with any environmental laws.
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SERVICING OF MORTGAGE LOANS
GENERAL
The servicing of the Mortgage Loans and any REO Properties will be
governed by the Trust Agreement, as well as by a servicing agreement (the
"Servicing Agreement") and a special servicing agreement (the "Special
Servicing Agreement," and together with the Trust Agreement and the Servicing
Agreement, the "Servicing Documents"), each to be dated as of the Cut-Off
Date. The following summaries describe certain provisions of the Servicing
Documents relating to the servicing and administration of the Mortgage Loans.
The summaries do not purport to be complete and are subject, and qualified in
their entirety by reference, to the respective provisions of the Servicing
Documents. When particular provisions or terms used in the Servicing
Documents are referred to herein, the actual provisions (including
definitions of terms) are deemed to be incorporated herein by reference.
Reference is made to the Prospectus for additional information regarding the
terms of the Servicing Documents relating to the servicing and administration
of the Mortgage Loans and any REO Properties. See "SERVICING OF MORTGAGE
LOANS" and "THE TRUST AGREEMENT" in the Prospectus.
The Servicer and the Special Servicer each will be required to service and
administer the Mortgage Loans during the time each is responsible for such
servicing and administration, for and on behalf of the Trustee and for the
benefit of the Certificateholders, in accordance with applicable law, the
terms of the applicable Servicing Documents, the respective Mortgage Loans
and the related Insurance Policies (as defined in the Prospectus) and to the
extent consistent with the foregoing, in accordance with a standard which is
the higher of (a) the customary and usual standards of practice of prudent
institutional commercial and multifamily mortgage loan servicers utilized
with respect to mortgage loans for third parties exercising reasonable
business judgment and acting in accordance with applicable law, the terms of
the Servicing Agreement or the Special Servicing Agreement, as applicable,
and the terms of the respective Mortgage Loans and the related Insurance
Policies and with a view to the maximization of timely recovery of principal
and interest on the Mortgage Loans and the best interests of the Trust and
the holders of the Certificates (or, in the case of the mortgage loan
underlying the Senior Participation, the best interests of the holders of the
Senior Participation), and (b) the standards of practice utilized by the
Servicer or the Special Servicer, as applicable, with respect to mortgage
loans that it owns, but without regard to: (i) any relationship that the
Servicer or the Special Servicer, as applicable, or any Affiliate of the
Servicer or the Special Servicer, as applicable, may have with the related
Mortgagor; (ii) the ownership of any Certificates by the Servicer or the
Special Servicer or any of its Affiliates; (iii) the Servicer's obligation to
make Advances as specified in the Servicing Agreement or the Special
Servicing Agreement, as applicable, and in the Trust Agreement; (iv) the
Servicer's or the Special Servicer's right to receive compensation for its
services rendered pursuant to the applicable Servicing Documents; (v) the
ownership, servicing or management for others of any other mortgage loans or
mortgaged property; and (vi) the servicing of Specially Serviced Mortgage
Loans by the Special Servicer.
The Servicer initially will be responsible for the servicing and
administration of the entire Mortgage Pool. Upon the occurrence of a
Servicing Transfer Event with respect to any Mortgage Loan, and prior to
acceleration of amounts due under the related Mortgage Note or commencement
of any foreclosure or similar proceedings, the Servicer will transfer its
servicing responsibilities with respect to such Mortgage Loan to the Special
Servicer (whereupon it will become a "Specially Serviced Mortgage Loan"), but
will continue to receive payments on such Mortgage Loan (including amounts
collected by the Special Servicer), to make certain calculations with respect
to such Mortgage Loan, to make remittances to the Trustee, and to prepare
certain reports to the Certificateholders with respect to such Mortgage Loan
and to make Servicing Advances and/or reimburse the Special Servicer for any
reimbursable servicing expenses incurred thereby with respect to such
Mortgage Loan. If any Mortgaged Property is acquired on behalf of the Trust
whether through foreclosure, deed-in-lieu of foreclosure or otherwise, the
Special Servicer will be responsible for the operation and management
thereof.
A "Servicing Transfer Event" means, with respect to any Mortgage Loan, the
occurrence of any of the following: (i) if such Mortgage Loan is a Balloon
Mortgage Loan, a payment default occurs on such Mortgage Loan at its Maturity
Date; (ii) any Scheduled Payment becomes more than 60 days delinquent;
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(iii) any Mortgagor enters into or consents to bankruptcy, appointment of a
receiver or conservator or a similar insolvency or similar proceeding, or the
Mortgagor has become the subject of a decree or order for such a proceeding
that shall have remained in full force undischarged or unstayed for a period
of 60 days; (iv) the Servicer receives notice of the foreclosure or proposed
foreclosure of any lien on any related Mortgaged Property; (v) a payment
default occurs, or in the judgment of the Servicer is imminent and is not
likely to be cured by the related Mortgagor within 60 days of such payment
default; or (vi) any Mortgagor admits in writing its inability to pay its
debts generally as they become due, files a petition to take advantage of any
applicable insolvency or reorganization statute, makes an assignment for the
benefit of its creditors or voluntarily suspends payment of its obligations.
If the related Mortgaged Property is acquired in respect of any such Mortgage
Loan (upon acquisition, an "REO Property"), whether through foreclosure,
deed-in-lieu of foreclosure or otherwise, the Special Servicer will continue
to be responsible for the operation and management thereof. The Mortgage
Loans serviced by the Special Servicer are referred to herein as the
"Specially Serviced Mortgage Loans" and, together with any REO Properties,
constitute the "Specially Serviced Trust Fund Assets." The Servicer will have
no responsibility for the Special Servicer's performance of its duties under
the Special Servicing Agreement.
To the extent that any Specially Serviced Mortgage Loan with respect to
which an event specified in clause (i), (ii) or (v) above has occurred
becomes a performing Mortgage Loan for at least 90 consecutive days, in
accordance with its original terms or as modified in accordance with the
Special Servicing Agreement, or any Specially Serviced Mortgage Loan with
respect to which an event specified in clause (iii), (iv) or (vi) has
occurred, the event specified has been remedied, cured or otherwise resolved
(a "Rehabilitated Mortgage Loan"), the Special Servicer will transfer back
all servicing responsibilities therefor to the Servicer.
Set forth below, following the subsections captioned "The Servicer" and
"The Special Servicer," is a description of certain pertinent provisions of
the Servicing and Special Servicing Agreements relating to the servicing of
the Mortgage Loans.
THE SERVICER
GE Capital Asset Management Corporation (the "Servicer") is a wholly-owned
subsidiary of General Electric Capital Corporation ("GECC"). GECC is an
indirect wholly-owned subsidiary of the General Electric Company. The
Servicer's principal offices are located at 2000 West Loop South, Suite 1200,
Houston, Texas 77027. As of October 31, 1995, the Servicer serviced
approximately 13,000 commercial and multifamily loans, totaling approximately
$8.2 billion in aggregate outstanding principal amounts, including loans
securitized in mortgage-backed securitization transactions.
The information set forth herein concerning the Servicer has been provided
by it. Accordingly, the Depositor makes no representation or warranty as to
the accuracy or completeness of such information.
SERVICER COMPENSATION AND PAYMENT OF EXPENSES
The Servicer will be paid a monthly Servicing Fee in an amount equal to
0.0125% per annum (the "Servicing Fee Rate") on the Scheduled Principal
Balance of each Mortgage Loan as of the first day of the related Due Period
for such Mortgage Loan. In addition, the Servicer is entitled to assumption
fees as described in the Servicing Agreement that are earned from a Mortgagor
in connection with an assumption of the subject Mortgage Loan in accordance
with the Servicing Agreement and the Special Servicing Agreement. The
Servicer will be entitled to receive, as additional compensation, interest on
Advances at the Servicer Reimbursement Rate, late fees, replacement reserve
management fees to the extent permitted by the Mortgage Loans earned from
Mortgagors which are collected by the Servicer with respect to Mortgage Loans
it services and certain other fees and any interest or other income earned on
any investment of the funds in the Collection Account or reserve or escrow
accounts maintained under the Mortgage Loans. See "SERVICING OF MORTGAGE
LOANS -- Servicing Compensation and Payment of Expenses" in the Prospectus
for information regarding other possible compensation to the Servicer, and
for information regarding expenses payable by the Servicer.
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COLLECTION OF TAXES, ASSESSMENTS AND SIMILAR ITEMS
If required by the related Mortgage or Mortgage Note, the Servicer shall
require that an Escrow Account be maintained for the collection of hazard
insurance premiums and real estate taxes and assessments with respect to the
related Mortgage Loan including the Specially Serviced Mortgage Loans.
THE SPECIAL SERVICER
The Trustee will enter into the Special Servicing Agreement with respect
to the Mortgage Loans with Lennar Partners, Inc., a Florida corporation (the
"Special Servicer"), pursuant to which the Special Servicer will, among other
things, oversee the resolution of Specially Serviced Mortgage Loans, act as
disposition manager of REO Properties acquired on behalf of the Trustee
through foreclosure or deed in lieu of foreclosure, maintain insurance with
respect to REO Properties and provide monthly reports to the Servicer and the
Trustee.
Lennar Partners, Inc. is a wholly-owned subsidiary of Lennar Corporation
("Lennar"). The principal executive offices of the Special Servicer are
located at 700 N.W. 107th Avenue, Suite 400, Miami, Florida 33172.
Lennar is a full-service real estate company primarily involved in
homebuilding, the development and management of commercial properties and
real estate-related financial services. Lennar has regional offices located
throughout Florida, as well as in a number of other states, including
California, Texas, Arizona and Georgia. As a result of its real estate and
mortgage loan activities, Lennar and its affiliates have personnel with
experience in loan workouts, asset management and dispositions, real estate
development, asset valuations, bulk portfolio acquisitions and marketing and
sales. The principal business of the Special Servicer is the management,
turnaround and capital recovery of distressed and underperforming real estate
loans, foreclosed real estate and related assets and servicing commercial
real estate loans.
As of March 31, 1995, the Special Servicer and its affiliates were
managing a portfolio including over 46,000 assets in 49 states with an
original face value of approximately $9 billion, approximately $6 billion of
which are commercial real estate assets. Approximately $3 billion of the
commercial real estate assets that are included in this managed portfolio
represent 10 securitization transactions for which the Special Servicer is
the servicer or the special servicer.
The Special Servicer and its affiliates own and are in the business of
acquiring assets similar in type to the assets of the Trust. To the extent
that assets owned, managed and/or serviced by the Special Servicer and its
affiliates are of a type similar to the assets held by the Trust, such assets
might, depending upon the particular circumstances including, for example,
the location of such assets, compete with the Mortgaged Properties for
tenants, purchasers, financing and the like.
The information set forth herein concerning the Special Servicer has been
provided by it. Accordingly, the Depositor makes no representation or
warranty as to the accuracy or completeness of such information.
The Special Servicer may be removed at any time by the Operating Adviser,
provided that no such resignation or removal will be effective until a
qualified successor Special Servicer has been appointed and accepted such
appointment. Prior to the appointment of any successor Special Servicer, the
Trustee must have received a letter from each of S&P and Fitch to the effect
that the appointment of such successor Special Servicer would not, in and of
itself, result in the reduction of the ratings at the time assigned to any
Class of the Certificates.
The Special Servicing Agreement will provide that the Special Servicer
will carry out its special servicing functions in accordance with the Special
Servicing Standard (as described below) and will comply with the REMIC
Provisions.
SPECIAL SERVICING STANDARD
Under the Special Servicing Agreement, unless acting at the direction of
the Operating Adviser, the Special Servicer is required to service and
administer the Mortgage Loans solely in the best interests of
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and for the benefit of the Certificateholders (as determined by the Special
Servicer in its reasonable judgment without taking into account any differing
payment priorities among the Classes of Certificates and any conflicts of
interest involving it), in accordance with the terms of the Special Servicing
Agreement and the Mortgage Loans and, to the extent consistent with such
terms, in accordance with a standard which is the higher of: (a) the
customary and usual standards of practice of prudent institutional commercial
and multifamily mortgage loan servicers utilized with respect to mortgage
loans for third parties exercising reasonable business judgment and acting in
accordance with applicable law, the terms of the Special Servicing Agreement
and the terms of the respective Mortgage Loans and the related Insurance
Policies and with a view to the maximization of timely recovery of principal
and interest on the Mortgage Loans and the best interests of the Trust and
the holders of the Certificates (or, in the case of the mortgage loan
underlying the Senior Participation, the best interests of the holders of the
Senior Participation), and (b) the standards of practice utilized by the
Special Servicer with respect to mortgage loans that it owns, but without
regard to: (i) any relationship that the Special Servicer or any Affiliate of
the Special Servicer may have with the related Mortgagor; (ii) the ownership
of any Certificates by the Special Servicer or any of its Affiliates; (iii)
the Special Servicer's right to receive compensation for its services
rendered pursuant to the Special Servicing Agreement; (iv) the ownership,
servicing or management for others of any other mortgage loans or mortgaged
property; and (v) the servicing of Specially Serviced Mortgage Loans by the
Special Servicer. When acting at the direction of the Operating Adviser, the
Special Servicer is required to service and administer the Mortgage Loans as
directed by the Operating Adviser, but shall in any event, to the extent
consistent with the terms of the Special Servicing Agreement and the Mortgage
Loans, act with the same care, skill, prudence and diligence with which it
manages similar assets for other portfolios, giving due consideration to
customary and usual standards of practice for prudent asset managers and act
in a manner consistent with the customary and usual standards of practice for
prudent asset managers and subject to the terms of the Trust Agreement and
the Special Servicing Agreement.
SPECIAL SERVICER COMPENSATION AND PAYMENT OF EXPENSES
The Special Servicing Agreement will provide that the Special Servicer
will be entitled to certain fees, including: (a) a fee (the "Basic Fee")
calculated at a rate equal to 0.01% per annum with respect to each Mortgage
Loan, on the Scheduled Principal Balance of such Mortgage Loan, (b) an
additional fee (the "Supplemental Special Servicer Fee") equal to the excess,
if any, of (x) an amount calculated at a rate equal to 0.25% per annum,
applied solely to the Specially Serviced Mortgage Loans, over (y) the Basic
Fee, and (c) a fee (the "Workout Fee"), equal to 1.0% (the "Workout Fee
Rate"), of net collections and net proceeds received with respect to each
Specially Serviced Mortgage Loan (including those for which servicing has
been returned to the Servicer). In addition, the Special Servicer is entitled
to receive a fee of up to $5,000 for each non-specially serviced Balloon
Mortgage Loan extended for a period not to exceed one year past its original
maturity date upon satisfaction of certain conditions stated in the Special
Servicing Agreement. See "--Mortgage Loan Modifications" herein.
Notwithstanding the foregoing, the Workout Fee with respect to any net
Liquidation Proceeds received in connection with a sale of REO Property or
upon a Final Recovery Determination for any Mortgage Loan will equal the
product of (a) 1.0% and (b) a fraction, the numerator of which is equal to
the net Liquidation Proceeds received (after payment of all other fees and
expenses with respect thereto) and the denominator of which is equal to the
unpaid principal balance of, the related Mortgage Loan and accrued and unpaid
interest thereon, and (c) net Liquidation Proceeds.
THE OPERATING ADVISER
For so long as the Class H, Class G, Class F or Class E Certificates
constitute the Controlling Class and in certain events when another Class is
the Controlling Class, an operating adviser (the "Operating Adviser") will
advise, approve and direct the Special Servicer with respect to certain
actions to be performed in respect of Specially Serviced Mortgage Loans. The
Special Servicer will be required to provide to the Operating Adviser for its
approval, among other things, (i) any proposed modification of a Specially
Serviced Mortgage Loan that would result in the extension of the stated
maturity of such Mortgage Loan (which extension may only be made in the event
of a material default, a payment default
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or an imminent payment default and may in no event be to a date beyond two
years prior to the Final Scheduled Distribution Date), a reduction in the
Mortgage Interest Rate or Scheduled Payment of such Mortgage Loan or a
forgiveness of interest on or principal of such Mortgage Loan, (ii) any
proposed foreclosure of a Specially Serviced Mortgage Loan and, in connection
therewith, a Phase I environmental audit, (iii) any proposed sale of a
Specially Serviced Mortgage Loan (other than in connection with the
termination of the Trust at the direction of the Servicer as described under
"DESCRIPTION OF THE CERTIFICATES -- Optional Termination" or "-- Special
Termination" herein), (iv) any proposal to bring an REO Property into
compliance with applicable environmental laws, (v) any acceptance of
substitute or addition of collateral for a Mortgage Loan, (vi) any waiver of
a "due-on-sale" or "due-on-encumbrance" clause, and (vii) any acceptance of
an assumption agreement releasing a Mortgagor from liability. In no event
shall the Operating Adviser direct the Special Servicer to act (a) other than
in accordance with the terms of the Special Servicing Agreement and the
Mortgage Loans, (b) to the extent consistent with such terms, other than with
the same care, skill, prudence and diligence with which the Special Servicer
manages similar assets for other portfolios, giving due consideration to
customary and usual standards of practice for prudent asset managers, (c)
other than in a manner consistent with the customary and usual standards of
practice for prudent asset managers or (d) contrary to the REMIC provisions
of the Code. In addition, the Operating Adviser will have the right to remove
the Special Servicer at any time upon the appointment and acceptance of such
appointment by a successor Special Servicer appointed by the Operating
Adviser; provided that, prior to the effectiveness of any such appointment,
the Trustee shall have received a letter from each of S&P and Fitch to the
effect that such appointment would not result in a reduction in any rating
then assigned to any Class of Certificates. The Servicer will be required to
provide to the Operating Adviser for its approval (i) any adoption or
implementation of a business plan submitted by a Mortgagor with respect to
its Mortgaged Property; (ii) the execution or renewal of any lease of 15% or
more of the square footage of the building or buildings located on a
Mortgaged Property securing a Mortgage Loan of $5,000,000 or more; and (iii)
the release of any escrow held in conjunction with a Mortgage Loan to the
related Mortgagor not expressly required by the terms of the Mortgage Loan or
under applicable law in the case of a Mortgage Loan of $5,000,000 or more.
Any assignment or delegation of the duties of the Special Servicer to any
other entity which would result in the release of the Special Servicer from
its ongoing obligations under the Special Servicing Agreement will also be
subject to the Operating Adviser's approval.
The "Controlling Class" will be the Class of Certificates (the Class A-1A,
Class A-1B and Class A-2 Certificates constituting a single Class for such
purpose) having at any time of determination the largest number of Operating
Adviser Votes; provided, that, none of the Class E, Class Class G or Class H
Certificates may be the Controlling Class at any time that the Certificate
Principal Amount of such Class is less than 3.0% of the aggregate Certificate
Principal Amount of the Certificates. Initially, the Controlling Class will
be the Class H Certificates.
Upon the Class G Certificates becoming the Controlling Class, the Class G
Certificateholders will immediately have the right to appoint a new Operating
Adviser, upon the Class F Certificates becoming the Controlling Class, the
Class F Certificateholders will immediately have such rights and upon the
Class E Certificates becoming the Controlling Class, the Class E
Certificateholders will immediately have such rights. Initially, the
Operating Adviser will be an affiliate of the Depositor.
Except as otherwise directed by the Controlling Class as described below,
at all times at which none of the Class H, Class G, Class F or the Class E
Certificates is controlling and thus there is no Controlling Class, there
will be no Operating Adviser and the Special Servicer will be required to
service the Specially Serviced Mortgage Loans pursuant to the standards set
forth in the Special Servicing Agreement without regard to the direction of
the Operating Adviser. At any time the holders of a majority of the Class of
Certificates that is then the Controlling Class may direct the Trustee in
writing to hold an election for an Operating Adviser, which election will be
held in accordance with the procedures set forth in the Trust Agreement on
the first Distribution Date to occur more than 30 days following the date of
receipt by the Trustee of such direction.
In determining the Controlling Class, each Class of Certificates (other
than the Class R Certificates) will be allocated the following number of
votes (the "Operating Adviser Votes") for each $1,000,000 of
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Certificate Principal Amount of such Class: Class A-1A Certificates, 1.0;
Class A-1B Certificates, 1.0; Class A-2 Certificates, 1.0; Class B
Certificates, 16.00; Class C Certificates, 32.00; Class D Certificates,
106.67; Class E Certificates, 355.56; Class F Certificates, 1303.70; Class G
Certificates, 2172.84; and Class H Certificates, 3621.40. Each Class of
Certificates (other than the Class R Certificates) will initially be
allocated approximately the following number of Operating Adviser Votes:
Class A-1A Certificates, 52.13; Class A-1B Certificates, 50.00; Class A-2
Certificates, 14.36; Class B Certificates, 232.98; Class C Certificates,
776.60; Class D Certificates, 2588.68; Class E Certificates, 9491.81; Class F
Certificates, 15819.69; Class G Certificates, 26366.15; and Class H
Certificates, 43,943.59.
THE EXTENSION ADVISER
Election of the Extension Adviser
The holder or holders of Certificates with an aggregate Certificate
Principal Amount equal to more than 66 2/3 % of the aggregate Certificate
Principal Amount of the outstanding Certificates (exclusive of the
Controlling Class and any Class or Classes of Certificates subordinate to the
Controlling Class) will be entitled to elect an adviser (the "Extension
Adviser") from whom the Special Servicer will seek approval as described
below. Upon (i) the receipt by the Trustee of written requests for an
election of an Extension Adviser from the holders of Certificates
representing more than 66 2/3 % of the aggregate Certificate Principal Amount
of the Certificates (exclusive of the Controlling Class and any Class or
Classes of Certificates subordinate to the Controlling Class), or (ii) the
resignation or removal of the person acting as Extension Adviser, an election
of a successor Extension Adviser will be held commencing as soon as
practicable thereafter. The Extension Adviser may be removed at any time by
the written vote of holders of Certificates representing more than 66 2/3 %
of the aggregate Certificate Principal Amount of the Certificates (exclusive
of the Controlling Class and any Class or Classes of Certificates subordinate
to the Controlling Class). Prior to the election of the initial Extension
Adviser, and in the event that an Extension Adviser shall have resigned or
been removed and a successor Extension Adviser shall not have been elected,
the Operating Adviser will serve as Extension Adviser and, if there is no
Operating Adviser to serve in such capacity, there shall be no Extension
Adviser; and, notwithstanding anything to the contrary described herein, the
Special Servicer shall not have any right or obligation to consult with or to
seek and/or obtain approval from an Extension Adviser, and the provisions of
the Servicing Documents relating thereto shall be of no effect, in any event
during any such period that there is no Extension Adviser.
Duties of the Extension Adviser
The Special Servicer will not be permitted to grant any extension of the
maturity of a Specially Serviced Mortgage Loan beyond the third anniversary
of such loan's stated maturity date, unless the Extension Adviser has
approved such action in writing within five Business Days (provided that if
such written notice has not been received by the Special Servicer within five
Business Days, then the Extension Adviser's approval will be deemed to have
been given). In addition, the Extension Adviser will confirm to its
reasonable satisfaction that all conditions precedent to granting any such
extension have been satisfied. See "--Mortgage Loan Modifications" below.
Limitation on Liability of Extension Adviser
The Extension Adviser will have no liability to the Trust Fund or the
Certificateholders for any action taken, or for refraining from the taking of
any action, in good faith pursuant to the Trust Agreement, or for errors in
judgment; provided that the Extension Adviser will not be protected against
any liability which would otherwise be imposed by reason of willful
misfeasance, bad faith or negligence in the performance of duties or by
reason of reckless disregard of obligations or duties. By its acceptance of a
Certificate, each Certificateholder confirms its understanding that the
Extension Adviser may take actions that favor the interest of one or more
Classes of the Certificates over other Classes of the Certificates, and that
the Extension Adviser may have special relationships and interests that
conflict with those of holders of some Classes of the Certificates and,
absent willful misfeasance, bad faith or negligence on the part of the
Extension Adviser, agree to take no action against the Extension Adviser or
any of its officers, directors, employees, principals or agents as a result
of such a special relationship or conflict.
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MORTGAGE LOAN MODIFICATIONS
The Special Servicer may, after consultation with the Operating Adviser,
modify, waive or amend the terms of any Mortgage Loan with respect to which a
material default has occurred (or one on which default is reasonably
foreseeable) or a payment default has occurred, if it determines in its
judgment that such modification, waiver or amendment of the terms of a
Mortgage Loan is reasonably likely to produce a greater recovery on a net
present value basis than liquidation of such Mortgage Loan; provided that
neither the Special Servicer nor the Servicer may agree to any modification,
waiver or amendment that: (i) extends the maturity date of such Mortgage Loan
later than the earlier of (A) in the case of a fully amortizing Mortgage
Loan, two years prior to the Final Scheduled Distribution Date and, in the
case of a Balloon Mortgage Loan having partial amortization, the date that
would be the date that the Mortgage Loan amortized in full and (B) in the
case of Mortgage Loans secured by a leasehold estate, the date occurring ten
years prior to the termination of such leasehold, (ii) reduces the Mortgage
Interest Rate to an amount less than, in the case of fixed rate Mortgage
Loans, the greater of 7.0% per annum or the then prevailing interest rate as
determined by the Special Servicer, or (iii) permits deferral of interest
without accrual of interest at the Mortgage Interest Rate thereon. The
Special Servicer may not forgive principal on, or satisfy at a discount, any
Specially Serviced Mortgage Loan unless the Special Servicer obtains the
approval of the Operating Adviser. The Special Servicer may not modify any
Mortgage Loan so that the amount of negative amortization added to the
Principal Balance of such Mortgage Loan resulting from such modification
would exceed 5% of the Principal Balance of such Mortgage Loan (less any
negative amortization added to the Principal Balance of such Mortgage Loan
prior to such modification). In addition, the Servicer and the Special
Servicer must in certain cases receive certain opinions of counsel as to
certain REMIC matters prior to any modification, waiver or amendment of any
Mortgage Loan.
The modification of a Mortgage Loan may tend to reduce prepayments by
avoiding liquidations and therefore may extend the weighted average life of
the Certificates beyond that which might otherwise be the case. See "YIELD,
PREPAYMENT AND MATURITY CONSIDERATIONS" herein.
FORECLOSURES
The Special Servicer, on behalf of the Trust Fund, may at any time, with
the approval of the Operating Adviser (if any), institute foreclosure
proceedings, exercise any power of sale contained in any mortgage or deed of
trust, obtain a deed-in-lieu of foreclosure or otherwise acquire title to a
Mortgaged Property by operation of law or otherwise, if such action is
consistent with the Special Servicing Standard and a default on the related
Mortgage Loan has occurred but subject, in all cases, to certain limitations
concerning environmental matters and, in certain cases, the receipt of an
Opinion of Counsel relating to certain REMIC requirements. If the Trust Fund
acquires a Mortgaged Property, the Trust Agreement will provide that the
Special Servicer must administer such Mortgaged Property so that it qualifies
at all times as "foreclosure property" within the meaning of Code Section
860G(a)(8). The Trust Agreement also requires that in some circumstances such
Mortgaged Property be managed and operated by an "independent contractor,"
within the meaning of applicable Treasury regulations. Such Treasury
regulations prescribe to some extent the manner in which an independent
contractor must be compensated and limit the types of income that can be
retained by the Trust. Generally, the Trust Fund will not be taxable on
income received with respect to any REO Property to the extent that it
constitutes "rents from real property," within the meaning of Code Section
856(c)(3)(A) and Treasury regulations thereunder. "Rents from real property"
do not include any rental income under a lease based in whole or part on the
net income or gain of any tenant or sub-tenant. No determination has been
made whether rent on any of the Mortgaged Properties meets this requirement.
"Rents from real property" include charges (or an allocable portion of rental
income where no separate charge is stated) for services customarily furnished
or rendered in connection with the rental of real property, whether or not
the charges are separately stated. Services to the tenants of a particular
building will be considered customary if, in the geographic market in which
the building is located, tenants in buildings which are of similar class are
customarily provided with the service. No determination has been made whether
the services furnished to the tenants of the Mortgaged Properties are
"customary" within the meaning of the applicable regulations. It is therefore
possible that a portion of the rental income with respect to a Mortgaged
Property owned by the Trust Fund, presumably allocated based on the value of
any
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<PAGE>
nonqualifying services, would not constitute "rents from real property." In
addition to the foregoing, any net income from a trade or business operated
or managed by an independent contractor on a Mortgaged Property owned by the
Trust Fund (other than qualifying rent) will not constitute "rents from real
property" and in general would be taxable to the Trust Fund at the highest
marginal federal corporate rate and may also be subject to state or local
taxes. In addition to the foregoing, if a trade or business is carried on
other than through an independent contractor, or if the terms of the Trust's
contract with the independent contractor do not conform to requirements set
forth in Treasury regulations, income from an REO Property could be subject
to tax at a rate of 100%. Any such taxes would be chargeable against the
related income for purposes of determining the net REO Proceeds available for
distribution to holders of Certificates.
If the Trustee receives any bid to purchase a Mortgage Loan as to which a
default has occurred and is continuing for a price at least equal to the
principal balance of such Mortgage Loan plus any accrued and unpaid interest
thereon and any expenses (including, but not limited to, interest due on any
Advances thereon), the Trustee will accept the highest bid and sell such
Mortgage Loan to the highest bidder, subject to certain limitations if the
bidder is the Servicer, the Special Servicer, the Seller, and any of their
affiliates and subject to certain other limitations. The Trustee is under no
obligation to solicit any such bid. The Depositor, its affiliates or any
other person may make any such bid for a Defaulted Mortgage Loan.
SALE OF DEFAULTED MORTGAGE LOANS AND REO PROPERTIES
The Special Servicer may, in lieu of exercising remedies pursuant to the
terms of the Mortgage Loan and Mortgage, sell any Defaulted Mortgage Loan for
cash, if it determines, subject to the approval of the Operating Adviser and
consistent with the Special Servicing Standard (as described above under
"--The Special Servicer--Special Servicing Standard"), that a sale would be
in the best interests of the Holders of the Certificates. The purchase price
for such Defaulted Mortgage Loan shall generally be equal to the greater of
(i) the sum of (a) the unpaid principal balance of such Mortgage Loan, (b)
unpaid and uncapitalized interest on such Mortgage Loan (calculated at the
Mortgage Interest Rate) to but not including the Due Date in the Due Period
in which the purchase is to occur and (c) certain servicing expenses that are
reimbursable to the Servicer, and (ii) the fair market value of the Defaulted
Mortgage Loan, less any applicable Supplemental Special Servicer Fee and
Workout Fee (and net of any expenses to be incurred in connection with the
transfer of such Defaulted Mortgage Loan, estimated in good faith by the
Special Servicer), such fair market value to be determined by an appraiser
selected by the Special Servicer and not disapproved by the applicable
Trustee in accordance with the terms of the Trust Agreement.
If any Mortgaged Property is acquired by the Trust, the Special Servicer
will, subject to a consultation with the Operating Adviser, sell the REO
Property within two years of acquisition or any applicable extension period,
unless (i) the Special Servicer has previously delivered to the Trustee an
opinion of counsel (the "REMIC Opinion") to the effect that the holding of
the REO Property by the Trust Fund subsequent to two years after its
acquisition or such extension period will not result in the failure of such
REO Property to qualify as "foreclosure property" under the REMIC Provisions
of the Code at any time that any Certificate is outstanding or (ii) the
applicable Trustee has been granted by the Internal Revenue Service an
extension of time to sell the REO Property (the "IRS Extension").
Notwithstanding the foregoing, the Special Servicer shall use its best
efforts to sell any REO Property prior to the Final Scheduled Distribution
Date.
If the applicable Trustee has not received an IRS Extension or a REMIC
Opinion and the Special Servicer is not able to sell such REO Property within
such two-year period, or if an IRS Extension has been granted and the Special
Servicer is unable to sell such REO Property within such extension period,
the Special Servicer shall, after consultation with the Operating Adviser,
before the end of such two-year or such extension period, as the case may be,
auction such REO Property to the highest bidder (which may be the Special
Servicer) in accordance with accepted servicing practices as set forth in the
Servicing Agreement (provided, however, that the REO Property shall not be
purchased at a price less than an amount generally equal to the greater of
(i) the sum of (a) the unpaid principal balance of the related Mortgage Loan,
(b) unpaid and uncapitalized interest on such Mortgage Loan, (c) certain
servicing
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expenses that are reimbursable to the Servicer and (d) the total net income
derived from the operation of such REO Property deposited in the Collection
Account and (ii) the fair market value of such REO Property as determined by
an appraisal in accordance with the terms of the Trust Agreement by the
Servicer, the Special Servicer, any independent contractor engaged pursuant
to the Servicing Documents (collectively, "Interested Persons"), or any
person known to any officer of the applicable Trustee who may execute any
relevant documents in accordance with the bylaws of such Trustee to be an
affiliate of any one of such Interested Persons). The Special Servicer shall
either itself or through an agent protect and conserve any REO Property in
the same manner and to such extent as it customarily does in connection with
its own real estate acquired in a similar manner, and shall rent such REO
Property as the Special Servicer deems to be in the best interests of the
applicable Trust for the period prior to the sale of such REO Property.
YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS
GENERAL
The yield to maturity on the Offered Certificates will be affected by the
price paid by the Certificateholder, the related Certificate Interest Rates
and the rate and timing of principal payments on the Mortgage Loans
(including, for this purpose, Principal Prepayments, which may include
amounts received by virtue of voluntary prepayments, condemnation, insurance,
defaults and repurchases due to breaches by the Depositor of its
representations and warranties contained in the Trust Agreement).
The rate of principal payments on the Offered Certificates will be
affected by the rate of principal payments (including voluntary prepayments)
on the related Mortgage Loans. Generally, prepayments on the Mortgage Loans
(including prepayments resulting from defaults) and Appraisal Subordinate
Entitlement Reduction Capitalization Amounts will tend to shorten the
weighted average life of the Offered Certificates whereas delays in
liquidations of defaulted Mortgage Loans and modifications extending the
maturity of Mortgage Loans will tend to lengthen the weighted average life of
the Offered Certificates. Any changes in weighted average life may adversely
affect the yield to Certificateholders. Prepayments resulting in a shortening
of such weighted average life may be made at a time of low interest rates
when Holders may be unable to reinvest such prepayments at interest rates
equal to the Certificate Interest Rates payable on the Offered Certificates,
while delays and extensions resulting in lengthening of such weighted average
life may occur at a time of high interest rates when Certificateholders may
have been able to reinvest payments received by them at higher rates.
Principal Prepayments may be influenced by a variety of economic,
geographic, demographic, tax, legal and other factors. In general, if
prevailing interest rates fall significantly below the interest rates on the
Mortgage Loans (and in particular Mortgage Loans with fixed Mortgage Interest
Rates), the Mortgage Loans are likely to be subject to higher prepayments
than if prevailing rates remain at or above the interest rates on such
Mortgage Loans. Conversely, if prevailing interest rates rise significantly
above the Mortgage Interest Rates on the Mortgage Loans, the rate of
prepayment would be expected to decrease. Other factors affecting prepayment
of the Mortgage Loans include the availability of credit for mortgage
refinancing, changes in tax laws (including depreciation benefits), changes
in Mortgagors' net equity in the Mortgaged Properties, servicing decisions,
prevailing general economic conditions and the relative economic vitality of
the areas in which the Mortgaged Properties are located, the terms of the
Mortgage Loans (for example, the existence of due-on-sale and
due-on-encumbrance clauses), the quality of management of the Mortgaged
Properties and the availability of other opportunities for investment. A
substantial number of the Mortgage Loans may be prepaid at any time without
penalty, or provide for small prepayment premiums or penalties which are not
expected to be an effective deterrent to prepayment. Some of the Mortgage
Loans, however, continue to have prepayment premiums or penalties which could
be a deterrent to prepayments. The Depositor makes no representation as to
the particular factors that will affect the rate of prepayment of the
Mortgage Loans, the relative importance of any such factors, the percentage
of the principal balance of the Mortgage Loans that will be paid as of any
date or the overall rate of prepayments on the Mortgage Loans. Because the
Mortgage Loans are subject to prepayment, and because certain of the Mortgage
Loans will have remaining terms to stated maturity that
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are shorter than those assumed in calculating the Final Scheduled
Distribution Date of the Certificates, the Certificate Principal Amount of
one or more Classes of the Certificates may be reduced to zero prior to their
Final Scheduled Distribution Date. In addition, delinquencies could result in
distributions after the Final Scheduled Distribution Date of one or more
Classes of the Certificates. As a result, the Certificate Principal Amount of
each Class of Certificates may be reduced to zero significantly earlier or
later than its respective Final Scheduled Distribution Date.
In addition, disproportionate principal payments (whether resulting from
differences in amortization schedules or full or partial prepayments) on the
Mortgage Loans may affect the yield on the Offered Certificates. Balloon
Payments will have a greater effect on the principal payments on the Offered
Certificates, and therefore on their yield, than principal payments on
non-Balloon Mortgage Loans.
The yield to maturity on the Offered Certificates also will be affected by
any extension of the scheduled maturity dates of the Mortgage Loans as a
result of modifications of the Mortgage Loans by the Servicer or the Special
Servicer. The weighted average life of the Offered Certificates also may be
extended by the addition of any Deferred Interest to the principal amounts of
such Certificates.
The effective yield to Holders of the Offered Certificates (other than the
Class A-2 Certificates) will differ from the yield otherwise produced by the
applicable Certificate Interest Rate and purchase prices of such
Certificates, because interest distributions will not be payable to such
Holders until at least the 25th day of the month following the month of
accrual (without any additional distribution of interest or earnings thereon
in respect of such delay).
If the purchaser of an Offered Certificate offered at a discount from its
initial principal amount calculates its anticipated yield to maturity based
on an assumed rate of payment that is faster than that actually experienced
on the Mortgage Loans, the actual yield to maturity may be lower than that so
calculated. Conversely, if the purchaser of an Offered Certificate offered at
a premium calculates its anticipated yield to maturity based on an assumed
rate of payment that is slower than that actually experienced on the Mortgage
Loans, the actual yield to maturity may be lower than that so calculated.
The timing of changes in the rate of prepayments on the Mortgage Loans may
significantly affect an investor's actual yield to maturity, even if the
average rate of principal payments is consistent with an investor's
expectation. In general, the earlier a prepayment of principal of the
Mortgage Loans, the greater the effect on an investor's yield to maturity.
The effect on an investor's yield of principal payments occurring at a rate
higher (or lower) than the rate anticipated by the investor during the period
immediately following the issuance of the Offered Certificates may not be
offset by a subsequent like decrease (or increase) in the rate of principal
payments. If prevailing interest rates fall, the Mortgage Loans may
experience higher prepayment levels than would otherwise be the case.
Certain of the Group 1 and the Group 2 Mortgage Loans are Adjustable Rate
Mortgage Loans ("ARMs"). The Depositor is not aware of any publicly available
statistics that set forth Principal Prepayment experience or prepayment
forecasts of commercial or multifamily mortgage loans over an extended period
of time, either for fixed-rate loans or ARMs. The rate of Principal
Prepayments with respect to ARMs has fluctuated in recent years. As is the
case with fixed-rate mortgage loans, ARMs may be subject to a greater rate of
Principal Prepayments in a declining interest rate environment. For example,
if prevailing interest rates fall significantly, ARMs could be subject to
higher prepayment rates than if prevailing interest rates remain constant
because the availability of fixed-rate mortgage loans at competitive interest
rates may encourage mortgagors to refinance their ARMs to "lock in" a lower
fixed interest rate. No assurances can be given as to the rate of prepayments
on the Mortgage Loans in stable or changing interest rate environments. See
"YIELD AND PREPAYMENT CONSIDERATIONS" in the Prospectus.
The yield to maturity of the Class A-2 Certificates will be sensitive to
the levels of LIBOR.
Prepayments on mortgage loans are commonly measured relative to a
prepayment standard or model. The prepayment model used in this Prospectus
Supplement ("CPR") represents an assumed constant rate of prepayment each
month (which is quoted on a per annum basis) relative to the then outstanding
principal balance of a pool of mortgage loans for the life of such mortgage
loans. CPR does
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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 mortgage loans, including the Mortgage Loans. The
Depositor does not make any representations about the appropriateness of the
CPR model.
WEIGHTED AVERAGE LIFE
Weighted average life refers to the average amount of time from the date
of issuance of a security until each dollar of principal of such security
will be repaid to the investor. The tables of Percent of Initial Principal
Amount Outstanding for each of the Offered Certificates at the respective
percentage of CPR set forth below indicate the weighted average life of each
Class of the Offered Certificates and sets forth the percentage of the
initial principal amount of such Certificates that would be outstanding after
each of the dates shown.
The tables below have been prepared generally on the basis of the
assumptions (collectively, the "Mortgage Loan Assumptions") that (i) the
Class sizes are as shown on the cover of this Prospectus Supplement, (ii) the
settlement date for the sale of the Certificates is November 30, 1995, (iii)
distributions on the Certificates are made on the 25th day of each month (or,
if such day is not a Business Day, the immediately succeeding Business Day),
commencing in December 1995, (iv) there are no delinquencies or defaults with
respect to the Mortgage Loans, (v) the Mortgage Loans prepay monthly at the
specified percentages of CPR as set forth in the following tables (the
"Prepayment Assumption") and the Mortgage Loans do not provide for prepayment
penalties, (vi) Scheduled Payments on the Mortgage Loans are received on the
first day of each month commencing in December 1995, (vii) Principal
Prepayments are received on the last day of each month (commencing in
November 1995) and include 30 days' interest thereon, (viii) the
Administrative Cost Rate is 0.0375% per annum, (ix) with respect to the
tables with the heading "3 Year Extension,'' the maturity dates of all
Balloon Mortgage Loans are extended 36 months and such Balloon Mortgage Loans
are paid in full on such extended maturity date (the "Balloon Extension
Assumption") or, with respect to the tables below with the heading "No
Extension," the maturity dates of all Balloon Mortgage Loans are not extended
and such Balloon Mortgage Loans are paid in full on the scheduled maturity
date of each such Balloon Mortgage Loan, (x) there is no Appraisal
Subordinate Entitlement Reduction Capitalization Amount applied to reduce the
Certificate Principal Amounts of the Certificates, (xi) for certain Mortgage
Loans with irregular payment terms, certain simplifying assumptions have been
made, (xii) interest accrues on all Mortgage Loans based upon a 360-day year
consisting of twelve 30-day months, (xiii) LIBOR is assumed to be 5.8125% per
annum, (xiv) no optional or special termination of the Trust occurs, (xv) the
indices on which the adjustable rate Mortgage Loans will adjust on their
respective next interest rate adjustment date (or, if constrained by the
periodic rate cap on subsequent interest rate adjustment dates) will be as
follows: Cost of Funds Index 5.133% per annum, 5-year Constant Maturity
Treasury Index 5.72% per annum, prime rate of various financial institutions
8.75% per annum, 3-year Constant Maturity Treasury Index 5.61% per annum,
1-year Constant Maturity Treasury Index 5.44% per annum, and (xvi) LIBOR will
not be redetermined until the LIBOR Determination Date in December 1995.
It is not likely that all of the Mortgage Loans will have the
characteristics assumed, even if the Mortgage Loans have the weighted average
characteristics set forth herein. Furthermore, it is unlikely that the
Mortgage Loans will prepay at the level of CPR indicated in the tables or at
any constant level.
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<PAGE>
3 YEAR EXTENSION
PERCENT OF INITIAL PRINCIPAL AMOUNT OUTSTANDING FOR THE CLASS A-1A, CLASS
A-1B AND
CLASS A-2 CERTIFICATES AT THE RESPECTIVE PERCENTAGES OF CPR
<TABLE>
<CAPTION>
CLASS A-1A CLASS A-1B
--------------------------------- ---------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- --------------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
November 30, 1995 100 100 100 100 100 100 100 100 100 100
November 25, 1996 95 86 77 69 60 100 100 100 100 100
November 25, 1997 89 72 55 39 23 100 100 100 100 100
November 25, 1998 82 57 34 11 0 100 100 100 100 89
November 25, 1999 73 41 11 0 0 100 100 100 82 55
November 25, 2000 36 * 0 0 0 100 100 65 34 5
November 25, 2001 29 0 0 0 0 100 86 47 11 0
November 25, 2002 13 0 0 0 0 100 65 23 0 0
November 25, 2003 0 0 0 0 0 51 6 0 0 0
November 25, 2004 0 0 0 0 0 7 0 0 0 0
November 25, 2005 0 0 0 0 0 0 0 0 0 0
Weighted average life
(years)(1) 4.7 3.1 2.3 1.7 1.3 8.2 7.1 5.9 4.8 4.0
CLASS A-2
--------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8%
- --------------------- ----- ----- ----- ----- ----
November 30, 1995 100 100 100 100 100
November 25, 1996 99 97 95 93 91
November 25, 1997 97 93 90 86 82
November 25, 1998 96 90 85 79 74
November 25, 1999 94 86 80 73 67
November 25, 2000 76 68 62 56 50
November 25, 2001 68 60 53 47 41
November 25, 2002 60 52 45 39 34
November 25, 2003 54 46 39 33 28
November 25, 2004 42 35 29 24 20
November 25, 2005 0 0 0 0 0
Weighted average life
(years)(1) 7.3 6.8 6.3 5.8 5.4
- ------------
</TABLE>
(1) The weighted average life of a Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the
outstanding principal amount of such Certificate by the number of
years from the date of issuance of such Certificate to the related
Distribution Date, (ii) adding the results and (iii) dividing the sum
by the original principal amount of such Certificate.
* Less than 0.5%.
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3 YEAR EXTENSION
PERCENT OF INITIAL PRINCIPAL AMOUNT OUTSTANDING FOR THE CLASS B,
CLASS C AND CLASS D CERTIFICATES AT THE RESPECTIVE PERCENTAGES OF CPR
<TABLE>
<CAPTION>
CLASS B CLASS C
-------------------------------------- --------------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- --------------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C>
November 30, 1995 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
November 25, 1996 100 100 100 100 100 100 100 100 100 100
November 25, 1997 100 100 100 100 100 100 100 100 100 100
November 25, 1998 100 100 100 100 100 100 100 100 100 100
November 25, 1999 100 100 100 100 100 100 100 100 100 100
November 25, 2000 100 100 100 100 100 100 100 100 100 100
November 25, 2001 100 100 100 100 30 100 100 100 100 100
November 25, 2002 100 100 100 48 0 100 100 100 100 61
November 25, 2003 100 100 0 0 0 100 100 91 21 0
November 25, 2004 100 0 0 0 0 100 85 10 0 0
November 25, 2005 0 0 0 0 0 80 0 0 0 0
November 25, 2006 0 0 0 0 0 58 0 0 0 0
November 25, 2007 0 0 0 0 0 38 0 0 0 0
November 25, 2008 0 0 0 0 0 0 0 0 0 0
Weighted average life
(years)(1) 9.5 8.7 7.8 6.9 5.8 11.2 9.4 8.7 7.8 7.1
CLASS D
--------------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8%
- --------------------- ------ ------ ------ ------ ------
November 30, 1995 100% 100% 100% 100% 100%
November 25, 1996 100 100 100 100 100
November 25, 1997 100 100 100 100 100
November 25, 1998 100 100 100 100 100
November 25, 1999 100 100 100 100 100
November 25, 2000 100 100 100 100 100
November 25, 2001 100 100 100 100 100
November 25, 2002 100 100 100 100 100
November 25, 2003 100 100 100 100 61
November 25, 2004 100 100 100 46 0
November 25, 2005 100 100 33 0 0
November 25, 2006 100 75 7 0 0
November 25, 2007 100 53 0 0 0
November 25, 2008 0 0 0 0 0
Weighted average life
(years)(1) 12.6 11.7 9.9 9.1 8.3
</TABLE>
- ------------
(1) The weighted average life of a Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the
outstanding principal amount of such Certificate by the number of
years from the date of issuance of such Certificate to the related
Distribution Date, (ii) adding the results and (iii) dividing the sum
by the original principal amount of such Certificate.
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NO EXTENSION
PERCENT OF INITIAL PRINCIPAL AMOUNT OUTSTANDING FOR THE CLASS A-1A, CLASS
A-1B AND
CLASS A-2 CERTIFICATES AT THE RESPECTIVE PERCENTAGES OF CPR
<TABLE>
<CAPTION>
CLASS A-1A CLASS A-1B
-------------------------------------- --------------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- --------------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------
<S> <C>
November 30, 1995 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
November 25, 1996 93 84 76 67 58 100 100 100 100 100
November 25, 1997 54 39 23 9 0 100 100 100 100 94
November 25, 1998 48 26 4 0 0 100 100 100 82 61
November 25, 1999 33 4 0 0 0 100 100 76 49 24
November 25, 2000 0 0 0 0 0 69 39 10 0 0
November 25, 2001 0 0 0 0 0 23 0 0 0 0
November 25, 2002 0 0 0 0 0 0 0 0 0 0
Weighted average life
(years)(1) 2.8 2.1 1.6 1.3 1.1 5.6 5.0 4.4 3.8 3.3
CLASS A-2
--------------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8%
- --------------------- ------ ------ ------ ------ ------
November 30, 1995 100% 100% 100% 100% 100%
November 25, 1996 99 97 95 93 91
November 25, 1997 81 77 74 71 68
November 25, 1998 72 68 64 60 56
November 25, 1999 65 60 55 51 46
November 25, 2000 59 53 48 43 39
November 25, 2001 47 41 36 32 28
November 25, 2002 0 0 0 0 0
Weighted average life
(years)(1) 4.7 4.5 4.2 4.0 3.8
</TABLE>
- ------------
(1) The weighted average life of a Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the
outstanding principal amount of such Certificate by the number of
years from the date of issuance of such Certificate to the related
Distribution Date, (ii) adding the results and (iii) dividing the sum
by the original principal amount of such Certificate.
S-180
<PAGE>
NO EXTENSION
PERCENT OF INITIAL PRINCIPAL AMOUNT OUTSTANDING FOR THE CLASS B,
CLASS C AND CLASS D CERTIFICATES AT THE RESPECTIVE PERCENTAGES OF CPR
<TABLE>
<CAPTION>
CLASS B CLASS C CLASS D
--------------------------------- --------------------------------- ---------------------------------
DISTRIBUTION DATE 0% 2% 4% 6% 8% 0% 2% 4% 6% 8% 0% 2% 4% 6% 8%
- --------------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
November 30, 1995 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
November 25, 1996 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
November 25, 1997 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
November 25, 1998 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
November 25, 1999 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100
November 25, 2000 100 100 100 44 0 100 100 100 100 77 100 100 100 100 100
November 25, 2001 100 70 0 0 0 100 100 84 31 0 100 100 100 100 84
November 25, 2002 15 0 0 0 0 100 47 0 0 0 100 100 92 44 2
November 25, 2003 0 0 0 0 0 87 21 0 0 0 100 100 63 13 0
November 25, 2004 0 0 0 0 0 69 0 0 0 0 100 97 37 0 0
November 25, 2005 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
Weighted average life
(years)(1) 6.8 6.2 5.8 5.1 4.7 9.0 7.3 6.4 6.0 5.4 9.7 9.4 8.4 7.1 6.4
</TABLE>
- ------------
(1) The weighted average life of a Certificate is determined by (i)
multiplying the amount of each distribution in reduction of the
outstanding principal amount of such Certificate by the number of
years from the date of issuance of such Certificate to the related
Distribution Date, (ii) adding the results and (iii) dividing the sum
by the original principal amount of such Certificate.
S-181
<PAGE>
LEGAL INVESTMENT CONSIDERATIONS
The Certificates will not constitute "mortgage-related securities" for
purposes of the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA").
Accordingly, investors should consult their own legal advisors to determine
whether and to what extent the Certificates may be purchased by such
investors.
CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS
LOCATED IN CALIFORNIA, CONNECTICUT
AND PENNSYLVANIA
The following discussion contains summaries of certain legal aspects of
mortgage loans in California (approximately 20.2% of the Mortgage Loans as of
the Cut-Off Date), Connecticut (approximately 14.4% of the Mortgage Loans as
of the Cut-Off Date) and Pennsylvania (approximately 11.7% of the Mortgage
Loans as of the Cut-Off Date) which are general in nature. The summaries do
not purport to be complete and are qualified in their entirety by reference
to the applicable federal and state laws governing the Mortgage Loans.
CALIFORNIA
Mortgage Loans in California are generally secured by deeds of trust on
the related real estate. Foreclosure of a deed of trust in California may be
accomplished by a non-judicial trustee's sale under a specific provision in
the deed of trust or by judicial foreclosure. Public notice of either the
trustee's sale or the judgment of foreclosure is given for a statutory period
of time after which the mortgaged real estate may be sold by the trustee, if
foreclosed pursuant to the trustee's power of sale, or by court appointed
referee under a judicial foreclosure. Following a judicial foreclosure sale,
the borrower may, for a period of one year redeem the property. Under
California law, once a property has been sold pursuant to a power-of-sale
clause contained in a deed of trust, the lender is precluded from seeking a
deficiency judgment.
CONNECTICUT
Mortgage Loans in Connecticut are generally secured by mortgages on the
related real estate. Foreclosure of a mortgage is accomplished by strict
foreclosure in judicial proceedings. In strict foreclosure, the court fixes
the conditions and time at which each person having an interest in the
property may redeem it from foreclosure. Upon failure to redeem within the
times allotted, title to the subject property becomes absolute in the lender.
A receiver may be appointed by the court. In certain circumstances,
deficiency judgments may be obtained.
PENNSYLVANIA
Mortgage Loans in Pennsylvania are generally secured by mortgages on the
related real estate. Foreclosure of a mortgage is accomplished by foreclosure
in judicial proceedings. Such proceedings are regulated by statutes and rules
and subject throughout to the court's equitable powers. Public notice of the
judgment of foreclosure and sale and the amount of the judgment is given for
a statutory period of time after which the mortgaged real estate is sold by a
referee at public auction. The proceeds received by the referee from the sale
are applied first to the cost and expenses of the sale and then in
satisfaction of the indebtedness secured by the mortgage. After satisfaction
of any other claims or liens, the remaining proceeds are generally payable to
the mortgagor. There is no right of redemption after foreclosure sale in
Pennsylvania. In certain circumstances, deficiency judgments may be obtained.
The remedy of appointment of receiver for the mortgaged real estate is
infrequently used.
USE OF PROCEEDS
Certain of the net proceeds from the sale of the Offered Certificates will
be used by the Depositor to purchase the Mortgage Loans from the Seller and
to pay certain expenses in connection with the issuance of the Offered
Certificates.
S-182
<PAGE>
ERISA CONSIDERATIONS
ERISA and the Code impose certain restrictions on (a) employee benefit
plans (as defined in Section 3(3) of ERISA), (b) plans described in Section
4975(e)(1) of the Code, including individual retirement accounts or Keogh
plans, (c) any entities whose underlying assets include plan assets by reason
of a plan's investment in such entities (each a "Plan") and (d) persons who
have certain specified relationships to such Plans ("parties-in-interest"
under ERISA and "disqualified persons" under the Code, hereinafter referred
to collectively as "Parties in Interest"). Moreover, based on the reasoning
of the United States Supreme Court in John Hancock Life Ins. Co. v. Harris
Trust and Sav. Bank, 114 S. Ct. 517 (1993), an insurance company's general
account may be deemed to include assets of the Plans investing in the general
account (e.g., through the purchase of an annuity contract), and the
insurance company might be treated as a Party-in-Interest with respect to a
Plan by virtue of such investment. ERISA also imposes certain duties on
persons who are fiduciaries of Plans subject to ERISA and prohibits certain
transactions between a Plan and Parties in Interest with respect to such
Plan. Under ERISA, any person who exercises any authority or control
respecting the management or disposition of the assets of a Plan, and any
person who provides investment advice with respect to such assets for a fee,
is a fiduciary of such Plan.
A final regulation promulgated by the Department of Labor (the "DOL")
defining the term "plan assets" was published in the Federal Register (the
"DOL Regulation"). Under the DOL Regulation, generally, when a Plan makes an
equity investment in another entity (for example, the purchase of a residual
interest in a REMIC), the underlying assets of that entity may be considered
Plan assets unless certain exceptions apply. There can be no assurance that
any of the exceptions set forth in the DOL Regulation will apply to the
purchase or holding of Certificates. A Plan's investment in Certificates may
cause the Mortgage Loans or other assets comprising or underlying the Trust
to be deemed Plan assets. If the Mortgage Loans or other assets constitute
Plan assets, then any party exercising management or discretionary control
regarding those assets may be deemed to be a Plan "fiduciary," and thus
subject to the fiduciary requirements and prohibited transaction provisions
of ERISA and the Code with respect to the Mortgage Loans and other assets.
Certain affiliates of the Depositor, including Lehman Brothers and the Seller
and their affiliates, might be considered or might become fiduciaries or
other Parties in Interest with respect to investing Plans. Moreover, the
Trustee, the Servicer, the Special Servicer, the Fiscal Agent, any insurer,
special hazard insurer, primary insurer or any other issuer of a credit
support instrument relating to the primary assets in the Trust or certain of
their respective affiliates might be considered fiduciaries or other Parties
in Interest with respect to investing Plans. Prohibited transactions within
the meaning of ERISA and the Code could arise if Certificates are acquired by
a Plan with respect to which any such person is a Party in Interest.
One or more exemptions may be available, however, with respect to any such
prohibited transaction, including, but not limited to: Prohibited Transaction
Exemption ("PTE") 90-1, regarding investments by insurance company pooled
separate accounts; PTE 95-60, regarding investments by insurance company
general accounts; PTE 91-38, regarding investments by bank collective
investment funds; or PTE 84-14, regarding transactions effected by a
"qualified professional asset manager." Such exemptions may not, however,
apply to all of the transactions that could be deemed prohibited transactions
in connection with such investment.
In addition, the DOL has granted to Lehman Brothers an administrative
exemption (Prohibited Transaction Exemption 91-14 et al.; Exemption
application No. D-7958 et al., 56 Fed. Reg. 7,413 (1991)) (the "Exemption")
from certain of the prohibited transaction provisions of ERISA with respect
to the initial purchase, the holding, and the subsequent resale by Plans of
certificates in pass-through trusts that consist of certain secured
receivables, loans, and other obligations that meet the conditions and
requirements of the Exemption. The assets covered by the Exemption include
mortgage loans and manufactured home loans such as the Mortgage Loans and
fractional undivided interests in such loans.
Among the conditions that must be satisfied for the Exemption to apply are
the following:
(1) The acquisition of the Certificates by a Plan must be on terms
(including the price for the Certificates) that are at least as favorable
to the Plan as they would be in an arm's-length transaction with an
unrelated party;
S-183
<PAGE>
(2) The rights and interest evidenced by the Certificates acquired by
the Plan were not subordinated to the rights and interest evidenced by
other Certificates of the Trust Fund;
(3) The Certificates acquired by the Plan must have received a rating
at the time of such acquisition that is in one of the three highest
generic rating categories from either S&P, Fitch, Moody's Investors
Service, Inc. or Duff & Phelps Credit Rating Company;
(4) The sum of all payments made to the Underwriter in connection with
the distribution of the Certificates must represent not more than
reasonable compensation for underwriting the Certificates. The sum of all
payments made to and retained by the Depositor pursuant to the assignment
of the Mortgage Loans to the Trust must represent not more than the fair
market value of such Mortgage Loans. The sum of all payments made to and
retained by the Servicer and the Special Servicer must represent not more
than reasonable compensation for such person's services under the Trust
Agreement and reimbursement of such person's reasonable expenses in
connection therewith; and
(5) The Plan investing in the Certificates must be an "accredited
investor" as defined in Rule 501(a)(1) of Regulation D of the Securities
and Exchange Commission under the Act.
Moreover, the Exemption provides relief from certain self-dealing/conflict
or interest prohibited transactions only if, among other requirements: (i)
the investing plan fiduciary (or its affiliate) is an obligor with respect to
five percent or less of the fair market value of the obligations contained in
the trust; (ii) the Plan's investment in certificates does not exceed
twenty-five percent of all of the certificates outstanding at the time of the
acquisition; and (iii) immediately after the acquisition, no more than
twenty-five percent of the assets of the Plan are invested in certificates
representing an interest in one or more trusts containing assets sold or
serviced by the same entity.
The Depositor believes that the Exemption will apply to the acquisition
and holding of the Senior Certificates by Plans and that all conditions of
the Exemption other than those within the control of the investors have been
met. Upon request, the Underwriter will deliver to any Plan fiduciary
considering investing the assets of any Plan in the Certificates a list of
each Mortgagor with respect to Mortgage Loans included in the Trust that
constitutes more than five percent of the aggregate unamortized principal
balance of the assets of the Trust. Any Plan or person purchasing such
Certificates or an interest therein with the assets, or otherwise for the
benefit of, a Plan, and each such Plan or person to whom a transfer of any
such Certificate or interest therein is made, shall be deemed to have
represented to the Depositor, the Servicer, the Special Servicer, the Trustee
and any Borrower with respect to the Mortgage Loans that the conditions of
the Exemption that are within the control of such investor have been met.
Prospective Plan investors should consult their legal advisors concerning
the impact of ERISA and the Code, the applicability of the Exemption or other
exemptions, and the potential consequences to their specific circumstances,
prior to making an investment in the Certificates. Moreover, each Plan
fiduciary should determine whether under the general fiduciary standards of
investment procedure and diversification an investment in the Certificates is
appropriate for the Plan, taking into account the overall investment policy
of the Plan and the composition of the Plan's investment portfolio.
BECAUSE THE CHARACTERISTICS OF THE SUBORDINATE CERTIFICATES DO NOT MEET
THE REQUIREMENTS OF THE EXEMPTION, THE PURCHASE OR HOLDING OF THE SUBORDINATE
CERTIFICATES BY A PLAN MAY RESULT IN ONE OR MORE NON-EXEMPT PROHIBITED
TRANSACTIONS OR THE IMPOSITION OF EXCISE TAXES OR CIVIL PENALTIES UNLESS ONE
OR MORE EXEMPTIONS, OTHER THAN THE EXEMPTION, IS AVAILABLE. ACCORDINGLY, IN
NO EVENT MAY ANY TRANSFER OF A SUBORDINATE CERTIFICATE OR ANY INTEREST
THEREIN BE MADE TO A PLAN OR PERSON PURCHASING SUCH CERTIFICATES OR AN
INTEREST THEREIN WITH THE ASSETS OF OR OTHERWISE FOR THE BENEFIT OF A PLAN,
UNLESS THE PURCHASE AND HOLDING OF SUCH CERTIFICATE OR INTEREST IS EXEMPT
FROM THE PROHIBITED TRANSACTION PROVISIONS OF SECTION 406 OF ERISA AND
SECTION 4975 OF THE CODE UNDER ONE OR MORE OF THE ABOVE DESCRIBED EXEMPTIONS
(OTHER THAN THE EXEMPTION) OR ANOTHER AVAILABLE EXEMPTION. IN THIS REGARD,
ANY INVESTOR THAT IS AN INSURANCE COMPANY SHOULD NOTE THAT PTE 95-60 PROVIDES
AN EXEMPTION FROM THE PROHIBITED TRANSACTION PROVISIONS OF ERISA WITH RESPECT
TO THE ACQUISITION OF CERTIFICATES SUCH AS THE SUBORDINATE CERTIFICATES WITH
THE ASSETS OF AN INSURANCE COMPANY GENERAL ACCOUNT. ANY PLAN OR PERSON
PURCHASING SUCH CERTIFICATES OR AN INTEREST THEREIN WITH THE ASSETS OF OR
OTHERWISE FOR THE BENEFIT OF A PLAN, AND EACH SUCH PLAN OR PERSON TO WHOM
S-184
<PAGE>
A TRANSFER OF ANY SUCH CERTIFICATE OR INTEREST THEREIN IS MADE SHALL BE
DEEMED TO HAVE REPRESENTED TO THE DEPOSITOR, THE SERVICER, THE SPECIAL
SERVICER, THE TRUSTEE AND ANY BORROWER WITH RESPECT TO THE MORTGAGE LOANS
THAT THE PURCHASE AND HOLDING OF SUCH CERTIFICATE OR INTEREST THEREIN IS
EXEMPT ON THE BASIS OF THE APPLICATION OF ONE OR MORE OF THE ABOVE DESCRIBED
EXEMPTIONS OTHER THAN THE EXEMPTION.
FEDERAL INCOME TAX CONSIDERATIONS
GENERAL
The following discussion addresses certain specific characteristics of the
Certificates and supplements, but does not replace, the discussion in the
Prospectus under "FEDERAL INCOME TAX CONSIDERATIONS," to which prospective
investors are referred and which should be read in conjunction with this
section.
CHARACTERIZATION OF CERTIFICATES
Under the Trust Agreement, an election is required to be made to treat the
segregated pool of assets that comprise the Trust Fund as a REMIC. At the
Closing, Skadden, Arps, Slate, Meagher & Flom, special counsel to the
Depositor ("Tax Counsel"), will deliver its opinion generally to the effect
that on the Closing Date under then current law, based on certain
representations of the Depositor, the Seller and the Servicer and assuming
compliance with the Trust Agreement and the Participation Agreement relating
to the Senior Participation (and certain related documents) and no amendment
of such documents, the REMIC Pool will be characterized as a REMIC. Such
opinion assumes the accuracy of the representations made in the Trust
Agreement. Each Class of Certificates will represent a regular interest in
the REMIC. The Class R Certificates will represent the residual interest in
the REMIC.
The Certificates will represent assets described in Code Section
7701(a)(19)(C)(xi) only to the extent that the Mortgage Loans are secured by
multifamily apartment buildings. Further, it is possible that a portion of
the Mortgage Loans will be considered "securities" under Code Section
165(g)(2) (loans issued by a corporation with interest coupons or in
registered form) and to that extent the Certificates would not represent
"qualifying real property loans" under Code Section 593(d).
To the extent that the Mortgage Loans are secured by reserve accounts or
similar assets in addition to real property, the extent to which the
Certificates qualify as "qualifying real property loans" under Section 593(d)
of the Code, "real estate assets" under Section 856(c)(5)(A) of the Code, and
"loans . . . secured by an interest in real property" under Section
7701(a)(19)(C)(xi) of the Code may be reduced.
ORIGINAL ISSUE DISCOUNT
The proper method of computing original issue discount ("OID") on the
Offered Certificates is unclear. Final Regulations (the "OID Regulations")
governing the accrual of OID may be applicable in part to the Certificates.
In addition, proposed Treasury regulations (the "Proposed Contingent
Regulations") related to contingent payment debt instruments, although
technically not applicable to the Certificates, may represent the most likely
method to be applied in calculating OID on certain Classes of Certificates.
The OID Regulations and the Proposed Contingent Regulations, however, do not
specifically address the manner of computing OID on securities such as the
Offered Certificates, on which principal is required to be prepaid based on
prepayments of the underlying assets ("Prepayable Securities") and which are
governed by Section 1272(a)(6) of the Code.
The description below outlines in general terms the methodology prescribed
by the OID Regulations for instruments to which they apply. See "FEDERAL
INCOME TAX CONSIDERATIONS -- Taxation of Regular Interest Securities --
Interest and Acquisition Discount" and "-- Variable Rate Regular Securities"
in the Prospectus. As described previously, however, no effective regulations
address the accrual of OID on Prepayable Securities and, accordingly, the
proper method of accrual is unclear.
Interest that accrues at a fixed rate that is payable currently generally
would be treated as "qualified stated interest." However, because the failure
to pay interest (which could occur as a result of default in
S-185
<PAGE>
payment on the Mortgage Loans) does not entitle the Certificateholders to
exercise remedies to compel payment (other than exercising any remedies under
the Mortgage Loans) it is possible that interest on all Classes of
Certificates, including the Class A-1A, Class A-1B, Class B, Class C, and
Class D Certificates, may not be considered to be "unconditionally payable"
and thus, might not be considered to be "qualified stated interest." As a
result, all of the interest on the Offered Certificates, including the Class
A-1A, Class A-1B and Class B Certificates, would be includible in the stated
redemption price of such Certificates and would be taxable as OID, rather
than as "qualified stated interest."
CLASS A-1A, CLASS A-1B, CLASS B, CLASS C, AND CLASS D CERTIFICATES
In addition to the foregoing, because as of the Closing Date, the
possibility exists that interest may be deferred and added to the Certificate
Principal Amount of any Class of Group 1 Certificates as a result of Deferred
Interest on the underlying Mortgage Loans, it is expected that interest
thereon will not be "qualified stated interest," even though it accrues at a
fixed rate. As a result, all of the interest on such Classes of Certificates,
as well as any actual discount, will be reportable as OID, requiring
Certificateholders to accrue income on such Certificates based on their
respective yields to maturity. See "FEDERAL INCOME TAX CONSIDERATIONS --
Taxation of Regular Interest Securities -- Interest and Acquisition Discount"
in the Prospectus.
CLASS A-2 CERTIFICATES
Under the OID Regulations, in the absence of Deferred Interest, interest
on the Class A-2 Certificates would qualify as "qualified stated interest" if
the initial rate does not differ from the value on the Closing Date of the
formula used to compute the Certificate Interest Rate in subsequent periods
by more than 0.25%, or if the initial fixed rate otherwise is treated as
approximating the formula variable rate. As a result, under the OID
Regulations, OID, if any, would be computed as if such Certificates bore
interest at a hypothetical fixed rate, based on the Certificate Interest
Rate. If the initial rate does not approximate the formula rate on the
Closing Date, then OID will be computed by first converting the initial fixed
rate into a hypothetical variable rate (such that the value of such
Certificate as of the Closing Date would be approximately the same as the
value of an otherwise identical debt instrument that provided for the
hypothetical variable rate instead of the initial rate), and then computing
OID as if such Certificate bore interest at a single hypothetical fixed rate
instead of a hypothetical variable rate and an actual variable rate.
Nevertheless, because, as of the Closing Date, the possibility exists that
interest may be deferred and added to the Certificate Principal Amount of the
Class A-2 Certificates as a result of Deferred Interest on the underlying
Mortgage Loans, interest on the Class A-2 Certificates will likely not be
"qualified stated interest." As a result, under the OID Regulations, OID
would be computed on the Class A-2 Certificates as if they bore interest at a
hypothetical fixed rate (equal to the value of the variable rate formula as
of the Closing Date) that is not "unconditionally payable" at least annually.
See "FEDERAL INCOME TAX CONSIDERATIONS -- Taxation of Regular Interest
Securities -- Interest and Acquisition Discount" and "-- Variable Rate
Regular Securities" in the Prospectus.
UNDERWRITING
Subject to the terms and conditions set forth in the underwriting
agreement dated the date hereof (the "Underwriting Agreement") relating to
the Offered Certificates between the Depositor and Lehman Brothers, the
Depositor has agreed to sell to Lehman Brothers, and Lehman Brothers has
agreed to purchase from the Depositor, all of the Offered Certificates.
The Underwriting Agreement provides that Lehman Brothers' obligations
thereunder are subject to certain conditions precedent, and that Lehman
Brothers will be obligated to purchase all of such Certificates if any are
purchased.
The distribution of such Certificates by Lehman Brothers will be effected
from time to time in one or more negotiated transactions, or otherwise, at
varying prices to be determined, in each case, at the time of sale. Lehman
Brothers may effect such transactions by selling such Certificates to or
through dealers, and such dealers may receive from Lehman Brothers, for whom
they act as agent, compensation in the form of underwriting discounts,
concessions or commissions. Lehman Brothers and any dealers that
S-186
<PAGE>
participate with Lehman Brothers in the distribution of such Certificates may
be deemed to be underwriters, and any discounts, commissions or concessions
received by them, and any profit on the resale of such Certificates purchased
by them, may be deemed to be underwriting discounts and commissions under the
Act. The Underwriting Agreement provides that the Depositor will indemnify
Lehman Brothers against certain liabilities, including liabilities under the
Act.
Lehman Brothers is an affiliate of the Depositor.
LEGAL MATTERS
Certain legal matters with respect to the Certificates will be passed upon
for the Depositor and for Lehman Brothers by Skadden, Arps, Slate, Meagher &
Flom, New York, New York.
CERTIFICATE RATING
It is a condition of the issuance of the Offered Certificates that they
receive the following credit ratings from Fitch and S&P:
CLASS OF
OFFERED
CERTIFICATES FITCH S&P
- ---------------- --------- -------
Senior AAA AAA
Class B AAA AA
Class C AA A
Class D BBB+ BBB
A securities rating addresses the likelihood of the receipt by Holders of
the Offered Certificates of distributions due on the Offered Certificates.
The rating takes into consideration the characteristics of the Mortgage Loans
and the structural and legal aspects associated with the Offered
Certificates, including distribution of all principal by the Final Scheduled
Distribution Date.
The ratings of the Offered Certificates do not address the likelihood that
the Available Funds Cap will apply. Each security rating assigned to the
Offered Certificates should be evaluated independently of any other security
rating.
A securities 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. In addition, a securities rating does not address
the likelihood or frequency of prepayments, including involuntary
prepayments, on the Mortgage Loans or the corresponding effect on yield to
investors.
S-187
<PAGE>
INDEX OF PRINCIPAL TERMS
<TABLE>
<CAPTION>
<S> <C>
Act .................................................................. S-17
Additional Trust Fund Expenses ....................................... S-29, S-54
Adjustment Date ...................................................... S-63
Advances ............................................................. S-9, S-54
Administrative Cost Rate ............................................. S-33
Affiliate Mortgage Loans ............................................. S-41, S-164
Affiliate Properties ................................................. S-41
Appraisal Subordinate Entitlement Reduction .......................... S-50
Appraisal Subordinate Entitlement Reduction Capitalization Amount ... S-50
ARMs ................................................................. S-176
Assumed Scheduled Payments ........................................... S-46
Available Distribution Amount ........................................ S-21, S-46
Available Funds Cap .................................................. S-48
Balloon Extension Assumption ......................................... S-177
Balloon Mortgage Loan ................................................ S-46
Balloon Payment ...................................................... S-46
Basic Fee ............................................................ S-170
Basis Risk ........................................................... S-8
Book-Entry Certificates .............................................. S-44
Borrower ............................................................. S-37
Center ............................................................... S-163
CERCLA ............................................................... S-40, S-165
Certificate Owner .................................................... S-45
Certificate Principal Amount ......................................... S-21
Certificates ......................................................... S-1, S-17
Class A-2 Credit Support ............................................. S-9
Class A-2 Rate ....................................................... S-2, S-23, S-48
Comparative Financial Status Report .................................. S-56
Controlling Class .................................................... S-171
CPR .................................................................. S-176
Crossover Amounts .................................................... S-22, S-46
Crossover Excess Principal ........................................... S-47
Crossover Interest Amounts ........................................... S-47
Crossover Principal Amounts .......................................... S-27, S-52
CSX .................................................................. S-39
Custodian ............................................................ S-61
Cut-Off Date ......................................................... S-1
Deferred Interest .................................................... S-24
Definitive Certificate ............................................... S-45
Depositor ............................................................ S-1, S-17
Determination Date ................................................... S-20, S-45
Distribution Account ................................................. S-60
Distribution Date .................................................... S-2, S-45
DOL .................................................................. S-183
DOL Regulation ....................................................... S-183
DTC .................................................................. S-6, S-44
Due Period ........................................................... S-20, S-45
Eligible Account ..................................................... S-60
Emro ................................................................. S-39, S-166
</TABLE>
S-188
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
EPA .................................................................. S-40, S-165
ERISA ................................................................ S-36
Excess Interest ...................................................... S-8
Excess Prepayment Interest ........................................... S-30, S-50
Exemption ............................................................ S-36, S-183
Final Recovery Determination ......................................... S-55
First Adjustment Date ................................................ S-63
Fiscal Agent ......................................................... S-1, S-60
Fitch ................................................................ S-1, S-35
Form 8-K ............................................................. S-65
GECC ................................................................. S-168
Gross Margin ......................................................... S-63
Group 1 Certificates ................................................. S-2
Group 1 Excess Interest .............................................. S-8, S-25, S-50
Group 1 Excess Principal Amount ...................................... S-28
Group 1 Interest Distribution Amount ................................. S-22
Group 1 Mortgage Loans ............................................... S-32
Group 1 Principal Distribution Amount ................................ S-26, S-51
Group 2 Certificates ................................................. S-2
Group 2 Excess Interest .............................................. S-8, S-25, S-51
Group 2 Excess Principal Amount ...................................... S-24, S-48
Group 2 Excess Principal Percentage .................................. S-24, S-48
Group 2 Interest Distribution Amount ................................. S-23, S-48
Group 2 Mortgage Loans ............................................... S-31
Group 2 Overcollateralization Amount ................................. S-24, S-48
Group 2 Overcollateralization Percentage ............................. S-24, S-48
Group 2 Principal Distribution Amount ................................ S-28, S-52
Index ................................................................ S-63
Intercreditor Agreement .............................................. S-41
Interest Accrual Period .............................................. S-2, S-20, S-47
Interest Shortfall ................................................... S-29
Interested Person .................................................... S-174
IRS Extension ........................................................ S-174
Lehman Brothers ...................................................... S-1
Lennar ............................................................... S-1, S-10, S-169
LIBOR ................................................................ S-2
LIBOR Business Day ................................................... S-48
LIBOR Determination Date ............................................. S-48
Marathon ............................................................. S-39
Modified Mortgage Loan ............................................... S-50
Mortgage File ........................................................ S-61
Mortgage Interest Rate ............................................... S-23
Mortgage Loans ....................................................... S-1, S-60
Mortgage Loan Assumptions ............................................ S-177
Mortgage Loan Due Period ............................................. S-23
Mortgage Loan Group 1 ................................................ S-32
Mortgage Loan Group 2 ................................................ S-32
Mortgage Loan Schedule ............................................... S-61
Mortgage Pool ........................................................ S-1
Mortgage Rate Adjustment Date ........................................ S-24
Net Mortgage Interest Rate ........................................... S-23
</TABLE>
S-189
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
Net Prepayment Interest Shortfall .................................... S-30, S-50
Non-Offered Certificates ............................................. S-17, S-44
Offered Certificates ................................................. S-1, S-17, S-44
OID .................................................................. S-34, S-185
OID Regulations ...................................................... S-185
Operating Adviser .................................................... S-170
Operating Adviser Votes .............................................. S-171
Operating Statement Analysis ......................................... S-56
P&I Advances ......................................................... S-54
Participants ......................................................... S-45
Participation Agreement .............................................. S-32
parties-in-interest .................................................. S-183
Payment Adjustment Cap ............................................... S-24
Plan ................................................................. S-183
Portfolio Performance Report ......................................... S-11, S-56
Prepayment Assumption ................................................ S-177
Prepayment Interest Shortfall ........................................ S-29, S-50
Prepayment Period .................................................... S-20, S-45
Prepayable Securities ................................................ S-185
Principal Balance .................................................... S-64
Principal Distribution Amount ........................................ S-26
Principal Prepayments ................................................ S-20
Pro Forma NOI ........................................................ S-65
Proposed Contingent Regulations ...................................... S-185
PTE .................................................................. S-183
Purchase Price ....................................................... S-62
Realized Losses ...................................................... S-28, S-54
Record Date .......................................................... S-19, S-45
Reference Bank ....................................................... S-49
Rehabilitated Mortgage Loan .......................................... S-168
REMIC ................................................................ S-2
REMIC Opinion ........................................................ S-174
REMIC Pool ........................................................... S-2, S-34, S-44
REO Property ......................................................... S-168
Reserve Rate ......................................................... S-49
S&P .................................................................. S-1, S-35
Scheduled Payments ................................................... S-20, S-46
Second Mortgage Loan ................................................. S-163
Seller ............................................................... S-1, S-18, S-60
Senior Certificates .................................................. S-1, S-17, S-44
Senior Participation ................................................. S-1, S-60, S-64
Servicer ............................................................. S-1, S-11, S-18, S-168
Servicing Advances ................................................... S-54
Servicing Agreement .................................................. S-167
Servicing Documents .................................................. S-167
Servicing Fee ........................................................ S-18
Servicing Fee Rate ................................................... S-168
Servicing Transfer Event ............................................. S-167
SMMEA ................................................................ S-6, S-182
</TABLE>
S-190
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
Special Servicer ..................................................... S-1, S-10, S-18, S-169
Special Servicer Reports ............................................. S-57
Special Servicing Agreement .......................................... S-167
Specially Serviced Mortgage Loan ..................................... S-167, S-168
Specially Serviced Trust Fund Assets ................................. S-168
Stonebridge Property ................................................. S-39, S-166
Subordinate Certificates ............................................. S-1, S-17, S-44, S-53
Subordination Test ................................................... S-9, S-27, S-52
Supplemental Special Servicer Fee .................................... S-170
Tax Counsel .......................................................... S-185
Telerate ............................................................. S-48
Trust ................................................................ S-1, S-17
Trust Agreement ...................................................... S-17, S-44
Trust Fund ........................................................... S-1
Trustee .............................................................. S-1, S-18
Trustee Fee .......................................................... S-60
Underwriting Agreement ............................................... S-186
Underwriting 1995 NOI ................................................ S-65
WCC .................................................................. S-1, S-18, S-61
WEC .................................................................. S-1, S-18, S-61
Workout Fee .......................................................... S-170
Workout Fee Rate ..................................................... S-170
</TABLE>
S-191
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
LOAN # ZIP
(A) PROPERTY TYPE CITY STATE CODE
- -------- -------------- ------------------------ ----- -----
<S> <C> <C> <C> <C>
1 Office(1) Farmington CT 06032
2 Office(4) Burbank CA 91505
3 Retail(2) Pasadena MD 21122
4 Multifamily Ypsilanti MI 48197
5 Industrial(25) Philadelphia PA 19255
6 Hotel/Motel Essington PA 19029
7 Industrial Riverside CA 92503
8
8a Industrial Englewood CO 80110
8b Industrial Littleton CO 80110
9 Industrial Fullerton CA 92631
10 Office Hauppauge NY 11788
11 Office(1) Meriden CT 06450
12 Retail Yankton SD 57078
13 Retail East Whiteland PA 19355
14 Office(1) Meriden CT 06450
15 Office Fairfield NJ 07004
16 Retail Wellesley MA 02181
17 Retail(7) Bakersfield CA 93309
18 Multifamily Mesa AZ 85203
19 Multifamily Tampa FL 33614
20 Retail(4)(20) Stone Mountain (Atlanta) GA 30087
21 Industrial Sterling VA 22170
22 Retail Harrisburg PA 17110
23 Office Florham Park NJ 07932
24 Retail Middletown NJ 07748
25 Office Worcester MA 01608
26 Industrial West Boylston MA 01583
27 Retail Eagan MN 55122
28 Industrial Long Island City NY 11101
29 Office Cranston RI 02920
30 Multifamily Coon Rapids MN 55433
31 Industrial Acton MA 01720
32 Retail Philadelphia PA 19102
33 Warehouse Maple Hts OH 44137
34 Office N. Charleston SC 29418
35 Retail(7) Riverside CA 92507
36
36a Multifamily Statesboro GA 30458
36b Multifamily Vidalla GA 30474
36c Multifamily Jesus GA 31545
36d Multifamily Vidalla GA 30474
36e Multifamily Vidalla GA 30474
37 Office Burlington MA 01803
38 Retail Atlanta GA 30236
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
SCHEDULED
YEAR BUILT/ UNITS/ PRINCIPAL SCHEDULED CURRENT
LOAN # RENOVATED SQ. FT. BALANCE PER PRINCIPAL RATE INTEREST
(A) (B) (C) UNIT/SQ. FT. BALANCE TYPE RATE INDEX(D)
- -------- ----------- --------- ------------ ------------- ----- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
1 1988 233,500 $85 $19,859,060 Fixed 9.000% n/a
2 1992 142,914 70 10,000,000 Fixed 8.500 n/a
3 1990 311,874 32 10,000,000 Fixed 9.000(3) n/a
4 1968 382 24,590 9,393,341(26) Step 8.000(5) n/a
5 1970 450,000 20 9,174,899 ARM 7.000 5 Year CMT
6 1991 292 29,062 8,486,015 Fixed 9.000 n/a
7 1983 280,354 29 7,983,789 Fixed 8.000 n/a
8 1984 251,744 60 7,983,789 Fixed 8.000 n/a
8a 1984 134,058
8b 1981 117,686
9 1972 230,020 28 6,479,359 Fixed 8.000 n/a
10 1986 134,450 48 6,456,318 Fixed 9.305 n/a
11 1985 76,544 70 5,378,170 Fixed 9.500 n/a
12 1978 226,184 24 5,329,082 Fixed 9.750(22) n/a
13 1990 52,401 90 4,723,080 Fixed 9.250 n/a
14 1989 74,093 64 4,720,437 Fixed 9.000 n/a
15 1990 200,000 22 4,419,908 Fixed 8.500 n/a
16 1987 29,068 137 3,978,528 Fixed 9.250 n/a
17 1991 37,193 102 3,800,000 Fixed 9.000 n/a
18 1979 163 22,849 3,717,086 Fixed 8.500 n/a
19 1994 214 17,367 3,716,506 Fixed 8.000 n/a
20 1989 69,902 52 3,600,000 Fixed 9.500 n/a
21 1989 50,875 70 3,562,209 Fixed 9.000 n/a
22 1989 151,436 23 3,532,959 Fixed 9.500 n/a
23 1988 65,060 50 3,239,158 Fixed 9.750 n/a
24 1987 90,648 33 2,998,059 Fixed 9.000 n/a
25 1988 35,000 85 2,991,689 Fixed 9.000 n/a
26 1966 168,125 17 2,893,493 Fixed 10.000 n/a
27 1991 54,461 52 2,821,578 Fixed 8.500 n/a
28 1989 161,750 17 2,723,758 Fixed 9.250 n/a
29 1977 88,222 29 2,600,000 Step 8.000 n/a
30 1990 76 33,725 2,563,092 Step 9.000(9) n/a
31 1988 100,000 25 2,490,022 Fixed 10.000 n/a
32 1970 56,881 43 2,449,867 Fixed 9.250 n/a
33 1992 349,777 7 2,399,347 Fixed 9.375 n/a
34 1984 46,172 52 2,377,962 Fixed 8.000 n/a
35 1989 46,815 43 2,000,000 Fixed 9.000 n/a
36 13,508 1,945,212 Fixed 10.000 n/a
36a 1990 84
36b 1975 25
36c 1990 20
36d 1983 4
36e 1983 8
37 1981 26,729 70 1,876,088 Fixed 8.500 n/a
38 1988 16,500 102 1,675,392 ARM 10.000 3 Year CMT
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-1
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
LIFETIME LIFETIME
LOAN # INTEREST RATE INTEREST RATE NEGATIVE
(A) GROSS MARGIN FLOOR CAP PERIOD CAP AMORTIZATION
- -------- ------------ ------------- ------------- ---------- ------------
<S> <C>
1 n/a n/a n/a n/a No
2 n/a n/a n/a n/a No
3 n/a n/a n/a n/a No
4 n/a n/a n/a n/a No
5 3.000% 0.000% 0.000% 0.000% No
6 n/a n/a n/a n/a No
7 n/a n/a n/a n/a No
8 n/a n/a n/a n/a No
8a
8b
9 n/a n/a n/a n/a No
10 n/a n/a n/a n/a No
11 n/a n/a n/a n/a No
12 n/a n/a n/a n/a No
13 n/a n/a n/a n/a No
14 n/a n/a n/a n/a No
15 n/a n/a n/a n/a No
16 n/a n/a n/a n/a No
17 n/a n/a n/a n/a No
18 n/a n/a n/a n/a No
19 n/a n/a n/a n/a No
20 n/a n/a n/a n/a No
21 n/a n/a n/a n/a No
22 n/a n/a n/a n/a No
23 n/a n/a n/a n/a No
24 n/a n/a n/a n/a No
25 n/a n/a n/a n/a No
26 n/a n/a n/a n/a No
27 n/a n/a n/a n/a No
28 n/a n/a n/a n/a No
29 n/a n/a n/a n/a No
30 n/a n/a n/a n/a No
31 n/a n/a n/a n/a No
32 n/a n/a n/a n/a No
33 n/a n/a n/a n/a No
34 n/a n/a n/a n/a No
35 n/a n/a n/a n/a No
36 n/a n/a n/a n/a No
36a
36b
36c
36d
36e
37 n/a n/a n/a n/a No
38 3.000 10.000 16.000 0.000 No
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
NEGATIVE RATE PAYMENT NEXT RATE ORIGINAL
LOAN # PAYMENT AMORTIZATION FREQUENCY FREQUENCY ADJUSTMENT BALLOON TERM
(A) CAP PERCENT CAP (MONTHS) (MONTHS) DATE PAYMENT (MONTHS)
- -------- ------- ------------ --------- --------- ---------- ------- --------
<S> <C>
1 n/a n/a n/a n/a n/a Yes 180
2 n/a n/a n/a n/a n/a Yes 120
3 n/a n/a n/a n/a n/a Yes 120
4 n/a n/a 28 n/a 12/1/97 Yes 60
5 n/a n/a 60 60 10/1/00 Yes 194
6 n/a n/a n/a n/a n/a Yes 122
7 n/a n/a n/a n/a n/a Yes 61
8 n/a n/a n/a n/a n/a Yes 72
8a
8b
9 n/a n/a n/a n/a n/a Yes 84
10 n/a n/a n/a n/a n/a Yes 84
11 n/a n/a n/a n/a n/a Yes 180
12 n/a n/a n/a n/a n/a No 299
13 n/a n/a n/a n/a n/a Yes 121
14 n/a n/a n/a n/a n/a Yes 180
15 n/a n/a n/a n/a n/a Yes 120
16 n/a n/a n/a n/a n/a Yes 84
17 n/a n/a n/a n/a n/a Yes 60
18 n/a n/a n/a n/a n/a Yes 67
19 n/a n/a n/a n/a n/a Yes 72
20 n/a n/a n/a n/a n/a Yes 120
21 n/a n/a n/a n/a n/a Yes 60
22 n/a n/a n/a n/a n/a Yes 80
23 n/a n/a n/a n/a n/a Yes 120
24 n/a n/a n/a n/a n/a Yes 120
25 n/a n/a n/a n/a n/a Yes 121
26 n/a n/a n/a n/a n/a Yes 85
27 n/a n/a n/a n/a n/a Yes 24
28 n/a n/a n/a n/a n/a Yes 121
29 n/a n/a n/a n/a n/a Yes 96
30 n/a n/a 8 n/a 4/1/96 Yes 84
31 n/a n/a n/a n/a n/a Yes 23
32 n/a n/a n/a n/a n/a Yes 121
33 n/a n/a n/a n/a n/a No 300
34 n/a n/a n/a n/a n/a Yes 43
35 n/a n/a n/a n/a n/a Yes 60
36 n/a n/a n/a n/a n/a Yes 84
36a
36b
36c
36d
36e
37 n/a n/a n/a n/a n/a No 360
38 n/a n/a 36 36 4/1/97 No 360
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-2
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
REMAINING
AMORTIZATION TERM MODIFICATION
LOAN # (A) TERM (MONTHS) (MONTHS) DATE(E) MATURITY DATE NOI PERIOD(F)
- ---------- -------------- ----------- ------------------ ------------- -----------------
<S> <C>
1 350 168 10/31/95 11/1/09 1994
2 300 119 9/15/95 9/15/05 Underwriting 1995
3 0(3) 114 6/1/95 5/31/05 Underwriting 1995
4 360 49 3/16/94 12/1/99(26) Underwriting 1995
5 360 178 6/30/94 9/1/10 Underwriting 1995
6 360 119 8/1/95 10/1/05 1994
7 360 58 8/1/95 9/1/00 Underwriting 1995
8 360 70 8/1/95 9/1/01 Underwriting 1995
8a
8b
9 300 81 8/1/95 8/1/02 Underwriting 1995
10 360 71 9/27/94 10/1/01 Underwriting 1995
11 360 172 3/1/95 3/1/10 Underwriting 1995
12 298 286 8/16/94 9/1/19(6) Underwriting 1995
13 360 115 5/1/95 6/1/05 Underwriting 1995
14 360 168 11/1/94 11/1/09 Underwriting 1995
15 300 22 8/7/87 9/1/97 Underwriting 1995
16 360 74 12/23/94 1/1/02 Underwriting 1995
17 300 60 10/31/95 10/31/00 Underwriting 1995
18 300 64 8/1/95 3/1/01(24) Underwriting 1995
19 276 44 10/21/93 7/1/99 Underwriting 1995
20 360 120 9/1/95 11/1/05 Underwriting 1995
21 360 23 9/30/92 10/1/97 Underwriting 1995
22 212 72 3/31/95 11/1/01 Underwriting 1995
23 360 113 4/1/95 4/1/05 Underwriting 1995
24 360 110 12/28/94 1/1/05 1994
25 360 116 6/1/95 7/1/05 Underwriting 1995
26 360 80 6/30/95 7/1/02 1994
27 300 14 1/1/95 1/1/97 Underwriting 1995
28 360 110 12/1/94 1/1/05 1994
29 360(8) 88 3/1/95 3/1/03 Underwriting 1995
30 360 59 9/22/93 10/1/00 Underwriting 1995
31 144 19 7/1/95 5/31/97 1994
32 360 115 5/1/95 6/1/05 1994
33 300 73 11/16/76 12/1/01 Underwriting 1995
34 323 21 8/19/94 8/1/97 Underwriting 1995
35 300 60 10/31/95 10/31/00 Underwriting 1995
36 240 76 4/11/95 3/21/02 Underwriting 1995
36a
36b
36c
36d
36e
37 360 344 6/8/94 6/8/24(21) Underwriting 1995
38 360 284 7/21/88 7/1/19(23) Underwriting 1995
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
SCHEDULED
ANNUAL DEBT OCCUPANCY AS
LOAN # (A) SERVICE(G) NOI DSCR OCCUPANCY OF DATE
- ---------- ------------ ------------ -------- ----------- ------------
<S> <C>
1 $1,928,382 $3,064,391 1.589x 94% 7/11/95
2 966,273 1,496,101 1.548 92 8/17/95
3 900,000 1,283,676 1.426 99 6/30/95
4 751,467 1,152,615 1.534 93 6/30/95
5 742,478 805,591 1.085 100 7/31/95
6 820,719 1,237,570 1.508 62 4/30/95
7 704,414 864,932 1.228 93 6/30/95
8 704,414 1,099,718 1.561 89 6/30/95
8a 93 8/30/95
8b 100 8/30/95
9 602,016 684,375 1.137 95 6/30/95
10 651,060 727,632 1.118 77 7/14/95
11 544,874 724,629 1.330 100 7/11/95
12 519,585 692,161 1.332 81 8/1/95
13 467,748 567,666 1.214 97 5/15/95
14 458,634 638,518 1.392 95 7/11/95
15 493,441 832,574 1.687 80 7/31/95
16 394,884 470,607 1.192 96 7/31/95
17 382,674 480,264 1.255 100 7/1/95
18 360,226 430,965 1.196 94 6/30/95
19 362,626 389,744 1.075 92 6/30/95
20 363,249 517,740 1.425 91 8/1/95
21 350,350 420,560 1.200 97 7/25/95
22 418,847 569,702 1.360 87 7/31/95
23 335,070 450,474 1.344 100 5/1/95
24 291,118 407,482 1.400 69 5/23/95
25 289,668 357,640 1.235 100 9/1/95
26 305,400 371,821 1.217 76 3/1/95
27 275,396 426,286 1.548 89 6/30/95
28 270,496 438,258 1.620 95 3/22/95
29 208,000 480,911 2.312 80 8/30/95
30 248,885 326,038 1.310 97 6/30/95
31 362,188 480,925 1.328 100 3/2/95
32 242,622 338,447 1.395 100 1/1/95
33 519,014 640,200 1.233 100 8/1/95
34 210,249 237,460 1.129 82 6/30/95
35 201,407 233,157 1.158 96 8/1/95
36 240,528 325,697 1.354 100 7/31/95
36a 100 6/30/95
36b 100 7/31/95
36c 100 6/30/95
36d 100 6/30/95
36e 100 6/30/95
37 174,900 228,559 1.307 100 8/1/95
38 184,908 209,123 1.131 90 7/15/95
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-3
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
LOAN # ZIP
(A) PROPERTY TYPE CITY STATE CODE
- -------- --------------- -------------- ----- -----
39 Multifamily Burbank CA 91505
40 Multifamily Palmdale CA 93550
41 Multifamily San Diego CA 92103
42 Multifamily Pennsville NJ 08070
43 Industrial Westfield MA 01085
44 Retail(7) Colton CA 92324
45 Retail Peekskill NY 10566
46 Hotel/Motel(11) Kingston MA 02364
47 Multifamily Garden Grove CA 92643
48 Retail Armonk NY 10504
49 Multifamily Las Vegas NV 89106
50 Office Middletown RI 02840
51 Multifamily Carlsbad CA 92054
52 Multifamily Attleboro MA 02703
53 Retail Fitchburg MA 01420
54 Office Milford MA 01757
55 Multifamily San Bernardino CA 92407
56 Multifamily San Diego CA 92120
57 Multifamily Tuscon AZ 85712
58 Multifamily Los Angeles CA 91335
59 Multifamily Los Angeles CA 91342
60 Office Ellicott City MD 21042
61 Industrial Perth Amboy NJ 08861
62 Multifamily San Diego CA 92104
63 Industrial Salt Lake City UT 84125
64 Multifamily Encinitas CA 92024
65 Office Paterson NJ 07505
66 Multifamily San Diego CA 92115
67 Retail Worcester MA 01609
68 Office Fair Lawn NJ 07410
69 Multifamily Macon GA 31208
70 Industrial Marlborough MA 01752
71 Office Milford CT 06460
72 Office Stamford CT 06902
73 Office Danvers MA 01923
74 Multifamily Warwick RI 02888
74a Retail
74b Multifamily
75 Retail Rochester NH 03867
76 Retail Wallingford CT 06492
77 Industrial Watertown MA 02172
78 Industrial Deer Park NY 11729
79 Multifamily(11) Fitchburg MA 01420
80 Hotel/Motel Shrewsbury MA 01545
81 Warehouse Chesapeake VA 22320
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
SCHEDULED
YEAR BUILT/ UNITS/ PRINCIPAL SCHEDULED CURRENT
LOAN # RENOVATED SQ. FT. BALANCE PER PRINCIPAL RATE INTEREST
(A) (B) (C) UNIT/SQ. FT. BALANCE TYPE RATE INDEX(F)
- -------- ----------- --------- ------------ ----------- ----- ---------- ------------------
<S> <C>
39 1990 20 $82,634 $1,652,683 ARM 7.500% 11th District COFI
40 1989 81 19,509 1,580,248 Fixed 8.500 n/a
41 1967 60 25,975 1,558,476 ARM 7.391 11th District COFI
42 1969 72 21,461 1,545,182 Fixed 9.000 n/a
43 1988 120,650 13 1,528,092 Fixed 10.000 n/a
44 1991 26,855 56 1,500,000 Fixed 9.000 n/a
45 1988 38,400 38 1,459,730 Fixed 8.750 n/a
46 1989 64 20,262 1,296,763 Fixed 9.500 n/a
47 1976 26 49,798 1,294,753 ARM 7.625 11th District COFI
48 1988 12,300 103 1,269,413 Fixed 10.500 n/a
49 1995 71 16,309 1,157,904 Step 12.000(12) n/a
50 1977 42,933 25 1,093,824 Fixed 10.000 n/a
51 1983 36 27,766 999,594 ARM 7.391 11th District COFI
52 1989 18 54,688 984,386 Fixed 7.970 n/a
53 1988 14,320 68 973,230 Fixed 10.000 n/a
54 1990 11,134 84 935,169(14) Fixed 11.350 n/a
55 1981 50 18,292 914,575 ARM 7.391 11th District COFI
56 1973 24 37,860 908,631 ARM 7.391 11th District COFI
57 1976 70 12,917 904,218 Fixed 10.500 n/a
58 1978 37 24,134 892,953 ARM 7.391 11th District COFI
59 1995 45 19,468 876,081 ARM 7.641 11th District COFI
60 1991 21,250 40 840,881 Fixed 9.250 n/a
61 1980 10,500 79 834,669 Fixed 10.000 n/a
62 1980 19 42,744 812,135 ARM 7.391 11th District COFI
63 1979 78,112 10 779,936 Fixed 9.750 n/a
64 1982 18 43,234 778,219 ARM 7.679 11th District COFI
65 1988 26,400 29 775,639 Fixed 9.500 n/a
66 1969 24 31,880 765,128 ARM 7.391 11th District COFI
67 1994 21,000 35 732,228 Fixed 10.000 n/a
68 1987 8,300 84 697,988 Fixed 10.000 n/a
69 1969 44 15,662 689,133 Fixed 8.000(16) n/a
70 1976 23,488 26 607,361 ARM 9.750 Shawmut Prime
71 1986 13,767 40 548,349 Fixed 9.500 n/a
72 1982 10,200 54 546,242 ARM 10.000 Shawmut Prime
73 1980 6,835 79 536,571 Fixed 10.000 n/a
74 1994 21 21,712 455,945 Fixed 9.000 n/a
74a 1994 1,216
74b 1994 21
75 1985 4,085 110 447,852 Fixed 9.500 n/a
76 1970 14,400 31 446,990 ARM 8.000 3 Year CMT
77 1983 16,200 27 438,458 Fixed 9.500 n/a
78 1986 20,231 21 424,432 Fixed 10.000 n/a
79 1987 37 11,458 423,943 Fixed 9.500 n/a
80 1985 64 6,126 392,063 Fixed 10.000 n/a
81 1988 10,000 39 386,857 Fixed 9.500 n/a
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-4
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
LIFETIME LIFETIME
LOAN # INTEREST RATE INTEREST RATE NEGATIVE
(A) GROSS MARGIN FLOOR CAP PERIOD CAP AMORTIZATION
- -------- ------------ ------------- ------------- ---------- ------------
39 2.350 3.750 13.750 0.000 Yes
40 n/a n/a n/a n/a No
41 2.250 0.000 0.000 5.000 Yes
42 n/a n/a n/a n/a No
43 n/a n/a n/a n/a No
44 n/a n/a n/a n/a No
45 n/a n/a n/a n/a No
46 n/a n/a n/a n/a No
47 2.500 4.000 14.000 0.000 Yes
48 n/a n/a n/a n/a No
49 n/a n/a n/a n/a No
50 n/a n/a n/a n/a No
51 2.250 0.000 0.000 5.000 Yes
52 n/a n/a n/a n/a No
53 n/a n/a n/a n/a No
54 n/a n/a n/a n/a No
55 2.250 6.000 16.000 5.000 Yes
56 2.250 0.000 0.000 5.000 Yes
57 n/a n/a n/a n/a No
58 2.250 0.000 0.000 5.000 Yes
59 2.500 0.000 0.000 5.000 Yes
60 n/a n/a n/a n/a No
61 n/a n/a n/a n/a No
62 2.250 0.000 0.000 5.000 Yes
63 n/a n/a n/a n/a No
64 2.500 5.000 14.375 0.000 Yes
65 n/a n/a n/a n/a No
66 2.250 0.000 0.000 5.000 Yes
67 n/a n/a n/a n/a No
68 n/a n/a n/a n/a No
69 n/a n/a n/a n/a No
70 1.000 0.000 0.000 0.000 No
71 n/a n/a n/a n/a No
72 1.500 0.000 0.000 0.000 No
73 n/a n/a n/a n/a No
74 n/a n/a n/a n/a No
74a
74b
75 n/a n/a n/a n/a No
76 2.500 5.250 15.250 2.000 No
77 n/a n/a n/a n/a No
78 n/a n/a n/a n/a No
79 n/a n/a n/a n/a No
80 n/a n/a n/a n/a No
81 n/a n/a n/a n/a No
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
NEGATIVE RATE PAYMENT NEXT RATE ORIGINAL
LOAN # PAYMENT AMORTIZATION FREQUENCY FREQUENCY ADJUSTMENT BALLOON TERM
(A) CAP PERCENT CAP (MONTHS) (MONTHS) DATE PAYMENT (MONTHS)
- -------- ------- ------------ --------- --------- ---------- ------- --------
<S> <C>
39 7.50 117% 1 12 12/1/95 No 360
40 n/a n/a n/a n/a n/a Yes 120
41 7.50 115 1 12 12/1/95 No 360
42 n/a n/a n/a n/a n/a Yes 121
43 n/a n/a n/a n/a n/a Yes 119
44 n/a n/a n/a n/a n/a Yes 60
45 n/a n/a n/a n/a n/a Yes 60
46 n/a n/a n/a n/a n/a Yes 85
47 7.50 118 1 12 12/1/95 No 360
48 n/a n/a n/a n/a n/a Yes 120
49 n/a n/a n/a n/a n/a Yes 180
50 n/a n/a n/a n/a n/a Yes 121
51 7.50 n/a 1 12 12/1/95 No 360
52 n/a n/a n/a n/a n/a Yes 36
53 n/a n/a n/a n/a n/a Yes 84
54 n/a n/a n/a n/a n/a Yes 36
55 7.50 112 1 12 12/1/95 No 360
56 7.50 109 1 12 12/1/95 No 360
57 n/a n/a 0 0 4/1/97 Yes 120
58 7.50 n/a 1 12 12/1/95 No 360
59 7.50 n/a 1 12 12/1/95 No 360
60 n/a n/a n/a n/a n/a Yes 60
61 n/a n/a n/a n/a n/a Yes 83
62 7.50 113 1 12 12/1/95 No 360
63 n/a n/a n/a n/a n/a No 300
64 7.50 n/a 1 12 12/1/95 No 360
65 n/a n/a n/a n/a n/a Yes 98
66 7.50 n/a 1 12 12/1/95 No 360
67 n/a n/a n/a n/a n/a Yes 108
68 n/a n/a n/a n/a n/a Yes 84
69 n/a n/a n/a 18 n/a Yes 84
70 0.00 n/a 1 6 12/1/95 No 312
71 n/a n/a n/a n/a n/a Yes 85
72 0.00 n/a 12 12 1/1/96 No 240
73 n/a n/a n/a n/a n/a Yes 84
74 n/a n/a n/a n/a n/a Yes 118
74a
74b
75 n/a n/a n/a n/a n/a Yes 85
76 0.00 n/a 36 36 5/10/97 No 300
77 n/a n/a n/a n/a n/a Yes 120
78 n/a n/a n/a n/a n/a Yes 83
79 n/a n/a n/a n/a n/a Yes 85
80 n/a n/a n/a n/a n/a Yes 84
81 n/a n/a n/a n/a n/a Yes 36
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-5
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
REMAINING
AMORTIZATION TERM MODIFICATION
LOAN # (A) TERM (MONTHS) (MONTHS) DATE(E) MATURITY DATE NOI PERIOD(F)
- ---------- -------------- ----------- ------------------ -------------- -----------------
<S> <C>
39 360 303 1/15/91 2/1/21 1994
40 360 103 5/31/94 6/30/04 Pro Forma
41 360 242 11/6/85 1/1/16 Underwriting 1995
42 360 113 3/1/95 4/1/05 Underwriting 1995
43 360 116 8/1/95 7/1/05 1994
44 300 60 10/31/95 10/31/00 Underwriting 1995
45 360 49 11/17/94 11/16/99(10) Underwriting 1995
46 360 80 6/1/95 7/1/02 1994
47 360 302 11/28/90 1/1/21 Pro Forma
48 240 49 11/30/89 12/1/99 Underwriting 1995
49 360 50 12/26/84 1/1/00 Underwriting 1995
50 360 116 6/1/95 6/30/05 Underwriting 1995
51 360 254 12/5/86 1/1/17 Pro Forma
52 240 10 9/2/93 9/15/96(13) Underwriting 1995
53 360 79 6/1/95 6/1/02 Underwriting 1995
54 138 14 12/30/93 12/30/96(15) 1994
55 360 237 7/10/85 8/1/15 Pro Forma
56 360 252 10/10/86 11/1/16 Underwriting 1995
57 360 53 3/8/90 4/1/00 Underwriting 1995
58 360 257 3/19/87 4/1/17 Underwriting 1995
59 360 244 2/21/86 3/1/16 Pro Forma
60 240 21 7/24/92 8/1/97 Underwriting 1995
61 360 77 5/1/95 4/1/02 1994
62 360 272 5/16/88 7/1/18 Underwriting 1995
63 300 111 1/18/80 2/1/05 Underwriting 1995
64 360 278 12/5/88 1/1/19 Underwriting 1995
65 300 91 3/30/95 6/1/03 1994
66 360 249 7/24/86 8/1/16 Underwriting 1995
67 360 106 9/1/95 9/1/04 Underwriting 1995
68 360 77 4/1/95 3/31/02 1994
69 360 75 2/9/95 2/10/02 Underwriting 1995
70 228 225 9/1/95 8/20/14 Underwriting 1995
71 360 79 5/1/95 6/1/02 1994
72 240 134 12/22/86 1/1/07 Underwriting 1995
73 360 79 6/1/95 6/1/02 Underwriting 1995
74 360 112 5/1/95 3/1/05 1994
74a
74b
75 360 82 8/1/95 9/1/02 1994
76 300 210 5/10/88 5/10/13 Underwriting 1995
77 240 118 9/1/95 9/1/05 Underwriting 1995
78 360 80 8/28/95 7/1/02 1994
79 360 80 6/1/95 7/1/02 Underwriting 1995
80 180 76 3/1/95 3/1/02 1994
81 240 22 9/9/94 9/1/97 Underwriting 1995
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
SCHEDULED
ANNUAL DEBT OCCUPANCY AS
LOAN # (A) SERVICE(G) NOI DSCR OCCUPANCY OF DATE
- ---------- ----------- ---------- -------- ----------- ------------
<S> <C>
39 $137,013 $143,970 1.051x 95% 5/19/95
40 147,055 228,536 1.554 91 6/5/95
41 146,295 165,229 1.129 98 5/24/95
42 149,866 164,387 1.097 95 9/1/95
43 161,287 171,890 1.066 100 3/2/95
44 151,055 167,093 1.106 63 8/1/95
45 138,629 248,443 1.792 96 7/31/95
46 131,172 182,134 1.389 50 4/30/95
47 109,018 118,393 1.086 92 5/22/95
48 172,520 180,124 1.044 90 4/20/95
49 154,118 176,279 1.144 98 8/1/95
50 115,446 166,245 1.440 100 1/1/95
51 88,442 118,782 1.343 90 9/1/95
52 104,757 127,684 1.219 95 7/31/95
53 104,160 126,036 1.210 100 3/1/95
54 206,142 239,832 1.163 100 3/15/95
55 87,641 112,840 1.288 94 9/1/95
56 85,312 90,883 1.065 92 5/1/95
57 100,673 116,337 1.156 95 5/31/95
58 79,323 99,831 1.259 95 9/1/95
59 81,304 98,041 1.206 73 5/23/95
60 98,914 226,626 2.291 100 12/31/94
61 88,136 141,597 1.607 100 3/26/95
62 69,147 66,002 0.955 100 8/1/95
63 128,328 128,610 1.002 100 8/1/95
64 64,867 72,197 1.113 100 5/19/95
65 81,780 117,947 1.442 75 3/30/95
66 68,070 78,623 1.155 100 5/1/95
67 77,178 87,026 1.128 48 4/6/95
68 73,716 89,566 1.215 91 3/26/95
69 55,131 68,632 1.245 93 7/31/95
70 70,548 106,656 1.512 100 4/5/95
71 55,496 66,768 1.203 100 6/19/95
72 78,102 118,301 1.515 100 4/12/95
73 56,632 76,496 1.351 96 7/31/95
74 44,171 54,907 1.243 90 3/28/95
74a 100 3/28/95
74b 90 3/28/95
75 45,257 50,453 1.115 100 4/3/95
76 47,533 74,623 1.570 100 6/30/95
77 49,182 65,268 1.327 100 8/8/95
78 44,760 59,743 1.335 80 8/4/95
79 42,888 60,305 1.406 95 3/10/95
80 51,576 94,344 1.829 43 12/31/94
81 44,124 49,206 1.115 100 4/1/95
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-6
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
LOAN # ZIP
((A) PROPERTY TYPE CITY STATE CODE
- ---------- --------------- -------------- ------- -------
82 Office South Boston MA 02127
82a Parking Lot South Boston MA
82b Office South Boston MA
82c Office South Boston MA
83 Industrial Louisville KY 40299
84 Industrial(18) Essex CT 06426
85 Multifamily Newton MA 02158
86 Industrial Southington CT 06489
87 Office Madison CT 06443
88 Retail(17) Congers NY 10920
89 Retail New Rochelle NY 10801
90 Multifamily New Haven CT 06511
91 Multifamily Bristol CT 06010
91a Multifamily Bristol CT 06010
91b Multifamily Bristol CT 06010
92 Warehouse Rockville MD 20852
93 Multifamily(19) Brooklyn NY 11213
94 Industrial(18) Essex CT 06426
95 Office(18) Old Saybrook CT 06475
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
SCHEDULED
PRINCIPAL SCHEDULED CURRENT
LOAN # YEAR BUILT/ UNITS/ SQ. BALANCE PER PRINCIPAL RATE INTEREST
((A) RENOVATED (B) FT. (C) UNIT/SQ. FT. BALANCE TYPE RATE INDEX(D)
- ---------- ------------- ----------- -------------- ------------- ------- ---------- --------
<S> <C>
82 1980 3,000 $121 $362,108 Fixed 10.000% n/a
82a n/a n/a
82b 1980 3,000
82c 1980 4,542
83 1988 48,463 7 352,963 Fixed 9.750 n/a
84 1980 14,000 23 323,730 Fixed 9.000 n/a
85 1988 6 52,897 317,382 Fixed 9.000 n/a
86 1989 10,882 25 268,258 Fixed 10.000 n/a
87 1970 3,536 76 268,203 Fixed 8.000 n/a
88 1970 5,305 50 267,781 Fixed 9.500 n/a
89 1980 11,972 22 267,637 Fixed 9.000 n/a
90 1989 6 37,519 225,113 Fixed 9.500 n/a
91 1919 18 9,657 173,823 Fixed 8.500 n/a
91a 1919 2
91b 1920 16
92 1988 3,102 48 147,673 Fixed 10.000 n/a
93 1929 8 18,449 147,595 Fixed 9.500 n/a
94 1970 12,700 7 89,648 Fixed 9.000 n/a
95 1956 4,482 20 89,648 Fixed 9.000 n/a
------------- -------------
$228,327,736
------------- =============
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-7
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
LIFETIME LIFETIME
LOAN # INTEREST RATE INTEREST RATE NEGATIVE
(A) GROSS MARGIN FLOOR CAP PERIOD CAP AMORTIZATION
- -------- ------------ ------------- ------------- ---------- ------------
82 n/a n/a n/a n/a No
82a
82b
82c
83 n/a n/a n/a n/a No
84 n/a n/a n/a n/a No
85 n/a n/a n/a n/a No
86 n/a n/a n/a n/a No
87 n/a n/a n/a n/a No
88 n/a n/a n/a n/a No
89 n/a n/a n/a n/a No
90 n/a n/a n/a n/a No
91 n/a n/a n/a n/a No
91a
91b
92 n/a n/a n/a n/a No
93 n/a n/a n/a n/a No
94 n/a n/a n/a n/a No
95 n/a n/a n/a n/a No
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
NEGATIVE RATE PAYMENT NEXT RATE
LOAN # PAYMENT AMORTIZATION FREQUENCY FREQUENCY ADJUSTMENT BALLOON ORIGINAL
(A) CAP PERCENT CAP (MONTHS) (MONTHS) DATE PAYMENT TERM
- -------- ------- ------------ --------- --------- ---------- ------- --------
<S> <C>
82 n/a n/a n/a n/a n/a Yes 120
82a
82b
82c
83 n/a n/a n/a n/a n/a No 324
84 n/a n/a n/a n/a n/a Yes 84
85 n/a n/a n/a n/a n/a Yes 84
86 n/a n/a n/a n/a n/a Yes 89
87 n/a n/a n/a n/a n/a Yes 60
88 n/a n/a n/a n/a n/a Yes 84
89 n/a n/a n/a n/a n/a Yes 72
90 n/a n/a n/a n/a n/a Yes 84
91 n/a n/a n/a n/a n/a Yes 120
91a
91b
92 n/a n/a n/a n/a n/a Yes 30
93 n/a n/a n/a n/a n/a Yes 60
94 n/a n/a n/a n/a n/a Yes 84
95 n/a n/a n/a n/a n/a Yes 84
</TABLE>
- ------------
-- For an explanation of the footnotes on this page, please see pages A-9
and A-10.
A-8
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
REMAINING
AMORTIZATION TERM MODIFICATION MATURITY
LOAN # (A) TERM (MONTHS) (MONTHS) DATE(E) DATE NOI PERIOD(F)
- ---------- -------------- ----------- ------------------ ---------- -----------------
<S> <C>
82 120 118 9/1/95 9/1/05 1994
82a
82b
82c
83 324 106 9/19/77 9/1/04 Underwriting 1995
84 360 77 4/1/95 4/1/02 Underwriting 1995
85 240 72 11/1/94 11/1/01 1994
86 120 34 3/28/91 9/1/98 Underwriting 1995
87 240 37 12/4/93 12/1/98 1994
88 360 83 9/8/95 10/1/02 Underwriting 1995
89 360 62 12/22/94 1/1/01 Underwriting 1995
90 360 78 5/1/95 5/1/02 Underwriting 1995
91 300 107 10/1/94 10/1/04 1994
91a
91b
92 240 13 5/13/94 12/31/96 Underwriting 1995
93 360 52 2/27/95 2/27/00 Underwriting 1995
94 360 77 4/1/95 4/1/02 Underwriting 1995
95 360 77 4/1/95 4/1/02 1994
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
SCHEDULED
ANNUAL DEBT OCCUPANCY AS
LOAN # (A) SERVICE(G) NOI DSCR OCCUPANCY OF DATE
- ---------- ----------- --------- -------- ----------- ------------
82 $57,991 $61,010 1.052x 100% 4/7/95
82a
82b
82c
83 59,404 98,979 1.666 90 8/1/95
84 31,380 39,500 1.259 100 6/30/95
85 34,919 38,090 1.091 100 4/7/95
86 64,313 55,602 0.865 100 3/8/95
87 28,728 25,653 0.893 100 4/5/95
88 27,033 42,814 1.584 100 8/29/95
89 25,973 24,917 0.959 31 9/30/95
90 22,783 26,862 1.179 100 4/12/95
91 16,371 18,306 1.118 100 4/13/95
91a 100 4/13/95
91b 100 4/13/95
92 17,514 24,998 1.427 100 4/30/95
93 14,945 40,610 2.717 100 1/31/95
94 8,690 12,630 1.453 58 5/1/95
95 8,690 12,005 1.381 83 4/12/95
- ------------
A. Unless otherwise noted, references to Mortgage Loan Numbers are
references to Mortgage Loan Group 1.
B. For properties which have been renovated, the year of the most recent
renovation is listed; otherwise the year built is listed.
C. Refers to units for properties which are listed as Multifamily or
Hotel/Motel. Refers to square footage in all other cases.
D. The following abbreviations are used: COFI = 11th District Cost of Funds
Index; CMT = Constant Maturity Treasury of the Indicated Maturity;
Shawmut and Bank of Boston = Prime.
E. The later of the origination date or the most recent Modification Date,
if any, is shown.
F. See "THE TRUST--Description of the Mortgage Pool--Debt Service Coverage
Ratios" and Appendix B.
G. Assumes that there are no changes in the Scheduled Payment in the twelve
months following the Cut-Off Date.
1. Mortgage Loan Numbers 1, 11 and 14 are related to one another. See "RISK
FACTORS--The Mortgage Loans--Concentrations of Mortgage Loans and
Mortgages" and "THE TRUST--Borrower Concentrations."
2. This Mortgage Loan is a Senior Participation. See "THE TRUST--The Senior
Participation." The Mortgage Loan underlying the Senior Participation is
secured by a ground lease.
The ground lease term expires 11/30/22. The ground lease provides the
lender with the right to receive notice of any defaults under the lease
and the right to cure such defaults.
3. This Mortgage Loan is an interest only loan and does not amortize.
4. This Mortgage Loan is an Affiliate Loan. See "RISK FACTORS--The Mortgage
Loans--Mortgage Loans on Properties Owned by Affiliates of the
Depositor."
5. This Mortgage Loan is an interest only loan through November 30, 1997
with the interest rate fixed at 8% per annum. Thereafter the loan
amortization term is 360 months with interest fixed at 10.13% per annum.
A-9
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 1
6. Lender has the option to call the Mortgage Loan anytime after 9/1/2004.
7. Mortgage Loan Numbers 17, 35 and 44 are related. See "RISK FACTORS--The
Mortgage Loans--Concentrations of Mortgage Loans and Mortgagors" and "THE
TRUST--Borrower Concentrations."
8. Monthly payments through February 1, 1996 are interest only at a fixed
rate of 8% per annum. Thereafter monthly payments will be due based on a
thirty year amortization schedule.
9. This Mortgage Loan has a fixed interest pay rate of 9% per annum through
March 1, 1996. Accrued interest of 1.625% of the principal is deferred
until maturity. After March 1, 1996, the interest rate payable is 10.625%
per annum with no interest accruals.
10. Borrower has the option to extend this Mortgage Loan for three years,
provided no event of default exists.
11. Mortgage Loan Numbers 46 and 79 are cross-defaulted and
cross-collateralized. See "RISK FACTORS--The Mortgage
Loans--Concentrations of Mortgage Loans and Mortgagors" and "THE
TRUST--Borrower Concentrations."
12. This Mortgage Loan is a step rate loan which is in its final step rate
period. The interest rate is fixed until maturity at 12% per annum.
13. Borrower has the option to extend the Mortgage Loan for two years
provided debt service coverage is at least 1.20x and Loan-to-Value is not
greater than 75%.
14. The principal portion of the monthly debt service is fixed in the amount
of $8,333.
15. Borrower has the option to extend the Mortgage Loan for two years
provided debt service coverage is at least 1.25x and Loan-to-Value is not
greater than 80%.
16. This Mortgage Loan is interest-only until 2/10/97, at which time it
amortizes over 30 years.
17. This Mortgage Loan is additionally secured by a second lien on a two
family house. 60% of the net proceeds of a sale of such collateral will
be applied to pay down the Mortgage Loan.
18. Mortgage Loan Numbers 84, 94 and 95 are cross-defaulted Mortgage Loans.
See "RISK FACTORS--The Mortgage Loans--Concentrations of Mortgage Loans
and Mortgagors" and "THE TRUST--Borrower Concentrations."
19. This Mortgage Loan is additionally secured by a second lien on Borrower's
residence.
20. See "RISK FACTORS--The Mortgage Loans--Environmental Law Considerations."
21. The lender has the option to call this Mortgage Loan after June 8, 2004.
22. This Mortgage Loan is an interest only loan until 9/1/96, at which
time the Mortgage Loan amortizes over 299 months.
23. Lender has the option to call the Mortgage Loan on 7/1/98, upon 60 days'
prior notice.
24. Borrower has the option to extend this Mortgage Loan for five years at a
fixed rate equal to the 5-year CMT (as published 30 days prior to the
Maturity Date) plus 2.50% per annum, provided no event of default exists
and the Borrower pays a fee equal to 1% of its outstanding principal
balance.
25. The Seller has a 25% limited partnership interest in the Borrower.
26. The servicer of this Mortgage Loan has informed the Lender that it
has received inquiries from a title company in connection with a
possible refinancing of the related Mortgaged Property, which may
result in a prepayment of this Mortgage Loan.
A-10
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 2
ZIP
LOAN # (A) PROPERTY TYPE CITY STATE CODE
- ---------- --------------- -------------- ------- -------
1 Multifamily Lawrenceville GA 30245
2 Hotel/Motel Norcross GA 30071
3 Industrial Brea CA 92621
4 Industrial Thomaston CT 06787
5 Retail Atascadero CA 93422
6 Multifamily Dallas TX 75231
7 Retail Shelton CT 06484
8 Multifamily Redford MI 48239
9 Industrial Irvine CA 92714
10 Industrial Simi Valley CA 93065
11 Office W. Springfield MA 01089
12 Office W. Townsend MA 01474
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
SCHEDULED
PRINCIPAL SCHEDULED CURRENT
YEAR BUILT/ UNITS/ SQ. BALANCE PER PRINCIPAL RATE INTEREST
LOAN # (A) RENOVATED (B) FT. (C) UNIT/SQ. FT. BALANCE TYPE RATE INDEX(D)
- ---------- ------------- ----------- -------------- ------------ ------ ---------- --------------------
<S> <C>
1 1987 156 $23,700 $3,697,277 ARM 9.750% 3 Year CMT
2 1984 115 17,365 1,996,994 ARM 9.750 3 Year CMT
3 1983 55,361 33 1,813,280 ARM 7.391 11th District COFI
4 1965 88,747 13 1,181,398 ARM 9.750 Shawmut Prime
5 1985 33,114 31 1,040,418 ARM 9.250 1 Year CMT
6 1978 136 7,549 1,026,643 ARM 9.500 11th District COFI
7 1982 25,116 35 874,640 ARM 9.750 Shawmut Prime
8 1965 40 18,260 730,392 ARM 9.000 1 Year CMT
9 1978 13,607 53 723,755 ARM 7.891 11th District COFI
10 1985 23,944 30 715,853 ARM 7.641 11th District COFI
11 1982 12,904 25 328,749 ARM 10.250 Shawmut Prime
12 1988 5,950 39 231,306 ARM 10.750 Bank of Boston Prime
------------- ============
$14,360,705
</TABLE>
- ------------
--For an explanation of the footnotes on this page, please see page A-13.
A-11
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 2
<TABLE>
<CAPTION>
LIFETIME LIFETIME
LOAN # INTEREST RATE INTEREST RATE NEGATIVE
(A) GROSS MARGIN FLOOR CAP PERIOD CAP AMORTIZATION
- -------- ------------ ------------- ------------- ---------- ------------
<S> <C>
1 2.500% 6.000% 12.000% 0.000% No
2 2.500 6.000 12.000 0.000 No
3 2.250 3.750 13.750 5.000 Yes
4 1.000 0.000 0.000 0.000 No
5 3.500 5.000 13.000 2.000 Yes
6 3.500 9.500 18.000 0.000 Yes
7 1.000 0.000 0.000 0.000 No
8 2.750 0.000 0.000 0.000 No
9 2.750 0.000 0.000 5.000 Yes
10 2.500 0.000 0.000 5.000 Yes
11 1.500 0.000 0.000 0.000 No
12 2.000 0.000 0.000 0.000 No
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
NEGATIVE RATE PAYMENT NEXT RATE
LOAN # PAYMENT AMORTIZATION FREQUENCY FREQUENCY ADJUSTMENT BALLOON ORIGINAL
(A) CAP PERCENT CAP (MONTHS) (MONTHS) DATE PAYMENT TERM
- -------- ------- ------------ --------- --------- ---------- ------- --------
<S> <C>
1 0.00% n/a 12 12 3/1/96 Yes 120
2 0.00 n/a 12 12 3/1/96 Yes 120
3 7.50 115 1 12 12/1/95 Yes 180
4 0.00 n/a 1 1 12/1/95 Yes 84
5 7.50 110 6 12 3/1/96 Yes 84
6 0.00 n/a 1 12 12/1/95 Yes 60
7 0.00 n/a 1 1 12/1/95 Yes 60
8 0.00 n/a 1 1 6/1/96 Yes 120
9 7.50 117 1 12 12/1/95 Yes 180
10 7.50 130 1 12 12/1/95 Yes 180
11 0.00 n/a 1 1 12/1/95 Yes 60
12 0.00 n/a 1 1 11/12/95 Yes 53
</TABLE>
- ------------
--For an explanation of the footnotes on this page, please see page A-13.
A-12
<PAGE>
APPENDIX A
CHARACTERISTICS OF THE MORTGAGE LOANS
MORTGAGE LOAN GROUP 2
<TABLE>
<CAPTION>
REMAINING
AMORTIZATION TERM MODIFICATION MATURITY
LOAN # (A) TERM (MONTHS) (MONTHS) DATE(E) DATE NOI PERIOD(F)
- ---------- -------------- ----------- ------------------ ----------- -----------------
<S> <C>
1 360 76 3/1/92 3/1/02 Underwriting 1995
2 300 76 3/1/92 3/1/02 Underwriting 1995
3 360 82 8/17/87 9/1/02 Underwriting 1995
4 654 23 9/28/90 10/1/97 1994
5 360 64 1/26/94 3/1/01 Pro Forma
6 360 21 7/29/92 8/1/97 Underwriting 1995
7 573 40 3/01/94 3/1/99(4) Underwriting 1995
8 300 31 5/16/88 6/1/98 1994
9 360 54 4/09/85 5/1/00 Underwriting 1995
10 360 62 12/10/85 1/1/01 Pro Forma
11 240 25 11/24/92 12/01/97 1994
12 180 24 6/25/93 11/12/97 1994
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
SCHEDULED
ANNUAL DEBT OCCUPANCY AS
LOAN # (A) SERVICE(G) NOI DSCR OCCUPANCY OF DATE
- ---------- ------------ ------------ -------- ----------- ------------
1 $390,081 $425,265 1.090x 99% 7/25/95
2 222,514 372,634 1.675 97 4/30/95
3 158,681 161,466 1.018 100 8/1/95
4 139,186(1) 214,793(2) 1.543 78 4/30/95
5 88,358 137,156 1.552 65 7/1/95
6 105,148 126,211 1.200 79 6/7/95
7 105,197(3) 119,728 1.138 92 8/1/95
8 82,700 87,731 1.061 98 6/6/95
9 71,618 77,079 1.076 100 5/20/95
10 68,150 83,424 1.224 100 5/23/95
11 52,983(5) 94,683 1.787 100 4/6/95
12 34,742 34,535 0.994 93 1/1/95
A. Unless otherwise noted, references to Mortgage Loan Numbers are
references to Mortgage Loan Group 2.
B. For properties which have been renovated, the year of the most recent
renovation is listed; otherwise the year built is listed.
C. Refers to units for properties which are listed as Multifamily or
Hotel/Motel. Refers to square footage in all other cases.
D. The following abbreviations are used: COFI=11th District Cost of Funds
Index; CMT=Constant Maturity Treasury of the Indicated Maturity; Shawmut
and Bank of Boston= Prime.
E. The later of the origination date or the most recent Modification Date,
if any, is shown.
F. See "THE TRUST--Description of the Mortgage Pool--Debt Service Coverage
Ratios" and Appendix B.
G. Assumes that there are no changes in the Scheduled Payment in the twelve
months following the Cut-Off Date.
1. The principal portion of the monthly debt service is in the fixed amount
of $2,000; as a result, this Mortgage Loan has an extended amortization
term.
2. The Borrower has a $500,000 judgment against it in connection with a
product liability lawsuit. As of the Cut-Off Date, no judgment lien or
attachment liens have been filed. The NOI does not include an expenditure
for satisfaction of this judgment.
3. The principal portion of the monthly debt service is in the fixed amount
of $1,660; as a result, this Mortgage Loan has an extended amortization
term.
4. At the Borrower's option, this Mortgage Loan may be extended to March 1,
2004, upon 60 days' prior notice.
5. The principal portion of the monthly debt service is in the fixed amount
of $1,607; as a result, this Mortgage Loan has an extended amortization
period.
A-13
<PAGE>
APPENDIX B
DEBT SERVICE COVERAGE RATIOS: DESCRIPTION OF KEY TERMS
(1) "Total Revenues," as used herein, with respect to any Mortgaged
Property or group of Mortgaged Properties means, (a) for 1994, the total
revenue generated at such Mortgaged Property or Properties during the twelve
calendar months ended December 31, 1994 and (b) for 1995, as described under
"Underwriting 1995 NOI" or "Pro Forma NOI." Revenue terms include for (a)
office, retail, and industrial properties: base rent, percentage rent, other
revenues and expense recoveries, (b) multifamily properties: rental revenues
and other revenues, and (c) hotel properties: room, food and beverage,
telephone and other income and rentals. No representation is made as to
future levels of revenues for any of the Mortgaged Properties.
(2) "1994 NOI," as used herein, with respect to any Mortgaged Property or
group of Mortgaged Properties means, for 1994 the excess of (a) the Total
Revenues for such Property or Properties for such year over (b) the total
operating expenses of such Mortgaged Property or Properties incurred during
the twelve calendar months ended December 31 of such year, without giving
effect to any deductions for debt service, depreciation, amortization or
capital expenditures or reserves therefor.
Operating expenses generally include for (a) office, industrial, retail
and multifamily properties: salaries, utilities, maintenance, general and
administrative, real estate tax, insurance, management and other (and
generally do not include leasing commissions, tenant improvements and capital
improvements) and (b) hotel properties: departmental expenses, undistributed
expenses and fixed expenses.
1994 NOI and the revenues and expenditures used to determine 1994 NOI for
each Mortgaged Property or group of Mortgaged Properties are derived from
information furnished by the respective Mortgagor. In some cases, the Seller
made certain adjustments to determine 1994 NOI resulting in an adjustment of
certain items on the operating statements, based on the Seller's evaluation
of such operating statements and the assumptions applied by the respective
Mortgagors in preparing such statements and information. There can be no
assurance that the components of 1994 NOI for a Mortgaged Property or group
of Mortgaged Properties (i.e., revenues and expenses) as determined under
GAAP would be the same as those used in computing the stated 1994 NOI for
such Mortgaged Property or group of Mortgaged Properties. Moreover, 1994 NOI
is not a substitute for net income as determined in accordance with GAAP as a
measure of the results of a property's operations or a substitute for cash
flows from operating activities determined in accordance with GAAP as a
measure of liquidity.
(3) "Underwriting 1995 NOI," as used herein, with respect to any Mortgaged
Property or group of Mortgaged Properties means, the excess of (a) estimated
"1995 Total Revenues" for such Mortgaged Property or group of Mortgaged
Properties over (b) estimated "1995 Total Operating Expenses" of such
Mortgaged Property or group of Mortgaged Properties, without giving effect to
any deductions for debt service, depreciation or amortization, capital
expenditures or reserves therefor.
"1995 Total Revenues" for such Mortgaged Property or group of Mortgaged
Properties have been generally estimated by reviewing 1995 year to date
results and by utilizing the total required rental payments of existing
tenants and tenants under newly signed leases, including but not limited to
base rents, recoveries and other rents. In the case of office, retail and
industrial properties, in certain instances to the extent any of the tenants
in occupancy had leases that were scheduled to expire during 1995, or within
the first six months of 1996, certain assumptions were made to estimate the
renewal of the then existing tenant or replacement of an expiring tenant. As
such, market rents, renewal probabilities and corresponding "down time" for
such leases were generally utilized in 1995 Total Revenue; however, there was
no speculative lease up of vacant space utilized to estimate 1995 Total
Revenues. New leases were considered so long as the tenant was scheduled to
begin paying rent during 1995 or within the first six months of 1996. In the
case of multifamily properties, 1995 Total Revenue was estimated by generally
annualizing the current rent roll or the 1995 year to date results. In the
case of hotel properties, 1995 Total Revenue was estimated by applying
certain occupancy rate assumptions and average daily rate assumptions.
B-1
<PAGE>
Operating Expenses used for calculating Underwriting 1995 NOI were
generally increased over 1994 levels as follows: For office, industrial,
retail and multifamily properties: salaries, utilities, maintenance, general
and administrative and other expenses were generally increased 4.0% over
1994. Real estate taxes and insurance premiums were either based upon actual
figures or increased 2.0% - 4.0% over 1994. Management fees were a minimum of
3.0% - 5.0% of effective gross income. For hotel properties: departmental
expenses increased 4.0% over 1994, undistributed expenses increased 2.0% -
4.0% over 1994, and fixed charges increased 2.0% - 4.0% over 1994. Exceptions
were made for specific circumstances where property expense items were
non-recurring or where the Seller determined based on the specific property
that an increase in excess of the stated assumptions above or a decrease from
1994 was warranted.
(4) "Pro Forma NOI" as used herein with respect to any Mortgaged Property
or group of Mortgaged Properties, means the excess of (a) estimated Pro Forma
Total Revenues for such Mortgaged Property or group of Mortgaged Properties
over (b) estimated Pro Forma Total Operating Expenses for such Mortgaged
Property or group of Mortgaged Properties, without giving effect to any
deductions for debt service, depreciation, amortization or capital
expenditures or reserves therefor.
"Pro Forma Total Revenues" for such Mortgaged Property or group of
Mortgaged Properties have generally been estimated by reviewing (i) any
estimated revenues contained in appraisals prepared for or by Mortgage Loan
originators, (ii) market information, (iii) 1993 revenues and partial year
1994 revenues, if available, (iv) site inspection reports, and (v) any other
available data resources deemed appropriate where no current or recent
historical property information was available.
"Pro Forma Total Operating Expenses" for such Mortgaged Property or group
of Mortgaged Properties have generally been estimated by reviewing (i) any
estimated expenses contained in appraisals prepared for or by Mortgage Loan
originators, (ii) market information, (iii) 1993 expenses and partial year
1994 expenses, if available, (iv) site inspection reports, and (v) any other
available data resources deemed appropriate where no current or recent
historical property information was available.
B-2
<PAGE>
PROSPECTUS
STRUCTURED ASSET SECURITIES CORPORATION
MORTGAGE-BACKED SECURITIES, ISSUABLE IN SERIES
This Prospectus relates to Collateralized Mortgage Obligations (the
"Bonds") and Mortgage-Backed Certificates (the "Certificates," together with
the Bonds, the "Securities") which may be issued from time to time in one or
more series ("Series") under this Prospectus and the related Prospectus
Supplement ("Prospectus Supplement"). As specified in the related Prospectus
Supplement, the Securities of each Series will be either Bonds issued
pursuant to an Indenture and representing indebtedness of Structured Asset
Securities Corporation (the "Company") or an owner trust (the "Owner Trust")
established by it, or Certificates which will evidence a beneficial ownership
interest in assets deposited into a trust (a "Trust Fund") by the Company as
depositor pursuant to a Trust Agreement, as described herein. The issuer (the
"Issuer") with respect to a Series of Bonds will be the Company or the Owner
Trust established to issue such Bonds, and, with respect to a Series of
Certificates, will be the Trust Fund established in respect of such
Certificates. Capitalized terms not otherwise defined herein or the related
Prospectus Supplement have the meanings specified in the Glossary attached
hereto.
The Securities will be sold from time to time under this Prospectus on
terms determined for each Series at the time of the sale and as described in
the related Prospectus Supplement. Each Series will consist of one or more
Classes, one or more of which may be Compound Interest Securities, Variable
Interest Securities, Individual Investor Securities, Planned Amortization
Class ("PAC") Securities, Zero Coupon Securities, Principal Only Securities,
Interest Only Securities, Participating Securities or another particular
Class of Securities, if any, included in such Series of Securities. Zero
Coupon Securities and Principal Only Securities will not accrue and will not
be entitled to receive any interest. Payments or distributions of interest on
each Class of Securities, other than Zero Coupon Securities, Principal Only
Securities and Compound Interest Securities will be made on each Payment Date
or Distribution Date as specified in the related Prospectus Supplement.
Interest will not be paid or distributed on Compound Interest Securities on a
current basis until all Securities of the related Series having a Stated
Maturity or Final Scheduled Distribution Date prior to the Stated Maturity or
Final Scheduled Distribution Date of such Class of Compound Interest
Securities have been paid in full or until such other date or period as may
be specified in the related Prospectus Supplement. Prior to such time,
interest on such Class of Compound Interest Securities will accrue and the
amount of interest so accrued will be added to the principal thereof on each
Payment Date or Distribution Date. The amount of principal and interest
available and payable on each Series on each Payment Date or Distribution
Date will be applied to the Classes of such Series in the order and as
otherwise specified in the related Prospectus Supplement. Principal payments
or distributions on each Class of a Series will be made on either a pro rata
or a random lot basis among Securities of such Class, as specified in the
related Prospectus Supplement. Any Series may include one or more Classes of
"Subordinate Securities," which are subordinated in right and priority to the
extent described in the related Prospectus Supplement to payment of principal
and interest, and may be allocated losses and shortfalls prior to the
allocation thereof to all other Classes of Securities of such Series (the
"Senior Securities"). Securities of a Series will be subject to redemption or
repurchase only under the circumstances and according to the priorities
described herein and in the related Prospectus Supplement.
Each Series will be secured by or offer a beneficial interest in one or
more types of mortgage assets ("Mortgage Assets") and other assets, including
any reserve funds established with respect to such Series, insurance policies
or other enhancement described in the related Prospectus Supplement. The
Mortgage Assets may consist of a pool of multifamily or commercial mortgage
loans or participation interests therein (collectively, "Mortgage Loans") and
may include FHA Loans. Mortgage Assets may also consist of mortgage
participations or pass-through certificates or collateralized mortgage
obligations ("Private Mortgage-Backed Securities") issued with respect to or
secured by a pool of Mortgage Loans. The Private Mortgage-Backed Securities
and Mortgage Loans securing a Series will not be guaranteed or insured by any
agency or instrumentality of the United States Government unless otherwise
stated in the related Prospectus Supplement. Some Mortgage Loans comprising
or underlying the Mortgage Assets may be delinquent or non-performing as
specified in the related Prospectus Supplement. The Mortgage Assets securing
a Series or comprising the Trust Fund may consist of a single Mortgage Loan
or obligations of a single obligor or related obligors as specified in the
related Prospectus Supplement. The Mortgage Loans underlying or comprising
the Mortgage Assets may be originated by or acquired from an affiliate of the
Issuer and an affiliate of the Issuer may be an obligor with respect to any
such Mortgage Loans. See "SECURITY FOR THE BONDS OR CERTIFICATES."
Bonds of a Series constitute non-recourse obligations of the Issuer, and
Certificates of a Series evidence an interest in the related Trust Fund only.
Neither the Bonds or Certificates of a Series are insured or guaranteed by
any governmental agency or instrumentality, by any person or entity
affiliated with the Company or Issuer, or, unless otherwise specified in the
related Prospectus Supplement, by any other person or entity. The Issuer has
no significant assets other than the Mortgage Assets and certain other assets
pledged to secure the Bonds or in which the Certificates represent a
beneficial interest. See "RISK FACTORS."
An election may be made, with respect to any Series of Securities, to
treat all or a specified portion of the assets securing such Series or
comprising the Trust Fund as a "real estate mortgage investment conduit" (a
"REMIC"), or an election may be made to treat the arrangement by which a
Series of Securities is issued as a REMIC. If such an election is made, each
Class of Securities of a Series will be either Regular Interest or Residual
Interest, as specified in the related Prospectus Supplement. See "FEDERAL
INCOME TAX CONSIDERATIONS."
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION, NOR HAS THE
COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE ACCURACY OR
ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL
OFFENSE.
THE ATTORNEY GENERAL OF THE STATE OF NEW YORK HAS NOT PASSED ON OR ENDORSED
THE MERITS OF THIS OFFERING. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL.
The Securities offered by this Prospectus and by the related Prospectus
Supplement are offered by Lehman Brothers and the other underwriters, if any,
subject to prior sale, to withdrawal, cancellation or modification of the
offer without notice, to delivery to and acceptance by Lehman Brothers and
the other underwriters, if any, and certain further conditions. Retain this
Prospectus for future reference. This Prospectus may not be used to
consummate sales of the securities offered hereby unless accompanied by a
Prospectus Supplement.
LEHMAN BROTHERS
November 10, 1995
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
--------
<S> <C>
Prospectus Supplement ...................................................... 5
Additional Information ..................................................... 5
Incorporation of Certain Documents by Reference ............................ 5
Summary of Terms ........................................................... 7
Risk Factors ............................................................... 26
Description of the Securities .............................................. 32
General ................................................................... 32
The Bonds--General ........................................................ 32
The Certificates--General ................................................. 33
Bearer Securities and Registered Securities ............................... 33
Book-Entry Registration ................................................... 35
Valuation of Mortgage Assets .............................................. 36
Payments and Distributions of Interest .................................... 36
Payments and Distributions of Principal ................................... 38
Special Redemption ........................................................ 38
Optional Redemption ....................................................... 39
Mandatory Redemption ...................................................... 39
Optional Termination ...................................................... 40
Optional Repurchase of Certificates ....................................... 40
Other Repurchases ......................................................... 40
Yield and Prepayment Considerations ........................................ 41
Timing of Payment of Distribution of Interest and Principal .............. 41
Principal Prepayments ..................................................... 41
Prepayments and Weighted Average Life ..................................... 41
Other Factors Affecting Weighted Average Life ............................. 43
Security for the Bonds and Certificates .................................... 44
General ................................................................... 44
Mortgage Loans ............................................................ 45
Private Mortgage-Backed Securities ........................................ 48
Substitution of Mortgage Assets ........................................... 50
Collection Account ........................................................ 50
Other Funds or Accounts ................................................... 51
Investment of Funds ....................................................... 51
Guaranteed Investment Contract ............................................ 51
Enhancement ............................................................... 51
Servicing of Mortgage Loans ................................................ 52
General ................................................................... 52
Collection Procedures ..................................................... 52
Payments on Mortgage Loans; Deposits to Custodial Accounts ............... 53
Advances .................................................................. 53
Maintenance of Insurance Policies and Other Servicing Procedures ......... 54
Enforcement of Due-On-Sale Clauses ........................................ 55
Modification; Waivers ..................................................... 55
Servicing Compensation and Payment of Expenses ............................ 55
Evidence as to Compliance ................................................. 55
Certain Matters Regarding the Master Servicer and Special Servicer ....... 56
Enhancement ................................................................ 56
General ................................................................... 56
2
<PAGE>
PAGE
--------
Subordinate Securities .................................................... 57
Cross-Support Features .................................................... 57
Insurance on the Mortgage Loans ........................................... 58
Letter of Credit .......................................................... 58
Bond Guarantee Insurance .................................................. 58
Reserve Funds ............................................................. 58
Description of Insurance on the Mortgage Loans ............................. 59
Mortgage Insurance on the Mortgage Loans .................................. 59
Hazard Insurance on the Mortgage Loans .................................... 59
Certain Legal Aspects of Mortgage Loans .................................... 61
Mortgages ................................................................. 61
Foreclosure of Mortgage ................................................... 61
Rights of Redemption ...................................................... 62
Environmental Matters ..................................................... 63
Certain Laws and Regulations .............................................. 63
Leases and Rents .......................................................... 64
Anti-Deficiency Legislation and Other Limitations on Lenders ............. 64
Due on Sale Clauses in Mortgage Loans ..................................... 66
Enforceability of Prepayment and Late Payment Fees ........................ 66
Equitable Limitations on Remedies ......................................... 67
Applicability of Usury Laws ............................................... 67
Alternative Mortgage Instruments .......................................... 68
Secondary Financing; Due-on-Encumbrance Provisions ........................ 68
The Indenture .............................................................. 69
Certain Covenants ......................................................... 69
Modification of Indenture ................................................. 69
Events of Default ......................................................... 70
Authentication and Delivery of Bonds ...................................... 72
Satisfaction and Discharge of the Indenture ............................... 72
Issuer's Annual Compliance Statement ...................................... 72
List of Bondholders ....................................................... 72
Meetings of Bondholders ................................................... 72
Fiscal Year ............................................................... 73
Trustee's Annual Report ................................................... 73
The Trustee ............................................................... 73
The Trust Agreement ........................................................ 73
Assignment of Mortgage Assets ............................................. 73
Repurchase of Non-Conforming Loans ........................................ 74
Reports to Certificateholders ............................................. 75
Event of Default .......................................................... 76
Rights Upon Event of Default .............................................. 76
The Trustee ............................................................... 77
Duties of the Trustee ..................................................... 77
Resignation of Trustee .................................................... 78
Amendment of Trust Agreement .............................................. 78
Voting Rights ............................................................. 78
List of Certificateholders ................................................ 78
REMIC Administrator ....................................................... 79
Termination ............................................................... 79
The Issuer ................................................................. 80
3
<PAGE>
PAGE
--------
The Company ............................................................... 80
Owner Trust ............................................................... 80
Administrator ............................................................. 80
Use of Proceeds ............................................................ 81
Limitations on Issuance of Bearer Securities ............................... 81
Federal Income Tax Considerations .......................................... 82
General ................................................................... 82
Characterization of Securities ............................................ 82
Taxation of Regular Interest Securities ................................... 83
Sale or Exchange of Regular Interest Securities ........................... 87
REMIC Expenses ............................................................ 87
Taxation of the REMIC ..................................................... 87
Taxation of Holders of Residual Interest Securities ....................... 88
Excess Inclusion Income ................................................... 90
Restrictions on Ownership and Transfer of Residual Interest Securities ... 90
Administrative Matters .................................................... 91
Tax Status as a Grantor Trust ............................................. 91
Miscellaneous Tax Aspects ................................................. 95
Tax Treatment of Foreign Investors ........................................ 95
State and Local Tax Considerations ......................................... 96
ERISA Considerations ....................................................... 97
Legal Investment ........................................................... 99
Plan of Distribution ....................................................... 99
Legal Matters .............................................................. 100
Experts ....................................................................
Glossary ................................................................... 101
</TABLE>
4
PROSPECTUS SUPPLEMENT
The Prospectus Supplement relating to a Series to be offered thereby and
hereby will, among other things, set forth with respect to such Series: (a)
whether such Securities are Bonds or Certificates, (b) the initial aggregate
principal amount, the Bond Interest Rate or Certificate Interest Rate (or
method for determining it) and authorized denominations of each Class of such
Series; (c) certain information concerning the Primary Assets securing such
Series or assets comprising the Trust Fund, including the principal amount,
type and characteristics of the Primary Assets securing such Bonds or assets
comprising the Trust Fund on the date of issue, and, if applicable, the
amount of any Reserve Funds for such Series; (d) in the case of Mortgage
Assets consisting in whole or in part of Private Mortgage-Backed Securities,
information concerning the issuer thereof or sponsor thereof, the PMBS
Trustee, the Master Servicer, if any, and the Underlying Collateral; (d) the
circumstances, if any, under which the Securities of such Series are subject
to redemption prior to maturity or repurchase prior to the Final Scheduled
Distribution Date; (e) the Stated Maturity of each Class of Bonds or Final
Scheduled Distribution Date of the Certificates; (f) the method used to
calculate the aggregate amount of principal available and required to be
applied to the Securities of such Series on each Payment Date or Distribution
Date, as applicable, the timing of the application of principal and the order
of priority of the application of such principal to the respective classes
and the allocation of the principal to be so applied; (g) the extent of
subordination of any Subordinate Securities; (h) the identity of each Class
of Compound Interest Securities, Variable Interest Securities, Planned
Amortization Class Securities, Subordinate Securities, Individual Investor
Securities, Zero Coupon Securities, Principal Only Securities, Interest Only
Securities and Participating Securities included in such Series, if any, or
such other type of Class of Securities; (i) the principal amount of each
Class of such Series that would be outstanding on specified Payment Dates or
Distribution Dates, if the Mortgage Loans underlying or comprising the
Mortgage Assets pledged as security for such Series or comprising the Trust
Fund were prepaid at various assumed rates; (j) the Payment Dates or
Distribution Dates, as applicable for the respective Classes; (k) the Assumed
Reinvestment Rate, if any, and (if applicable) the percentage of Excess Cash
Flow to be applied to payments of principal of the Series; (l) relevant
financial information with respect to the Mortgagor(s) and the Mortgaged
Property underlying the Mortgage Assets, if applicable; (m) information with
respect to any required Insurance Policies relating to any Mortgage Loans
comprising Mortgage Assets or Underlying Collateral; (n) additional
information with respect to any Enhancement, Guaranteed Investment Contract
or other agreement relating to the Series; (o) the plan of distribution of
such Series; and (p) whether the Securities are to be issuable in registered
form or bearer form or both, and if bearer securities are issued, whether
bearer securities may be exchanged for registered securities and the
circumstances and places for such exchange, if permitted.
ADDITIONAL INFORMATION
The Company has filed with the Securities and Exchange Commission (the
"Commission") a Registration Statement under the Securities Act of 1933, as
amended, with respect to the Securities. This Prospectus, which forms a part
of the Registration Statement, omits certain information contained in such
Registration Statement pursuant to the Rules and Regulations of the
Commission. The Registration Statement and the exhibits thereto can be
inspected and copied at the public reference facilities maintained by the
Commission at 450 Fifth Street, N.W., Washington, D.C. 20549, and at certain
of its Regional Offices located as follows: Chicago Regional Office,
Northwestern Atrium Center, 500 West Madison Street, Suite 1400, Chicago,
Illinois 60661-2511; and New York Regional Office, 75 Park Place, 14th Floor,
New York, New York 10007. Copies of such material can also be obtained from
the Public Reference Section of the Commission, 450 Fifth Street, N.W.,
Washington, D.C. 20549, at prescribed rates. The Issuer and Company do not
intend to send any financial reports to holders of Securities.
INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE
All documents filed by the Company pursuant to Section 13(a), 13(c), 14 or
15(d) of the Exchange Act subsequent to the date of this Prospectus and prior
to the termination of the offering of the Securities offered hereby shall be
deemed to be incorporated by reference into this Prospectus and to be a part
5
<PAGE>
hereof from the date of filing of such documents. Any statement contained in
a document incorporated or deemed to be incorporated by reference herein
shall be deemed to be modified or superseded for purposes of this Prospectus
to the extent that a statement contained herein or in any other subsequently
filed document which is or is deemed to be incorporated by reference herein
modifies or supersedes such statement. Any such statement so modified or
superseded shall not be deemed, except as so modified or superseded, to
constitute a part of this Prospectus.
The Company will provide without charge to each person to whom a copy of
this Prospectus is delivered, upon the written or oral request of such
person, a copy of any and all of the documents incorporated herein by
reference (not including the exhibits to such documents, unless such exhibits
are specifically incorporated by reference in such documents). Requests for
such copies should be directed to the office of the Secretary, Structured
Asset Securities Corporation, 200 Vesey Street, New York, New York 10285,
telephone number (212) 526-5594.
6
<PAGE>
SUMMARY OF TERMS
The following is qualified in its entirety by reference to the detailed
information appearing elsewhere in this Prospectus and in the Prospectus
Supplement with respect to the Series offered thereby and to the Trust
Indenture (the "Trust Indenture") or Trust Agreement (the "Trust Agreement"),
as applicable and the supplemental or terms indenture or agreement with
respect to such Series (the "Series Supplement") between the Company and
Bankers Trust Company of California, N.A., a national banking association, or
Marine Midland Bank, N.A., a national banking association (or another bank or
trust company qualified under the TIA and named in the Prospectus Supplement
for the related Series), as trustee (the "Trustee") or a Trust and the
Trustee (collectively, the Trust Indenture and any Series Supplement relating
to Bonds are sometimes referred to as the "Indenture," and the Trust
Agreement and any Series Supplement relating to Certificates are sometimes
referred to as the "Trust Agreement").
SECURITIES OFFERED
A. THE BONDS .......... Collateralized Mortgage Obligations (the
"Bonds"). The Bonds may be issued from
time to time in separately secured Series
pursuant to the Indenture and a related
Series Supplement. Each Series will
consist of one or more Classes, one or
more of which may be Classes of Compound
Interest Securities, Planned Amortization
Class ("PAC") Securities, Variable
Interest Securities, Zero Coupon
Securities, Principal Only Securities,
Interest Only Securities, Participating
Securities, Senior Securities or
Subordinate Securities. Each Class may
differ in, among other things, the amounts
allocated to and the priority of principal
and interest payments, maturity date,
Payment Dates and Bond Interest Rate.
Additionally, one or more Classes may
consist of Subordinate Securities which
are subordinated to other Classes of Bonds
with respect to the right to receive
payments of principal, interest, or both,
and may be allocated losses and shortfalls
prior to the allocation thereof to other
Classes of Bonds under the circumstances
and in such amounts as described herein
and in the related Prospectus Supplement.
Unless otherwise specified in the related
Prospectus Supplement, the Bonds of each
Class will be issued in fully registered
form in the minimum denominations
specified in the related Prospectus
Supplement. If so specified in the related
Prospectus Supplement, the Bonds or
certain Classes of such Bonds offered
thereby may be available in book-entry
form only. The Bonds may be issued in
registered form or bearer form with
coupons attached. Bonds in bearer form
will be offered only outside the United
States to non-United States persons and to
offices located outside the United States
of certain United States financial
institutions. See "DESCRIPTION OF THE
SECURITIES-- The Bonds--General" and
"ENHANCEMENT--Subordinated Securities."
B. THE CERTIFICATES ... Mortgage-Backed Certificates (the
"Certificates"). The Certificates are
issuable from time to time in separate
Series pursuant to separate Trust
Agreements and a related Series
Supplement. Each Certificate of a Series
will evidence a beneficial ownership
interest in the Trust Fund for such
7
<PAGE>
Series. Each Series of Certificates will
consist of one or more Classes of
Certificates, one or more of which may be
Classes of Compound Interest Securities,
PAC Securities, Variable Interest
Securities, Zero Coupon Securities,
Principal Only Securities, Interest Only
Securities, Participating Securities,
Subordinate Securities or Senior
Securities. If a Series consists of
multiple Classes, the respective Classes
may differ with respect to the amount,
percentage and timing of distributions or
principal, interest or both. Additionally,
one or more Classes may consist of
Subordinate Securities which are
subordinated to other Classes of
Certificates with respect to the right to
receive distributions of principal,
interest, or both under the circumstances
and in such amounts as described herein
and in the related Prospectus Supplement.
The Certificates will be issuable in fully
registered form in the authorized minimum
denominations and multiples thereof
specified in the related Prospectus
Supplement. If so specified in the related
Prospectus Supplement, the Certificates or
certain Classes of such Certificates
offered thereby may be available in
book-entry form only.
ISSUER ................. The Issuer with respect to a Series of Bonds
will be Structured Asset Securities
Corporation (the "Company") or an owner
trust established by it ("Owner Trust")
for the purpose of issuing one or more
Series of Bonds. Each such Owner Trust
will be created by an agreement (the
"Deposit Trust Agreement") between the
Company, acting as depositor, and a bank,
trust company or other fiduciary, acting
as owner trustee (the "Owner Trustee").
The Bonds will be non- recourse
obligations of the Issuer. The Series
Supplement for a particular Series of
Bonds may permit the assets pledged to
secure the related Bonds to be transferred
by the Issuer to a trust or other limited
purpose affiliate of the Company, subject
to the obligations of the Bonds of such
Series, thereby relieving the Issuer of
its obligations with respect to such Bonds.
The Issuer with respect to a Series of
Certificates will be a trust fund (the
"Trust Fund") established by the Company for
the purpose of issuing one or more Series of
Certificates. Such Trust Fund will be created
by an agreement (the "Trust Agreement")
between the Company, acting as depositor,
and a bank, trust company or other fiduciary,
acting as trustee (the "Trustee").
The Issuer will not have, nor be expected in the
future to have, any significant assets
available for payments on a Series of Bonds
or distributions on a Series of Certificates,
other than the assets pledged as security for
a specific Series of Bonds issued by it, or
assets deposited into a Trust Fund,
the Certificates issued by such Trust Fund as
Issuer representing a beneficial
ownership interest in such assets. Unless
otherwise specified in the related
Prospectus Supplement, (i) each
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<PAGE>
Series of Bonds will be separately secured
and no Series of Bonds will have
any claim against or security interest in
the assets pledged to secure any other
Series, and (ii) no Series of Certificates
will have a beneficial ownership interest
in any other Series.
The Company, a Delaware corporation, is a
limited-purpose finance subsidiary
organized for the purpose of issuing one or
more Series and other similar obligations
directly or through one or more Trust Funds
established by it. Although all of the
outstanding capital stock of the Company
is owned by Lehman Commercial Paper Inc.
("LCPI"), a wholly owned subsidiary of Lehman
Brothers Inc. ("Lehman Brothers"), neither
LCPI nor Lehman Brothers nor any of their
affiliates has guaranteed or is otherwise
obligated with respect to any Series, except
with respect to any representations and
warranties given by any such affiliate as
originator, seller or servicer of Mortgage
Assets relating to a Series.
The Company's principal office is located at
200 Vesey Street, New York, New York 10285
and its telephone number is (212) 526-5594.
See "RISK FACTORS" and "THE ISSUER."
INTEREST PAYMENTS ON THE
BONDS .................. Each Class of a Series of Bonds (other than
a Class of Zero Coupon Securities or
Principal Only Securities) will accrue
interest at the rate set forth in (or, in
the case of Variable Interest Securities,
as determined by the method described in)
the related Prospectus Supplement (the
"Bond Interest Rate"). Interest on all
Bonds which bear interest, other than
Compound Interest Securities, will be due
and payable on the Payment Dates specified
in the related Prospectus Supplement.
However, failure to pay interest on a
current basis may not necessarily be an
Event of Default with respect to a
particular Series of Bonds. Payments of
interest on a Class of Variable Interest
Securities will be made on the dates set
forth in the related Prospectus Supplement
(the "Variable Interest Payment Dates").
Interest on any Class of Compound Interest
Securities will not be paid currently, but
will accrue and the amount of interest so
accrued will be added to the principal
thereof on each Payment Date through the
Accrual Termination Date specified in the
related Prospectus Supplement. Following
the applicable Accrual Termination Date,
interest payments on such Bonds will be
made on the Compound Value thereof.
Interest Only Bonds may be assigned a
"Notional Amount" which is used solely for
convenience in expressing the calculation
of interest and for certain other
purposes. Unless otherwise specified in
the related Prospectus Supplement, the
Notional Amount will be determined at the
time of issuance of such Bonds based on
the principal balances or Bond Value of
the Mortgage Loans attributable to the
Bonds of a Series entitled to receive
principal, and will be adjusted monthly
over the life of the Bonds based upon
adjustments to the Bond Value of such
9
<PAGE>
Mortgage Loans. Reference to the Notional
Amount is solely for convenience in
certain calculations and does not
represent the right to receive any
distributions allocable to principal. Zero
Coupon Securities and Principal Only
Securities will not accrue, and will not
receive, any interest.
Each payment of interest on each Class of Bonds
(or addition to principal of a be entitled to
Class of Compound Interest Securities) on a
Payment Date will include all interest
accrued during the Interest Accrual Period
specified in the related
Prospectus Supplement preceding such Payment
Date. If the Interest Accrual
Period for a Series ends on a date other than
a Payment Date for such Series,
the yield realized by the Holders of such
Bonds may be lower than the yield
that would result if the Interest Accrual
Period ended on such Payment Date.
Additionally, if so specified in the related
Prospectus Supplement, interest
accrued for an Interest Accrual Period for
one or more Classes may be
calculated on the assumption that principal
payments (and additions to
principal of the Bonds), and allocations of
losses on the Mortgage Assets (if
so specified in the related Prospectus
Supplement), are made on the first day
of the preceding Interest Accrual Period and
not on the Payment Date for such
preceding Interest Accrual Period when
actually made or added. Such method
would produce a lower effective yield than if
interest were calculated on the
basis of the actual principal amount
outstanding. See "YIELD AND PREPAYMENT
CONSIDERATIONS."
With respect to any Class of Variable Interest
Securities, the related Prospectus Supplement
will set forth: (a) the initial Bond Interest
Rate (or the manner of determining the
initial Bond Interest Rate); (b) the formula,
index or other method by which the Bond
Interest Rate will be determined from
time to time; (c) the periodic intervals at
which such determination will be
made; (d) the interest rate cap (the "Maximum
Variable Interest Rate") or the
interest rate floor (the "Minimum Variable
Interest Rate") on the Bond
Interest Rate, if any, for such Variable
Interest Securities; and (e) the
Variable Interest Period and any other terms
relevant to such Class of Bonds.
See "DESCRIPTION OF THE SECURITIES--Payments
and Distributions of Interest."
INTEREST DISTRIBUTIONS
ON THE CERTIFICATES ...... Interest distributions on the Certificates
of a Series (other than Certificates that
are Zero Coupon Securities or Principal
Only Securities) will be made from amounts
available therefor on each Distribution
Date at the applicable rate specified in
(or determined in the manner set forth in)
the related Prospectus Supplement. The
interest rate on Certificates of a Series
may be variable or change with changes in
the mortgage rates or annual percentage
rates of the Mortgage
10
<PAGE>
Assets included in the related Trust Fund
and/or as prepayments occur with respect
to such Mortgage Assets. Zero Coupon
Securities and Principal Only Securities
may not be entitled to receive any
interest distributions or may be entitled
to receive only nominal interest
distributions. Compound Interest
Securities will not receive distributions
of interest but accrued interest will be
added to the principal balance thereof on
each Distribution Date until the Accrual
Termination Date. Following the Accrual
Termination Date, interest distributions
with respect to such Compound Interest
Securities will be made on the basis of
their Compound Value.
PRINCIPAL PAYMENTS ON
THE BONDS .............. All payments of principal of a Series will
be allocated among the Classes of such
Series in the order and amounts, and will
be applied either on a pro rata or a
random lot basis among all Bonds of any
such Class, as specified in the related
Prospectus Supplement.
Except with respect to Zero Coupon Securities,
Compound Interest Securities and
Interest Only Securities, unless specified
otherwise in the related Prospectus
Supplement, on each Payment Date principal
payments will be made on the Bonds
of each Series in an amount (the "Principal
Payment Amount") as determined by
a formula specified in the related
Prospectus Supplement. Unless otherwise
specified in the related Prospectus
Supplement, if the Series of Bonds has a
Class of Compound Interest Securities,
additional principal payments on the
Bonds will be made on each Payment Date in
an amount equal to the interest
accrued, but not then payable, on such Bonds
for the related Interest Accrual
Period. If the Series of Bonds has a Class
of PAC Securities, such PAC
Securities will have certain priorities of
payment with respect to principal
to the extent of certain targeted amounts
with respect to each Payment Date,
as set forth in the related Prospectus
Supplement.
PRINCIPAL DISTRIBUTIONS
ON THE
CERTIFICATES .......... Principal distributions on the Certificates
of a Series will be made from amounts
available therefor on each Distribution
Date, unless otherwise specified in the
related Prospectus Supplement, in an
aggregate amount determined as set forth
in the related Prospectus Supplement and
will be allocated among the respective
Classes of a Series of Certificates at the
times, in the manner and in the priority
(which may, in certain cases, include
allocation by random lot) set forth in the
related Prospectus Supplement.
Except with respect to Zero Coupon Securities,
Compound Interest Securities and
Interest Only Securities, unless specified
otherwise in the related Prospectus
Supplement, on each Distribution Date
principal payments will be made on the
Certificates of each Series in the Principal
Payment Amount as determined by a
formula specified in the related Prospec-
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<PAGE>
tus Supplement. Unless otherwise specified
in the related Prospectus
Supplement, if the Series of Certificates
has a Class of Compound Interest
Securities, additional principal payments on
the Certificates will be made on
each Distribution Date in an amount equal to
the interest accrued, but not
then payable, on such Certificates for the
related Interest Accrual Period. If
the Series of Certificates has a Class of
PAC Securities, such PAC Securities
will have certain priorities of distribution
with respect to principal to the
extent of certain targeted amounts with
respect to each Distribution Date, as
set forth in the related Prospectus
Supplement.
ALLOCATION OF LOSSES ... If so specified in the related Prospectus
Supplement, on any Payment Date or
Distribution Date, as applicable, on which
the principal balance of the Mortgage
Assets is reduced due to losses on the
Mortgage Assets, (i) the amount of such
losses will be allocated first, to reduce
the Aggregate Outstanding Principal of the
Subordinate Securities or other
subordination, if any, and, thereafter, to
reduce the Aggregate Outstanding Principal
of the remaining Securities in the
priority and manner specified in such
Prospectus Supplement until the Aggregate
Outstanding Principal of each Class of
Securities so specified has been reduced
to zero or paid in full, thus reducing the
amount of principal payable or
distributable on each such Class of
Securities or (ii) such losses may be
allocated in any other manner set forth in
the related Prospectus Supplement. Unless
otherwise specified in the related
Prospectus Supplement, such reductions of
principal of a Class or Classes of
Securities shall be allocated to the
Holders of the Securities of such Class or
Classes pro rata in the proportion which
the outstanding principal of each Bond or
Certificate of such Class or Classes bears
to the Aggregate Outstanding Principal of
all Securities of such Class. See
"DESCRIPTION OF THE SECURITIES-- Payments
and Distributions of Principal."
STATED MATURITY OF THE
BONDS .................. The "Stated Maturity" for each Class of a
Series is the date specified in the
related Prospectus Supplement no later
than which all the Bonds of such Class
will be fully paid, calculated on the
basis of the assumptions set forth in the
related Prospectus Supplement. However,
the actual maturity of the Bonds is likely
to occur earlier and may occur
significantly earlier than their Stated
Maturity. The rate of prepayments on the
Mortgage Assets pledged as security for
any Series will depend on a variety of
factors, including the characteristics of
the Mortgage Loans underlying or
comprising the Mortgage Assets and the
prevailing level of interest rates from
time to time, as well as on a variety of
economic, demographic, geographic, tax,
legal and other factors. No assurance can
be given as to the actual prepayment
experi- ence of such Mortgage Assets. See
"YIELD AND PREPAYMENT CONSIDERATIONS."
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<PAGE>
FINAL SCHEDULED
DISTRIBUTION DATE
OF THE CERTIFICATES ... The Final Scheduled Distribution Date for
each Class of Certificates of a Series is
the date after which no Certificates of
such Class will remain outstanding,
assuming timely payments or distributions
are made on the Mortgage Assets in the
related Trust Fund in accordance with
their terms. The Final Scheduled
Distribution Date of a Class may equal the
maturity date of the Mortgage Asset in the
related Trust Fund which has the latest
stated maturity or will be determined as
described herein and in the related
Prospectus Supplement.
The actual maturity date of the Certificates of
a Series will depend primarily
upon the level of prepayments with respect
to the Mortgage Loans comprising
the Mortgage Assets in the related Trust
Fund. The actual maturity of any
Certificate is likely to occur earlier and
may occur substantially earlier
than its Final Scheduled Distribution Date
as a result of the application of
prepayments to the reduction of the
principal balances of the Certificates.
The rate of prepayments on the Mortgage
Loans comprising Mortgage Assets in
the Trust Fund for a Series will depend on a
variety of factors, including
certain characteristics of such Mortgage
Loans and the prevailing level of
interest rates from time to time, as well as
on a variety of economic,
demographic, tax, legal, social and other
factors. No assurance can be given
as to the actual prepayment experience with
respect to a Series. See "RISK
FACTORS" and "DESCRIPTION OF THE
SECURITIES--Weighted Average Life of the
Securities" herein.
REDEMPTION OF BONDS .... The Bonds will be redeemable only as
follows:
A. SPECIAL REDEMPTION . If specified in the related Prospectus
Supplement, Bonds of a Series will be
subject to special redemption, in whole or
in part, if, as a result of principal
payments on the Mortgage Assets securing
such Series or low reinvestment yields or
both, the Trustee determines (based on
assumptions, if any, specified in the
Indenture and after giving effect to the
amounts, if any, available to be withdrawn
from any Reserve Fund for such Series)
that the amount anticipated to be
available in the Collection Account for
such Series on the date specified in the
related Prospectus Supplement will be
insufficient to meet debt service
requirements on any portion of the Bonds.
Any such redemption would be limited to
the aggregate amount of all scheduled
principal payments and prepayments on the
Mortgage Assets received since the last
Payment Date or Special Redemption Date,
whichever is later, and may shorten the
maturity of any Bond so redeemed by no
more than the period between the date of
such special redemption and the next
Payment Date. Unless otherwise specified
in the related Prospectus Supplement,
special redemptions of Bonds of a Series
will be made in the same
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<PAGE>
priority and manner as principal payments
are made on a Payment Date. Bonds subject
to special redemption shall be redeemed on
the applicable Special Redemption Date at
100% of their unpaid principal amount plus
accrued interest on such principal to the
date specified in the related Prospectus
Supplement. To the extent described in the
related Prospectus Supplement, Bonds of a
Series may be subject to special
redemption in whole or in part following
certain defaults under an Enhancement
Agreement or other agreement, and in
certain other events at the Redemption
Price. See "DESCRIPTION OF THE
SECURITIES--Special Redemption."
B. OPTIONAL REDEMPTION ... To the extent specified in the related
Prospectus Supplement, one or more Classes
of any Series may be redeemed in whole, or
in part, at, unless otherwise specified in
the related Prospectus Supplement, the
Issuer's option on any Payment Date on or
after the date specified in the related
Prospectus Supplement and at the
Redemption Price. See "DESCRIPTION OF THE
SECURITIES--Optional Redemption."
C. MANDATORY REDEMPTION ... If specified in the related Prospectus
Supplement for a Series, the Bonds of one
or more Classes ("Individual Investor
Bonds") may be subject to mandatory
redemptions by lot or by such other method
set forth in the Prospectus Supplement.
The related Prospectus Supplement relating
to a Series of Bonds with Individual
Investor Securities will set forth Class
priorities, if any, and conditions with
respect to redemptions. Individual
Investor Securities to be redeemed shall
be selected by random lot in $1,000 units,
after making all permitted redemptions
requested by holders of Individual
Investor Securities or by such other
method set forth in the Prospectus
Supplement. See "DESCRIPTION OF THE
SECURITIES--Mandatory Redemption."
OPTIONAL TERMINATION OF
TRUST FUND ............ If so specified in the related Prospectus
Supplement, the Company, as depositor of
the Primary Assets into the Trust Fund
(acting in such capacity, and in such
capacity in respect of an Owner Trust the
"Depositor"), the Servicer, or such other
entity that is specified in the related
Prospectus Supplement, may, at its option,
cause an early termination of the related
Trust Fund by repurchasing all of the
Primary Assets remaining in the Trust Fund
on or after a specified date, or on or
after such time as the aggregate principal
balance of the Certificates of any Class
of the Series is less than the amount or
percentage specified in the related
Prospectus Supplement. See "DESCRIPTION OF
THE SECURITIES-- Optional Termination."
REPURCHASES OF
CERTIFICATES ........... If so specified in the related Prospectus
Supplement, one or more classes of the
Certificates of such Series may be
14
<PAGE>
repurchased, in whole or in part, at the
option of the Depositor, at such times and
under the circumstances specified in such
Prospectus Supplement and at the
repurchase price set forth therein. See
"DESCRIPTION OF THE SECURITIES--Optional
Repurchase of Certificates" herein.
If so specified in the related Prospectus
Supplement, any Class of the
Certificates may be subject to repurchase at
the request of the holders of
such Class or to mandatory repurchase by the
Depositor (including by random
lot). See "DESCRIPTION OF THE SECURITIES--
Other Repurchases" herein.
SECURITY FOR THE BONDS,
OR THE TRUST
FUND FOR THE
CERTIFICATES ........... Each Series of Bonds will be separately
secured by Primary Assets consisting of
one or more of the assets described below,
as specified in the Prospectus Supplement.
The Trust Fund for a Series of
Certificates will consist of one or more
of the assets described below, as
specified in the related Prospectus
Supplement.
A. MORTGAGE ASSETS .... The Primary Assets for a Series may consist
of any combination of the following, to
the extent and as specified in the related
Prospectus Supplement:
(1) MORTGAGE LOANS ... Mortgage Assets for a Series may consist, in
whole or in part, of Mortgage Loans,
including participation interests therein
owned by the Issuer. Some Mortgage Loans
or Mortgage Loans underlying such
participation interests may be delinquent
or non-performing as specified in the
related Prospectus Supplement. The
Mortgage Assets may consist of a single
Mortgage Loan or obligations of a single
obligor or related obligors as specified
in the related Prospectus Supplement.
Mortgage Loans comprising or underlying
the Mortgage Assets may be originated by
or acquired from an affiliate of the
Issuer and an affiliate of the Issuer may
be an obligor with respect to any such
Mortgage Loan. Payments on such Mortgage
Loans will be collected by the Trustee or
by the Servicer or Master Servicer with
respect to a Series and remitted to the
Trustee as described in the related
Prospectus Supplement and will be
available in the priority described in the
related Prospectus Supplement to make
payments on the Bonds of that Series. To
the extent specified in the related
Prospectus Supplement, Mortgage Loans
owned by the Issuer will be serviced by
Servicers, and, if applicable, a Master
Servicer, either of which may be
affiliates or shareholders of the Issuer.
Mortgaged Properties securing Mortgage Loans
may consist of multifamily residential
rental property or cooperatively owned
multifamily property consisting of five or
more dwelling units, mixed
multifamily/commercial property or
commercial property. Mortgage Loans secured
by Multifamily Property
15
<PAGE>
may consist of FHA Loans. Mortgage Loans
may, as specified in the related
Prospectus Supplement, have various payment
characteristics and may consist of
fixed rate loans or ARMs or Mortgage Loans
having balloon or other irregular
payment features. Unless otherwise specified
in the related Prospectus
Supplement, the Mortgage Loans will be
secured by first mortgages or deeds of
trust or other similar security instruments
creating a first lien on Mortgaged
Property. If so specified in the related
Prospectus Supplement, Mortgage Loans
relating to real estate projects under
construction may be included in the
Mortgage Assets for a Series. The related
Prospectus Supplement will describe
certain characteristics of the Mortgage
Loans comprising the Mortgage Assets
for a Series, including, without limitation,
(a) the aggregate unpaid
principal balance of the Mortgage Loans
comprising the Mortgage Assets; (b)
the weighted average Mortgage Rate on the
Mortgage Loans, and, in the case of
adjustable Mortgage Rates, the weighted
average of the current adjustable
Mortgage Rates, the minimum and maximum
permitted adjustable Mortgage Rates,
if any, and the weighted average thereof;
(c) the average outstanding
principal balance of the Mortgage Loans; (d)
the weighted average remaining
scheduled term to maturity of the Mortgage
Loans and the range of remaining
scheduled terms to maturity; (e) the range
of Loan-to-Value Ratios of the
Mortgage Loans; (f) the relative percentage
(by principal balance as of the
Cut-off Date) of Mortgage Loans that are
ARMs, fixed interest rate, FHA Loans
or other types of Mortgage Loans; (g) any
enhancement relating to the Mortgage
Assets; (h) the relative percentage (by
principal balance as of the Cut-Off
Date) of Mortgage Loans that are secured by
Multifamily Property or Commercial
Property; (i) the geographic dispersion of
Mortgaged Properties securing the
Mortgage Loans; and (j) the use or type of
each Mortgaged Property securing a
Mortgage Loan.
If permitted by applicable law, the Mortgage
Pool may also include Mortgaged
Properties acquired by foreclosure or by
deed-in-lieu of foreclosure ("REO
Property"). To the extent specified in the
related Prospectus Supplement, the
Servicer or the Master Servicer or the
Special Servicer, if any, may establish
and maintain a trust account or accounts to
be used in connection with REO
Properties and other Mortgaged Properties
being operated by it or on its
behalf on behalf of the Trust Estate, by the
mortgagor as debtor-in-possession
or otherwise. See "SECURITY FOR THE BONDS
AND CERTIFICATES--Mortgage Loans"
and "--Maintenance of Insurance Policies and
Other Servicing Procedures;
Presentation of Claims; Realization Upon
Defaulted Mortgage Loans."
(2) PRIVATE MORTGAGE-BACKED
SECURITIES .......... Private Mortgage-Backed Securities may
include (a) mortgage participations or
pass-through certificates representing
ben-
16
<PAGE>
eficial interests in certain Mortgage
Loans, (b) debt obligations interest
payments on which may be tax-exempt in
whole or in part secured by mortgages or
(c) participations or other interests in
any of the foregoing. Although individual
Mortgage Loans underlying a Private
Mortgage-Backed Security may be insured or
guaranteed by the United States or an
agency or instrumentality thereof, they
need not be, and the Private
Mortgage-Backed Securities themselves will
not be, so insured or guaranteed. Unless
otherwise specified in the Prospectus
Supplement relating to a Series, payments
on the Private Mortgage-Backed Securities
will be distributed directly to the
Trustee (on behalf of the Trust Estate) as
registered owner of such Private
Mortgage-Backed Securities. Unless
otherwise specified in the Prospectus
Supplement relating to a Series, if
payments with respect to interest on the
underlying obligations are tax-exempt,
such Prospectus Supplement will disclose
the relevant federal income tax
characteristics relating to the tax-exempt
status of such obligations.
The related Prospectus Supplement for a Series
will specify, to the extent
applicable, (i) the aggregate approximate
principal amount and type of any
Private Mortgage-Backed Securities to be
included in the Trust Estate or Trust
Fund for such Series; (ii) certain
characteristics of the Mortgage Loans,
participations or other interests which
comprise the underlying assets for the
Private Mortgage-Backed Securities including
(A) the payment features of such
Mortgage Loans, participations or other
interests (i.e., whether they are
fixed interest rate or adjustable rate and
whether they provide for fixed
level payments, negative amortization, or
other payment features), (B) the
approximate aggregate principal amount, if
known, of the underlying Mortgage
Loans, participations or other interests
which are insured or guaranteed by a
governmental entity, (C) the servicing fee
or range of servicing fees with
respect to the Mortgage Loans, and (D) the
stated maturities of the Mortgage
Loans, participations or other interests at
origination; (iii) the maximum
original term-to-stated maturity of the
Private Mortgage-Backed Securities;
(iv) the weighted average term-to-stated
maturity of the Private
Mortgage-Backed Securities; (v) the pass-
through or bond rate or ranges
thereof for the Private Mortgage-Backed
Securities or formula therefor; (vi)
the weighted average pass-through or
certificate rate of the Private
Mortgage-Backed Securities or formula
therefor; (vii) the issuer of the
Private Mortgage-Backed Securities (the
"PMBS Issuer"), the Servicer or Master
Servicer of the Private Mortgage-Backed
Securities and the trustee of the
Private Mortgage-Backed Securities (the
"PMBS Trustee"); (viii) certain
characteristics of credit support, if any,
such as reserve funds, insurance
policies, letters of credit, guarantees or
overcollateralization, relating to
the Mortgage Loans
17
<PAGE>
underlying the Private Mortgage-Backed
Securities, or to such Private
Mortgage-Backed Securities themselves; (ix)
the terms on which underlying
Mortgage Loans, participations or other
interests for such Private
Mortgage-Backed Securities or the Private
Mortgage-Backed Securities may, or
are required to, be repurchased prior to
maturity; and (x) the terms on which
substitute Mortgage Loans, participations or
other interests may be delivered
to replace those initially deposited with
the PMBS Trustee.
(3) DETERMINATION OF
ASSET VALUE ......... If provided in the applicable Prospectus
Supplement, each item of Mortgage Assets
for a Series will be assigned an Asset
Value. Unless otherwise specified in the
related Prospectus Supplement, the
aggregate of the Asset Values of the
Primary Assets securing a Series of Bonds
or comprising a Trust Fund will equal not
less than the original Aggregate
Outstanding Principal of such Series. The
Asset Value of an item of Primary Assets
securing any Series of Bonds or comprising
a Trust Fund is intended to represent the
principal amount of Securities of such
Series that, based on certain assumptions
stated in the related Series Supplement,
can be supported by payments on such item
of Primary Assets, irrespective of
prepayments thereon, together with,
depending on the type of Primary Assets
and method used to determine its Asset
Value, reinvestment earnings at the
related Assumed Reinvestment Rate, if any,
and amounts in any Reserve Fund
established for that Series. In such a
case, the related Prospectus Supplement
will set forth the method or methods and
related assumptions used to determine
Asset Value, if such method is used, for
the Primary Assets securing the related
Series. See "DESCRIPTION OF THE
SECURITIES--Valuation of Mortgage
Collateral."
B. COLLECTION ACCOUNT . Unless otherwise provided in the related
Prospectus Supplement, all payments on the
Primary Assets pledged as security for a
Series or comprising the assets of a Trust
Fund will be remitted to a Collection
Account to be established with the
Trustee, or if the Trustee is not also the
Paying Agent, with the Paying Agent, for
such Series. Unless otherwise provided in
the related Prospectus Supplement, such
payments, together with the Reinvestment
Income thereon, if any, the amount of
cash, if any, initially deposited in the
Collection Account by the Issuer together
with Reinvestment Income thereon, if any,
and any amounts withdrawn from any Reserve
Fund established for such Series, will be
available to make payments or
distributions of principal of and interest
on such Series on the next Payment Date or
Distribution Date, as applicable. Any
funds remaining in the Collection Account
for a Series immediately following a
Payment Date or Distribution Date, as
applicable (unless required to be
deposited into one or more Reserve Funds,
as described below, or applied to pay
certain expenses or other payments
18
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provided for in the Indenture or Trust
Agreement, as applicable) will be promptly
paid as provided in the Indenture or Trust
Agreement to the Issuer or, in certain
circumstances, to owners of residual
interests and, upon such payment, will be
released from the lien of the Indenture or
Trust Agreement, as applicable. See
"SECURITY FOR THE BONDS AND
CERTIFICATES--Collection Account."
C. GUARANTEED
INVESTMENT CONTRACTS
AND OTHER AGREEMENTS . The Issuer may obtain and deliver to the
Trustee Guaranteed Investment Contracts
pursuant to which moneys held in the funds
and accounts established for such Series
will be invested at a specified rate for
the Series. The Issuer may also obtain and
deliver to the Trustee certain other
agreements such as interest rate swap
agreements, interest rate cap or floor
agreements or similar agreements issued by
a bank, insurance company, savings bank,
savings and loan association or other
entity which reduce the effects of
interest rate fluctuations on the Mortgage
Assets or the Securities. The principal
terms of any such Guaranteed Investment
Contract or other agreement, including,
without limitation, provisions relating to
the timing, manner and amount of payments
thereunder and provisions relating to the
termination thereof, will be described in
the Prospectus Supplement for the related
Series. Additionally, the related
Prospectus Supplement will provide certain
information with respect to the issuer of
such Guaranteed Investment Contract or
other agreement.
ENHANCEMENT ............ Enhancement in the form of reserve funds,
subordination, overcollateralization,
insurance policies, letters of credit or
other types of credit support may be
provided with respect to the Mortgage
Assets or with respect to one or more
Classes of Securities of a Series. If the
Mortgage Assets are divided into separate
Mortgage Groups, each securing or
supporting a separate Class or Classes of
a Series, credit support may be provided
by a cross-support feature which requires
that distributions be made with respect to
Securities secured by one Mortgage Group
prior to distributions to Subordinate
Securities secured by another Mortgage
Group within the Trust Estate or Trust
Fund.
The type, characteristics and amount of
enhancement will be determined based on
the characteristics of the Mortgage Loans
underlying or comprising the
Mortgage Assets and other factors and will
be established on the basis of
requirements of each Rating Agency rating
the Securities of such Series. If so
specified in the related Prospectus
Supplement, any such enhancement may apply
only in the event of certain types of losses
or delinquencies and the
protection against losses or delinquencies
provided by such enhancement will
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<PAGE>
be limited. See "ENHANCEMENT" and "RISK
FACTORS" herein.
A. SUBORDINATE
SECURITIES ............. A Series of Securities may include one or
more Classes of Subordinate Securities.
The rights of holders of such Subordinate
Securities to receive distributions on any
Payment Date or Distribution Date, as
applicable, will be subordinate in right
and priority to the rights of holders of
Senior Securities of the Series, but only
to the extent described in the related
Prospectus Supplement. If so specified in
the related Prospectus Supplement,
subordination may apply only in the event
of certain types of losses not covered by
other enhancement. Unless otherwise
specified in the related Prospectus
Supplement, such subordination will be in
lieu of providing insurance policies or
other credit support with respect to
losses arising from such events. Unless
otherwise specified in the related
Prospectus Supplement, the related Series
Supplement may require a trustee that is
not the Trustee to be appointed to act on
behalf of holders of Subordinate Securities.
The related Prospectus Supplement will set
forth information concerning the
amount of subordination of a Class or
Classes of Subordinate Securities in a
Series, the circumstances in which such
subordination will be applicable, the
manner, if any, in which the amount of
subordination will decrease over time,
the manner of funding any related Reserve
Fund and the conditions under which
amounts in any related Reserve Fund will be
used to make distributions to
holders of Senior Securities and/or to
holders of Subordinate Securities or be
released from the related Trust Estate or
Trust Fund. If cash flows otherwise
distributable to holders of Subordinate
Securities secured by a Mortgage Group
will be used as credit support for Senior
Securities secured by another
Mortgage Group within the Trust Estate or
Trust Fund, the related Prospectus
Supplement will specify the manner and
conditions for applying such a
cross-support feature. See "ENHANCEMENT--
Subordinate Securities."
B. INSURANCE .......... If so specified in the related Prospectus
Supplement, certain insurance policies
will be required to be maintained with
respect to the Mortgage Loans included in
the Trust Estate or Trust Fund for a
Series. Such insurance policies may
include, but are not limited to, a
standard hazard insurance policy or with
respect to FHA Loans, FHA Insurance. See
"ENHANCEMENT" and "DESCRIPTION OF
INSURANCE ON THE MORTGAGE LOANS" herein.
The Prospectus Supplement for a Series
will provide information concerning any
such insurance policies, including (a) the
types of coverage provided by each, (b)
the amount of such coverage and (c)
conditions to payment under each. To the
extent described in the related Prospectus
Supplement, certain insur-
20
<PAGE>
ance policies to be maintained with
respect to the Mortgage Loans may be
terminated, reduced or replaced following
the occurrence of certain events affecting
the authority or creditworthiness of the
insurer. Additionally, such insurance
policies may be terminated, reduced or
replaced by the Servicer or Master
Servicer, if any, provided that no rating
assigned to Securities of the related
Series offered hereby and by the related
Prospectus Supplement is adversely
affected and such insurance policies may
apply only in the event of certain types
of losses, all as set forth in the related
Prospectus Supplement.
C. LETTER OF CREDIT ... If so specified in the related Prospectus
Supplement, credit support may be provided
by one or more letters of credit. A letter
of credit may provide limited protection
against certain losses in addition to or
in lieu of other credit support. The
issuer of the letter of credit (the "L/C
Bank") will be obligated to honor demands
with respect to such letter of credit, to
the extent of the amount available
thereunder, to provide funds under the
circumstances and subject to such
conditions as are specified in the related
Prospectus Supplement. The liability of
the L/C Bank under its letter of credit
may be reduced by the amount of
unreimbursed payments thereunder.
The maximum liability of an L/C Bank under its
letter of credit will be an
amount equal to a percentage specified in
the related Prospectus Supplement of
the initial aggregate outstanding principal
balance of the Mortgage Loans in
the Trust Estate or Trust Fund or one or
more Classes of Securities of the
related Series (the "L/C Percentage"). The
maximum amount available at any
time to be paid under a letter of credit
will be determined in the manner
specified therein and in the related
Prospectus Supplement. See
"ENHANCEMENT--Letter of Credit."
D. BOND GUARANTEE
INSURANCE .............. If so specified in the related Prospectus
Supplement, credit support for a Series
may be provided by an insurance policy
(the "Bond Guarantee Insurance") issued by
one or more insurance companies. Such Bond
Guarantee Insurance may guarantee timely
distributions of interest and full
distributions of principal on the basis of
a schedule of principal distributions set
forth in or determined in the manner
specified in the related Prospectus
Supplement. See "ENHANCEMENT--Bond
Guarantee Insurance."
E. RESERVE FUNDS ...... The Issuer may deposit in one or more
reserve funds (collectively, the "Reserve
Funds") for any Series cash, Eligible
Investments, demand notes or a combination
thereof in the aggregate amount, if any,
specified in the related Prospectus
Supplement. Any Reserve Funds for a Series
may also be funded over time through
application of a specified amount
21
<PAGE>
of cash flow, to the extent described in
the related Prospectus Supplement. Such a
Reserve Fund may be established to
increase the likelihood of the timely
distributions on the Securities of such
Series or to reduce the likelihood of a
special redemption with respect to any
Series. Reserve Funds may be established
to provide protection against certain
losses or delinquencies in addition to or
in lieu of other credit support. Amounts
on deposit in the Reserve Funds for a
Series, together with (unless otherwise
specified in the related Prospectus
Supplement) the reinvestment income
thereon, if any, will be applied for the
purposes, in the manner and to the extent
provided by the related Prospectus
Supplement.
On each Payment Date or Distribution Date, as
applicable, for a Series, all
amounts on deposit in any Reserve Funds for
the Series in excess of the
amounts required to be maintained therein by
the related Indenture or Trust
Agreement, as applicable, and specified in
the related Prospectus Supplement
may be released from the Reserve Funds and
will not be available for future
payments or distributions on the Securities
of such Series.
Additional information concerning any Reserve
Funds, including whether any such
Reserve Fund is a part of the Trust Estate
or Trust Fund, the circumstances
under which moneys therein will be applied
to make distributions to
Bondholders or Certificateholders, the
balance required to be maintained in
such Reserve Funds, the manner in which such
required balance will decrease
over time and the manner of funding any such
Reserve Fund, will be set forth
in the related Prospectus Supplement. See
"ENHANCEMENT--Reserve Funds."
F. OVERCOLLATERALIZATION .. To the extent applicable and as specified in
the related Prospectus Supplement, a
Series may be structured such that the
outstanding principal balances or
Aggregate Asset Value of the Mortgage
Assets securing a Series may exceed the
Aggregate Outstanding Principal of such
Series, thereby resulting in
overcollateralization. See "DESCRIPTION OF
THE SECURITIES--Valuation of Mortgage
Assets."
SERVICING AGREEMENTS ... Various Servicers will perform certain
servicing functions with respect to any
Mortgage Loans comprising Mortgage Assets
or Underlying Collateral for a Series. In
addition, if so specified in the related
Prospectus Supplement, a Master Servicer
identified in the related Prospectus
Supplement may service Mortgage Loans
directly or administer and supervise the
performance by the Servicers of their
duties and responsibilities under separate
servicing agreements. Each Servicer must
meet the requirements of the Master
Servicer, if any, and be approved by the
Issuer, and, if specified in the related
Prospectus Supplement, the Master Servicer
and each Ser-
22
<PAGE>
vicer must be approved by either FNMA or
FHLMC as a seller-servicer of mortgage
loans and, in the case of FHA Loans, by
HUD as an FHA mortgagee. Each Servicer
will be obligated under a servicing
agreement to perform customary servicing
functions and may be obligated to advance
funds to cover certain payments not made
by the Mortgagors to the extent described
herein and in the related Prospectus
Supplement. The Master Servicer, if any,
may, if so specified in the related
Prospectus Supplement, be obligated to
advance funds to cover any required
Advances not made by the Servicers to the
extent that, in the judgment of the Master
Servicer, such Advances are recoverable
under the Insurance Policies, any
Enhancement or from the proceeds of
liquidation of the Mortgage Loans or as
provided in the related Prospectus
Supplement. The related Prospectus
Supplement will specify the conditions to
and any limitations on such Advances and
the conditions under which such Advances
will be recoverable. With respect to any
such Series, the Issuer may (i) enter into
a standby agreement with an independent
standby Servicer acceptable to each Rating
Agency rating such Securities providing
that such standby Servicer will assume the
Servicer's or Master Servicer's
obligations in the event of a default by
the Master Servicer or Servicer or (ii)
obtain a servicer performance bond
acceptable to each Rating Agency rating
such Securities that will guarantee
certain of the Servicer's or Master
Servicer's obligations. The Issuer will
assign to the Trustee its rights under any
Master Servicing Agreement and any
servicing agreements so provided with
respect to a Series as security for the
Series. See "SERVICING OF MORTGAGE LOANS"
and "SECURITY FOR THE BONDS AND
CERTIFICATES--Mortgage Loans" herein.
SPECIAL SERVICER ....... If so specified in the related Prospectus
Supplement, to the extent a Mortgage Loan
on or after the Closing Date meets certain
criteria set forth in the related
Prospectus Supplement, (i) all or a
portion of the servicing responsibilities
with respect to such Mortgage Loan may be
transferred to a Special Servicer or (ii)
the Special Servicer will provide advisory
services with respect to the servicing of
such Mortgage Loan. See "SERVICING OF
MORTGAGE LOANS" herein.
FEDERAL INCOME TAX
CONSIDERATIONS ......... Unless otherwise stated in the applicable
Prospectus Supplement, a real estate
mortgage investment conduit (a "REMIC")
election will be made with respect to each
Series of Securities. Securities of such
Series will be designated as "regular
interests" in a REMIC ("Regular Interest
Securities") or as "residual interests" in
a REMIC ("Residual Interest Securities").
If the applicable Prospectus Supplement so
specifies with respect to a Series of
Securities, the Securities of such Series
23
<PAGE>
will not be treated as regular or residual
interests in a REMIC for federal
income tax purposes but instead will be
treated as (i) indebtedness of the
Issuer, (ii) an undivided beneficial
ownership interest in the Mortgage Loans
(and the arrangement pursuant to which the
Mortgage Loans will be held and the
Securities will be issued will be treated as
a grantor trust under Subpart E,
part I of subchapter J of the Code and not
as an association taxable as a
corporation for federal income tax
purposes); (iii) equity interests in an
association that will satisfy the
requirements for qualification as a real
estate investment trust; or (iv) interests
in an entity that will satisfy the
requirements for qualification as a
partnership for federal income tax
purposes. The federal income tax
consequences to Bondholders or
Certificateholders of any such Series will
be described in the applicable
Prospectus Supplement.
Compound Interest Securities and Zero Coupon
Securities will, and certain other
Classes of Securities may, be issued with
original issue discount that is not
de minimis. In such cases, the Bondholder or
Certificateholder will be
required to include the original issue
discount in gross income as it accrues,
which may be prior to the receipt of cash
attributable to such income. If a
Security is issued at a premium, the holder
will be entitled to make an
election to amortize such premium on a
constant yield method. Securities
constituting regular or residual interests
in a REMIC will generally represent
"qualifying real property loans" for mutual
savings banks and domestic
building and loan associations, "loans
secured by an interest in real
property" for domestic building and loan
associations and "real estate assets"
for real estate investment trusts to the
extent that the underlying mortgage
loans and interest thereon qualify for such
treatment. Non-REMIC Securities (other than
interests in grantor trusts) will not
qualify for such treatment.
A holder of a Residual Interest Security will
be required to include in its
income its pro rata share of the taxable
income of the REMIC. In certain
circumstances, the holder of a Residual
Interest Security may have REMIC
taxable income or tax liability attributable
to REMIC taxable income for a
particular period in excess of cash
distributions for such period or have an
after-tax return that is less than the
after-tax return on comparable debt
instruments. In addition, a portion (or, in
some cases, all) of the income
from a Residual Interest Security (i) except
in certain circumstances with
respect to a holder classified as a thrift
institution under the Code, may not
be subject to offset by losses from other
activities, (ii) for a holder that
is subject to tax under the Code on
unrelated business taxable income, may be
treated as unrelated business taxable income
and (iii) for a foreign holder,
may not qualify for exemption from or
reduction of withholding. Further,
individual holders are subject to limi-
24
<PAGE>
tations on the deductibility of expenses of
the REMIC. See "FEDERAL INCOME TAX
CONSIDERATIONS."
LEGAL INVESTMENT ....... Unless otherwise specified in the related
Prospectus Supplement, Securities of each
Series offered by this Prospectus and the
related Prospectus Supplement will not
constitute "mortgage related securities"
under the Secondary Mortgage Market
Enhancement Act of 1984 ("SMMEA").
Investors whose investment authority is
subject to legal restrictions should
consult their own legal advisors to
determine whether and to what extent the
Securities constitute legal investments
for them. See "LEGAL INVESTMENT."
USE OF PROCEEDS ........ The Issuer will use the net proceeds from
the sale of each Series to (i) purchase
Mortgage Loans and/or Private Mortgage-
Backed Securities comprising the Mortgage
Assets securing such Securities, (ii)
repay indebtedness which has been incurred
to acquire Mortgage Assets to be pledged
by the Issuer as security for the Bonds or
to be deposited into a Trust Fund, (iii)
establish any Reserve Funds described in
the related Prospectus Supplement, or (iv)
pay costs of structuring, guaranteeing and
issuing such Securities. If so specified
in the related Prospectus Supplement, the
purchase of the Mortgage Assets for a
Series may be effected by an exchange of
Securities with the seller of such
Mortgage Assets. See "USE OF PROCEEDS."
RATINGS ................ It will be a condition to the issuance of
any Securities offered by this Prospectus
and the related Prospectus Supplement that
they be rated in one of the four highest
applicable rating categories by at least
one Rating Agency. The rating or ratings
applicable to Securities of each Series
will be as set forth in the related
Prospectus Supplement.
A security rating should be evaluated
independently of similar ratings of
different types of securities. A security
rating does not address the effect
that the rate of prepayment on Mortgage
Loans comprising or underlying the
Mortgage Assets or the effect that
reinvestment rates may have on the yield to
investors in the Securities. A rating is not
a recommendation to buy, sell or
hold securities and may be subject to
revision or withdrawal at any time by
the assigning rating organization. Each
rating should be evaluated independently of
any other rating. See "RISK FACTORS."
25
<PAGE>
RISK FACTORS
Investors should consider, among other things, the following factors in
connection with the purchase of the Securities.
Limited Liquidity. There can be no assurance that a secondary market for
the Securities of any Series will develop or, if it does develop, that it
will provide holders with liquidity of investment or will continue while
Securities of such Series remain outstanding. The market value of Securities
will fluctuate with changes in prevailing rates of interest. Consequently,
sale of the Securities by a holder in any secondary market which may develop
may be at a discount from par value or from their purchase price.
Furthermore, secondary purchasers may look only to the Prospectus Supplement
attached hereto and to the reports to Bondholders or Certificateholders, as
applicable, delivered pursuant to the Indenture or Trust Agreement, as
applicable and as described herein under the heading "DESCRIPTION OF THE
SECURITIES--General," "--The Bonds-General," and "--The Certificates-General"
for information concerning the Securities. Except to the extent described in
the related Prospectus Supplement, Bondholders or Certificateholders, as
applicable, will have no optional redemption or early termination rights,
respectively. The Bonds are subject to redemption, and the Certificates are
subject to early termination or repurchase, by the Issuer only under certain
specified circumstances described herein and in the related Prospectus
Supplement." See "DESCRIPTION OF THE SECURITIES--Special Redemption,"
"--Optional Redemption," "--Optional Termination," "--Optional Repurchase of
Certificates," and "--Other Repurchases." Shearson Lehman Brothers Inc.
("Lehman Brothers"), through one or more of its affiliates, and the other
underwriters, if any, presently expect to make a secondary market in the
Securities, but have no obligation to do so.
Limited Assets. The Issuer will not have, nor be expected in the future to
have, any significant assets available for payments on a Series of Securities
other than the assets pledged as security or deposited into a Trust Fund for
a specific Series. The Bonds will be non-recourse obligations of the Issuer
and each Series of Bonds will be separately secured. Unless otherwise
specified in the related Prospectus Supplement, no Series will have any claim
against or security interest in the Primary Assets pledged to secure any
other Series. If the Primary Assets securing a Series of Bonds is
insufficient to make payments on such Bonds, no other assets of the Issuer
will be available for payment of the deficiency.
Unless otherwise set forth in the Prospectus Supplement for a Series of
Certificates, the Trust Fund for such Series will be the only available
source of funds to make distributions on the Certificates of such Series. The
only obligations, if any, of the Depositor with respect to the Certificates
of any Series will be pursuant to certain representation and warranties. The
Depositor does not have, and is not expected in the future to have, any
significant assets with which to meet any obligation to repurchase Mortgage
Assets with respect to which there has been a breach of any representation or
warranty. If, for example, the Depositor were required to repurchase a
Mortgage Loan which constitutes a Mortgage Asset, its only sources of funds
to make such repurchase would be from funds obtained from the enforcement of
a corresponding obligation, if any, on the part of the originator of the
Mortgage Loans or the Servicer, as the case may be, or from a reserve fund
established to provide funds for such repurchases.
Additionally, certain amounts remaining in certain funds or accounts,
including the Collection Account and any Reserve Funds, may be withdrawn
under certain conditions and circumstances described in the related
Prospectus Supplement. In the event of such withdrawal, such amounts will not
be pledged to, or available for, future payment or distribution of principal
of or interest on the Securities. If so specified in the related Prospectus
Supplement, on any Payment Date or Distribution Date on which the principal
balance of the Mortgage Assets is reduced due to losses on the Mortgage
Assets, (i) the amount of such losses will be allocated first, to reduce the
Aggregate Outstanding Principal of the Subordinate Securities or other
subordination, if any, and, thereafter, to reduce the Aggregate Outstanding
Principal of the remaining Securities in the priority and manner specified in
such Prospectus Supplement until the Aggregate Outstanding Principal of each
Class of Securities so specified has been reduced to zero or paid in full,
thus, reducing the amount of principal payable on each such Class of
Securities or (ii) such losses may be allocated in any other manner set forth
in the related Prospectus Supplement. Unless otherwise specified in the
related Prospectus Supplement, such reductions of
26
<PAGE>
principal of a Class or Classes of Securities shall be allocated to the
Holders of the Securities of such Class or Classes pro rata in the proportion
which the outstanding principal of each Security of such Class or Classes
bears to the Aggregate Outstanding Principal of all Securities of such Class.
Yield and Prepayment Considerations. Prepayments on the Mortgage Loans
comprising or underlying the Mortgage Assets securing a Series or deposited
into a Trust Fund, as the case may be, generally will result in a faster rate
of principal payments on such Securities than if payments on such Mortgage
Assets were made as scheduled. Thus, the prepayment experience on the
Mortgage Loans comprising or underlying the Mortgage Assets will affect the
average life of each Class secured thereby and the extent to which each such
Class is paid prior to its Stated Maturity or Final Scheduled Distribution
Date. The rate of principal payments on pools of mortgage loans varies
between pools and from time to time is influenced by a variety of economic,
demographic, geographic, social, tax, legal and other factors. There can be
no assurance as to the rate of prepayment on the Mortgage Assets securing any
Series of Bonds or deposited into a Trust Fund, as the case may be, or that
the rate of payments will conform to any model described herein or in any
Prospectus Supplement. If prevailing interest rates fall significantly below
the applicable mortgage rates, principal prepayments are likely to be higher
than if prevailing rates remain at or above the rates borne by the Mortgage
Loans comprising or underlying the Primary Assets securing a Series of Bonds
or deposited into a Trust Fund, as the case may be. As a result, the actual
maturity of or final distribution on any Class could occur significantly
earlier than its Stated Maturity or Final Scheduled Distribution Date. The
actual maturity of the Bonds or final distribution on the Certificates will
also be affected by the extent to which Excess Cash Flow is applied to
payments or distributions of principal on the Securities. A Series of
Securities may include Classes of PAC Securities or other Securities with
priorities of payment and, as a result, yields on other Classes of Securities
of such Series may be more sensitive to prepayments on Mortgage Loans. A
Series may include a Class offered at a significant premium or discount.
Yields on such Class of Securities will be sensitive, and in some cases
extremely sensitive, to prepayments on Mortgage Loans and, in the case of a
premium Class, where the amount of interest payable with respect to such
Class is extremely disproportionate to principal, a holder might, in some
prepayment scenarios, fail to recoup its original investment. See "YIELD AND
PREPAYMENT CONSIDERATIONS."
Limited Nature of Rating. Any rating assigned to the Securities by a
Rating Agency will reflect such Rating Agency's assessment solely of the
likelihood that holders of such Securities will receive payments required to
be made under the Indenture or Trust Agreement, as the case may be. Such
rating will not constitute an assessment of the likelihood that principal
prepayments on the Mortgage Loans underlying or comprising the Mortgage
Assets will be made by Mortgagors or of the degree to which the rate of such
prepayments might differ from that originally anticipated. Such rating will
not address the possibility that prepayment at higher or lower rates than
anticipated by an investor may cause such investor to experience a lower than
anticipated yield or that investors purchasing a Security at a significant
premium might fail to recoup their initial investment under certain
prepayment scenarios.
The amount of Primary Assets, including any applicable Enhancement,
required to support a Series of Securities will be determined on the basis of
criteria established by each Rating Agency rating such Series. Such criteria
are sometimes based upon actuarial analysis of the behavior of mortgage loans
in a larger group. Such analysis is often the basis upon which each Rating
Agency determines the amount of Enhancement required with respect to each
Series of Securities. There can be no assurance that the historical data
supporting such actuarial analysis will accurately reflect future experience
generally nor any assurance that the data derived from a large pool of
mortgages will accurately predict the delinquency, foreclosure or loss
experience of any particular pool of Mortgage Loans. In other cases, such
analysis may be based upon the value of the property underlying the Mortgage
Assets. There can be no assurance that such value will accurately reflect the
future value of the property and, therefore, whether or not the Securities
will be paid in full.
Certain legal aspects of the Mortgage Loans comprising or underlying
Mortgage Assets for a Series will be described in the related Prospectus
Supplement.
Certain Mortgage Loans and Mortgaged Property; Obligor Default. Mortgage
Loans made with respect to Multifamily or Commercial Property may entail
risks of loss in the event of delinquency and
27
<PAGE>
foreclosure that are greater than similar risks associated with traditional
single-family property. Many of the Mortgage Loans may be nonrecourse loans
as to which, in the event of an obligor default, recourse may be had only
against the specific Commercial or Multifamily Property and such limited
other assets as have been pledged to secure such Mortgage Loan, and not
against the obligor's other assets. Furthermore, the repayment of loans
secured by income producing properties is typically dependent upon the
successful operation of the related real estate project rather than upon the
liquidation value of the underlying real estate. If the net operating income
from the project is reduced (for example, if rental or occupancy rates
decline or real estate and personal property tax rates or other operating
expenses increase), the obligor's ability to repay the loan may be impaired.
A number of the Mortgage Loans may be secured by owner-occupied Mortgaged
Properties or Mortgaged Properties leased to a single tenant. Accordingly, a
decline in the financial condition of the obligor or single tenant, as
applicable, may have a disproportionately greater effect on the net operating
income from such Mortgaged Properties than would be the case with respect to
Mortgaged Properties with multiple tenants. Furthermore, the liquidation
value of any Mortgaged Property may be adversely affected by risks generally
incident to interests in real property, including changes in general or local
economic conditions and/or specific industry segments; declines in real
estate values; declines in rental or occupancy rates; increases in interest
rates, real estate and personal property tax rates and other operating
expenses including energy costs; changes in governmental rules, regulations
and fiscal policies, including environmental legislation; acts of God; and
other factors which are beyond the Master Servicer's or the Special
Servicer's, if any, control. Although the Servicer or the Master Servicer is
obligated to cause standard hazard insurance to be maintained with respect to
each Mortgage Loan, insurance with respect to extraordinary hazards such as
earthquakes and floods is generally not required to be maintained, and
insurance is not available with respect to many of the other risks listed
above.
Certain of the Mortgage Loans as of the Cut-Off Date may not be fully
amortizing over their terms to maturity, and, thus, will have substantial
principal balances due at their stated maturity. Mortgage Loans with balloon
payments involve a greater degree of risk because the ability of an obligor
to make a balloon payment typically will depend upon its ability either to
refinance the loan or to sell the related Mortgaged Property. The ability of
an obligor to accomplish either of these goals will be affected by a number
of factors, including the level of available mortgage rates at the time of
sale or refinancing, the obligor's equity in the related Mortgaged Property,
the financial condition and operating history of the obligor and the related
Mortgaged Property, tax laws, prevailing general economic conditions and the
availability of credit for commercial or multifamily, as the case may be,
real estate projects generally.
If so specified in the related Prospectus Supplement, in order to maximize
recoveries on defaulted Mortgage Loans, the Special Servicer, if any, will
have considerable flexibility under the Special Servicing Agreement to extend
and modify Mortgage Loans which are in default or as to which a payment
default is reasonably foreseeable, including in particular with respect to
balloon payments. In addition, the Special Servicer may receive a workout fee
based on receipts from or proceeds of such Mortgage Loans. While the Special
Servicer generally will be required to determine that any such extension or
modification is likely to produce a greater recovery on a present value basis
than liquidation, there can be no assurance that such flexibility with
respect to extensions or modifications or payment of a workout fee to the
Special Servicer will increase the present value of receipts from or proceeds
of Mortgage Loans which are in default or as to which a default is reasonably
foreseeable. To the extent losses on such Mortgage Loans exceed levels of
available enhancement, the Holders of the Bonds of a Series may experience a
loss. See "SERVICING OF MORTGAGE LOANS--Maintenance of Insurance Policies and
Other Servicing Procedures" and "ENHANCEMENT."
Enhancement Limitations. The amount, type and nature of Insurance
Policies, subordination, Bond Guarantee Insurance, letters of credit,
overcollateralization, Reserve Funds and other enhancement, if any, required
with respect to a Series will be determined on the basis of criteria
established by each Rating Agency rating such Series. Such criteria are
sometimes based upon an actuarial analysis of the behavior of mortgage loans
in a larger group. Such analysis is often the basis upon which each Rating
Agency determines the amount of Enhancement required with respect to each
Series of Securities. There can be
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no assurance that the historical data supporting any such actuarial analysis
will accurately reflect future experience nor any assurance that the data
derived from a large pool of mortgage loans accurately predicts the
delinquency, foreclosure or loss experience of any particular pool of
Mortgage Loans.
In addition, if principal payments on Securities of a Series are made in a
specified order of priority, any limits with respect to the aggregate amount
of claims under any related insurance policy, letters of credit or other
enhancement may be exhausted before the principal of the lower priority
Classes has been repaid. As a result, the impact of significant losses on the
Mortgage Loans may bear primarily upon the Securities of the later maturing
Classes.
The Prospectus Supplement for a Series will describe any Reserve Funds,
Insurance Policies, letter of credit, subordination, Bond Guarantee
Insurance, over collateralization or other credit support relating to the
Mortgage Assets or to the Securities of such Series. Use of such Reserve
Funds and payments under such Insurance Policies, Bond Guarantee Insurance,
letter of credit or other third-party credit support will be subject to the
conditions and limitations described herein and in the related Prospectus
Supplement. Moreover, such Reserve Funds, Insurance Policies, letter of
credit or other credit support may not cover all potential losses or risks;
for example, Enhancement may or may not cover fraud or negligence by the
Issuer, the Master Servicer or other parties. Moreover, if a form of
enhancement covers more than one Series of Securities (each, a "Covered
Trust"), holders of Securities issued by any of such Covered Trusts will be
subject to the risk that such credit support will be exhausted by the claims
of other Covered Trusts prior to such Covered Trust receiving any of its
intended share of such coverage. The obligations of the issuers of any credit
support will not be guaranteed or insured by the United States, or by any
agency or instrumentality thereof. A Series of Bonds may include a Class or
multiple Classes of Subordinate Securities to the extent described in the
related Prospectus Supplement. Although such subordination is intended to
reduce the risk of delinquent distributions or ultimate losses to Holders of
Senior Securities, the amount of subordination will be limited and will
decline under certain circumstances and any related Reserve Fund could be
depleted in certain circumstances. See "DESCRIPTION OF THE SECURITIES,"
"SECURITY FOR THE BONDS AND CERTIFICATES" and "ENHANCEMENT."
Overcollateralization and Subordination. To provide Bondholders and
Certificateholders with a degree of protection against loss, Mortgage Assets
having an Asset Value in excess of the principal amount of the Securities may
be pledged to secure a Series or deposited into the related Trust Fund, as
the case may be, or Excess Cash Flow may be applied to create
overcollateralization. Alternatively, a Series of Securities may include one
or more Classes of Subordinate Securities to the extent described in the
related Prospectus Supplement. Such overcollateralization or subordination
will be at amounts established by the Rating Agency rating the Series based
on an assumed level of defaults, delinquencies, other losses, application of
Excess Cash Flow or other factors. There can, however, be no assurance that
the loss experience on the Mortgage Assets securing the Securities will not
exceed such assumed levels, adversely affecting the ability of the Issuer to
meet debt service or distribution requirements on the Securities.
Although overcollateralization and subordination are intended to reduce
the risk of delinquent payments or losses to holders of Senior Securities,
the amount of overcollateralization or subordination, as the case may be,
will be limited and will decline under certain circumstances and any related
Reserve Fund could be depleted in certain circumstances.
Delinquent and Non-Performing Mortgage Loans. As set forth in the related
Prospectus Supplement, the Mortgage Pool for a particular Series may include,
as of the Cut-Off Date, REO Properties or Mortgage Loans that are past due or
are non-performing. If so specified in the related Prospectus Supplement,
management of such REO Properties or servicing with respect to such Mortgage
Loans will be transferred to the Special Servicer as of the Closing Date.
Enhancement provided with respect to a particular Series may not cover all
losses related to such delinquent or non-performing Mortgage Loans or to such
REO Properties. Investors should consider the risk that the inclusion of such
Mortgage Loans or such REO Properties in the Mortgage Pool may affect the
rate of defaults and prepayments on such Mortgage Pool and the yield on the
Securities of such Series. See "SECURITY FOR THE BONDS AND
CERTIFICATES--Mortgage Loans."
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Remedies Following Default. The market value of the Mortgage Assets
securing a Series will fluctuate as general interest rates fluctuate.
Following an Event of Default with respect to a Series of Bonds, there is no
assurance that the market value of the Mortgage Assets securing the Series,
will be equal to or greater than the unpaid principal and accrued interest
due on the Bonds of such Series, together with any other expenses or
liabilities payable thereon. If the Mortgage Assets securing a Series are
sold by the Trustee following an Event of Default, the proceeds of such sale
may be insufficient to pay in full the principal of and interest on such
Bonds. However, in certain events the Trustee may be restricted from selling
the Mortgage Assets securing a Series. See "THE INDENTURE--Events of
Default."
In addition, upon an Event of Default with respect to a Series and a
resulting sale of the Mortgage Assets securing such Bonds, unless otherwise
specified in the related Prospectus Supplement, the proceeds of such sale
will be applied, first, to the payment of certain amounts due to the Trustee,
second, to the payment of accrued interest on, and then to the payment of the
then Aggregate Outstanding Principal of, such Bonds (including interest on
and the Aggregate Outstanding Principal of any Residual Interest Bond) (as
specified in the related Prospectus Supplement), third, to the payment of the
remaining Administration Fee, if any, and, fourth, to the payment of any
additional amounts due the Issuer or to the holders of the Residual Interest
Bonds as applicable. Consequently, in the event of any such Event of Default
and sale of Mortgage Assets, any Classes on which principal payments have
previously been made may have, in the aggregate, a greater proportion of
their principal repaid than will Classes on which principal payments have not
previously been made.
In the event the principal of the Securities of a Series is declared due
and payable, the holders of any such Securities issued at a discount from par
("original issue discount") may be entitled, under applicable provisions of
the federal Bankruptcy Code, to receive no more than an amount equal to the
unpaid principal amount thereof less unamortized original issue discount
("accreted value"). There is no assurance as to how such accreted value would
be determined if such event occurred.
Enforceability. As specified in the related Prospectus Supplement, the
Mortgages may contain due-on-sale clauses, which permit the lender to
accelerate the maturity of the Mortgage Loan if the borrower sells, transfers
or conveys the related Mortgaged Property or its interest in the Mortgaged
Property. Such clauses are generally enforceable subject to certain
exceptions.
As specified in the related Prospectus Supplement, the Mortgage Loans may
include a debt- acceleration clause, which permits the lender to accelerate
the debt upon a monetary or non-monetary default of the borrower. The courts
of all states will enforce clauses providing for acceleration in the event of
a material payment default. The equity courts of any state, however, may
refuse to foreclose a mortgage or deed of trust when an acceleration of the
indebtedness would be inequitable or unjust or the circumstances would render
the acceleration unconscionable.
To the extent specified in the related Prospectus Supplement, the Mortgage
Loans will be secured by an assignment of leases and rents pursuant to which
the obligor typically assigns its right, title and interest as landlord under
the leases on the related Mortgaged Property and the income derived therefrom
to the lender as further security for the related Mortgage Loan, while
retaining a license to collect rents for so long as there is no default. In
the event the obligor defaults, the license terminates and the lender is
entitled to collect rents. Such assignments must usually be recorded to be
perfected as security interests. In addition, some state laws require that
the lender take possession of the Mortgaged Property and/or obtain a judicial
appointment of a receiver before becoming entitled to collect the rents. See
also "CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS--Anti-Deficiency
Legislation and Other Limitations on Lenders."
Environmental Risks. Real property pledged as security to a lender may be
subject to certain environmental risks. Under the laws of certain states,
contamination of a property may give rise to a lien on the property to assure
the costs of clean-up. In several states, such a lien has priority over the
lien of an existing mortgage against such property. In addition, under the
laws of some states and under the federal Comprehensive Environmental
Response, Compensation, and Liability Act of 1980 ("CERCLA"), a lender may be
liable, as an "owner" or "operator," for costs of addressing releases or
threatened
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releases of hazardous substances that require remedy at a property, if agents
or employees of the lender have become sufficiently involved in the
operations of the borrower, regardless of whether or not the environmental
damage or threat was actually caused or exacerbated by the lender's agents or
employees. A lender also risks such liability on and following foreclosure of
the Mortgaged Property. Unless otherwise specified in the related Prospectus
Supplement, the Servicing Agreement, Master Servicing Agreement or Special
Servicing Agreement, as applicable, provides that the Servicer, the Master
Servicer or the Special Servicer, as applicable, acting on behalf of the
Trust Estate, may not acquire title to a Mortgaged Property underlying a
Mortgage Loan or take over its operation unless the Servicer, the Master
Servicer or the Special Servicer, as applicable, has previously determined,
based upon a report prepared by a person who regularly conducts environmental
audits, that (i) the Mortgaged Property is in compliance with applicable
environmental laws and regulations or, if not, that taking such actions as
are necessary to bring the Mortgaged Property in compliance therewith is
reasonably likely to produce a greater recovery on a present value basis than
not taking such actions and (ii) there are no circumstances or conditions
present that have resulted in any contamination or if such circumstances or
conditions are present for which such action could be required, taking such
actions with respect to the affected Mortgaged Property is reasonably likely
to produce a greater recovery on a present value basis than not taking such
actions. See "CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS--Environmental
Matters."
ERISA Considerations. Generally, ERISA applies to investments made by
employee benefit plans and transactions involving the assets of such plans.
Due to the complexity of regulations which govern such plans, prospective
investors that are subject to ERISA are urged to consult their own counsel
regarding consequences under ERISA of acquisition, ownership and disposition
of the Securities of any Series. See "ERISA CONSIDERATIONS."
Certain Federal Tax Considerations Regarding Residual Interest Bonds and
Residual Interest Certificates. Holders of Residual Interest Bonds and
Residual Interest Certificates will be required to report on their federal
income tax returns as ordinary income their pro rata share of the taxable
income of the REMIC regardless of the amount or timing of their receipt of
cash payments as described in "FEDERAL INCOME TAX CONSIDERATIONS--Residual
Interests in a REMIC." Accordingly, under certain circumstances, holders of
Securities which constitute Residual Interest Bonds and Residual Interest
Certificates may have taxable income and tax liabilities arising from such
investment during a taxable year in excess of the cash received during such
period. The requirement that holders of Residual Interest Bonds and Residual
Interest Certificates report their pro rata share of the taxable income and
net loss of the REMIC will continue until the principal balances of all
Classes of Bonds or Certificates of the related Series have been reduced to
zero, even though holders of Residual Interest Bonds and Residual Interest
Certificates have received full payment of their stated interest and
principal. A portion (or, in certain circumstances, all) of a holder of a
Residual Interest Bond's or Residual Interest Certificate's share of the
REMIC taxable income may be treated as "excess inclusion" income to such
holder which (i) generally, will not be subject to offset by losses from
other activities, (ii) for a tax-exempt holder, will be treated as unrelated
business taxable income and (iii) for a foreign holder, will not qualify for
exemption from withholding tax. Individual holders of Securities constituting
Residual Interest Bonds and Residual Interest Certificates may be limited in
their ability to deduct servicing fees and other expenses of the REMIC. In
addition, Residual Interest Bonds and Residual Interest Certificates are
subject to certain restrictions on transfer. Because of the special tax
treatment of Residual Bonds, the taxable income arising in a given year on a
Residual Interest Bond and Residual Interest Certificates will not be equal
to the taxable income associated with investment in a corporate bond or
stripped instrument having similar cash flow characteristics and pre-tax
yield. Therefore, the after-tax yield on the Residual Interest Bond and
Residual Interest Certificates may be significantly less than that of a
corporate bond or stripped instrument having similar cash flow
characteristics, or may be negative.
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DESCRIPTION OF THE SECURITIES
GENERAL
The following summaries describe certain provisions common to each Series.
The summaries do not purport to be complete and are subject to, and are
qualified in their entirety by reference to, the provisions of the Indenture
or Trust Agreement and the Prospectus Supplement relating to each Series.
When particular provisions or terms used in the Indenture or Trust Agreement
are referred to, such provisions or terms shall be as specified in the
Indenture or Trust Agreement.
THE BONDS--GENERAL
The Bonds will be issued in Series pursuant to a Trust Indenture between
the Company and Bankers Trust or Marine Midland (or another bank or trust
company qualified under the TIA and named in the related Prospectus
Supplement for a Series), as Trustee, or a Trust and the Trustee, each as
supplemented by or as incorporated by reference by a Series Supplement with
respect to each Series. A copy of the form of Trust Indenture has been filed
with the Commission as an exhibit to the Registration Statement of which the
Prospectus forms a part. A copy of the Series Supplement for a Series, if
any, will be filed with the Commission as an exhibit to a Current Report on
Form 8-K to be filed with the Commission within 15 days of issuance of the
Bonds of the related Series.
The Indenture does not limit the amount of Bonds that can be issued
thereunder and provides that any Series may be issued thereunder up to the
aggregate principal amount specified in the related Series Supplement that
may be authorized from time to time by the Issuer. Each Series will consist
of one or more Classes, one or more of which may be Compound Interest
Securities, Variable Interest Securities, Individual Investor Securities,
Planned Amortization Class Securities, Zero Coupon Securities, Principal Only
Securities, Interest Only Securities or Participating Securities. A Series
may also include one or more Classes of Subordinate Securities. If so
specified in related Prospectus Supplement, such Subordinate Securities may
be offered hereby and by the related Prospectus Supplement. Each Class of a
Series will be issued in registered or bearer form, as designated in the
related Prospectus Supplement for a Series, in the minimum denominations
specified in the related Prospectus Supplement. See "--Bearer Securities and
Registered Securities." Bonds of a Series may be issued in whole or part in
book-entry form. The transfer of the Bonds may be registered and the Bonds
may be exchanged without the payment of any service charge payable in
connection with such registration of transfer or exchange.
Payments of principal of and interest on the Bonds which are registered
securities will be made by the Trustee, or if the Trustee is not the paying
agent, the Paying Agent. Payments of principal of and interest on a Series
will be made on the Payment Dates specified in the related Prospectus
Supplement, to Bondholders of such Series registered as such on the close of
business on the record date specified in the related Prospectus Supplement at
their addresses appearing on the Bond Register. All payments will be made by
check mailed to the Bondholder or by wire transfer to accounts maintained by
such Bondholder as specified in the related Prospectus Supplement, except
that final payments of principal in retirement of each Bond will be made only
upon presentation and surrender of such Bond at the office of the New York
Presenting Agent. Notice will be mailed to the holder of such Bond before the
Payment Date on which the final principal payment in retirement of the Bond
is expected to be made.
The Trustee will include with each payment on a Bond a statement showing
among other things, the allocation of such payment to interest, if any, and
principal, if any, and the remaining unpaid principal amount of a Bond of
each Class having the minimum denomination for Bonds of such Class of that
Series, the amount of Advances made by the Primary Servicer, the amount of
servicing compensation paid with respect to the Mortgage Assets, the
aggregate principal balance of delinquent, foreclosed Mortgage Loans and REO
Property, the realized losses for the Mortgage Assets, if applicable, the
number and aggregate principal balance of Deleted and Substitute Mortgage
Loans, and on each Payment Date prior to the commencement of principal
payments on a Class of Compound Interest Bonds, the aggregate unpaid
principal amount of each Class of Bonds, the interest accrued since the prior
Payment Date and added to the principal of a Compound Interest Bond having
the minimum denomination for Bonds of such Class and the new principal
balance of such Bond.
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THE CERTIFICATES--GENERAL
The Certificates will be issued in Series pursuant to separate Trust
Agreements between the Depositor and Bankers Trust or Marine Midland (or
another bank or trust company qualified under the TIA and named in the
Prospectus Supplement for a Series). A form of Trust Agreement has been filed
as an exhibit to the Registration Statement of which this Prospectus forms a
part. The Trust Agreement relating to each Series of Certificates will be
filed as an exhibit to a report on Form 8-K to be filed with the Commission
within 15 days following the issuance of such Series of Certificates. The
following summaries describe certain provisions common to each Series of
Certificates. The summaries do not purport to be complete and are subject to,
and are qualified in their entirety by reference to, the provisions of the
Trust Agreement and the Prospectus Supplement relating to each Series of
Certificates. When particular provisions or terms used in the Trust Agreement
are referred to, such provisions or terms shall be as specified in the Trust
Agreement.
Each Series of Certificates will consist of one or more Classes, one or
more of which may consist of Compound Interest Securities, Variable Interest
Securities, Interest Only Certificates, Principal Only Certificates, Zero
Coupon Securities or Planned Amortization Class Securities ("PACs"). A Series
of Certificates may also include one or more Classes of Subordinate
Securities.
Each Series will be issued in fully registered form or bearer form, in the
minimum original amount or notional amount for Certificates of each Class
specified in the related Prospectus Supplement. The transfer of the
Certificates may be registered, and the Certificates may be exchanged,
without the payment of any service charge payable in connection with such
registration of transfer or exchange. If specified in the related Prospectus
Supplement, one or more Classes of a Series may be available in book-entry
form only. See "--Bearer Securities and Registered Securities."
Commencing on the date specified in the related Prospectus Supplement,
distributions of principal and interest on the Certificates will be made on
each Distribution Date as set forth in the related Prospectus Supplement.
Distribution of principal of and interest on Certificates of a Series in
registered form will be made by check mailed to Certificateholders of such
Series registered as such on the close of business on the record date
specified in the related Prospectus Supplement at their addresses appearing
on the Certificate Register, except that (a) distributions may be made by
wire transfer (at the expense of the Certificateholder requesting payment by
wire transfer) in certain circumstances described in the related Prospectus
Supplement and (b) the final distribution in retirement of a Certificate will
be made only upon presentation and surrender of such Certificate at the
corporate trust office of the Trustee for such Series or such other office of
the Trustee as specified in the Prospectus Supplement. Notice of the final
distribution on a Certificate will be mailed to the Holder of such
Certificate before the Distribution Date on which such final distribution in
retirement of the Certificate is expected to be made.
The Trustee will include with each distribution on a Certificate a
statement showing among other things, the allocation of such payment to
interest, if any, and principal, if any, and the remaining unpaid principal
amount of a Certificate of each Class having the minimum denomination for
Certificates of such Class of that Series, the amount of Advances made by the
Primary Servicer, the amount of servicing compensation paid with respect to
the Mortgage Assets, the aggregate principal balance of delinquent,
foreclosed Mortgage Loans and REO Property, the realized losses for the
Mortgage Assets, if applicable, the number and aggregate principal balance of
Deleted and Substitute Mortgage Loans, and on each Distribution Date prior to
the commencement of principal payments on a Class of Compound Interest
Securities, the aggregate unpaid principal amount of each Class of
Certificates, the interest accrued since the prior Distribution Date and
added to the principal of a Compound Interest Certificate having the minimum
denomination for Certificates of such Class and the new principal balance of
such Certificate. See "THE TRUST AGREEMENT--Reports to Certificateholders."
BEARER SECURITY AND REGISTERED SECURITIES
Unless otherwise provided with respect to a Series of Securities, the
Securities will be issuable as registered securities without coupons. If so
provided with respect to a Series of Securities, Securities of
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such Series will be issuable solely as bearer securities with coupons
attached or as both registered securities and bearer securities. Any such
bearer securities will be issued in accordance with U.S. tax and securities
laws then applicable to the sale of such securities.
Unless applicable law at the time of issuance of any bearer securities
provides otherwise, in connection with the sale during the "restricted
period" as defined in Section 1.163-5(c)(2)(i)(D)(7) of the United States
Treasury Regulations (generally, the first 40 days after the Closing Date
and, with respect to unsold allotments, until sold) no bearer security shall
be mailed or otherwise delivered to any location in the United States (as
defined under "LIMITATIONS ON ISSUANCE OF BEARER SECURITIES"). A bearer
security in definitive form may be delivered only if the Person entitled to
receive such bearer security furnishes written certification, in the form
required by the Indenture, to the effect that such bearer security is not
owned by or on behalf of a United States person (as defined under
"LIMITATIONS ON ISSUANCE OF BEARER SECURITIES"), or, if a beneficial interest
in such bearer security is owned by or on behalf of a United States person,
that such United States person (i) acquired and holds the bearer security
through a foreign branch of a United States financial institution, (ii) is a
foreign branch of a United States financial institution purchasing for its
own account or resale (and in either case (i) or (ii), such financial
institution agreed to comply with the requirements of Section 165(j)(3)(A),
(B), or (C) of the Internal Revenue Code of 1986, as amended, and the
regulations thereunder) or (iii) is a financial institution purchasing for
resale during the restricted period only to non-United States persons outside
the United States. See "LIMITATION ON ISSUANCE OF BEARER SECURITIES."
Registered securities of any Series (other than in book-entry form) will
be exchangeable for other registered securities of the same Series and of a
like aggregate principal amount and tenor but of different authorized
denominations. In addition, if specified in the related Prospectus
Supplement, if Securities of any Series are issuable as both registered
securities and as bearer securities, at the option of the Holder, upon
request confirmed in writing, and subject to the terms of the Indenture or
Trust Agreement, as the case may be, bearer securities (with all unmatured
coupons, except as provided below, and all matured coupons in default) of
such Series will be exchangeable into registered securities of the same
Series of any authorized denominations and of a like aggregate principal
amount and tenor. Unless otherwise indicated in an applicable Prospectus
Supplement, any bearer security surrendered in exchange for a registered
security between the relevant record date and the relevant date for payment
of interest shall be surrendered without the coupon relating to such date for
payment of interest and interest will not be payable in respect of the
registered security issued in exchange for such bearer security, but will be
payable only to the holder of such coupon when due in accordance with the
terms of the Indenture or Trust Agreement, as the case may be. Except as
provided in an applicable Prospectus Supplement, bearer securities will not
be issued in exchange for registered securities. If Securities of a Series
are issuable as bearer securities, the Issuer will be required to maintain a
transfer agent for such Series outside the United States.
Unless otherwise indicated in an applicable Prospectus Supplement, payment
or distribution of principal of and interest on bearer securities will be
payable or distributable, subject to any applicable laws and regulations, at
the offices of such Paying Agents outside the United States as the Issuer may
designate from time to time by check or by wire transfer, at the option of
the holder, to an account maintained by the payee with a bank located outside
the United States. Unless otherwise indicated in an applicable Prospectus
Supplement, payment or distribution of interest on bearer securities on any
Payment Date or Distribution Date, as applicable, will be made only against
surrender of the coupon relating to such Payment Date or Distribution Date,
as applicable. No payment or distribution of interest on a bearer security
will be made unless on the earlier of the date of the first such payment by
the Paying Agent or the delivery by the Issuer of the bearer security in
definitive form (the "Certification Date"), a written certificate in the form
and to the effect described above is provided to the Issuer. No payment or
distribution with respect to any bearer security will be made at any office
or agency in the United States or by check mailed to any address in the
United States or by transfer to an account maintained with a bank located in
the United States. Notwithstanding the foregoing, payment or distribution of
principal of and interest on bearer securities denominated and payable in
U.S. dollars will be made at the office of the
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Issuer's Paying Agent in the Borough of Manhattan, The City of New York if,
and only if, payment of the full amount thereof in U.S. dollars at all
offices or agencies outside the United States is illegal or effectively
precluded by exchange controls or other similar restrictions.
BOOK-ENTRY REGISTRATION
If so specified in the related Prospectus Supplement, the Securities will
be issued in book-entry form in the minimum denominations specified in such
Prospectus Supplement and integral multiples thereof, and each Class will be
represented by one or more single Securities registered in the name of the
nominee of the depository, The Depository Trust Company ("DTC"), a
limited-purpose trust company organized under the laws of the State of New
York. Unless otherwise specified in the related Prospectus Supplement, no
person acquiring an interest in book-entry Securities (a "Securities Owner")
will be entitled to receive Securities representing such person's interest in
the Securities except in the event that Definitive Securities (as defined
herein) are issued under the limited circumstances set forth below. Unless
and until Definitive Securities are issued, it is anticipated that the only
holder of book-entry Securities will be Cede & Co., as nominee of DTC.
Securities Owners will not be "Holders," "Bondholders" or
"Certificateholders" under the Indenture or Trust Agreement, as applicable,
and Securities Owners will only be permitted to exercise the rights of
Bondholders or Certificateholders, as applicable, indirectly through DTC and
its Participants.
DTC was created to hold securities for its participating organizations
("Participants") and facilitate the clearance and settlement of securities
transactions between Participants through electronic book- entry changes in
accounts of its Participants. Participants include securities brokers and
dealers, banks, trust companies and clearing corporations and may include
certain other organizations. Indirect access to the DTC system also is
available to entities that clear through or maintain a custodial relationship
with a Participant, either directly or indirectly ("Indirect Participants").
Securities Owners that are not Participants or Indirect Participants but
desire to purchase, sell or otherwise transfer ownership of book-entry
Securities may do so only through Participants and Indirect Participants.
Because DTC can only act on behalf of Participants and Indirect Participants,
the ability of a Securities Owner to pledge such owner's interest in a
book-entry Security to persons or entities that do not participate in the DTC
system, or otherwise take actions in respect of such interest in a book-entry
Security, may be limited. In addition, under a book-entry format, Securities
Owners may experience some delay in their receipt of principal and interest
distributions with respect to the book-entry Securities since such
distributions will be forwarded to DTC and DTC will then forward such
distributions to its Participants which in turn will forward them to Indirect
Participants or Securities Owners.
Under the rules, regulations and procedures creating and affecting DTC and
its operations (the "Rules"), DTC is required to make book-entry transfers
among Participants on whose behalf it acts with respect to the book-entry
Securities and is required to receive and transmit principal and interest
distributions and other distributions with respect to the book-entry
Securities. Participants and Indirect Participants with which Securities
Owners have accounts with respect to book-entry Securities similarly are
required to make book-entry transfers and receive and transmit such
distributions on behalf of their respective Securities Owners. Accordingly,
although Securities Owners will not possess book-entry Securities, the Rules
provide a mechanism by which Securities Owners will receive distributions and
will be able to transfer their interests.
The Issuer understands that DTC will take any action permitted to be taken
by a Bondholder or Certificateholder under the Indenture or Trust Agreement,
as applicable, only at the direction of one or more Participants to whose
account with DTC ownership of the book-entry Securities is credited.
Additionally, the Issuer understands that DTC will take such actions with
respect to Securities Owners who are holders of a certain specified interest
in book-entry Securities or holders having a certain specified voting
interest only at the direction of and on behalf of Participants whose
holdings represent that specified interest or voting interest. DTC may take
conflicting actions with respect to other Securities Owners to the extent
that such actions are taken on behalf of Participants whose holdings
represent that specified interest or voting interest.
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Unless otherwise specified in the related Prospectus Supplement,
Securities of a Series issued initially in book-entry form only will be
issued in fully registered, certificated form ("Definitive Securities") to
Securities Owners, rather than to DTC, only if (i) DTC advises the Trustee in
writing that DTC is no longer willing or able properly to discharge its
responsibilities as depository with respect to the Securities, and the Issuer
is unable to locate a qualified successor, (ii) the Issuer, at its sole
option, elects to terminate the book-entry system through DTC or (iii) after
the occurrence of an Event of Default under the Indenture or Trust Agreement,
as applicable, Bond owners representing a majority of the aggregate
outstanding principal amount of the Securities advise DTC through
Participants in writing that the continuation of a book-entry system through
DTC (or a successor thereto) is no longer in the best interests of Securities
Owners.
Upon the occurrence of any of the events described in the immediately
preceding paragraph, DTC is required to notify all Participants of the
availability through DTC of Definitive Securities. Upon surrender by DTC of
the Securities registered in the name of its nominee and instructions for
registration, the Trustee will issue all, but not less than all, of the
principal amount of the formerly DTC-held Securities then outstanding in the
form of Definitive Securities, and thereafter the Trustee will recognize the
holders of such Definitive Securities as Bondholders under the Indenture, or
Certificateholders under the Trust Agreement, as applicable.
VALUATION OF MORTGAGE ASSETS
If stated in the applicable Prospectus Supplement, each item of Mortgage
Assets securing a Series, or comprising the Trust Fund, as the case may be,
will be assigned an initial Asset Value determined in the manner and subject
to the assumptions specified in the related Prospectus Supplement. If so
specified in the related Prospectus Supplement, the aggregate of the Asset
Values of the Mortgage Assets pledged to secure a Series or comprising the
Trust Fund, as the case may be, will not be less than the initial Aggregate
Outstanding Principal of the related Series at the date of issuance thereof.
With respect to the Mortgage Assets pledged to collateralize the Bonds of
a Series, or comprising the Trust Fund, as the case may be, as of any date,
the Aggregate Asset Value, unless otherwise specified in the related
Prospectus Supplement, shall be equal to the aggregate of the Asset Values
for each Mortgage Loan or Private Mortgage-Backed Security or other Mortgage
Assets in the Trust Estate or Trust Fund, as applicable, for a Series of
Securities plus the amount, if any, remaining in the Collection Account and
any other Pledged Fund or Account subsequent to an initial deposit therein on
the Delivery Date, together with Reinvestment Income thereon, if any, at the
Assumed Reinvestment Rate, if any.
There are a number of alternative means of determining Asset Value of the
Mortgage Assets, including determinations based on the discounted present
value of the remaining scheduled payments on such Mortgage Assets,
determinations based on the relationship between the interest rate borne by
such Mortgage Assets and the Bond Interest Rate or Rates or Certificate
Interest Rate or Rates for the related Classes of Securities, or based upon
the aggregate outstanding principal balances of the Mortgage Assets. If
applicable, the Prospectus Supplement for a Series will specify the method or
methods and summarize the related assumptions used to determine the Asset
Values of the Mortgage Assets for such Series of Securities.
The Assumed Reinvestment Rate, if any, for a Series will be the rate on
which amounts deposited in the Collection Account will be assumed to accrue
interest or a rate insured or guaranteed by means of a surety bond,
Guaranteed Investment Contract, or similar arrangement. If the Assumed
Reinvestment Rate is insured or guaranteed, the related Prospectus Supplement
will set forth the terms of such arrangement.
PAYMENTS OR DISTRIBUTIONS OF INTEREST
Each Class of a Series (other than a Class of Zero Coupon Securities or
Principal Only Securities) will accrue interest at the rate per annum
specified, or in the manner determined and set forth, in the related
Prospectus Supplement (calculated on the basis of a 360-day year of twelve
30-day months, unless otherwise specified in the related Prospectus
Supplement). Interest on all Securities which accrue interest,
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other than Compound Interest Securities, will be due and payable on the
Payment Dates or Distribution Dates specified in the related Prospectus
Supplement. However, failure to pay interest on a current basis may not
necessarily be an Event of Default with respect to a particular Series of
Securities. Unless otherwise specified in the related Prospectus Supplement,
payment of interest on a Class of Compound Interest Securities will commence
only following the Accrual Termination Date. Prior to such time, interest on
such Class of Compound Interest Securities will accrue and the amount of
interest so accrued will be added to the principal thereof on each Payment
Date or Distribution Date. Following the applicable Accrual Termination Date,
interest payments will be made on such Class on the Compound Value of such
Class. The Compound Value of a Class of Compound Interest Securities equals
the original principal amount of the Class, plus accrued and unpaid interest
added to such Class through the immediately preceding Payment Date or
Distribution Date, less any principal payments previously made on that Class,
and if specified in the related Prospectus Supplement, losses allocable
thereto. Each payment of interest on each Class of Securities (or addition to
principal of a Class of Compound Interest Securities) on a Payment Date or
Distribution Date will include all interest accrued during the related
Interest Accrual Period preceding such Payment Date or Distribution Date,
which Interest Accrual Period will end on the day preceding each Payment Date
or Distribution Date or such earlier date as may be specified in the related
Prospectus Supplement. If the Interest Accrual Period for a Series ends on a
date other than a Payment Date or Distribution Date for such Series, the
yield realized by the holders of such Securities may be lower than the yield
that would result if the Interest Accrual Period ended on such Payment Date
or Distribution Date. Additionally, if so specified in the related Prospectus
Supplement, interest accrued for an Interest Accrual Period for one or more
Classes may be calculated on the assumption that principal payments (and
additions to principal of the Securities), and allocations of losses on the
Primary Assets (if so specified in the related Prospectus Supplement), are
made on the first day of the preceding Interest Accrual Period and not on the
Payment Date or Distribution Date for such preceding Interest Accrual Period
when actually made or added. Such method would produce a lower effective
yield than if interest were calculated on the basis of the actual principal
amount outstanding.
To the extent provided in the related Prospectus Supplement, a Series may
include one or more Classes of Variable Interest Securities. The Variable
Interest Rate of Variable Interest Securities will be a variable or
adjustable rate, subject to a Maximum Variable Interest Rate and a Minimum
Variable Interest Rate. It is the Issuer's present intention, subject to
changing market conditions, that the Variable Interest Rate formula or index
be based on an established financial index in the national or international
financial markets. The Variable Interest Payment Dates or Variable Interest
Distribution Dates, as applicable, for Variable Interest Securities will be
set forth in the related Prospectus Supplement and need not be the same as
the Payment Dates or Distribution Dates for other Securities in such Series,
but may be either more or less frequent. Unless otherwise specified in the
related Prospectus Supplement or herein, references to Payment Date or
Distribution Dates include Variable Interest Payment Dates or Variable
Interest Distribution Dates, as applicable. For each Class of Variable
Interest Securities, the related Prospectus Supplement will set forth the
initial Bond Interest Rate or Certificate Interest Rate, as applicable, (or
the method of determining it), the Variable Interest Period and the formula,
index or other method by which the Bond Interest Rate or Certificate Interest
Rate, as applicable, for each Variable Interest Period will be determined.
Interest Only Securities or Interest Weighted Securities, among others,
may be assigned a "Notional Amount" which is used solely for convenience in
expressing the calculation of interest and for certain other purposes. Unless
otherwise specified in the related Prospectus Supplement, the Notional Amount
will be determined at the time of issuance of such Securities based on the
principal balances or Bond Value of the Mortgage Loans attributable to the
Securities of a Series entitled to receive principal, and will be adjusted
monthly over the life of the Securities based upon adjustments to the Asset
Value or principal amounts of such Mortgage Loans. Reference to the Notional
Amount is solely for convenience in certain calculations and does not
represent the right to receive any distributions allocable to principal.
If so specified in the related Prospectus Supplement, if funds in the
Collection Account are insufficient to make required payments of interest to
Bondholders or Certificateholders on any Payment Date or Distribution Date,
as applicable, amounts available for payment to the Bondholders or
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Certificateholders of each Class will be allocated pro rata in the proportion
in which the outstanding principal balance of each Bond or Certificate bears
to the aggregate outstanding principal balance of all Bonds or Certificates
of such Class, except that Subordinate Bondholders or Subordinate
Certificateholders, if any, will not, unless otherwise specified in the
related Prospectus Supplement, receive any payments of interest on the
Subordinate Bonds or Subordinate Certificates until Senior Bondholders or
Senior Certificateholders receive payments of interest due them (in each case
as described in the related Prospectus Supplement).
PAYMENTS OR DISTRIBUTIONS OF PRINCIPAL
On each Payment Date or Distribution Date for a Series, the Issuer will
make principal payments to the holders of the Securities of such Series on
which principal is then due and payable. Payments of principal on a Series
will be allocated among Classes of such Series in the order of priority and
amounts specified in the related Prospectus Supplement. All payments or
distributions of principal of Securities of a Class will be applied either on
a pro rata or random lot basis, as specified in the related Prospectus
Supplement.
Except as specified otherwise in the related Prospectus Supplement, the
total amount of principal payments or distributions required to be made on
the Securities of any Series on a Payment Date or Distribution Date (the
"Principal Payment Amount") will be determined as specified in the related
Prospectus Supplement. If the Series of Bonds has a Class of PAC Securities,
such PAC Securities will have certain priorities of payment with respect to
principal to the extent of certain targeted amounts with respect to each
Payment Date or Distribution Date, as set forth in the related Prospectus
Supplement. There can be no assurance that the Principal Payment Amount on
any Payment Date or Distribution Date will be sufficient to pay in full the
PAC Amount payable on such Payment Date or Distribution Date. The failure to
pay in full the PAC Amount payable on a Payment Date or Distribution Date
shall not constitute an Event of Default under the Indenture or Trust
Agreement.
If so specified in the related Prospectus Supplement, on any Payment Date
or Distribution Date on which the principal balance of the Mortgage Assets is
reduced due to losses on the Mortgage Assets, (i) the amount of such losses
will be allocated first, to reduce the Aggregate Outstanding Principal of the
Subordinate Bonds or Subordinate Certificates or other subordination, if any,
and, thereafter, to reduce the Aggregate Outstanding Principal of the
remaining Securities in the priority and manner specified in such Prospectus
Supplement until the Aggregate Outstanding Principal of each Class of
Securities so specified has been reduced to zero or paid in full, thus,
reducing the amount of principal payable on each such Class of Securities or
(ii) such losses may be allocated in any other manner set forth in the
related Prospectus Supplement. Unless otherwise specified in the related
Prospectus Supplement, such reductions of principal of a Class or Classes of
Securities shall be allocated to the holders of the Securities of such Class
or Classes pro rata in the proportion which the outstanding principal of each
Security of such Class or Classes bears to the Aggregate Outstanding
Principal of all Securities of such Class.
One or more Classes of a Series may consist of Subordinate Bonds or
Subordinate Certificates. Subordinate Bonds or Subordinate Certificates may
be included in a Series to provide credit support as described herein under
"ENHANCEMENT" in lieu of or in addition to other forms of credit support. The
extent of subordination of a Class of Subordinate Bonds or Subordinate
Certificates may be limited as described in the related Prospectus
Supplement. See "ENHANCEMENT." If the Mortgage Assets are divided into
separate Mortgage Groups securing separate Classes of a Series, credit
support may be provided by a cross-support feature which requires that
distributions be made to Senior Bonds or Senior Certificates secured by one
Mortgage Group prior to making distributions on Subordinate Bonds or Senior
Certificates secured by another Mortgage Group within the Trust Estate or
Trust Fund. Subordinate Bonds or Subordinate Certificates will be offered
hereby and by the related Prospectus Supplement so long as such Bonds or
Certificates are rated in one of the four highest rating categories by at
least one Rating Agency.
SPECIAL REDEMPTION
If specified in the related Prospectus Supplement, the Bonds of a Series
may be subject to special redemption on the day of any month specified
therein if, as a result of the prepayment experience on the
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Mortgage Assets securing such Bonds or the low yield available for
reinvestment or both, the Trustee determines (based on assumptions specified
in the Indenture and after giving effect to the amounts, if any, available to
be withdrawn from any Reserve Fund for such Series) that the amount
anticipated to be available in the Collection Account on the date specified
in the related Prospectus Supplement for such Series, is anticipated to be
insufficient to pay debt service on the Bonds of such Series on such Payment
Date. The principal amount of Bonds of such Series required to be so redeemed
will not exceed the Principal Payment Amount otherwise required to be paid on
the next Payment Date. Therefore, the primary result of such a special
redemption of Bonds is payment of principal prior to the next scheduled
Payment Date.
To the extent described in the related Prospectus Supplement, Bonds of a
Series may be subject to special redemption in whole or in part following
certain defaults under an Enhancement Agreement and, in certain other events,
at the Redemption Price.
All payments of principal pursuant to any special redemption will be made
in the order of priority and in the manner specified in the related
Prospectus Supplement. Notice of any special redemption will be mailed by the
Issuer or the Trustee prior to the Special Redemption Date. Unless otherwise
specified in the related Prospectus Supplement, the Redemption Price for any
Bonds so redeemed will be equal to 100% of the principal amount of such Bonds
(or 100% of the Compound Value of any Compound Interest Securities) or
portions thereof so redeemed, together with interest accrued thereon to the
date specified in the related Prospectus Supplement.
In the event that Mortgage Assets having an Aggregate Bond Value at least
equal to the original Aggregate Outstanding Principal of a Series is not
pledged and delivered to the Trustee on the related Closing Date, the Issuer
will deposit cash or Eligible Investments on an interim basis with the
Trustee on such Closing Date in lieu of such Undelivered Mortgage Assets. If
Mortgage Assets are not subsequently delivered within 90 days of issuance of
the Bonds, the amount of such deposit corresponding to principal may be used
to pay a corresponding amount of principal of the Bonds to the extent set
forth, and on the Payment Dates specified, in the Prospectus Supplement.
OPTIONAL REDEMPTION
The Issuer, or such other Person specified in the related Prospectus
Supplement, may, at its option and if so specified in the related Prospectus
Supplement, redeem, in whole or in part, one or more Classes of any Series on
any Payment Date for such Series on or after the dates, if any, specified in
such Prospectus Supplement. Notice of such redemption will be given by the
Issuer or Trustee prior to the Redemption Date. In the case of a REMIC, the
Issuer may effect an optional redemption only if it obtains an opinion of
counsel that such redemption, or any contribution made to the REMIC in
connection with such redemption, will not cause the REMIC to fail to qualify
as such or cause the REMIC to be subject to tax. The Redemption Price for any
Bond so redeemed will be equal to 100% of the outstanding principal amount of
such Bond, together with interest accrued thereon to the date specified in
the related Prospectus Supplement.
MANDATORY REDEMPTION
If specified in the related Prospectus Supplement, Bonds of one or more
Classes of a Series ("Individual Investor Bonds") may be subject to mandatory
redemption by lot or by such other method set forth in the Prospectus
Supplement. Except as otherwise specified in the related Prospectus
Supplement, no Bonds of a particular Class will be redeemed until all Bonds
in each Class having a higher priority of redemption have been paid in full.
Residual Interest Bonds will not be redeemed except in connection with the
liquidation of the applicable REMIC, in which event the Residual Interest
Bonds of the applicable Series will be redeemed in full.
Individual Investor Bonds within a Class will be selected for redemption
by random lot in $1,000 units after all redemptions requested by holders of
Individual Investor Bonds in the Class have been made or by such other method
set forth in the Prospectus Supplement. Procedures relating to optional
redemptions requested by holders of Individual Investor Bonds and to
mandatory redemptions by the
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Issuer of Individual Investor Bonds, and the Class priorities, if any, and
conditions with respect to such redemptions, will be described in the related
Prospectus Supplement.
OPTIONAL TERMINATION
If so specified in the related Prospectus Supplement for a Series, the
Depositor, the Servicer, or another entity designated in the related
Prospectus Supplement may, at its option, cause an early termination of a
Trust Fund by repurchasing all of the Mortgage Assets from such Trust Fund on
or after a date specified in the related Prospectus Supplement, or on or
after such time as the aggregate outstanding principal amount of the
Certificates is less than a specified percentage of their initial aggregate
principal amount. In the case of a Trust Fund for which a REMIC election has
been made, the Trustee shall receive a satisfactory opinion of counsel that
the repurchase price will not jeopardize the status of the REMIC and that the
optional termination will be conducted so as to constitute a "qualified
liquidation" under Section 860F of the Code. See "THE TRUST
AGREEMENT--Termination."
OPTIONAL REPURCHASE OF CERTIFICATES
If so specified in the related Prospectus Supplement for a Series, one or
more Classes of the Certificates of such Series may be repurchased, in whole
or in part, at the option of the Depositor, at such times and under the
circumstances specified in such Prospectus Supplement. Notice of any such
repurchase must be given by the Trustee prior to the optional repurchase
date, as specified in the related Prospectus Supplement. The repurchase price
for any Certificate so repurchased will be set forth in the related
Prospectus Supplement.
OTHER REPURCHASES
If so specified in the related Prospectus Supplement for a Series, any
Class of the Certificates of such Series may be subject to repurchase at the
request of the holders of such Class or to mandatory repurchase by the
Depositor. Any such redemption at the request of holders or mandatory
repurchase with respect to a Class of a Series of the Certificates will be
described in the related Prospectus Supplement and will be on such terms and
conditions as described therein.
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YIELD AND PREPAYMENT CONSIDERATIONS
TIMING OF PAYMENT OR DISTRIBUTION OF INTEREST AND PRINCIPAL
Each payment or distribution of interest on the Securities (or addition to
principal of a Class of Compound Interest Securities) on a Payment Date or
Distribution Date will include all interest accrued during the Interest
Accrual Period specified in the related Prospectus Supplement preceding such
Payment Date or Distribution Date. If the Interest Accrual Period for a
Series ends on a date other than a Payment Date or Distribution Date for such
Series, the yield realized by the holders of such Securities may be lower
than the yield that would result if the Interest Accrual Period ended on such
Payment Date or Distribution Date. Additionally, if so specified in the
related Prospectus Supplement, interest accrued for an Interest Accrual
Period for one or more Classes may be calculated on the assumption that
principal payments or distributions (and additions to principal of the
Securities) and allocations of losses on the Mortgage Assets are made on the
first day of the preceding Interest Accrual Period and not on the Payment
Date or Distribution Date with respect to such preceding Interest Accrual
Period. Such method would produce a lower effective yield than if interest
were calculated on the basis of the actual principal amount outstanding
during such Interest Accrual Period.
PRINCIPAL PREPAYMENTS
The yield to maturity or final distribution on the Securities will be
affected by the rate of principal payments on the Mortgage Loans (including
principal prepayments resulting from both voluntary prepayments by the
Mortgagors and involuntary liquidations). The rate at which principal
prepayments occur on the Mortgage Loans will be affected by a variety of
factors, including, without limitation, the terms of the Mortgage Loans, the
level of prevailing interest rates, the availability of mortgage credit and
economic, tax, legal and other factors. The rate of principal payments or
distributions on the Securities will correspond to the rate of principal
payments on the Mortgage Assets. Principal prepayments on the Mortgage Assets
are likely to be affected by the existence of provisions prohibiting
prepayment of a Mortgage Loan underlying or comprising the Mortgage Assets
for a defined period of time (a "Lock-Out Period") or provisions requiring
the payment of a prepayment premium in the event of a prepayment (a "Yield
Maintenance Payment"), and by the extent to which the Primary Servicer is
able to enforce such provisions. Mortgage Loans with a Lock-Out Period or a
Yield Maintenance Payment, to the extent enforceable, generally would be
expected to experience a lower rate of principal prepayments than otherwise
identical Mortgage Loans without such provisions, with shorter Lock-Out
Periods or with lower Yield Maintenance Payments.
If the purchaser of a Security offered at a discount calculates its
anticipated yield to maturity or final distribution based on an assumed rate
of distributions of principal that is faster than that actually experienced
on the Mortgage Loans, the actual yield to maturity or final distribution
will be lower than that so calculated. Conversely, if the purchaser of a
Security offered at a premium calculates its anticipated yield to maturity or
final distribution based on an assumed rate of distributions of principal
that is slower than that actually experienced on the Mortgage Loans, the
actual yield to maturity or final distribution will be lower than that so
calculated.
The timing of changes in the rate of principal prepayments on the Mortgage
Loans may significantly affect an investor's actual yield to maturity, even
if the average rate of distributions of principal is consistent with an
investor's expectation. In general, the earlier a principal prepayment is
received on the Mortgage Loans and paid on an investor's Securities, the
greater the effect on such investor's yield to maturity or final
distribution. The effect on an investor's yield of principal payments or
distributions occurring at a rate higher (or lower) than the rate anticipated
by the investor during a given period may not be offset by a subsequent like
decrease (or increase) in the rate of principal payments or distributions.
PREPAYMENTS AND WEIGHTED AVERAGE LIFE
The Stated Maturity for a Class is the date specified in the related
Prospectus Supplement, calculated on the basis of the assumptions applicable
to such Series set forth therein, no later than which the entire Aggregate
Outstanding Principal thereof will be fully paid.
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The rate of return on reinvestment of distributions of principal and
interest on the Mortgage Assets securing a Series, the rates at which
principal payments are received on such Mortgage Assets and the rate at which
payments are made from any Reserve Fund or other Enhancement for such Series
may affect the ultimate maturity of each Class of such Series. Prepayments on
the Mortgage Assets will accelerate the rate at which principal is paid or
distributed on the Securities. High reinvestment rates tend to increase the
amount of Excess Cash Flow, which, to the extent applied to principal
payments or distributions on the Securities, will accelerate principal
payments or distributions on such Securities.
Weighted average life refers to the average amount of time that will
elapse from the date of issue of a security until each dollar of principal of
such security will be repaid to the investor. The weighted average life of
the Securities of a Series will be influenced by the rate at which principal
on the Mortgage Loans comprising or underlying the Mortgage Assets pledged as
security for such Bonds, or deposited in the Trust Fund, as the case may be,
is paid, which may be in the form of scheduled amortization or prepayments
(for this purpose, the term "prepayment" includes prepayments, in whole or in
part, and liquidations due to default).
The rate of principal prepayments on pools of mortgages is influenced by a
variety of economic, demographic, geographic, tax, legal and other factors.
The rate of prepayments of housing loans has fluctuated significantly in
recent years. In general, however, if prevailing interest rates fall
significantly below the interest rates on the Mortgage Loans comprising or
underlying the Mortgage Assets pledged as security for a Series, such
Mortgage Loans are likely to be the subject of higher principal prepayments
than if prevailing rates remain at or above the rates borne by such
mortgages. In this regard, it should be noted that certain Mortgage Assets
pledged as security for a Series may be backed by Mortgage Loans with
different interest rates and the stated pass-through or pay-through interest
rate of certain Mortgage Assets may be a number of percentage points less
than the underlying Mortgage Loans. In addition, the weighted average life of
the Securities may be affected by the varying maturities of the Mortgage
Loans comprising or underlying the Mortgage Assets. If any Mortgage Loans
comprising or underlying the Mortgage Assets for a Series have actual terms
to maturity of less than those assumed in calculating Stated Maturity or the
Final Scheduled Distribution Date, one or more Classes of the Series may be
fully paid prior to their respective Stated Maturities or the Final Scheduled
Distribution Dates, even in the absence of prepayments and a reinvestment
return higher than the Assumed Reinvestment Rate, if any. Accordingly, the
prepayment experience of the Mortgage Assets will, to some extent, be a
function of the mix of interest rates and maturities of the Mortgage Loans
comprising or underlying such Mortgage Assets. See "SECURITY FOR THE BONDS
AND CERTIFICATES."
Prepayments on loans are also commonly measured relative to a prepayment
standard or model, such as the Constant Prepayment Rate ("CPR") prepayment
model or the Standard Prepayment Assumption ("SPA") prepayment model, each as
described below. CPR represents a constant assumed rate of prepayment each
month relative to the then outstanding principal balance of a pool of loans
for the life of such loans. SPA represents an assumed rate of prepayment each
month relative to the then outstanding principal balance of a pool of loans.
A prepayment assumption of 100% of SPA assumes prepayment rates of 0.2% per
annum of the then outstanding principal balance of such loans in the first
month of the life of the loans and an additional 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 loans, 100% of SPA assumes a
constant prepayment rate of 6% per annum each month.
Neither CPR nor SPA nor any other prepayment model or assumption purports
to be a historical description of prepayment experience or a prediction of
the anticipated rate of prepayment of any pool of loans, including the
Mortgage Loans underlying or comprising the Mortgage Assets. Thus, it is
likely that prepayment of any Mortgage Loans comprising or underlying the
Mortgage Assets for any Series will not conform to any particular level of
CPR or SPA.
The Issuer is not aware of any publicly available statistics that set
forth prepayment experience or prepayment forecasts of commercial or
multifamily mortgage loans over an extended period of time.
Except with respect to Interest Only Securities, the Prospectus Supplement
will contain tables setting forth the projected weighted average life of each
Class of such Series and the percentage of the original
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principal amount of each Class of such Series that would be outstanding on
specified Payment Dates or Distribution Dates for such Series based on the
assumptions stated in such Prospectus Supplement, including assumptions that
prepayments on the Mortgage Loans comprising or underlying the related
Mortgage Assets are made at rates corresponding to various percentages of
CPR, SPA or at such other rates specified in such Prospectus Supplement. Such
tables and assumptions are intended to illustrate the sensitivity of weighted
average life of the Securities to various prepayment rates and will not be
intended to predict or to provide information which will enable investors to
predict the actual weighted average life of the Securities or prepayment
rates of the Mortgage Loans comprising or underlying the related Mortgage
Assets. It is unlikely that prepayment of any Mortgage Loans comprising or
underlying the Mortgage Assets for any Series will conform to any particular
level of CPR, SPA or any other rate specified in the related Prospectus
Supplement.
OTHER FACTORS AFFECTING WEIGHTED AVERAGE LIFE
Type of Mortgage Loan. Mortgage Loans comprising or underlying the
Mortgage Assets may consist of ARMs. The rate of principal prepayments with
respect to ARMs has fluctuated in recent years. ARMs may be subject to a
greater rate of principal prepayments in a declining interest rate
environment. For example, if prevailing interest rates fall significantly
below the then current mortgage interest rates on the Mortgage Loans, the
rate of prepayment on the Mortgage Loans would be expected to increase.
Conversely, if prevailing interest rates rise significantly above the then
current mortgage interest rates on the Mortgage Loans, the rate of prepayment
on the Mortgage Loans would be expected to decrease. No assurances can be
given as to the rate of prepayments on the Mortgage Loans in stable or
changing interest rate environments.
A number of Mortgage Loans may have balloon payments due at maturity, and
because the ability of a borrower to make a balloon payment typically will
depend upon its ability either to refinance the loan or to sell the related
Mortgaged Property, there is a risk that a number of Mortgage Loans having
balloon payments may default at maturity, or that the Servicer, the Master
Servicer or the Special Servicer, if any, may extend the maturity of such a
Mortgage Loan in connection with a workout. In the case of defaults, recovery
of proceeds may be delayed by, among other things, bankruptcy of the borrower
or adverse conditions in the market where the property is located. In order
to minimize losses on defaulted Mortgage Loans, the Servicer, the Master
Servicer or the Special Servicer, if any, may, to the extent and under the
circumstances set forth in the related Prospectus Supplement, be given
considerable flexibility to modify Mortgage Loans which are in default or as
to which a default is reasonably foreseeable. Any defaulted balloon payment
or modification which extends the maturity of a Mortgage Loan will tend to
extend the weighted average life of the Securities thereby lengthening the
period of time elapsed from the date of issuance of a Security until each
dollar of principal will be repaid to the investor.
Foreclosures and Payment Plans. The number of foreclosures and the
principal amount of the Mortgage Loans comprising or underlying the Mortgage
Assets which are foreclosed in relation to the number of Mortgage Loans which
are repaid in accordance with their terms will affect the weighted average
life of the Mortgage Loans comprising or underlying the Mortgage Assets and
that of the related Series of Securities. Servicing decisions made with
respect to the Mortgage Loans, including the use of payment plans prior to a
demand for acceleration and the restructuring of Mortgage Loans in bankruptcy
proceedings, may also have an impact upon the payment patterns of particular
Mortgage Loans. The return to Holders of Securities may be adversely affected
by servicing policies and decisions relating to foreclosures.
Due on Sale Clauses. Acceleration of mortgage payments as a result of
certain transfers of underlying Mortgaged Property is another factor
affecting prepayment rates that may not be reflected in the prepayment
standards or models used in the relevant Prospectus Supplement. A number of
the Mortgage Loans underlying Private Mortgage-Backed Securities and Mortgage
Loans in a Mortgage Pool may include "due-on-sale" clauses which allow the
holder of the Mortgage Loans to demand payment in full of the remaining
principal balance of the Mortgage Loans upon sale or certain other transfers
of the underlying Mortgaged Property. Except as otherwise described in the
Prospectus Supplement for a Series, the Primary Servicer of Mortgage Loans
comprising or underlying Mortgage Assets securing such Series
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will not exercise its right to enforce any "due-on-sale" clause applicable to
the related Mortgage Loan so long as the new mortgagor satisfies the
applicable underwriting criteria for similar loans serviced by the Primary
Servicer. The Primary Servicer will not enforce such clause to the extent
enforcement would be unlawful or would prejudice recovery under any
applicable Insurance Policy. If the Primary Servicer determines not to
enforce such "due-on-sale" clause, it will enter into an assumption and
modification agreement with the person to whom the Mortgaged Property is to
be conveyed. FHA Loans are not permitted to contain "due-on-sale" clauses and
are freely assumable by qualified persons.
Single Mortgage Loan or Single Obligor. The Mortgage Assets securing a
Series may consist of a single Mortgage Loan or obligations of a single
obligor or related obligors as specified in the related Prospectus
Supplement. Assumptions used with respect to the prepayment standards or
models based upon analysis of the behavior of mortgage loans in a larger
group will not necessarily be relevant in determining prepayment experience
on a single Mortgage Loan or with respect to a single obligor.
SECURITY FOR THE BONDS AND CERTIFICATES
GENERAL
Each Series of Bonds will be secured by a pledge by the Issuer to the
Trustee of all right, title and interest of the Issuer in the Primary Assets
for such Series, and each Series of Certificates will represent a beneficial
interest in a Trust Fund comprised of Primary Assets transferred to the
Trustee by the Depositor. The Primary Assets may include (a) Mortgage Assets
directly owned by the Issuer, (b) amounts payable under the Mortgage Assets,
(c) funds, instruments or securities deposited or held from time to time in
any Reserve Fund, (d) funds, instruments or securities initially deposited in
the Collection Account for such Series, (e) an assignment of leases and
rents, if any, (f) reinvestment income, if any, on moneys deposited in any
Pledged Fund or Account, (g) Enhancement Agreements, if any, (h) Servicing
Agreements, if any, related to the Mortgage Loans of such Series, and (i)
other funds, instruments or securities specified as Primary Assets in the
related Prospectus Supplement.
To the extent specified in the related Prospectus Supplement, certain
amounts received by the Trustee or a Servicer with respect to a Private
Mortgage-Backed Security or Mortgage Loan securing a Series may not be
pledged as Mortgage Assets for such Series or deposited into the Trust Fund
for such Series, as the case may be, but will be payable to the seller of
such Private Mortgage-Backed Security or Mortgage Loan or to a Servicer free
and clear of the lien of the Indenture, or interest granted under the Trust
Agreement.
Mortgage Assets for a Series may consist of any combination of the
following to the extent and as specified in the related Prospectus
Supplement: (a) Mortgage Loans or participation interests therein and (b)
Private Mortgage-Backed Securities. Mortgage Loans for a Series will be
purchased by the Issuer directly or through an affiliate in the open market
or in privately negotiated transactions. Private Mortgage-Backed Securities
will in turn be secured by Underlying Collateral which will consist of
Mortgage Loans. Participation interests pledged as Mortgage Assets for a
Series may be acquired by the Issuer pursuant to a Participation Agreement or
may be purchased in the open market.
The Trustee or its agents or nominees will have possession of any Mortgage
Loans constituting Mortgage Assets and will be the registered owner of any
Private Mortgage-Backed Security which constitutes Mortgage Assets. The
Trustee will not, unless otherwise specified in the related Prospectus
Supplement, be in possession of or be the registered owner of any Underlying
Collateral for any Private Mortgage-Backed Security. See "Private
Mortgage-Backed Securities" below.
Unless otherwise specified in the related Prospectus Supplement for a
Series, scheduled distributions of principal of and interest on the Mortgage
Assets pledged to secure a Series or deposited into the Trust Fund for such
Series, as the case may be, the amounts available to be withdrawn from any
related Reserve Fund, the amount of cash, if any, initially deposited in the
related Collection Account and any other Mortgage Assets pledged to secure
such Series or deposited into the Trust Fund for such Series, as the case may
be, together with the Reinvestment Income thereon at the Assumed Reinvestment
Rate, if any, will be sufficient irrespective of the rate of prepayments on
the Mortgage Assets to make required
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payments of interest on the Securities of such Series and to retire each
Class of such Series not later than its Stated Maturity or Final Scheduled
Distribution Date, as applicable. See "YIELD AND PREPAYMENT CONSIDERATIONS."
The Mortgage Assets for a Series will equally and ratably secure each Class
of such Series, or will represent beneficial interest in the Trust Fund, as
the case may be, without priority of one Class over the other (subject to any
subordination of Subordinate Securities of a Series as set forth in the
related Prospectus Supplement), and the Mortgage Assets securing each Series,
or comprising the Trust Fund, will serve as Mortgage Assets only for that
Series.
MORTGAGE LOANS
General. Mortgage Loans for a Series may consist of Mortgage Loans or
participation interests therein. Mortgage Loans comprising the Mortgage
Assets, Mortgage Loans in which participation interests are conveyed to the
Trustee, and Mortgage Loans underlying Private Mortgage-Backed Securities are
referred to herein as the "Mortgage Loans." Some of the Mortgage Loans may
have been originated by or acquired from an affiliate of the Issuer and an
affiliate of the Issuer may be an obligor with respect to a Mortgage Loan.
Mortgage Loans may, as specified in the related Prospectus Supplement,
consist of fixed rate, level payment, fully amortizing Mortgage Loans, ARMs
or Mortgage Loans having balloon or other payment characteristics as
described in the related Prospectus Supplement. ARMs may have a feature which
permits the borrower to convert the rate thereon to a fixed rate. Unless
otherwise specified in the applicable Prospectus Supplement, the Mortgage
Loans will be secured by first mortgages or deeds of trust or other similar
security instruments creating a first lien on Mortgaged Property.
The Mortgaged Properties may include Multifamily Property (i.e.,
multifamily residential rental properties or cooperatively owned properties
consisting of five or more dwelling units) or Commercial Property.
Multifamily Property may include mixed commercial and residential structures
and may consist of property securing FHA-insured Mortgage Loans made by
private lending institutions to help finance construction or substantial
rehabilitation of the related multifamily rental or cooperative housing for
moderate-income or displaced families. See "DESCRIPTION OF INSURANCE ON THE
MORTGAGE LOANS--FHA Insurance."
Each Mortgaged Property will be located on land owned in fee simple by the
Mortgagor or on land leased by the Mortgagor for a term at least two years
greater than the term of the related Mortgage Loan. Unless otherwise
specified in the related Prospectus Supplement, the fee interest in leased
land will be subject to the lien securing the related Mortgage Loan. Mortgage
Loans secured by Multifamily Property or Commercial Property will generally
also be secured by an assignment of leases and rents and/or operating or
other cash flow guarantees relating to the Mortgage Loan.
If so specified in the related Prospectus Supplement, Mortgage Loans
relating to real estate projects under construction may be included in the
Mortgage Assets for a Series. The related Prospectus Supplement will set
forth the procedures and timing for making disbursements from construction
reserve funds as portions of the related real estate project are completed.
If permitted by applicable law, the Mortgage Pool may also include Mortgaged
Properties acquired by foreclosure or by deed-in-lieu of foreclosure ("REO
Property"). To the extent specified in the related Prospectus Supplement, the
Servicer, the Master Servicer or the Special Servicer, if any, may establish
and maintain a trust account or accounts to be used in connection with REO
Properties and other Mortgaged Properties being operated by it or on its
behalf on behalf of the Trust Estate or the Trust Fund, as the case may be,
by the mortgagor as debtor-in-possession or otherwise. See "SECURITY FOR THE
BONDS AND CERTIFICATES-- Maintenance of Insurance Policies and Other
Servicing Procedures; Presentation of Claims; Realization Upon Defaulted
Mortgage Loans." In addition, the Mortgage Pool for a particular Series may
include Mortgage Loans which consist of cash flow mortgages, installment
contracts, mortgage loans with equity features or other mortgage loans
described in the related Prospectus Supplement.
The related Prospectus Supplement for each Series will provide information
with respect to the Mortgage Pool as of the Cut-Off Date, including, among
other things, (a) the aggregate unpaid principal balance of the Mortgage
Loans comprising the Mortgage Pool; (b) the weighted average Mortgage Rate on
the Mortgage Loans, and, in the case of adjustable Mortgage Rates, the
weighted average of the current adjustable Mortgage Rates, the minimum and
maximum permitted adjustable Mortgage Rates, if
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any, and the weighted average thereof; (c) the average outstanding principal
balance of the Mortgage Loans; (d) the weighted average remaining scheduled
term to maturity of the Mortgage Loans and the range of remaining scheduled
terms to maturity; (e) the range of Loan-to-Value Ratios of the Mortgage
Loans; (f) the relative percentage (by principal balance as of the Cut-Off
Date) of Mortgage Loans that are ARMs, fixed interest rate, FHA Loans or
other types of Mortgage Loans; (g) any Enhancement relating to the Mortgage
Pool; (h) the relative percentage (by principal balance as of the Cut-Off
Date) of Mortgage Loans that are secured by Multifamily Property or
Commercial Property; (i) the geographic dispersion of Mortgaged Properties
securing the Mortgage Loans; and (j) the use or type of each Mortgaged
Property securing a Mortgage Loan. The related Prospectus Supplement will
also specify other characteristics of Mortgage Loans which may be included in
the Mortgage Pool for a Series. If Private Mortgage-Backed Securities
representing ownership interests in multiple mortgage pools constitute
Mortgage Assets for a Series, the Prospectus Supplement will set forth, to
the extent available, the above-specified information on an aggregate basis
for the respective mortgage pools. If specific information respecting the
Mortgage Loans is not known to the Issuer at the time the related Series is
initially offered, more general information of the nature described above
will be provided in the Prospectus Supplement, and final specific information
will be set forth in a Current Report on Form 8-K to be available to
investors on the date of issuance of the Series and to be filed with the
Commission within 15 days after the initial issuance of such Series.
If so specified in the related Prospectus Supplement, the terms of a
Mortgage Loan may provide that upon the sale of the Mortgaged Property, the
obligor may, in lieu of the payment in full of the amount of principal and
interest then outstanding or accrued on the related Mortgage Loan,
irrevocably deposit cash or other specified obligations into an account with
the Trustee in an amount which, together with interest thereon, will be
sufficient to make timely payments or distributions of principal and interest
on the Mortgage Loan and, therefore, on the Securities according to their
terms.
The characteristics of the Mortgage Loans comprising or underlying the
Mortgage Assets may affect the rate of prepayment of Securities and the risk
of delinquencies, foreclosures and losses. See "RISK FACTORS" and "YIELD AND
PREPAYMENT CONSIDERATIONS."
Mortgage Underwriting Standards and Procedures. The underwriting
procedures and standards for Mortgage Loans included in a Mortgage Pool will
be specified in the related Prospectus Supplement to the extent such
procedures and standards are known or available. Such Mortgage Loans may be
originated in contemplation of the transactions contemplated by this
Prospectus and the related Prospectus Supplement. If stated in the related
Prospectus Supplement, the originator of the Mortgage Loans (or another
entity specified in the related Prospectus Supplement) will make
representations and warranties concerning compliance with such underwriting
procedures and standards.
Except as otherwise set forth in the related Prospectus Supplement for a
Series, the originator of a Mortgage Loan will have applied underwriting
procedures intended to evaluate, among other things, the income derived from
the Mortgaged Property, the capabilities of the management of the project,
including a review of management's past performance record, its management
reporting and control procedures (to determine its ability to recognize and
respond to problems) and its accounting procedures to determine cash
management ability, the obligor's credit standing and repayment ability and
the value and adequacy of the Mortgaged Property as collateral. FHA Loans
will have been originated by mortgage lenders which are approved by HUD as an
FHA mortgagee in the ordinary course of their real estate lending activities
and will comply with the underwriting policies of FHA. Except as described
below or in the related Prospectus Supplement, the Issuer believes that
underwriting procedures used were consistent with those utilized by mortgage
lenders generally during the period of origination.
Unless otherwise specified in the related Prospectus Supplement, the
adequacy of a Mortgaged Property as security for repayment will generally
have been determined by appraisal by appraisers selected in accordance with
preestablished guidelines established by or acceptable to the loan originator
for appraisers. Unless otherwise specified in the related Prospectus
Supplement, the appraiser must personally inspect the property and verify
that it was in good condition and that construction, if new, has
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been completed. Unless otherwise stated in the applicable Prospectus
Supplement, the appraisal will have been based upon a cash flow analysis or a
market data analysis of recent sales of comparable properties and, when
deemed applicable, a replacement cost analysis based on the current cost of
constructing or purchasing a similar property.
No assurance can be given that values of the Mortgaged Properties have
remained or will remain at their levels on the dates of origination of the
related Mortgage Loans. Further, there is no assurance that appreciation of
real estate values generally will limit loss experiences on Commercial
Property or on non-traditional housing such as Multifamily Property. If the
residential real estate market should experience an overall decline in
property values such that the outstanding balances of the Mortgage Loans and
any additional financing on the Mortgaged Properties in a particular Mortgage
Pool become equal to or greater than the value of the Mortgaged Properties,
the actual rates of delinquencies, foreclosures and losses could be higher
than those now generally experienced in the mortgage lending industry. To the
extent that such losses are not covered by the methods of Enhancement or the
insurance policies described herein, the ability of the Issuer to pay
principal of and interest on the Securities may be adversely affected. Even
where credit support covers all losses resulting from defaults and
foreclosure, the effect of defaults and foreclosures may be to increase
prepayment experience on the Mortgage Assets, thus shortening weighted
average life and affecting yield to maturity. See "YIELD AND PREPAYMENT
CONSIDERATIONS."
Determination of Compliance With Pool Requirements and Underwriting
Procedures. As more specifically set forth in the related Prospectus
Supplement, the Issuer will represent and warrant, upon pledge of the
Mortgage Loans to the Trustee under the Indenture or deposit of such Mortgage
Loans into the Trust Fund, as applicable, among other things, as to the
accuracy of the information in the related Mortgage Loan Schedule. If
specified in the related Prospectus Supplement, the originator of a Mortgage
Loan may make representations and warranties with respect to such Mortgage
Loan. If so specified in the related Prospectus Supplement, the Issuer will
assign its rights and the seller's obligations under the agreement pursuant
to which the Issuer acquired the Mortgage Assets for the related Series to
the Trustee.
If so specified in the related Prospectus Supplement, upon the discovery
of the breach of certain representations or warranties made by the Issuer in
respect of a Mortgage Loan that materially and adversely affects the
interests of the Bondholders or Certificateholders of the related Series, the
Issuer will be obligated to cause the seller of such Mortgage Loans to
repurchase such Mortgage Loan or deliver a substitute conforming Mortgage
Loan as described below under "Repurchase and Substitution of Non-Conforming
Mortgage Loans." The Trustee will be required to enforce this obligation for
the benefit of the Bondholders or Certificateholders, following the practices
it would employ in its good faith business judgment were it the owner of such
Mortgage Loan. If so specified in the related Prospectus Supplement, the
Master Servicer, if any, may be obligated to enforce such obligations rather
than the Trustee.
Repurchase and Substitution of Non-Conforming Mortgage Loans. The Trustee,
or if so specified in the related Prospectus Supplement, a custodian, will
review Mortgage Loan documents after receipt thereof. Unless otherwise
provided in the related Prospectus Supplement, if any such document is found
to be defective in any material respect, or if it is determined that the
Issuer has breached any representation or warranty, the Trustee or the
custodian shall immediately notify the Issuer and the Master Servicer, if
any, and the Trustee, if the custodian. Unless otherwise specified in the
related Prospectus Supplement, if the Issuer cannot cure such defect
thereafter, the Issuer will be obligated to cause the seller of such Mortgage
Loan to repurchase within 90 days of the execution of the related Series
Supplement, or within such other period specified in the related Prospectus
Supplement, the related Mortgage Loan or any property acquired in respect
thereof from the Trustee at a purchase price equal to the unpaid principal
balance of the Mortgage Loan (or, in the case of a foreclosed Mortgage Loan,
the unpaid principal balance of such Mortgage Loan immediately prior to
foreclosure) plus accrued interest.
Unless otherwise provided in the related Prospectus Supplement, the Issuer
may, rather than cause the repurchase of the Mortgage Loan as described
above, remove such Mortgage Loan from the Trust Estate ("Deleted Mortgage
Loan") or Trust Fund, as applicable, and substitute in its place one or more
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other Mortgage Loans (each, a "Substitute Mortgage Loan"); provided, however
with respect to a Series for which no REMIC election is made, such
substitution must be effected within the period specified in the related
Prospectus Supplement. Any Substitute Mortgage Loan will, on the date of
substitution, have the characteristics specified in the related Prospectus
Supplement. Unless otherwise specified in the related Prospectus Supplement,
this repurchase or substitution obligation constitutes the sole remedy
available to the Bondholders, Certificateholders or the Trustee for a
material defect in a Mortgage Loan document or for breach of representations
and warranties with respect to any Mortgage Loan. With respect to Mortgage
Loans underlying Private Mortgage-Backed Securities, the PMBS Agreement may
have terms relating to the repurchase or substitution obligations which
differ from those set forth above.
The Master Servicer, if any, may also make certain warranties with respect
to the Mortgage Loans comprising the Mortgage Pool for a Series. See
"SERVICING OF MORTGAGE LOANS--Certain Matters Regarding the Master Servicer."
Upon a breach of any such warranty that materially and adversely affects the
interests of Bondholders or Certificateholders of the related Series, the
related Mortgage Loan will be required to be repurchased, subject to the
conditions described in the preceding paragraph and in the related Prospectus
Supplement. If the Master Servicer fails to repurchase such a Mortgage Loan,
payment to Bondholders or Certificateholders could be reduced to the extent
payments are not made on the Mortgage Loan.
Various Servicers will provide certain customary servicing functions with
respect to any Mortgage Loans pursuant to servicing agreements. Such
Servicers may include affiliates of the Issuer. If so specified in the
related Prospectus Supplement, a Master Servicing Agreement may be entered
into between the Issuer and a Master Servicer. The Master Servicer will
supervise the performance by the Servicers of their duties and
responsibilities under the servicing agreements with respect to Mortgage
Loans for the related Series. Alternatively, if so specified in the related
Prospectus Supplement, the Master Servicer may be obligated to service
Mortgage Loans directly or through one or more Servicers. In such a case, the
Master Servicer will be primarily responsible for servicing of the Mortgage
Loans. The specific duties to be performed by any Servicers and Master
Servicer, if any, with respect to the Mortgage Loans of a particular Series
will be set forth in the Prospectus Supplement to the extent they differ from
the servicing obligations described herein under "SERVICING OF THE MORTGAGE
LOANS." Servicers and the Master Servicer, if any, may be required to advance
funds to cover delinquent payments on Mortgage Loans, to the extent specified
in the related Prospectus Supplement. The Prospectus Supplement also will
specify criteria to be met by each Servicer and the Master Servicer. Such
criteria will be determined by the Issuer consistent with the requirements of
each Rating Agency rating such Series. See "SERVICING OF MORTGAGE LOANS."
PRIVATE MORTGAGE-BACKED SECURITIES
General. Private Mortgage-Backed Securities may consist of (a) mortgage
participations and pass-through certificates, evidencing an undivided
interest in a pool of Mortgage Loans, (b) debt obligations (interest payments
on which may be tax-exempt in whole or in part), secured by mortgages or (c)
participations or other interests in any of the foregoing. Private
Mortgage-Backed Securities will have been issued pursuant to a pooling and
servicing agreement, an indenture or similar agreement, or a participation
agreement or similar agreement (a "PMBS Agreement"). The seller or servicer
of the underlying Mortgage Loans will have entered into the PMBS Agreement
with the trustee under such PMBS Agreement (the "PMBS Trustee"). The PMBS
Trustee or its agent, or a custodian, will possess the Mortgage Loans,
participations or other interest, underlying such Private Mortgage-Backed
Security. Mortgage Loans underlying a Private Mortgage-Backed Security will
be serviced by the Master Servicer directly or by one or more Servicers who
may be subject to the supervision of the Master Servicer. Unless otherwise
specified in the Prospectus Supplement relating to a Series, if payments with
respect to interest on the underlying obligations are tax-exempt, such
Prospectus Supplement will disclose the relevant federal tax characteristics
relating to the tax-exempt status of such obligations.
The issuer of the Private Mortgage-Backed Securities (the "PMBS Issuer")
may be a financial institution or other entity engaged generally in the
business of mortgage lending, a public agency or instrumentality of a state,
local or federal government or a limited purpose corporation organized for
the
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purpose of, among other things, establishing trusts and acquiring and selling
housing loans to such trusts, and selling beneficial interests in such
trusts. If so specified in the Prospectus Supplement, the PMBS Issuer may be
an affiliate of the Issuer. The obligations of the PMBS Issuer will generally
be limited to certain representations and warranties with respect to the
assets conveyed by it to the related trust. Unless otherwise specified in the
related Prospectus Supplement, the PMBS Issuer will not have guaranteed any
of the assets conveyed to the related trust or any of the Private
Mortgage-Backed Securities issued under the PMBS Agreement. Additionally,
although the Mortgage Loans, participations or other interest, underlying the
Private Mortgage-Backed Securities may be guaranteed by an agency or
instrumentality of the United States, the Private Mortgage-Backed Securities
themselves will not be so guaranteed.
Distributions of principal and interest will be made on the Private
Mortgage-Backed Securities on the dates specified in the related Prospectus
Supplement. The Private Mortgage-Backed Securities may be entitled to receive
nominal or no principal distributions or nominal or no interest
distributions. Principal and interest distributions will be made on the
Private Mortgage-Backed Securities by the PMBS Trustee or the Servicer. The
PMBS Issuer or the Servicer or another person specified in the related
Prospectus Supplement may have the right or obligation to repurchase or
substitute assets underlying the Private Mortgage-Backed Securities after a
certain date or under other circumstances specified in the related Prospectus
Supplement.
Underlying Mortgage Loans. The Mortgage Loans underlying the Private
Mortgage-Backed Securities may consist of fixed rate, level payment, fully
amortizing Mortgage Loans, ARMs, or Mortgage Loans having balloon or other
special payment features. Mortgage Loans underlying the Private
Mortgage-Backed Securities will be secured primarily by Multifamily Property
or Commercial Property. Unless otherwise stated in the related Prospectus
Supplement, the underwriting procedures set forth above will also apply to
Underlying Mortgage Loans.
Enhancement Relating to Private Mortgage-Backed Securities. Enhancement in
the form of reserve funds, subordination of other private mortgage
certificates issued under the PMBS Agreement, letters of credit, insurance
policies or other types of credit support may be provided with respect to the
Mortgage Loans, participations or other interest, underlying the Private
Mortgage-Backed Securities or with respect to the Private Mortgage-Backed
Securities themselves. The type, characteristics and amount of enhancement,
if any, will be a function of certain characteristics of the Mortgage Loans,
participations or other interest, and other factors and will have been
established for the Private Mortgage-Backed Securities on the basis of
requirements of the Rating Agency which assigned a rating to the Private
Mortgage-Backed Securities.
Additional Information. The Prospectus Supplement for a Series which
includes Private Mortgage- Backed Securities will specify, to the extent
available, (i) the aggregate approximate principal amount and type of the
Private Mortgage-Backed Securities to be included in the Trust Estate or
Trust Fund, as applicable, (ii) certain characteristics of the Mortgage
Loans, participations or other interests which comprise the underlying assets
for the Private Mortgage-Backed Securities including (A) the payment features
of such Mortgage Loans, participations or other interests (i.e., whether they
are fixed rate or adjustable rate and whether they provide for fixed level
payments, adjustable payments or other payment features), (B) the approximate
aggregate principal balance, if known, of Underlying Mortgage Loans,
participations or other interests insured or guaranteed by a governmental
entity, (C) the servicing fee or range of servicing fees with respect to the
Mortgage Loans, and (D) the minimum and maximum stated maturities of the
underlying Mortgage Loans, participations or other interests at origination,
(iii) the maximum original term-to-stated maturity of the Private
Mortgage-Backed Securities, (iv) the weighted average pass-through or bond
rate of the Private Mortgage-Backed Securities or formula therefor, (v) the
pass-through or bond rate or ranges thereof for the Private Mortgage-Backed
Securities or formula therefor, (vi) the PMBS Issuer, Master Servicer and the
PMBS Trustee for such Private Mortgage-Backed Securities, (vii) certain
characteristics of enhancement, if any, such as subordination, reserve funds,
insurance policies, letters of credit or guarantees relating to the Mortgage
Loans, participations or other interests underlying the Private
Mortgage-Backed Securities or to such Private Mortgage-Backed Securities
themselves, (viii) the terms on which the Underlying Mortgage Loans,
participations or other interests for such Private Mortgage-Backed Securities
or the Private Mortgage-Backed Securities may, or
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are required to, be purchased prior to their maturity or the maturity of the
Private Mortgage-Backed Securities and (ix) the terms on which Mortgage
Loans, participations or other interests may be substituted for those
originally underlying the Private Mortgage-Backed Securities.
SUBSTITUTION OF MORTGAGE ASSETS
Unless otherwise provided in the related Prospectus Supplement, subject to
the limitations set forth in the Indenture or Trust Agreement for a Series,
the Issuer or Depositor may deliver to the Trustee other Mortgage Assets in
substitution for any Mortgage Assets originally pledged as security for a
Series, or deposited in the Trust Fund for a Series, as the case may be. Any
such Substitute Mortgage Assets will have an outstanding principal balance or
Asset Value (determined in a manner consistent with the Mortgage Assets for
which it is substituted) that is less than or equal to the outstanding
principal balance or Aggregate Asset Value of the Mortgage Assets for which
it is substituted, unless otherwise specified in the related Prospectus
Supplement, and will otherwise have such characteristics as shall be
necessary to cause the Mortgage Assets, upon such substitution, to conform
more fully to the description thereof set forth in the related Prospectus
Supplement. Unless otherwise specified in the related Prospectus Supplement,
(1) no substitution will be permitted which would delay the Stated Maturity
or Final Scheduled Distribution Date, of any Class of Securities of the
related Series, (2) no more than 40% of the Mortgage Assets (including any
cash deposited on the Closing Date) securing a Series may be substituted for,
(3) only like kind Mortgage Assets may be substituted for Mortgage Assets
(or, with respect to a substitution for cash deposited in any Pledged Fund or
Account on the Closing Date, the Substitute Mortgage Assets must be of like
kind as the Mortgage Assets securing the related Series) and (4) there can be
no substitutions for Substitute Mortgage Assets. No substitution may be made
(1) if such substitution would result in the Issuer becoming required to
register as an "Investment Company" for purposes of the Investment Company
Act of 1940, (2) if the Rating Agencies will, as a result of such
substitution, downgrade the rating on the related Series of Securities or any
Class thereof or (3) in the event that the Issuer has elected to be treated
as a REMIC and such substitution would cause the REMIC to lose its status as
a REMIC or result in a tax on "prohibited contributions" to or "prohibited
transactions" of the REMIC.
If the Issuer elects to treat the Mortgage Assets securing a Series of
Bonds, or deposited into the Trust Fund, as a REMIC or an election is made to
treat the arrangement by which a Series of Securities is issued as a REMIC,
no Substitute Mortgage Assets may be pledged by the Issuer (a) in the case of
the substitution for a "defective obligation" (within the meaning of Section
860G(a)(4)(B) of the Code), more than two years after the "Start Up Day" (as
defined in Section 860G(a)(9) of the Code) of the REMIC, or (b) in the case
of any other Mortgage Assets, more than three months after the Start Up Day.
COLLECTION ACCOUNT
Unless otherwise provided in the related Series Supplement, a separate
Collection Account for each Series will be established by the Trustee, or if
the Trustee is not also the Paying Agent, by the Paying Agent, for receipt of
all monthly principal and interest payments on the Primary Assets securing
such Series and the amount of cash, if any, to be initially deposited therein
by the Issuer, Reinvestment Income, if any, thereon and any amounts withdrawn
from any Reserve Funds for such Series. If specified in the related
Prospectus Supplement, Reinvestment Income, if any, or other gain from
investments of moneys in the Collection Account will be credited to the
Collection Account for such Series and any loss resulting from such
investments will be charged to such Collection Account. Funds on deposit in
the Collection Account will be available for application to the payment of
principal of and interest on the Securities of the related Series and for
certain other payments provided for in the Indenture or Trust Agreement and
described in the related Prospectus Supplement. To the extent that amounts
remaining on deposit in the Collection Account on each Payment Date or
Distribution Date represent Excess Cash Flow not required to be applied to
such payments or distributions, unless otherwise specified in the related
Prospectus Supplement, such amounts may be paid as provided in the Indenture
or Trust Agreement to the Issuer (or, in the case of a REMIC, to the holder
of the residual interest therein).
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OTHER FUNDS OR ACCOUNTS
A Series may also be secured by certain other funds and accounts for the
purpose of, among other things, (i) paying certain administrative fees and
operating expenses and (ii) accumulating funds that are credited to the
Issuer's account pending their distribution to the Issuer. See "Enhancement."
INVESTMENT OF FUNDS
The Collection Account, Servicing Accounts and certain other funds and
accounts for a Series are to be invested by the Trustee or the Paying Agent,
as directed by the Issuer, in certain Eligible Investments acceptable to each
Rating Agency rating such Series, which may include, without limitation, (a)
direct obligations of, and obligations fully guaranteed by, the United States
of America, FHLMC, FNMA or any agency or instrumentality of the United States
of America, the obligations of which are backed by the full faith and credit
of the United States of America, (b) demand and time deposits, certificates
of deposit or bankers' acceptances, (c) repurchase obligations pursuant to a
written agreement with respect to (1) any security described in clause (a)
above or (2) any other security issued or guaranteed by an agency or
instrumentality of the United States of America, (d) securities bearing
interest or sold at a discount issued by any corporation incorporated under
the laws of the United States of America or any state, (e) commercial paper
(including both non-interest-bearing discount obligations and
interest-bearing obligations payable on demand or on a specified date not
more than one year after the date of issuance thereof), (f) a Guaranteed
Investment Contract, (g) certificates or receipts representing ownership
interests in future interest or principal payments on obligations described
in clause (a) above, and (h) any other demand, money market or time deposit
obligation, security or investment acceptable to the Rating Agencies.
Eligible Investments with respect to a Series will include only
obligations or securities that mature on or before the date on which the
Collection Account or any other Pledged Fund or Account for such Series are
required or may be anticipated to be required to be applied for the benefit
of the holders of such Series. Any gain or loss from such investments for a
Series will be credited or charged to the appropriate fund or account for
such Series unless otherwise specified in the related Prospectus Supplement.
GUARANTEED INVESTMENT CONTRACT
If specified in the related Prospectus Supplement, on or prior to the
Delivery Date the Issuer and the Trustee will enter into a Guaranteed
Investment Contract with a guarantor acceptable to the Rating Agencies rating
the Securities (the "Guarantor"), pursuant to which all distributions on the
Mortgage Assets will be invested by the Trustee with the Guarantor, and the
Guarantor will pay to the Trustee interest at the rate per annum set forth in
such Guaranteed Investment Contract on all amounts invested. Whenever funds
are required under the Indenture to be paid to Bondholders or under the Trust
Agreement to be paid to the Certificateholders, the Guarantor, upon the
request of the Trustee, will remit such funds to the Trustee.
ENHANCEMENT
Enhancement may be provided with respect to a Series, or with respect to
any Mortgage Loans or Private Mortgage-Backed Securities securing a Series.
See "ENHANCEMENT."
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SERVICING OF MORTGAGE LOANS
GENERAL
The servicing obligations with respect to a particular Series may be
performed by various Servicers or by the Trustee. If so specified in the
related Prospectus Supplement, a Master Servicer or a Special Servicer may be
appointed. The related Prospectus Supplement for each Series will describe
the extent, if any, such rights, duties and obligations vary or differ with
respect to such Series from those described herein.
If so specified in the related Prospectus Supplement, pursuant to a Master
Servicing Agreement or Trust Agreement, customary servicing functions with
respect to Mortgage Loans which comprise Mortgage Assets for a Series, or
which constitute Underlying Collateral for a Private Mortgage-Backed Security
will be provided by the Master Servicer directly or by one or more Servicers
subject to supervision by the Master Servicer. To the extent specified in the
related Prospectus Supplement, a special servicer (the "Special Servicer")
may be appointed. The related Prospectus Supplement will describe the duties
and obligations of such Special Servicer. To the extent specified in the
related Prospectus Supplement, the Master Servicer or Special Servicer, if
any, may have the authority to sell or otherwise dispose of Mortgage Loans or
the related REO Property in order to maximize the value of such Mortgage
Loans or property. The entity which has primary liability for servicing
Mortgage Loans directly is sometimes referred to herein as the "Primary
Servicer." If the Master Servicer is not required under the Master Servicing
Agreement, Trust Agreement or PMBS Agreement, as applicable, to act as
Primary Servicer, then the Master Servicer, if any, will (i) administer and
supervise the performance by the Servicers (who will act as Primary
Servicers) of their servicing responsibilities under the Servicing
Agreements, (ii) to the extent not maintained by a Primary Servicer, maintain
any insurance policy required for the related Mortgage Pool and (iii) advance
funds as described below under "Advances" and in the related Prospectus
Supplement. If a Master Servicer undertakes to service Mortgage Loans
directly it may do so through Servicers as its agents. In such case, the
Master Servicer will be responsible for all aspects of the servicing of the
related Mortgage Loans notwithstanding such use of Servicers. The Master
Servicer or a Servicer may be an affiliate of the Issuer. Unless otherwise
specified in the related Prospectus Supplement, in the case of FHA Loans, the
Master Servicer and each Servicer will be required to be approved by HUD as
an FHA mortgagee. The Master Servicer will only be responsible for the duties
and obligations of the Special Servicer to the extent set forth in the
related Prospectus Supplement.
To the extent applicable, Master Servicing Agreements (direct or
supervisory), Servicing Agreements and Special Servicing Agreements, if any,
with respect to a Series will be filed as exhibits to a Current Report on
Form 8-K within 15 days following the issuance of the Securities of a Series.
The Master Servicer will be paid a servicing fee for the performance of
its services and duties under each Master Servicing Agreement, as specified
in the related Prospectus Supplement. Each Servicer, if any, will be entitled
to receive a servicing fee. The Special Servicer, if any, will also be
entitled to a servicing fee. In addition, the Master Servicer, Special
Servicer or Servicer may be entitled to retain late charges, assumption fees
and similar charges to the extent collected from Mortgagors. If a Servicer or
the Special Servicer is terminated by the Master Servicer, the servicing
function of the Servicer or the Special Servicer will be either transferred
to a substitute Servicer or Special Servicer, as the case may be, or
performed by the Master Servicer. The Master Servicer will be entitled to
retain the portion of the Servicing Fee paid to a Servicer, under a
terminated Servicing Agreement, or the Special Servicer, under the Special
Servicing Agreement, if the Master Servicer elects to perform such servicing
functions itself. See "Servicing Compensation and Payment of Expenses" below.
COLLECTION PROCEDURES
The Primary Servicer or, if so specified in the related Prospectus
Supplement, the Trustee, will make reasonable efforts to collect all payments
called for under the Mortgage Loans and will follow such collection
procedures as it follows with respect to mortgage loans serviced by it that
are comparable to the Mortgage Loans.
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Unless otherwise specified in the related Prospectus Supplement, the
Primary Servicer, to the extent permitted by law and the terms of the related
Mortgage Loans, will establish and maintain an escrow account (the "Escrow
Account") in which payments by Mortgagors to pay taxes, assessments, mortgage
and hazard insurance premiums, and other comparable items will be deposited.
Withdrawals from the Escrow Account are to be made to effect timely payment
of taxes, assessments and hazard insurance premiums, to refund to Mortgagors
amounts determined to be overages, to pay interest to Mortgagors on balances
in the Escrow Account to the extent required by law, to repair or otherwise
protect the Mortgaged Property and to clear and terminate such account.
Alternatively, the terms of the related Mortgage Loan may require, upon the
occurrence of a delinquency or default by the obligor, an impound account
("Impound Account") to be established and maintained and into which payments
by Mortgagors to pay taxes, assessments, mortgage and hazard insurance
premiums and other comparable items will be deposited pending distribution of
such items. The Primary Servicer will be responsible for the administration
of the Escrow Account or the Impound Account and may be obligated to make
escrow or impound advances to the relevant account when a deficiency exists
therein if so specified in the related Prospectus Supplement.
PAYMENTS ON MORTGAGE LOANS;
DEPOSITS TO CUSTODIAL ACCOUNTS
With respect to any Series, the Master Servicer, if any, will establish an
account (the "Custodial Account") in the name of the Trustee, unless
otherwise specified in the related Prospectus Supplement. The Custodial
Account will be established so as to comply with the standards of each Rating
Agency rating the Securities of a Series. Amounts to be remitted to the
Trustee shall be remitted by the Master Servicer to the Trustee from the
Custodial Account for deposit in the Collection Account for the related
Series.
In those cases where a Servicer is servicing Mortgage Loans pursuant to a
Servicing Agreement, the Servicer will establish and maintain an account (the
"Servicing Account") that will comply with the standards set forth below for
the Custodial Account and that is otherwise acceptable to the Master
Servicer, if any. The Servicer will be required to deposit into the Servicing
Account on a daily basis (or upon identification) all mortgage related
receipts received by it with respect to Mortgage Loans serviced by such
Servicer subsequent to the Cut-Off Date less its servicing fee and certain
other amounts specified in the Servicing Agreement. On each Servicer
Remittance Date, the Servicer shall remit all funds held in the Servicing
Account (other than payments due on or before the Cut-Off Date and other
amounts permitted to be withdrawn from or held in the Servicing Account
pursuant to the Servicing Agreement) with respect to each Mortgage Loan
together with any Advances made by such Servicer for deposit to the Custodial
Account, or if a Custodial Account has not been established, directly to the
Collection Account. See "Advances" below.
If so specified in the related Prospectus Supplement, the Custodial
Account and each Servicing Account may be maintained as an interest-bearing
account, or the funds held therein may be invested pending remittance to the
Trustee in Eligible Investments. Unless otherwise specified in the related
Prospectus Supplement, the Master Servicer or the Servicer will be entitled
to receive any such interest or other income earned on funds in the Custodial
Account or Servicing Account as additional compensation.
The Master Servicer will deposit in the Custodial Account on a daily basis
all mortgage related receipts (including amounts remitted by the Servicer)
received by it subsequent to the Cut-off Date (other than payments of
principal and interest due on or before the Cut-off Date).
With respect to any other type of Mortgage Loan which provides for
payments other than on the basis of level payments, an account may be
established as described in the related Prospectus Supplement.
ADVANCES
General. To the extent provided in the related Prospectus Supplement, the
Primary Servicer may make periodic advances of cash ("Advances") from its own
funds or, if so specified in the related
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Prospectus Supplement, from excess funds in the Custodial Account or
Servicing Account, but only to the extent such Advances are, in the good
faith business judgment of the Servicer or the Master Servicer, as the case
may be, ultimately recoverable from future payments and collections on the
Mortgage Loans or otherwise. Neither the Master Servicer nor the Servicers
will be required to make such Advances, unless otherwise specified in the
related Prospectus Supplement. The Master Servicer's obligation to make
Advances, if any, may, as specified in the related Prospectus Supplement, be
limited in amount or may be limited to Advances received from Servicers. If
so specified in the related Prospectus Supplement, the Master Servicer will
not be obligated to make Advances until all or a specified portion of a
Reserve Fund is depleted. Advances are intended to enable the Issuer to make
timely payment of the scheduled principal and interest payments or
distributions on the Securities of such Series, not to guarantee or insure
against losses. Accordingly, any funds so advanced are recoverable by the
Servicer or the Master Servicer, as the case may be, out of amounts received
on particular Mortgage Loans which represent late recoveries of principal or
interest respecting which any such Advance was made. If an Advance is made
and subsequently determined to be nonrecoverable from late collections,
Insurance Proceeds or Liquidation Proceeds from the related Mortgage Loans,
or any other source described in the related Prospectus Supplement, the
Servicer or Master Servicer will be entitled to reimbursements from other
funds in the Custodial Account or Servicing Account, as applicable.
Adjustments to Servicing Fee or Advances in Connection with Prepaid
Mortgage Loans. With respect to each Mortgage Pool, if an obligor makes a
principal prepayment between scheduled payment dates, the obligor may be
required to pay interest on the principal balance only to the date of
prepayment in full. If and to the extent provided in the related Prospectus
Supplement, the amount of the servicing fee may be reduced, or the Primary
Servicer may be otherwise obligated to advance moneys from its own funds or
any reserve maintained for such purpose, to the extent necessary to include
an amount equal to a full month's interest payment at the applicable Mortgage
Rate. Partial principal prepayments may be treated as having been received on
the next Due Date, and, if so, no reduction in interest remitted for deposit
to the Collection Account will occur. See "YIELD AND PREPAYMENT
CONSIDERATIONS."
MAINTENANCE OF INSURANCE POLICIES
AND OTHER SERVICING PROCEDURES
General. To the extent specified in the related Prospectus Supplement and
the Servicing Agreement, the Primary Servicer will be required to cause to be
maintained a standard hazard insurance policy with respect to each Mortgaged
Property. In addition, all or a portion of the Mortgage Loans comprising a
Mortgage Pool or constituting Underlying Collateral may be insured by the
FHA. The Primary Servicer will be required to take such steps as are
reasonably necessary to keep such insurance in full force and effect. See
"DESCRIPTION OF INSURANCE."
Presentation of Claims; Realization Upon Defaulted Mortgage Loans. The
market value of any property obtained in foreclosure or by deed in lieu of
foreclosure may be based substantially on the operating income obtained by
renting the applicable property. As a default on a Mortgage Loan secured by
Multifamily Property or Commercial Property is likely to have occurred
because operating income, net of expenses, is insufficient to make debt
service payments on the related Mortgage Loan, it can be anticipated that the
market value of such property generally will be less than anticipated when
such Mortgage Loan was originated. To the extent that equity does not cushion
the loss in market value upon any liquidation and such loss is not covered by
other credit support, a loss may be experienced by the related Bondholders or
Certificateholders, as applicable.
The Primary Servicer, on behalf of itself, the Trustee, the Bondholders or
Certificateholders, as applicable and the Issuer, will be required to
present, or cause to be presented, claims with respect to any insurance
policy. The Primary Servicer will be required to present claims and take such
reasonable steps as are necessary to permit recovery under any FHA insurance
respecting defaulted Mortgage Loans.
The Primary Servicer may foreclose upon or otherwise comparably convert
the ownership of properties securing such of the related Mortgage Loans as
come into and continue in default and as to
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which no satisfactory arrangements can be made for collection of delinquent
payments. In connection with such foreclosure or other conversion, the
Primary Servicer will follow such practices and procedures as it shall deem
necessary or advisable and as shall be normal and usual in its general
mortgage servicing activities.
ENFORCEMENT OF DUE-ON-SALE CLAUSES
Unless otherwise specified in the related Prospectus Supplement, when any
Mortgaged Property is about to be conveyed by the Mortgagor, the Primary
Servicer will not exercise its rights to accelerate the maturity of such
Mortgage Loan under the applicable "due-on-sale" clause, if any, so long as
the new mortgagor satisfies the applicable underwriting criteria for similar
loans serviced by the Primary Servicer. If such conditions are met or the
Primary Servicer reasonably believes enforcement of a due-on-sale clause will
not be enforceable, the Primary Servicer is authorized to take or enter into
an assumption agreement from or with the person to whom such Mortgaged
Property has been or is about to be conveyed, pursuant to which such person
becomes liable under the Mortgage Note and pursuant to which the original
Mortgagor is released from liability and such person is substituted as
Mortgagor and becomes liable under the Mortgage Note. Unless otherwise
specified in the related Prospectus Supplement, any fee collected in
connection with an assumption will be retained as additional servicing
compensation.
MODIFICATION; WAIVERS
As set forth in the related Prospectus Supplement, the Master Servicer or
Special Servicer, if any, may have the discretion, subject to certain
conditions set forth therein, to modify, waive or amend the terms of any
Mortgage Loan without the consent of the Trustee, or any Bondholder or
Certificateholders, as applicable.
Unless otherwise specified in the related Prospectus Supplement, the
Master Servicer or the Special Servicer, if any, will not agree to any
modification, waiver or amendment of the payment terms of a Mortgage Loan
unless the Master Servicer or the Special Servicer, if any, has determined
that such modification, waiver or amendment is reasonably likely to produce a
greater recovery on a present value basis than liquidation of the Mortgage
Loan.
SERVICING COMPENSATION AND PAYMENT OF EXPENSES
The Master Servicer, the Special Servicer, if any, and each Servicer will
be entitled to a servicing fee in an amount specified or to be calculated in
a manner described in the related Prospectus Supplement. The servicing fee
may be fixed or variable, as specified in the related Prospectus Supplement.
In addition, unless otherwise specified in the related Prospectus Supplement,
the Master Servicer, the Special Servicer, if any, or a Servicer will be
entitled to additional servicing compensation in the form of assumption fees,
late payment charges and modification fees.
The Primary Servicer will be entitled to reimbursement for certain
expenses incurred by it in connection with the liquidation of defaulted
Mortgage Loans. The ability of the Issuer of the related Series to pay
principal of and interest on the Securities will not be affected to the
extent claims are paid under the related insurance policies. If claims are
either not made or paid under such insurance policies or if coverage
thereunder has ceased or is insufficient, the ability of the Issuer to meet
debt service requirements on the related Series may be adversely affected. In
addition, the Primary Servicer will be entitled to reimbursement of
expenditures incurred by it in connection with the restoration of Mortgaged
Property, such right of reimbursement being prior to the rights of the
Bondholders to receive any related Insurance Proceeds or Liquidation
Proceeds.
EVIDENCE AS TO COMPLIANCE
The Master Servicer and the Special Servicer, if any, will deliver to the
Trustee, on or before 120 days after the end of each fiscal year of the
Master Servicer and the Special Servicer, if applicable, an officer's
certificate stating that (i) a review of the activities of the Master
Servicer, the Special Servicer and the Servicers during the preceding
calendar year and of performance under the Master Servicing Agreement,
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Special Servicing Agreement, if applicable, and the Servicing Agreements has
been made under the supervision of such officer and (ii) the Master Servicer
and the Special Servicer, if applicable, has fulfilled all its obligations
under the Master Servicing Agreement and Special Servicing Agreement, if
applicable, throughout such year, and, to the best of such officer's
knowledge, based on such review, each Servicer has fulfilled its obligations
under the related Servicing Agreement throughout such year, or, if there has
been a default in the fulfillment of any such obligation, specifying each
such default known to such officer and the nature and status thereof. Such
officer's certificate shall be accompanied by a statement of a firm of
independent public accountants to the effect that, on the basis of an
examination of certain documents and records relating to servicing of the
Mortgage Loans, conducted in accordance with generally accepted accounting
principles in the mortgage banking industry, the Master Servicer's and the
Special Servicer's, if applicable, duties and duties of the Servicers have
been conducted in compliance with the provisions of the applicable agreement,
except for (i) such exceptions as such firm believes to be immaterial and
(ii) such other exceptions as are set forth in such statement. Copies of the
annual officer's certificate and accountants' statement may be obtained
without charge upon written request to the Trustee.
CERTAIN MATTERS REGARDING THE MASTER SERVICER AND SPECIAL SERVICER
The Master Servicer and any Special Servicer for each Series will be
specified in the related Prospectus Supplement. The Master Servicer and any
Special Servicer may be an affiliate of the Issuer and may have other
business relationships with the Issuer and its affiliates.
Unless otherwise provided in the related Prospectus Supplement, the Master
Servicer may not resign from its obligations and duties except with the
consent of the Trustee or upon a determination that its duties thereunder are
no longer permissible under applicable law. No such resignation will become
effective until the Trustee or a successor servicer has assumed the Master
Servicer's obligations and duties under such Master Servicing Agreement.
Unless otherwise specified in the related Prospectus Supplement, each
Master Servicing Agreement will also provide that neither the Master
Servicer, nor any director, officer, employee or agent of the Master
Servicer, will be under any liability to the Bondholders or
Certificateholders for any action taken or for refraining from the taking of
any action in good faith pursuant to the Master Servicing Agreement, or for
errors in judgment; provided, however, that neither the Master Servicer nor
any such person will be protected against any liability which would otherwise
be imposed by reason of failure to perform its obligations in compliance with
the standards of care set forth in the Master Servicing Agreement. The Master
Servicer may, in its discretion, undertake any such action which it may deem
necessary or desirable with respect to the rights and duties of the parties
to the Master Servicing Agreement and the interests of the Bondholders, or
Certificateholders thereunder. In such event, the Master Servicer will be
entitled to be reimbursed for legal expenses and costs of such action out of
the related Custodial Account.
ENHANCEMENT
GENERAL
For any Series, Enhancement may be provided with respect to one or more
Classes thereof or the related Mortgage Assets. Enhancement may be in the
form of a letter of credit, the subordination of one or more Classes of the
Securities of such Series, the establishment of one or more reserve funds,
overcollateralization, guarantee insurance, the use of cross-support features
or another method of Enhancement described in the related Prospectus
Supplement, or any combination of the foregoing. If so specified in the
related Prospectus Supplement, any form of Enhancement (including but not
limited to insurance, letters of credit or guarantee insurance) may be
structured so as to be drawn upon by more than one Series to the extent
described therein.
Unless otherwise specified in the related Prospectus Supplement for a
Series, the Enhancement will not provide protection against all risks of loss
and will not guarantee repayment of the entire principal balance of the
Securities and interest thereon. If losses occur which exceed the amount
covered by Enhancement or which are not covered by the Enhancement,
Bondholders or Certificateholders, as
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applicable will bear their allocable share of deficiencies. Moreover, if a
form of Enhancement covers more than one Series of Securities (each, a
"Covered Trust"), holders of Securities issued by any of such Covered Trusts
will be subject to the risk that such Enhancement will be exhausted by the
claims of other Covered Trusts prior to such Covered Trust receiving any of
its intended share of such coverage.
If Enhancement is provided with respect to a Series, or the related
Mortgage Assets, the related Prospectus Supplement will include a description
of (a) the amount payable under such Enhancement, (b) any conditions to
payment thereunder not otherwise described herein, (c) the conditions (if
any) under which the amount payable under such Enhancement may be reduced and
under which such Enhancement may be terminated or replaced and (d) the
material provisions of any agreement relating to such Enhancement.
Additionally, the related Prospectus Supplement will set forth certain
information with respect to the issuer of any third-party Enhancement,
including (i) a brief description of its principal business activities, (ii)
its principal place of business, place of incorporation and the jurisdiction
under which it is chartered or licensed to do business, (iii) if applicable,
the identity of regulatory agencies which exercise primary jurisdiction over
the conduct of its business and (iv) its total assets, and its stockholders'
or policyholders' surplus, if applicable, as of the date specified in the
Prospectus Supplement.
SUBORDINATE SECURITIES
If so specified in the related Prospectus Supplement, one or more Classes
of a Series may be Subordinate Securities. If so specified in the related
Prospectus Supplement, the rights of the Holders of Subordinate Securities to
receive distributions of principal and interest from the Collection Account
on any Payment Date or Distribution Date will be subordinated to such rights
of the Holders of Senior Securities to the extent specified in the related
Prospectus Supplement. Unless otherwise provided in the Prospectus
Supplement, the amount of subordination will decrease whenever amounts
otherwise payable to the Holder of Subordinate Securities are paid to the
Holders of Senior Securities (including amounts withdrawn from any related
Reserve Fund and paid to the Holders of Senior Securities), and will (unless
otherwise specified in the related Prospectus Supplement) increase whenever
there is distributed to the Holders of Subordinate Securities amounts in
respect of which subordination payments have previously been paid to the
Holders of Senior Securities. Unless otherwise specified in the related
Prospectus Supplement, the related Series Supplement may require a trustee
that is not the Trustee to be appointed to act on behalf of Holders of
Subordinate Securities.
A Series may include one or more Classes of Subordinate Securities
entitled to receive cash flows remaining after distributions are made to all
other Classes designated as being senior thereto. Such right will effectively
be subordinate to the rights of other Holders of Senior Securities, but will
be not be limited to a specified dollar amount of subordination. If so
specified in the related Prospectus Supplement, the subordination of a Class
may apply only in the event of (or may be limited to) certain types of losses
not covered by Insurance Policies or other credit support, such as losses
arising from damage to property securing a Mortgage Loan not covered by
standard hazard insurance policies.
The related Prospectus Supplement will set forth information concerning
the amount of subordination of a Class or Classes of Subordinate Securities
in a Series, the circumstances in which such subordination will be
applicable, the manner, if any, in which the amount of subordination will
decrease over time, the manner of funding any related Reserve Fund and the
conditions under which amounts in any related Reserve Fund will be used to
make distributions to Holders of Senior Securities and/or to Holders of
Subordinate Securities or be released from the related Trust Estate or Trust
Fund. If cash flows otherwise distributable to holders of Subordinate
Securities secured by a Mortgage Group will be used as credit support for
Senior Securities secured by another Mortgage Group within the Trust Estate
or Trust Fund, the related Prospectus Supplement will specify the manner and
conditions for applying such a cross-support feature.
CROSS-SUPPORT FEATURES
If the Mortgage Assets for a Series are divided into separate Mortgage
Groups, each securing a separate Class or Classes of a Series, credit support
may be provided by a cross-support feature which
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requires that distributions be made on Senior Securities secured by one
Mortgage Group prior to distributions on Subordinate Securities secured by
another Mortgage Group within the Trust Estate or Trust Fund. The related
Prospectus Supplement for a Series which includes a cross-support feature
will describe the manner and conditions for applying such cross-support
feature.
INSURANCE ON THE MORTGAGE LOANS
Credit support with respect to a Series may be provided by insurance
policies that include standard hazard insurance and may, if specified in the
related Prospectus Supplement, include FHA Insurance. See "DESCRIPTION OF
INSURANCE ON THE MORTGAGE LOANS."
LETTER OF CREDIT
The letter of credit, if any, with respect to a Series of Securities will
be issued by the bank or financial institution specified in the related
Prospectus Supplement (the "L/C Bank"). Under the letter of credit, the L/C
Bank will be obligated to honor drawings thereunder in an aggregate fixed
dollar amount, net of unreimbursed payments thereunder, equal to the
percentage specified in the related Prospectus Supplement of the aggregate
principal balance of the Mortgage Loans on the related Cut-Off Date or of one
or more Classes of Securities (the "L/C Percentage"). If so specified in the
related Prospectus Supplement, the letter of credit may permit drawings in
the event of losses not covered by insurance policies or other credit
support, such as losses arising from damage not covered by standard hazard
insurance policies. The amount available under the letter of credit will, in
all cases, be reduced to the extent of the unreimbursed payments thereunder.
The obligations of the L/C Bank under the letter of credit for each Series of
Securities will expire at the earlier of the date specified in the related
Prospectus Supplement or the termination of the Trust Estate or Trust Fund,
as applicable. A copy of the letter of credit for a Series, if any, will be
filed with the Commission as an exhibit to a Current Report on Form 8-K to be
filed within 15 days of issuance of the Securities of the related Series.
BOND GUARANTEE INSURANCE
Bond guarantee insurance, if any, with respect to a Series of Bonds will
be provided by one or more insurance companies. Such bond guarantee insurance
will guarantee, with respect to one or more Classes of Bonds of the related
Series, timely distributions of interest and full distributions of principal
on the basis of a schedule of principal distributions set forth in or
determined in the manner specified in the related Prospectus Supplement. If
so specified in the related Prospectus Supplement, the bond guarantee
insurance will also guarantee against any payment made to a Bondholder which
is subsequently recovered as a "voidable preference" payment under the
Bankruptcy Code. A copy of the bond guarantee insurance for a Series, if any,
will be filed with the Commission as an exhibit to a Current Report on Form
8-K to be filed with the Commission within 15 days of issuance of the Bonds
of the related Series.
RESERVE FUNDS
One or more Reserve Funds may be established with respect to a Series, in
which cash, a letter of credit, Eligible Investments, a demand note or a
combination thereof, in the amounts, if any, so specified in the related
Prospectus Supplement will be deposited. The Reserve Funds for a Series may
also be funded over time by depositing therein a specified amount of the
distributions received on the related Mortgage Assets as specified in the
related Prospectus Supplement.
Amounts on deposit in any Reserve Fund for a Series, together with the
reinvestment income thereon, if any, will be applied by the Trustee for the
purposes, in the manner, and to the extent specified in the related
Prospectus Supplement. A Reserve Fund may be provided to increase the
likelihood of timely payments or distributions of principal of and interest
on the Securities, if required as a condition to the rating of such Series by
each Rating Agency, or to reduce the likelihood of special redemptions with
respect to any Series. If so specified in the related Prospectus Supplement,
Reserve Funds may be established to provide limited protection, in an amount
satisfactory to each Rating Agency, against certain types of losses not
covered by Insurance Policies or other credit support, such as losses arising
from
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damage not covered by standard hazard insurance policies. Following each
Payment Date or Distribution Date amounts in such Reserve Fund in excess of
any amount required to be maintained therein may be released from the Reserve
Fund under the conditions and to the extent specified in the related
Prospectus Supplement and will not be available for further application by
the Trustee.
Moneys deposited in any Reserve Funds will be invested in Eligible
Investments, except as otherwise specified in the related Prospectus
Supplement. Unless otherwise specified in the related Prospectus Supplement,
any reinvestment income or other gain from such investments will be credited
to the related Reserve Fund for such Series, and any loss resulting from such
investments will be charged to such Reserve Fund. However, such income may be
payable to the Master Servicer or a Servicer as additional servicing
compensation. See "SERVICING OF MORTGAGE LOANS". The Reserve Fund, if any,
for a Series will not be a part of the Trust Estate or Trust Fund, as
applicable, unless otherwise specified in the related Prospectus Supplement.
Additional information concerning any Reserve Fund will be set forth in
the related Prospectus Supplement, including the initial balance of such
Reserve Fund, the balance required to be maintained in the Reserve Fund, the
manner in which such required balance will decrease over time, the manner of
funding such Reserve Fund, the purposes for which funds in the Reserve Fund
may be applied to make payments or distributions to Bondholders or
Certificateholders and use of investment earnings from the Reserve Fund, if
any.
DESCRIPTION OF INSURANCE ON THE MORTGAGE LOANS
The following descriptions of standard hazard insurance policies and FHA
insurance and the respective coverages thereunder are general descriptions
only and do not purport to be complete.
MORTGAGE INSURANCE ON THE MORTGAGE LOANS
General. Each Mortgaged Property will be covered by a standard hazard
insurance policy, as described in the related Prospectus Supplement. The
coverage under standard hazard insurance policies will be subject to
conditions and limitations described in the Prospectus Supplement and under
"Hazard Insurance on the Mortgage Loans" below. Certain hazard risks will,
therefore, not be insured and the occurrence of such hazards could adversely
affect payments or distributions to Holders. Additionally, to the extent that
losses on a defaulted or foreclosed Mortgage Loan are not covered by other
credit support for such Series, such losses, if any, would affect payments or
distributions to Holders.
HAZARD INSURANCE ON THE MORTGAGE LOANS
Standard Hazard Insurance Policies. The standard hazard insurance policies
will provide for coverage at least equal to the applicable state standard
form of fire insurance policy with extended coverage. In general, the
standard form of fire and extended coverage policy will cover physical damage
to or destruction of, the improvements on the Mortgaged Property caused by
fire, lightning, explosion, smoke, windstorm, hail, riot, strike and civil
commotion, subject to the conditions and exclusions particularized in each
policy. Because the standard hazard insurance policies relating to the
Mortgage Loans will be underwritten by different insurers and will cover
Mortgaged Properties located in various states, such policies will not
contain identical terms and conditions. The basic terms, however, generally
will be determined by state law and generally will be similar. Most such
policies typically will not cover any physical damage resulting from war,
revolution, governmental actions, floods and other water-related causes,
earth movement (including earthquake, landslides, and mudflows), nuclear
reaction, wet or dry rot, vermin, rodents, insects or domestic animals, theft
and, in certain cases, vandalism. The foregoing list is merely indicative of
certain kinds of uninsured risks and is not intended to be all-inclusive.
Uninsured risks not covered by a special hazard insurance policy or other
form of credit support may adversely affect the ability of the Issuer to make
payments of principal or interest on the Bonds. When a Mortgaged Property is
located in a flood area identified by FEMA pursuant to the Flood Disaster
Protection Act of 1973, the Master Servicer or the Servicer will be required
to cause flood insurance to be maintained with respect to such Mortgaged
Property.
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The standard hazard insurance policies covering Mortgaged Properties
securing Mortgage Loans typically will contain a "coinsurance" clause which
will require the insured at all times to carry hazard insurance of a
specified percentage (generally 80% to 90%) of the actual cash value of the
improvements on the Mortgaged Property in order to recover the full amount of
any partial loss. If the insured's coverage falls below this specified
percentage, such clause will provide that the hazard insurer's liability in
the event of partial loss will not exceed the greater of (i) the actual cash
value (the replacement cost less physical depreciation) of the improvements
damaged or destroyed or (ii) such proportion of the loss as the amount of
insurance carried bears to the specified percentage of the actual cash value
of such improvements.
In the event of partial loss, hazard insurance proceeds may be
insufficient to restore fully the damaged property. Under the terms of the
Mortgage Loans, Mortgagors are required to present claims to insurers under
hazard insurance policies maintained on the Mortgaged Properties. The Primary
Servicer, on behalf of the Trustee, Bondholders, and Certificateholders, is
obligated to present or cause to be presented claims under any blanket
insurance policy insuring against hazard losses on Mortgaged Properties;
however, the ability of the Primary Servicer to present or cause to be
presented such claims is dependent upon the extent to which information in
this regard is furnished to the Primary Servicer by Mortgagors.
FHA Insurance. The FHA is responsible for administering various federal
programs, including mortgage insurance, authorized under the Housing Act, as
amended, and the United States Housing Act of 1937, as amended. To the extent
specified in the related Prospectus Supplement, all or a portion of the
Mortgage Loans may be insured by the FHA. The Primary Servicer will be
required to take such steps as are reasonably necessary to keep such
insurance in full force and effect.
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CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS
The following discussion contains summaries of certain legal aspects of
mortgage loans that are general in nature. Because such legal aspects are
governed by applicable state law (which laws may differ substantially), the
summaries do not purport to be complete nor to reflect the laws of any
particular state, nor to encompass the laws of all states in which the
Mortgaged Properties are situated. The summaries are qualified in their
entirety by reference to the applicable federal and state laws governing the
Mortgage Loans.
MORTGAGES
Each Mortgage Loan will be secured by a mortgage, a deed of trust or a
deed to secure debt, depending upon the prevailing practice and law in the
state in which the related Mortgaged Property is located. The filing of a
mortgage, deed of trust or deed to secure debt creates a lien on title
interest upon the real property covered by such instrument and represents the
security for the repayment of an obligation that is customarily evidenced by
a promissory note. It is generally not prior to the lien for real estate
taxes and assessments or other charges imposed under governmental police
powers. Priority with respect to such instruments depends on their terms, the
knowledge of the parties to the mortgage and generally on the order of
recording with the applicable state, county or municipal office. There are
two parties to a mortgage: the mortgagor, who is the owner of the property
and usually the borrower, and the mortgagee, who is the lender. Under the
mortgage instruments, the mortgagor delivers to the mortgagee a note or bond
evidencing the loan and the mortgage to secure the indebtedness. In the case
of a land trust, there are three parties because title to the property is
held by a land trustee under a land trust agreement of which the borrower is
the beneficiary at origination of a mortgage loan involving a land trust, the
borrower executes a separate undertaking to make payments on the mortgage
note. A deed of trust has three parties: the owner of the property and
usually the borrower, called the trustor (similar to a mortgagor), a lender,
called the beneficiary (similar to the mortgagee), and a third-party grantee,
called the trustee. Under a deed of trust, the borrower grants the property,
irrevocably until the debt is paid, in trust, generally with a power of sale,
to the trustee to secure payment of the mortgage loan. The trustee's
authority under a deed of trust and the mortgagee's authority under a
mortgage are governed by the express provisions of the deed of trust or
mortgage, the law of the state in which the real property is located and, in
some cases, in deed of trust transactions, the directions of the beneficiary.
Some states use a security deed or deed to secure debt which is similar to a
deed of trust except it has only two parties: a grantor (similar to a
mortgagor) and a grantee (similar to a mortgagee).
FORECLOSURE OF MORTGAGE
Foreclosure of a deed of trust or deed to secure debt is generally
accomplished by a non-judicial trustee's sale under a specific provision in
the deed of trust which authorizes the trustee to sell the property upon any
default by the borrower under the terms of the note or deed of trust or deed
to secure debt. In some states, prior to such sale, the trustee must record a
notice of default and send a copy to the borrower-trustor and to any person
who has recorded a request for a copy of a notice of default and notice of
sale. In addition, the trustee in some states must provide notice of any
other individual having an interest in the real property, including any
junior lienholders. In some states there is a reinstatement period. The
trustor, borrower, or any person having a junior encumbrance on the real
estate may, during a reinstatement period, cure the default by paying the
entire amount in arrears plus the costs and expenses incurred in enforcing
the obligation. In other states, after acceleration of the debt, the borrower
is not provided with a period to reinstate the loan, but has only the right
to pay off the entire debt to prevent the foreclosure sale. Generally, state
law controls the amount of foreclosure expenses and costs, including
attorneys' fees, which may be recovered by a lender. If the deed of trust is
not reinstated, a notice of sale must be posted in a public place and, in
most states, published for a specified period of time in one or more
newspapers. In addition, some state laws require that a copy of the notice of
sale be posted on the property, recorded and sent to all parties having an
interest in the real property.
An action to foreclose a mortgage is an action to recover the mortgage
debt by enforcing the mortgagee's rights under the mortgage. It is regulated
by statutes and rules and subject throughout to the
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court's equitable powers. Generally, a borrower is bound by the terms of the
mortgage note and the mortgage and cannot be relieved from his default if the
mortgagee has exercised his rights in a commercially reasonable manner.
However, since a foreclosure action historically was equitable in nature, the
court may exercise equitable powers to relieve a mortgagor of a default and
deny the mortgagee foreclosure on proof that either the mortgagor's default
was neither willful nor in bad faith or the mortgagee's action established a
waiver, fraud, bad faith, or oppressive or unconscionable conduct such as to
warrant a court of equity refusing affirmative relief to the mortgagee. Under
certain circumstances, a court of equity may relieve the borrower from an
entirely technical default where such default was not willful.
A foreclosure action is subject to most of the delays and expenses of
other lawsuits if defenses or counterclaims are interposed, sometimes
requiring up to several years to complete. Moreover, a non-collusive,
regularly conducted foreclosure sale may be challenged as a fraudulent
conveyance, regardless of the parties' intent, if a court determines that the
sale was for less than fair consideration and such sale occurred while the
mortgagor was insolvent and within the state statute of limitations (which is
tolled by the filing of a bankruptcy case). Similarly, in some states, a suit
against the debtor on the mortgage note may take several years and,
generally, is a remedy alternative to foreclosure, the mortgagee being
precluded from pursuing both at the same time.
In case of foreclosure under either a mortgage or a deed of trust, the
sale by the referee or other designated officer or by the trustee is a public
sale. However, because of the difficulty potential third-party purchasers at
the sale have in determining the exact status of title and because the
physical condition of the property may have deteriorated during the
foreclosure proceedings, it is uncommon for a third party to purchase the
property at a foreclosure sale. Rather, it is common for the lender to
purchase the property from the trustee or referee for an amount which may be
equal to the principal amount of the mortgage or deed of trust plus accrued
and unpaid interest and the expenses of foreclosure, in which event the
borrower's debt will be extinguished or the lender may purchase for a lesser
amount in order to preserve its right against a borrower to seek a deficiency
judgment in states where such a judgment is available. Thereafter, and
subject in some states to the right of the borrower to stay in possession
during a redemption period, the lender will assume the burdens of ownership,
including obtaining casualty insurance, paying taxes and making such repairs
at its own expense as are necessary to render the property suitable for sale.
The lender will commonly obtain the services of a real estate broker and pay
the broker's commission in connection with the sale of the property.
Depending upon market conditions, the ultimate proceeds of the sale of the
property may not equal the lender's investment in the property. Moreover, a
lender typically incurs substantial legal fees and court costs in acquiring a
mortgaged property through contested foreclosure. Furthermore, certain states
require that any environmental hazards be eliminated before a property may be
resold. In addition, a lender may be responsible under federal or state law
for the cost of cleaning up a mortgaged property that is environmentally
contaminated. As a result, a lender could realize an overall loss on a
mortgage loan even if the related mortgaged property is sold at foreclosure
or resold after it is acquired through foreclosure for an amount equal to the
full outstanding principal amount of the mortgage loan, plus accrued
interest. Any loss may be reduced by the receipt of any mortgage guaranty
insurance proceeds.
RIGHTS OF REDEMPTION
In some states, after sale pursuant to a deed of trust or foreclosure of a
mortgage, the trustor or borrower and foreclosed junior lienors are given a
statutory period in which to redeem the property from the foreclosure sale.
The right of redemption should be distinguished from the equity of
redemption, which is a nonstatutory right that must be exercised prior to the
foreclosure sale. In some states, redemption may occur only upon payment of
the foreclosure sales price and expenses of foreclosure. In other states,
redemption may be authorized if the former borrower pays only a portion of
the sums due. The effect of a statutory right of redemption is to diminish
the ability of the lender to sell the foreclosed property. The right of
redemption would defeat the title of any purchaser from the lender subsequent
to foreclosure or sale under a deed of trust. Consequently, the practical
effect of a right of redemption is to force the lender to retain the property
and pay expenses of ownership until the redemption period has run. In some
states, there is no right to redeem property after a trustee's sale under a
deed of trust.
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ENVIRONMENTAL MATTERS
Real property pledged as security to a lender may be subject to certain
environmental risks. Under the laws of certain states, contamination of a
property may give rise to a lien on the property to assure the costs of
clean-up. In several states, such a lien has priority over the lien of an
existing mortgage against such property. In addition, under the laws of some
states and under the federal Comprehensive Environmental Response,
Compensation, and Liability Act of 1980 ("CERCLA"), a lender may be liable,
as an "owner" or "operator," for costs of addressing releases or threatened
releases of hazardous substances that require remedy at a property, if agents
or employees of the lender have become sufficiently involved in the
operations of the borrower, regardless of whether or not the environmental
damage or threat was actually caused or exacerbated by the lender's agents or
employees. A lender also risks such liability on and following foreclosure of
the Mortgaged Property. Excluded from CERCLA's definition of "owner" or
"operator," however, is a person "who without participating in the management
of the facility, holds indicia of ownership primarily to protect his security
interest." On April 29, 1992, the United States Environmental Protection
Agency ("EPA") issued a final rule intended to protect lenders from liability
under CERCLA. This rule was in response to a 1990 decision of the United
States Court of Appeals for the Eleventh Circuit, United States v. Fleet
Factors Corp., which narrowly construed the security interest exemption under
CERCLA to hold lenders liable if they had the capacity to influence their
borrower's management of hazardous waste. On February 4, 1994, the United
States Court of Appeal for the District of Columbia Circuit in Kelley v. EPA
invalidated this EPA rule. As a result of the Kelley case, the state of the
law with respect to the secured creditor exemption and the scope of
permissible activities in which a lender may engage to protect its security
interest remain uncertain. In addition, even if a new version of the EPA rule
were to be adopted formally by EPA, followed informally by EPA, enacted by
statute, or otherwise reinstated, the rule would not necessarily affect the
potential for lender liability in actions by parties other than EPA or under
laws or legal theories other than CERCLA. If a lender is or becomes liable,
it can bring an action for contribution against the owner or operator who
created the environmental hazard, but that person or entity may be bankrupt
or otherwise judgment proof. Such clean-up costs may be substantial. It is
possible that such costs could become a liability of the Trust Estate and
occasion a loss to Bondholders in certain circumstances described above if
such remedial costs were incurred.
Except as otherwise specified in the applicable Prospectus Supplement, at
the time the Mortgage Loans were originated, it is possible that no
environmental assessment or a very limited environmental assessment of the
Mortgaged Properties was conducted.
Unless otherwise specified in the related Prospectus Supplement, the
Servicing Agreement, Master Servicing Agreement or Special Servicing
Agreement, as applicable, provides that the Servicer, the Master Servicer or
the Special Servicer, as applicable, acting on behalf of the Trust Estate or
Trust Fund, as applicable, may not acquire title to a Mortgaged Property
underlying a Mortgage Loan or take over its operation unless the Servicer,
the Master Servicer or the Special Servicer, as applicable, has previously
determined, based upon a report prepared by a person who regularly conducts
environmental audits, that (i) the Mortgaged Property is in compliance with
applicable environmental laws and regulations or, if not, that taking such
actions as are necessary to bring the Mortgaged Property in compliance
therewith is reasonably likely to produce a greater recovery on a present
value basis than not taking such actions and (ii) there are no circumstances
or conditions present that have resulted in any contamination or if such
circumstances or conditions are present for which such action could be
required, taking such actions with respect to the affected Mortgaged Property
is reasonably likely to produce a greater recovery on a present value basis
than not taking such actions.
CERTAIN LAWS AND REGULATIONS
The Mortgaged Properties are subject to compliance with various federal,
state and local statutes and regulations. Failure to comply (together with an
inability to remedy any such failure) could result in material diminution in
the value of a Mortgaged Property which could, together with the limited
alternative uses for such Mortgaged Property, result in a failure to realize
the full principal amount of the Mortgage Loans.
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For instance, Mortgaged Properties which are hospitals, nursing homes or
convalescent homes may present special risks in large part due to significant
governmental regulation of the operation, maintenance, control and financing
of health care institutions. Mortgaged Properties which are hotels or motels
may present additional risk in that: (i) hotels and motels are typically
operated pursuant to franchise, management and operating agreements which may
be terminable by the operator, and (ii) the transferability of the hotel's
operating, liquor and other licenses to the entity acquiring the hotel either
through purchase or foreclosure is subject to the vagaries of local law
requirements.
LEASES AND RENTS
Multifamily and commercial mortgage loan transactions often provide for an
assignment of the leases and rents pursuant to which the borrower typically
assigns its right, title and interest, as landlord under each lease and the
income derived therefrom, to the lender while either obtaining a license to
collect rents for so long as there is no default or providing for the direct
payment to the lender. In some instances, local law, however, may require
that the lender take possession of the property and appoint a receiver before
becoming entitled to collect the rents under the lease.
ANTI-DEFICIENCY LEGISLATION AND OTHER LIMITATIONS ON LENDERS
Certain states have imposed statutory restrictions that limit the remedies
of a beneficiary under a deed of trust or a mortgagee under a mortgage. In
some states, statutes limit the right of the beneficiary or mortgagee to
obtain a deficiency judgment against the borrower following foreclosure or
sale under a deed of trust. A deficiency judgment is a personal judgment
against the former borrower equal in most cases to the difference between the
amount due to the lender and the net amount realized upon the foreclosure
sale. Other statutes may require the beneficiary or mortgagee to exhaust the
security afforded under a deed of trust or mortgage by foreclosure in an
attempt to satisfy the full debt before bringing a personal action against
the borrower. In certain other states, the lender has the option of bringing
a personal action against the borrower on the debt without first exhausting
such security; however, in some of these states, the lender, following
judgment on such personal action, may be deemed to have elected a remedy and
may be precluded from exercising remedies with respect to the security.
Consequently, the practical effect of the election requirement, when
applicable, is that lenders will usually proceed first against the security
rather than bringing personal action against the borrower. Finally, other
statutory provisions may limit any deficiency judgment against the former
borrower following a foreclosure sale to the excess of the outstanding debt
over the fair market value of the property at the time of such sale. The
purpose of these statutes is to prevent a beneficiary or a mortgagee from
obtaining a large deficiency judgment against the former borrower as a result
of low or no bids at the judicial sale. In some states, exceptions to the
anti-deficiency statutes are provided for in certain instances where the
value of the lender's security has been impaired by acts or omissions of the
borrower, for example, in the event of waste of the property.
In addition, substantive requirements are imposed upon lenders in
connection with the origination and the servicing of mortgage loans by
numerous federal and some state consumer protection laws. The laws include
the federal Truth-in-Lending Act, Real Estate Settlement Procedures Act,
Equal Credit Opportunity Act, Fair Credit Billing Act, Fair Credit Reporting
Act and related statutes and regulations. These federal laws impose specific
statutory liabilities upon lenders who originate loans and who fail to comply
with the provisions of the law. In some cases, this liability may affect
assignees of the loans.
Federal Bankruptcy and Other Laws Affecting Creditors' Rights. In addition
to laws limiting or prohibiting deficiency judgments, numerous other
statutory provisions, including the federal bankruptcy laws (the "Bankruptcy
Code") and state laws affording relief to debtors, may interfere with or
affect the ability of the secured lender to realize upon collateral and/or
enforce a deficiency judgment. For example, with respect to federal
bankruptcy law, the filing of a petition acts as a stay against the
enforcement of remedies (including the right of foreclosure) for collection
of a debt. Also, the filing of a petition in bankruptcy by or on behalf of a
junior lienor may stay a senior lender from taking action to foreclose out
the junior lien.
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In a Chapter 11 case under the Bankruptcy Code, the lender's lien may be
transferred to other collateral and/or be limited in amount to the value of
the lender's interest in the collateral as of the date of the bankruptcy. The
loan term may be extended, the interest rate may be adjusted to market rates
and the priority of the loan may be subordinated to bankruptcy court-approved
financing. The bankruptcy court can reinstate accelerated indebtedness and
also, in effect, invalidate due-on-sale clauses through confirmed Chapter 11
plans of reorganization. Under Section 363(b) and (f) of the Bankruptcy Code,
a trustee for a lessor, or a lessor as debtor-in-possession, may, despite the
provisions of the related Mortgage Loan to the contrary, sell the Mortgaged
Property free and clear of all liens, which liens would then attach to the
proceeds of such sale.
The Bankruptcy Code has recently been amended to provide that a lender's
perfected pre-petition security interest in leases, rents and hotel revenues
continues in the post-petition leases, rents and hotel revenues, unless a
bankruptcy court orders to the contrary "based on the equities of the case."
Thus, unless a court orders otherwise, revenues from a Mortgaged Property
generated after the date the bankruptcy petition is filed will constitute
"cash collateral" under the Bankruptcy Code. Debtors may only use cash
collateral upon obtaining the lender's consent or a prior court order finding
that the lender's interest in the Mortgaged Properties and the cash
collateral is "adequately protected" and such term is defined and interpreted
under the Bankruptcy Code. It should be noted, however, that the court may
find that the lender has no security interest in either pre-petition or
post-petition revenues if the court finds that the loan documents do not
contain language covering accounts, room rents, or other forms of personalty
necessary for a security interest to attach to hotel revenues.
Lessee bankruptcies at the Mortgaged Properties could have an adverse
impact on the Mortgagors' ability to meet their obligations. For example,
Section 365(e) of the Bankruptcy Code provides generally that rights and
obligations under an unexpired lease may not be terminated or modified at any
time after the commencement of a case under the Bankruptcy Code solely
because of a provision in the lease conditioned upon the commencement of a
case under the Bankruptcy Code or certain other similar events. In addition,
Section 362 of the Bankruptcy Code operates as an automatic stay of, among
other things, any act to obtain possession of property of or from a debtor's
estate, which may delay the Trustee's exercise of such remedies in the event
that the lessee becomes the subject of a proceeding under the Bankruptcy
Code.
Section 365(a) of the Bankruptcy Code generally provides that a trustee or
a debtor-in-possession in a case under the Bankruptcy Code has the power to
assume or to reject an executory contract or an unexpired lease of the
debtor, in each case subject to the approval of the bankruptcy court
administering such case. If the trustee or debtor-in-possession rejects an
executory contract or an unexpired lease, such rejection generally
constitutes a breach of the executory contract or unexpired lease immediately
before the date of the filing of the petition. As a consequence, the other
party or parties to such executory contract or unexpired lease, such as the
Mortgagor, as lessor under a lease, would have only an unsecured claim
against the debtor for damages resulting from such breach, which could
adversely affect the security for the related Mortgage Loan. Moreover, under
Section 502(b)(6) of the Bankruptcy Code, the claim of a lessor for such
damages from the termination of a lease of real property will be limited to
the sum of (i) the rent reserved by such lease, without acceleration, for the
greater of one year or 15 percent, not to exceed three years, of the
remaining term of such lease, following the earlier of the date of the filing
of the petition and the date on which such lender repossessed, or the lessee
surrendered, the leased property, and (ii) any unpaid rent due under such
lease, without acceleration, on the earlier of such dates.
Under Section 365(f) of the Bankruptcy Code, if a trustee or
debtor-in-possession assumes an executory contract or an unexpired lease of
the debtor, the trustee or debtor-in-possession generally may assign such
executory contract or unexpired lease, notwithstanding any provision therein
or in applicable law that prohibits, restricts or conditions such assignment,
provided that the trustee or debtor-in- possession provides "adequate
assurance of future performance" by the assignee. The Bankruptcy Code
specifically provides, however, that adequate assurance of future performance
for purposes of a lease of real property in a shopping center includes
adequate assurance of the source of rent and other consideration due under
such lease, and in the case of an assignment, that the financial condition
and operating performance of the proposed assignee and its guarantors, if
any, shall be similar to the financial
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condition and operating performance of the debtor and its guarantors, if any,
as of the time the debtor became the lessee under the lease, that any
percentage rent due under such lease will not decline substantially, that the
assumption and assignment of the lease is subject to all the provisions
thereof, including (but not limited to) provisions such as a radius location,
use or exclusivity provision, and will not breach any such provision
contained in any other lease, financing agreement, or master agreement
relating to such shopping center, and that the assumption or assignment of
such lease will not disrupt the tenant mix or balance in such shopping
center. Thus, an undetermined third party may assume the obligations of the
lessee under a lease in the event of commencement of a proceeding under the
Bankruptcy Code with respect to the lessee.
Under Section 365(h) of the Bankruptcy Code, if a trustee for a lessor, or
a lessor as a debtor-in-possession, rejects an unexpired lease of real
property, the lessee may treat such lease as terminated by such rejection or,
in the alternative, may remain in possession of the leasehold for the balance
of such term and for any renewal or extension of such term that is
enforceable by the lessee under applicable nonbankruptcy law. The Bankruptcy
Code provides that if a lessee elects to remain in possession after such a
rejection of a lease, the lessee may offset against rents reserved under the
lease for the balance of the term after the date of rejection of the lease,
and any such renewal or extension thereof, any damages occurring after such
date caused by the nonperformance of any obligation of the lessor under the
lease after such date.
In a bankruptcy or similar proceeding, action may be taken seeking the
recovery as a preferential transfer of any payments made by the mortgagor
under the related Mortgage Loan to the Trust Fund. Payments on long-term debt
may be protected from recovery as preferences if they are payments in the
ordinary course of business made on debts incurred in the ordinary course of
business. Whether any particular payment would be protected depends upon the
facts specific to a particular transaction.
A trustee in bankruptcy, in some cases, may be entitled to collect its
costs and expenses in preserving or selling the mortgaged property ahead of
payment to the lender. In certain circumstances, a debtor in bankruptcy may
have the power to grant liens senior to the lien of a mortgage, and analogous
state statutes and general principles of equity may also provide a mortgagor
with means to halt a foreclosure proceeding or sale and to force a
restructuring of a mortgage loan on terms a lender would not otherwise
accept. Moreover, the laws of certain states also give priority to certain
tax liens over the lien of a mortgage or deed of trust. Under the Bankruptcy
Code, if the court finds that actions of the mortgagee have been
unreasonable, the lien of the related mortgage may be subordinated to the
claims of unsecured creditors.
DUE-ON-SALE CLAUSES IN MORTGAGE LOANS
A note, mortgage or deed of trust relating to the Mortgage Loans generally
contains a "due-on-sale" clause permitting acceleration of the maturity of a
loan if the borrower transfers its interest in the property. In recent years,
court decisions and legislative actions placed substantial restrictions on
the right of lenders to enforce such clauses in many states. By virtue,
however, of the Garn St. Germain Depository Institutions Act of 1982 (the
"Garn Act") effective October 15, 1982 (which purports to preempt state laws
which prohibit the enforcement of due-on-sale clauses by providing among
other matters, that "due-on-sale" clauses in certain loans made after the
effective date of the Garn Act are enforceable, within certain limitations as
set forth in the Garn Act and the regulations promulgated thereunder) the
Servicer or the Master Servicer may nevertheless be able to accelerate many
of the Mortgage Loans that contain a "due-on-sale" provision upon transfer of
an interest in the property subject to the Mortgage Loans, regardless of the
Servicer's or the Master Servicer's ability to demonstrate that a sale
threatens its legitimate security interest.
ENFORCEABILITY OF PREPAYMENT AND LATE PAYMENT FEES
Forms of notes, mortgages and deeds of trust used by lenders may contain
provisions obligating the borrower to pay a late charge if payments are not
timely made, and in some circumstances may provide for prepayment fees or
penalties if the obligation is paid prior to maturity. In certain states,
there are or
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may be specific limitations upon the late charges which a lender may collect
from a borrower for delinquent payments. Certain states also limit the
amounts that a lender may collect from a borrower as an additional charge if
the loan is prepaid. The enforceability, under the laws of a number of states
of provisions providing for prepayment fees or penalties upon an involuntary
prepayment is unclear, and no assurance can be given that, at the time a
prepayment fee or penalty is required to be made on a Mortgage Loan in
connection with an involuntary prepayment, the obligation to make such
payment will be enforceable under applicable state law. Late charges and
prepayment fees are typically retained by servicers as additional servicing
compensation. The absence of a restraint on prepayment, particularly with
respect to Mortgage Loans having higher mortgage rates, may increase the
likelihood of refinancing or other early retirements of the Mortgage Loans.
EQUITABLE LIMITATIONS ON REMEDIES
In connection with lenders' attempts to realize upon their security,
courts have invoked general equitable principles. The equitable principles
are generally designed to relieve the borrower from the legal effect of his
defaults under the loan documents. Examples of judicial remedies that have
been fashioned include judicial requirements that the lender undertake
affirmative and expensive actions to determine the causes for the borrower's
default and the likelihood that the borrower will be able to reinstate the
loan. In some cases, courts have substituted their judgment for the lender's
judgment and have required that lenders reinstate loans or recast payment
schedules in order to accommodate borrowers who are suffering from temporary
financial disability. In other cases, courts have limited the right of a
lender to realize upon his security if the default under the security
agreement is not monetary, such as the borrower's failure to adequately
maintain the property or the borrower's execution of secondary financing
affecting the property. Finally, some courts have been faced with the issue
of whether or not federal or state constitutional provisions reflecting due
process concerns for adequate notice require that borrowers under security
agreements receive notices in addition to the statutorily prescribed
minimums. For the most part, these cases have upheld the notice provisions as
being reasonable or have found that, in cases involving the sale by a trustee
under a deed of trust or by a mortgagee under a mortgage having a power of
sale, there is insufficient state action to afford constitutional protections
to the borrower.
The Mortgage Loans may include a debt-acceleration clause, which permits
the lender to accelerate the debt upon a monetary default of the borrower,
after the applicable cure period. The courts of all states will enforce
clauses providing for acceleration in the event of a material payment
default. However, courts of any state, exercising equity jurisdiction, may
refuse to allow a lender to foreclose a mortgage or deed of trust when an
acceleration of the indebtedness would be inequitable or unjust and the
circumstances would render the acceleration unconscionable.
APPLICABILITY OF USURY LAWS
Title V of the Depository Institutions Deregulation and Monetary Control
Act of 1980, enacted in March 1980 ("Title V"), provides that state usury
limitations shall not apply to certain types of residential first mortgage
loans originated by certain lenders after March 31, 1980. Similar federal
statutes were in effect with respect to mortgage loans made during the first
three months of 1980. The OTS, as successor to the Federal Home Loan Bank
Board, is authorized to issue rules and regulations and to publish
interpretations governing implementation of Title V. Title V authorizes any
state to reimpose interest rate limits by adopting, before April 1, 1983, a
state law, or by certifying that the voters of such state have voted in favor
of any provision, constitutional or otherwise, which expressly rejects an
application of the federal law. Fifteen states adopted such a law prior to
the April 1, 1983 deadline. In addition, even where Title V is not so
rejected, any state is authorized by the law to adopt a provision limiting
discount points or other charges on mortgage loans covered by Title V.
In any state in which application of Title V has been expressly rejected
or a provision limiting discount points or other charges is adopted, no
Mortgage Loan originated after the date of such state action will be eligible
as Mortgage Assets unless (i) such Mortgage Loan provides for such interest
rate, discount points and charges as are permitted in such state or (ii) such
Mortgage Loan provides that the
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terms thereof shall be construed in accordance with the laws of another state
under which such interest rate, discount points and charges would not be
usurious and the Mortgagor's counsel has rendered an opinion that such choice
of law provision would be given effect. No Mortgage Loan originated prior to
January 1, 1980 will bear interest or provide for discount points or charges
in excess of permitted levels.
ALTERNATIVE MORTGAGE INSTRUMENTS
Alternative mortgage instruments, including ARMs originated by
non-federally chartered lenders, have historically been subject to a variety
of restrictions. Such restrictions differed from state to state, resulting in
difficulties in determining whether a particular alternative mortgage
instrument originated by a state-chartered lender complied with applicable
law. These difficulties were alleviated substantially as a result of the
enactment of Title VIII of the Garn St. Germain Act ("Title VIII"). Title
VIII provides that, notwithstanding any state law to the contrary,
state-chartered banks may originate "alternative mortgage instruments"
(including ARMs) in accordance with regulations promulgated by the
Comptroller of the Currency with respect to origination of alternative
mortgage instruments by national banks; state chartered credit unions may
originate alternative mortgage instruments in accordance with regulations
promulgated by the National Credit Union Administration with respect to
origination of alternative mortgage instruments by federal credit unions and
all other non-federally chartered housing creditors, including
state-chartered savings and loan associations; and state-chartered savings
banks and mortgage banking companies may originate alternative mortgage
instruments in accordance with the regulations promulgated by the Federal
Home Loan Bank Board, as succeeded by the OTS, with respect to origination of
alternative mortgage instruments by federal savings and loan associations.
Title VIII provides that any state may reject applicability of the provisions
of Title VIII by adopting, prior to October 15, 1985, a law or constitutional
provision expressly rejecting the applicability of such provisions. Certain
states have taken such action.
SECONDARY FINANCING; DUE-ON-ENCUMBRANCE PROVISIONS
Certain of the Mortgage Loans may not restrict secondary financing,
thereby permitting the borrower to use the Mortgaged Property as security for
one or more additional loans. Certain of the Mortgage Loans may preclude
secondary financing (by permitting the first lender to accelerate the
maturity of its loan if the borrower further encumbers the Mortgaged Property
or in some other fashion) or may require the consent of the senior lender to
any junior or substitute financing; however, such provisions may be
unenforceable in certain jurisdictions under certain circumstances.
Where the borrower encumbers the Mortgaged Property with one or more
junior liens, the senior lender is subjected to additional risk. For example,
the borrower may have difficulty servicing and repaying multiple loans or
acts of the senior lender which prejudice the junior lender or impair the
junior lender's security may create a superior equity in favor of the junior
lender. For example, if the borrower and the senior lender agree to an
increase in the principal amount of or the interest rate payable on the
senior loan, the senior lender may lose its priority to the extent any
existing junior lender is harmed or the borrower is additionally burdened. In
addition, if the borrower defaults on the senior loan and/or any junior loan
or loans, the existence of junior loans and actions taken by junior lenders
can impair the security available to the senior lender and can interfere
with, delay and in certain circumstances even prevent the taking of action by
the senior lender. In addition, the bankruptcy of a junior lender may operate
to stay foreclosure or similar proceedings by the senior lender.
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THE INDENTURE
The following summaries describe certain provisions of the Indenture. The
summaries do not purport to be complete and are subject to, and qualified in
their entirety by reference to, the provisions of the Indenture. Where
particular provisions or terms used in the Indenture are referred to, such
provisions or terms are as specified in the Indenture.
CERTAIN COVENANTS
The Issuer may not liquidate or dissolve, without the consent of the
holders of not less than 66 2/3 % of the Aggregate Outstanding Principal of
each Series. The Issuer also may not consolidate or merge with or into any
other Person or convey or transfer its properties and assets substantially as
an entirety without the consent of holders of not less than 66 2/3 % of the
Aggregate Outstanding Principal of each Series, and unless (a) the Person (if
other than the Issuer) formed or surviving such merger or consolidation or
acquiring such assets is a Person organized under the laws of the United
States of America or any State and shall have expressly assumed, by
supplemental indenture in form satisfactory to the Trustee, the due and
punctual payment of principal of and interest on all Bonds and the
performance of every applicable covenant of the Indenture to be performed, by
the Issuer, (b) immediately after giving effect to such transaction, no
Default or Event of Default shall have occurred, and be continuing, (c) the
Trustee shall have received a letter from each Rating Agency rating any
outstanding Bonds to the effect that the rating issued with respect to such
Bonds is confirmed notwithstanding the consummation of such transaction and
(d) the Trustee shall have received from the Issuer an Officers' Certificate
and an Opinion of Counsel, each to the effect that, among other things, such
transaction complies with the foregoing requirements.
The Issuer may incur, assume, have outstanding or guarantee any
indebtedness other than pursuant to the Indenture only subject to certain
conditions and limitations.
MODIFICATION OF INDENTURE
Except as set forth below, with the consent of the holders of not less
than a majority of the then Aggregate Outstanding Principal of each Series or
Class of such Series to be affected, the Trustee and the Issuer may amend the
Indenture or execute a supplemental indenture, to add provisions to or change
or eliminate any provisions of the Indenture or Trust Agreement, as
applicable, relating to such Series, or modify the rights of the holders of
the Bonds of that Series.
Without the consent of the holder of each outstanding Bond affected,
however, except as provided below, no such amendment or supplemental
indenture shall (i) change the Stated Maturity of the principal of or any
installment of principal of or interest on any Bond or reduce the principal
amount thereof, the Bond Interest Rate for any Bond or the Redemption Price
with respect thereto, or change the provisions of the Trust Indenture or the
related Series Supplement relating to the application of the Trust Estate to
payment principal of or interest on the affected Bonds, or change any place
of payment where, or the coin or currency in which, any affected Bond or any
interest thereon is payable, or impair the right to institute suit for the
enforcement of the provisions of the Indenture regarding payment, (ii) reduce
the percentage of Aggregate Outstanding Principal of the Bonds of the
affected Series or Class of such Series, the consent of the holders of which
is required for the authorization of any such amendment or supplemental
indenture or for any waiver of compliance with certain provisions of the
Indenture or certain defaults thereunder and their consequences, (iii) modify
or alter the provisions of the Indenture defining the term "Outstanding,"
(iv) permit the creation of any lien ranking prior to or on a parity with the
lien of the Indenture with respect to any part of the property subject to the
lien of the Indenture or terminate the lien of the Indenture on any property
at any time subject thereto or deprive the holder of any Bond of the security
afforded by the lien of the Indenture, (v) reduce the percentage of the
Aggregate Outstanding Principal of any Series (or Class of such Series), the
consent of the holders of which is required to direct the Trustee to
liquidate the Mortgage Assets for such Series, (vi) modify any of the
provisions of the Indenture if such modification affects the calculation of
the amount of any payment of interest or principal due and payable on any
Bond on any Payment Date or to affect the rights of the holders of Bonds of
any Series (or Class of such Series) to the benefit of any provisions for the
mandatory redemption of Bonds
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of such Series (or Class of such Series) contained therein or in the related
Series Supplement or (vii) modify the provisions of the Indenture regarding
any modifications of such Indenture requiring consent of the holders of
Bonds, except to increase the percentage or number of holders required to
consent to such modification of such Indenture or Trust Agreement, as
applicable, or to provide that additional provisions of the Indenture cannot
be modified or waived without the consent of the holder of each Bond affected
thereby.
The Issuer and the Trustee may also amend the Indenture or enter into
supplemental indentures, without obtaining the consent of holders of any
Series, to cure any ambiguity or to correct or supplement any provision of
the Indenture or any supplemental indenture which may be defective or
inconsistent with any other provision, or to make or to amend any other
provisions with respect to matters or questions arising under the Indenture
or any supplemental indenture, provided that such action shall not materially
adversely affect the interests of the holders of the Bonds. Such amendments
may also be made and such supplemental indentures may also be entered into
without the consent of Bondholders or Certificateholders to set forth the
terms of and security for additional Series, to evidence the succession of
another person to the Issuer, to add to the conditions, limitations and
restrictions on certain terms of any Series and to the covenants of the
Issuer, to surrender any right or power conferred upon the Issuer, to convey,
transfer, assign, mortgage or pledge any property to the Trustee, to correct
or amplify the description of any property subject to the lien of the
Indenture to modify the Indenture to the extent necessary to effect the
Trustee's qualification under the TIA or comply with the requirements of the
TIA, to provide for the issuance of Bonds of any Series, to make any
amendment necessary or desirable to maintain the status of a REMIC as a REMIC
and to amend the provisions of the Indenture relating to authentication and
delivery of a Series with respect to which a supplemental indenture has not
theretofore been authorized or to evidence and provide for the acceptance of
appointment by a successor trustee.
EVENTS OF DEFAULT
Unless otherwise stated in the related Prospectus Supplement, an "Event of
Default" with respect to any Series is defined in the Indenture as being: (i)
a continuing default for 5 days in the payment of interest on any Bond of
such Series; (ii) a continuing default for five days in the payment of
principal, when due, of any Bond of such Series; (iii) the impairment of the
validity or effectiveness of the Indenture or any grant thereunder, or the
subordination, termination or discharge of the lien of the Indenture with
respect to such Series, or the release of any Person from any covenants or
obligations under the Indenture with respect to such Series, unless otherwise
expressly permitted, or the creation of any lien, charge, security interest,
mortgage or other encumbrance with respect to any part of the property
subject to the lien of the Indenture, or any interest in or proceeds of such
property, or the failure of the lien of the Indenture to constitute a valid
first priority security interest in the property subject to the lien of the
Indenture and the continuation of any of such defaults for a period of 30
days after notice to the Issuer by the Trustee or to the Issuer and the
Trustee by the Holders of at least 25% of the then Aggregate Outstanding
Principal of such Series; (iv) a default in the observance of, or breach of,
any covenant or negative covenant of the Issuer made in the Indenture, or a
material breach of any representation or warranty of the Issuer made in the
Indenture or in any certificate or other document delivered pursuant thereto
or in connection therewith as of the time when the same shall have been made,
and the continuation of any such default or breach for a period of 60 days
after notice to the Issuer by the Trustee or to the Issuer and the Trustee by
the holders of at least 25% of the then Aggregate Outstanding Principal of
such Series (unless the default or breach is with respect to certain
covenants specified in the Indenture not requiring such continuation or
notice); and (v) certain events of bankruptcy, insolvency, receivership or
reorganization of the Issuer. Notwithstanding the foregoing, if a Series
includes a Class of Subordinate Bonds, the Series Supplement for such a
Series may provide that certain defaults which relate only to such
Subordinate Securities shall not constitute an Event of Default with respect
to the Bonds, under certain circumstances, and may limit the rights of
holders of Subordinate Securities to direct the Trustee to pursue remedies
with respect to such defaults, or other Events of Default. Such limitations,
if any, will be specified in the related Prospectus Supplement.
Unless otherwise provided in the related Prospectus Supplement, in case an
Event of Default with respect to any Series should occur and be continuing,
the Trustee may and, upon the written request of
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the holders of at least 25% of the then Aggregate Outstanding Principal of
such Series shall, declare all Bonds of such Series to be due and payable,
together with accrued and unpaid interest thereon. Such declaration may under
certain circumstances be rescinded by the holders of a majority of the then
Aggregate Outstanding Principal of such Series.
The Indenture provides that the Trustee shall, within 90 days after the
occurrence of an Event of Default with respect to a Series, mail to the
holders of such Series notice of all uncured or unwaived defaults known to
it; provided that, except in the case of an Event of Default in the payment
of the principal or purchase price of or interest on any Bond, the Trustee
shall be protected in withholding such notice if it determines in good faith
that the withholding of such notice is in the interest of the Bondholders of
such Series, and provided, further, that, in the case of a default specified
in clause (iv) of the first paragraph of this "Events of Default" subsection
the Trustee is not required to give such notice until at least 30 days after
the occurrence of such default or breach and that, in the case of any default
or breach specified in clause (v) of the first paragraph of this "Events of
Default" subsection, the Trustee is not required to give such notice until at
least 60 days after the occurrence of such default or breach.
An Event of Default with respect to one Series will not necessarily be an
Event of Default with respect to any other Series.
Unless otherwise provided in the related Prospectus Supplement, if
following an Event of Default with respect to any Series, the Bonds of such
Series have been declared to be due and payable, the Trustee may, but shall
not be obligated to, in its sole discretion, refrain from liquidating the
related Mortgage Assets if (i) the Trustee determines that the amounts
receivable with respect to such Mortgage Assets and any Enhancement will be
sufficient to pay (a) all principal of and interest on the Bonds in
accordance with their terms without regard to the declaration of acceleration
and (b) all sums due the Trustee and any other administrative amounts
required to be paid under the Indenture and (ii) Holders of the requisite
percentage of the Securities of such Series have not directed the Trustee to
sell the related Mortgage Assets as so specified in the Indenture. In
addition, unless otherwise specified in the related Prospectus Supplement,
the Trustee is prohibited from selling the Trust Estate following certain
Events of Default unless (a) the amounts receivable with respect to the
Mortgage Assets and any Enhancement are not sufficient to pay in full the
principal of and accrued interest on the Bonds of such Series and to pay sums
due the Trustee and other administrative expenses specified in the Indenture
and the Trustee obtains the consent of holders of 66 2/3 % of the Aggregate
Outstanding Principal of such Series or (b) the Trustee obtains the consent
of 100% of the Aggregate Outstanding Principal of such Series, and subject to
the provisions of the related Prospectus Supplement, the obligor under the
Enhancement. Unless otherwise provided in the related Prospectus Supplement,
the proceeds of a sale of Mortgage Assets will be applied to the payment of
amounts due the Trustee and other administrative expenses specified in the
Indenture and then distributed pro rata among the Bondholders of such Series
(without regard to Class, provided that Subordinate Securities will be
subordinate to Senior Securities of the Series to the extent provided in the
related Prospectus Supplement) according to the amounts due and payable on
the Bonds for principal and interest at the time such proceeds are
distributed by the Trustee.
The Trustee shall not be deemed to have knowledge of any Event of Default
or Default described in clauses (iv) through (vi) of the first paragraph of
this "Events of Default" subsection unless an officer in the Trustee's
corporate trust department has actual knowledge thereof. Subject to the
provisions of the Indenture relating to the duties of the Trustee, in case an
Event of Default shall occur and be continuing, the Trustee will be under no
obligation to exercise any of the rights or powers under the Indenture at the
request or direction of any of the Bondholders of a Series, unless such
Bondholders shall have offered to the Trustee reasonable security or
indemnity. Subject to such provisions for indemnification and certain
limitations contained in the Indenture the holders of a majority of the then
Aggregate Outstanding Principal of a Series (or of such Classes specified in
the related Prospectus Supplement) will have the right to direct the time,
method and place of conducting any proceeding for any remedy available to the
Trustee or exercising any trust or power conferred on the Trustee with
respect to the Series. In addition, the Holders of a majority of the then
Aggregate Outstanding Principal of a Series (or of such Classes specified in
the related Prospectus Supplement) may, in certain cases, waive any default
with respect to such Series, except a default in payment of principal or
interest or in respect of a covenant or provision which cannot be modified
without the consent of all Bondholders affected.
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Unless otherwise specified in the related Prospectus Supplement, no holder
of Bonds of a Series will have the right to institute any Proceeding with
respect to the Indenture, unless (i) such Holder previously has given to the
Trustee written notice of a continuing Event of Default with respect to such
Series and has offered the Trustee satisfactory indemnity, (ii) the Holders
of not less than 25% of the then Aggregate Outstanding Principal of such
Series have made written request upon the Trustee to institute such
Proceeding as Trustee and have offered satisfactory indemnity, (iii) the
Trustee has, for 60 days after receipt of such notice, request and offer of
indemnity, failed to institute any such Proceeding and (iv) no direction
inconsistent with such written request has been given to the Trustee during
such 60-day period by the Holders of a majority of the then Aggregate
Outstanding Principal of such Series; provided, however, that in the event
that the Trustee receives conflicting requests and indemnities from two or
more groups of Bondholders, each representing less than a majority of the
Aggregate Outstanding Principal of such Series, the Trustee may in its sole
discretion determine what action with respect to the Proceeding, if any,
shall be taken.
AUTHENTICATION AND DELIVERY OF BONDS
The Issuer may from time to time deliver Bonds executed by it to the
Trustee and order that the Trustee authenticate such Bonds. Upon the receipt
of such Bonds and such order and subject to the Issuer's compliance with
certain conditions specified in the Indenture the Trustee will authenticate
and deliver such Bonds as the Issuer may direct. Unless otherwise specified
in the related Prospectus Supplement, the Trustee will be authorized to
appoint an agent for purposes of authenticating and delivering any Series of
Bonds (the "Authenticating Agent").
SATISFACTION AND DISCHARGE OF THE INDENTURE
The Indenture will be discharged as to a Series (except with respect to
certain continuing rights specified in the Indenture or Trust Agreement, as
applicable), (a)(1) upon the delivery to the Trustee for cancellation of all
of the Bonds of such Series other than Bonds which have been mutilated, lost
or stolen and have been replaced or paid and Bonds for which money has been
deposited in trust for the full payment thereof (and thereafter repaid to the
Issuer and discharged from such trust) as provided in of the Indenture, or
(2) at such time as all Bonds of such Series not previously cancelled by the
Trustee have become, or, within one year, will become, due and payable or
called for redemption and the Issuer shall have deposited with the Trustee an
amount sufficient to repay all of the Bonds and (b) the Issuer shall have
paid all other amounts payable under the Indenture or Trust Agreement, as
applicable, with respect to such Series.
ISSUER'S ANNUAL COMPLIANCE STATEMENT
The Issuer will be required to file annually with the Trustee a written
statement as to fulfillment of its obligations under the Indenture.
LIST OF BONDHOLDERS
Three or more Holders of a Series which have each owned the Bonds for at
least six months may, by written application to the Trustee, request access
to the list maintained by the Trustee of all holders of the same Series or of
all Bonds, as specified in the request, for the purpose of communicating with
other Bondholders with respect to their rights under the Indenture.
MEETINGS OF BONDHOLDERS
Meetings of Bondholders or Certificateholders may be called at any time
and from time to time to (i) give any notice to the Issuer or to the Trustee,
give directions to the Trustee, consent to the waiver of any Default or Event
of Default under the Indenture, or to take any other action authorized to be
taken by Bondholders in connection therewith, (ii) remove the Trustee and to
appoint a successor Trustee, (iii) consent to the execution of supplemental
indentures or (iv) take any other action authorized to be taken
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by or on behalf of the Bondholders of any specified percentage of the
Aggregate Outstanding Principal of the Bonds. Such meetings may be called by
the Trustee, the Issuer or by the holders of 10% in Aggregate Outstanding
Principal of any such Series.
FISCAL YEAR
The fiscal year of each Issuer ends on December 31.
TRUSTEE'S ANNUAL REPORT
The Trustee will be required to mail each year to all Bondholders a brief
report relating to its eligibility and qualification to continue as the
Trustee under the Indenture any amounts advanced by it under the Indenture
which remain unpaid on the date of the report, the amount, interest rate and
maturity date of certain indebtedness owing by the Issuer (or any other
obligor on such Series) to the Trustee in its individual capacity, the
property and funds physically held by the Trustee as such, any release or
release and substitution of property subject to the lien of the Indenture
which has not been previously reported, any additional issuance of Bonds not
previously reported and any action taken by it which materially affects the
Bonds and which has not been previously reported.
THE TRUSTEE
Bankers Trust or Marine Midland (or another bank or trust company
qualified under the TIA and named in the Prospectus Supplement related to a
Series) will be the Trustee under the Indenture for the Bond. The Issuer may
maintain other banking relationships in the ordinary course of business with
the Trustee. If Bankers Trust Company of California, N.A. serves as Trustee,
the Trustee's "Corporate Trust Office" is 3 Park Plaza, 16th Floor, Irvine,
California 92714, and if Marine Midland Bank, N.A. serves as Trustee, the
Trustee's "Corporate Trust Office" is 140 Broadway, New York, New York 10015,
or at such other addresses as the Trustee may designate from time to time by
notice to the Bondholders and the Issuer. With respect to the presentment and
surrender of Bonds for final payment of principal in retirement thereof on
any Payment Date, Redemption Date, Special Payment Date or Special Redemption
Date and, with respect to any other presentment and surrender of such Bonds
and for all other purposes, unless otherwise specified in the related
Prospectus Supplement, such Bonds may be presented at the Corporate Trust
Office of the Trustee or at the office of the Issuer's agent in the State of
New York (the "New York Presenting Agent"), which (if Bankers Trust Company
of California, N.A. is the Trustee) will be Bankers Trust Company, Four
Albany Street, New York, New York 10006. If another bank or trust company
serves as Trustee or as the New York Presenting Agent, the address of its
Corporate Trust Office or such office of the New York Presenting Agent will
be specified in the related Prospectus Supplement.
THE TRUST AGREEMENT
The following summaries describe certain provisions of the Trust
Agreement. The summaries do not purport to be complete and are subject to,
and qualified in their entirety by reference to, the provisions of the Trust
Agreement. Where particular provisions or terms used in the Trust Agreement
are referred to, such provisions or terms are as specified in the Trust
Agreement.
ASSIGNMENT OF MORTGAGE ASSETS
General. The Depositor will transfer, convey and assign to the Trustee all
right, title and interest of the Depositor in the Mortgage Assets and other
property to be included in the Trust Fund for a Series. Such assignment will
include all principal and interest due on or with respect to the Mortgage
Assets after the Cut-off Date specified in the related Prospectus Supplement.
The Trustee will, concurrently with such assignment, execute and deliver the
Certificates.
Assignment of Mortgage Loans. The Depositor will, as to each Mortgage
Loan, deliver or cause to be delivered to the Trustee, or, as specified in
the related Prospectus Supplement, the Custodian, the Mortgage Note endorsed
without recourse to the order of the Trustee or in blank, the original
Mortgage
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with evidence of recording indicated thereon (except for any Mortgage not
returned from the public recording office, in which case a copy of such
Mortgage will be delivered, together with a certificate that the original of
such Mortgage was delivered to such recording office) and an assignment of
the Mortgage in recordable form. The Trustee, or, if so specified in the
related Prospectus Supplement, the Custodian, will hold such documents in
trust for the benefit of the Certificateholders.
If so specified in the related Prospectus Supplement, the Depositor will,
at the time of delivery of the Certificates, cause assignments to the Trustee
of the Mortgage Loans to be recorded in the appropriate public office for
real property records, except in states where, in the opinion of counsel
acceptable to the Trustee, such recording is not required to protect the
Trustee's interest in the Mortgage Loan. If specified in the related
Prospectus Supplement, the Depositor will cause such assignments to be so
recorded within the time after delivery of the Certificates as is specified
in the related Prospectus Supplement, in which event, the Trust Agreement
may, as specified in the related Prospectus Supplement, require the Depositor
to repurchase from the Trustee any Mortgage Loan required to be recorded but
not recorded within such time, at the price described below with respect to
repurchase by reason of defective documentation. Unless otherwise provided in
the related Prospectus Supplement, the enforcement of the repurchase
obligation would constitute the sole remedy available to the
Certificateholders or the Trustee for the failure of a Mortgage Loan to be
recorded.
Each Mortgage Loan will be identified in a schedule appearing as an
exhibit to the Trust Agreement (the "Mortgage Loan Schedule"). Such Mortgage
Loan Schedule will specify with respect to each mortgage loan: the original
principal amount and unpaid principal balance as of the Cut-off Date; the
current interest rate; the current Scheduled Payment of principal and
interest; the maturity date of the related mortgage note; if the Mortgage
Loan is an adjustable rate mortgage, the lifetime mortgage rate cap, if any,
and the current index; and, if the Mortgage Loan is a loan with other than
fixed Scheduled Payments and level amortization, the terms thereof.
REPURCHASE OF NON-CONFORMING LOANS
Unless otherwise provided in the related Prospectus Supplement, if any
document in the Mortgage Loan file delivered by the Depositor to the Trustee
is found by the Trustee within 45 days of the execution of the related Trust
Agreement (or promptly after the Trustee's receipt of any document permitted
to be delivered after the Closing Date) to be defective in any material
respect and the Depositor does not cure such defect within 90 days, or within
such other period specified in the related Prospectus Supplement, the
Depositor will, not later than 90 days or within such other period specified
in the related Prospectus Supplement, after the Trustee's notice to the
Depositor or the Master Servicer, as the case may be, of the defect,
repurchase the related Mortgage Loan or any property acquired in respect
thereof from the Trustee at a price equal to (a) the outstanding principal
balance of such Mortgage Loan (or, in the case of a foreclosed Mortgage Loan,
the outstanding principal balance of such Mortgage Loan immediately prior to
foreclosure) and (b), accrued and unpaid interest to the date of the next
scheduled payment on such Mortgage Loan at the related Certificate Interest
Rate (less any unreimbursed Advances respecting such Mortgage Loan).
Unless otherwise provided in the related Prospectus Supplement, the
above-described repurchase obligation constitute the sole remedies available
to the Certificateholders or the Trustee for a material defect in a Mortgage
Loan document.
The Depositor or another entity will make representations and warranties
with respect to Mortgage Loans which comprise the Mortgage Assets for a
Series. If the Depositor or such entity cannot cure a breach of any such
representations and warranties in all material respects within 90 days after
notification by the Trustee of such breach, and if such breach is of a nature
that materially and adversely affects the value of such Mortgage Loan, the
Depositor or such entity is obligated to repurchase the affected Mortgaged
Loan or, if provided in the related Prospectus Supplement, provide a
Substitute Mortgage Loan therefor, subject to the same conditions and
limitations on purchases and substitutions as described above.
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The Depositor's only source of funds to effect any cure, repurchase or
substitution will be through the enforcement of the corresponding obligations
of the responsible originator or seller of such Mortgage Loans. See "RISK
FACTORS".
REPORTS TO CERTIFICATEHOLDERS
The Trustee will prepare and forward to each Certificateholder on each
Distribution Date, or as soon thereafter as is practicable, a statement
setting forth, to the extent applicable to any Series, among other things:
(i) with respect to a Series the amount of such distribution allocable to
principal on the Mortgage Assets, separately identifying the aggregate amount
of any principal prepayments included therein and the amount, if any,
advanced by the Servicer or by a Servicer;
(ii) with respect to a Series, the amount of such distribution allocable
to interest on the Mortgage Assets and the amount, if any, advanced by a
Servicer;
(iii) the amount of servicing compensation with respect to the Mortgage
Assets and paid during the Due Period commencing on the Due Date to which
such distribution relates and the amount of servicing compensation during
such period attributable to penalties and fees;
(iv) the aggregate outstanding principal balance of the Mortgage Assets as
of the opening of business on the Due Date, after giving effect to
distributions allocated to principal and reported under (i) above;
(v) the aggregate outstanding principal amount of the Certificates of such
series as of the Due Date, after giving effect to distributions allocated to
principal reported under (i) above;
(vi) with respect to Compound Interest Securities, prior to the Accrual
Termination Date in addition to the information specified in (i)(B) above,
the amount of interest accrued on such Securities during the related Interest
Accrual Period and added to the Compound Value thereof;
(vii) in the case of Variable Rate Securities, the Variable Interest Rate
applicable to the distribution being made;
(viii) if applicable, the amount of any shortfall (i.e., the difference
between the aggregate amounts of principal and interest which
Certificateholders would have received if there were sufficient eligible
funds to distribute and the amounts actually distributed);
(ix) if applicable, the number and aggregate principal balances of
Mortgage Loans delinquent for (A) two consecutive payments and (B) three or
more consecutive payments, as of the close of the business on the
Determination Date to which such distribution relates;
(x) if applicable, the book value of any REO Property acquired on behalf
of Certificateholders through foreclosure, grant of a deed in lieu of
foreclosure or repossession as of the close of the business on the Business
Day preceding the Distribution Date to which such distribution relates;
(xi) if applicable, the amount of coverage under any pool insurance policy
as of the close of business on the applicable Distribution Date;
(xii) if applicable, the amount of coverage under any special hazard
insurance policy as of the close of business on the applicable Distribution
Date;
(xiii) if applicable, the amount of coverage under any bankruptcy bond as
of the close of business on the applicable Distribution Date;
(xiv) in the case of any other Enhancement described in the related
Prospectus Supplement, the amount of coverage of such credit support as of
the close of business on the applicable Distribution Date;
(xv) in the case of any Series which includes a Subordinate Securities,
the subordinated amount, if any, determined as of the related Determination
Date and if the distribution to the Holders Senior Securities is less than
their required distribution, the amount of the shortfall;
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(xvi) the amount of any withdrawal from any applicable reserve fund
included in amounts actually distributed to Certificateholders and the
remaining balance of each reserve fund, if any, on such Distribution Date,
after giving effect to distributions made on such date; and
(xvii) such other information as specified in the related Trust Agreement.
In addition, within a reasonable period of time after the end of each
calendar year the Trustee, unless otherwise specified in the related
Prospectus Supplement, will furnish to each Certificateholder of record at
any time during such calendar year: (a) the aggregate of amounts reported
pursuant to (i) through (iv), (vi), (viii) and (xvi) above for such calendar
year and (b) such information specified in the Trust Agreement to enable
Certificateholders to prepare their tax returns including, without
limitation, the amount of original issue discount accrued on the
Certificates, if applicable. Information in the Distribution Date and annual
reports provided to the Certificateholders will not have been examined and
reported upon by an independent public accountant. However, the Master
Servicer will provide to the Trustee a report by independent public
accountants with respect to the Master Servicer's servicing of the Mortgage
Loans. See "SERVICING OF MORTGAGE LOANS--Evidence as to Compliance" herein.
EVENT OF DEFAULT
Events of Default under the Trust Agreement for each Series include (i)
any failure by the Master Servicer to distribute to Certificateholders of
such Series any required payment which continues unremedied for five days
after the giving of written notice of such failure to the Master Servicer by
the Trustee for such Series, or to the Master Servicer and the Trustee by the
Holders of Certificates of such Series evidencing not less than 25% of the
aggregate outstanding principal amount of the Certificates for such Series,
(ii) any failure by the Servicer duly to observe or perform in any material
respect any other of its covenants or agreements in the Trust Agreement which
continues unremedied for 30 days (or 15 days in the case of a failure to
maintain any insurance policy required to be maintained pursuant to the Trust
Agreement) after the giving of written notice of such failure to the Master
Servicer by the Trustee, or to the Master Servicer and the Trustee by the
Holders of Certificates of such Series evidencing not less than 25% of the
aggregate outstanding principal amount of the Certificates and (iii) certain
events in insolvency, readjustment of debt, marshalling of assets and
liabilities or similar proceedings and certain actions by the Master Servicer
indicating its insolvency, reorganization or inability to pay its
obligations.
RIGHTS UPON EVENT OF DEFAULT
So long as an Event of Default remains unremedied under the Trust
Agreement for a Series, the Trustee for such Series or Holders of
Certificates of such Series evidencing not less than 25% of the aggregate
outstanding principal amount of the Certificates for such Series may
terminate all of the rights and obligations of the Master Servicer as
servicer under the Trust Agreement and in and to the Mortgage Loans (other
than its right to recovery of other expenses and amounts advanced pursuant to
the terms of the Trust Agreement which rights the Master Servicer will retain
under all circumstances), whereupon the Trustee will succeed to all the
responsibilities, duties and liabilities of the Master Servicer under the
Trust Agreement and will be entitled to reasonable servicing compensation not
to exceed the applicable servicing fee, together with other servicing
compensation in the form of assumption fees, late payment charges or
otherwise as provided in the Trust Agreement.
In the event that the Trustee is unwilling or unable so to act, it may
select, or petition a court of competent jurisdiction to appoint, a housing
and home finance institution, bank or mortgage servicing institution with a
net worth of at least $15,000,000 to act as successor Master Servicer under
the provisions of such Trust Agreement relating to the servicing of the
Mortgage Loans. The successor Servicer would be entitled to reasonable
servicing compensation in an amount not to exceed the servicing fee as set
forth in the related Prospectus Supplement, together with the other servicing
compensation in the form of assumption fees, late payment charges or
otherwise, as provided in the Trust Agreement.
During the continuance of any Event of Default under the Trust Agreement
for a Series, the Trustee for such Series will have the right to take action
to enforce its rights and remedies and to protect and enforce the rights and
remedies of the Certificateholders of such Series, and Holders of
Certificates
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evidencing not less than 25% of the aggregate outstanding principal amount of
the Certificates for such Series may direct the time, method and place of
conducting any proceeding for any remedy available to the Trustee or
exercising any trust or power conferred upon that Trustee. However, the
Trustee will not be under any obligation to pursue any such remedy or to
exercise any of such trusts or powers unless such Certificateholders have
offered the Trustee reasonable security or indemnity against the cost,
expenses and liabilities which may be incurred by the Trustee therein or
thereby. Also, the Trustee may decline to follow any such direction if the
Trustee determines that the action or proceeding so directed may not lawfully
be taken or would involve it in personal liability or be unjustly prejudicial
to the nonassenting Certificateholders.
No Certificateholder of a Series, solely by virtue of such Holder's status
as a Certificateholder, will have any right under the Trust Agreement for
such Series to institute any proceeding with respect to the Trust Agreement,
unless such Holder previously has given to the Trustee for such Series
written notice of default and unless the Holders of Certificates evidencing
not less than 25% of the aggregate outstanding principal amount of the
Certificates for such Series have made written request upon the Trustee to
institute such proceeding in its own name as Trustee thereunder and have
offered to the Trustee reasonable indemnity, and the Trustee for 60 days has
neglected or refused to institute any such proceeding.
THE TRUSTEE
The identity of the commercial bank, savings and loan association or trust
company named as the Trustee for each Series of Certificates will be set
forth in the related Prospectus Supplement, and such Trustee may be Bankers
Trust or Marine Midland. The entity serving as Trustee may have normal
banking relationships with the Depositor or the Master Servicer. In addition,
for the purpose of meeting the legal requirements of certain local
jurisdictions, the Trustee will have the power to appoint co-trustees or
separate trustees of all or any part of the Trust Fund relating to a Series
of Certificates. In the event of such appointment, all rights, powers, duties
and obligations conferred or imposed upon the Trustee by the Trust Agreement
relating to such Series will be conferred or imposed upon the Trustee and
each such separate trustee or co-trustee jointly, or, in any jurisdiction in
which the Trustee shall be incompetent or unqualified to perform certain
acts, singly upon such separate trustee or co-trustee who shall exercise and
perform such rights, powers, duties and obligations solely at the direction
of the Trustee. The Trustee may also appoint agents to perform any of the
responsibilities of the Trustee, which agents shall have any or all of the
rights, powers, duties and obligations of the Trustee conferred on them by
such appointment; provided that the Trustee shall continue to be responsible
for its duties and obligations under the Trust Agreement.
DUTIES OF THE TRUSTEE
The Trustee makes no representations as to the validity or sufficiency of
the Trust Agreement, the Certificates or of any Mortgage Asset or related
documents. If no Event of Default (as defined in the related Trust Agreement)
has occurred, the Trustee is required to perform only those duties
specifically required of it under the Trust Agreement. Upon receipt of the
various certificates, statements, reports or other instruments required to be
furnished to it, the Trustee is required to examine them to determine whether
they are in the form required by the related Trust Agreement, however, the
Trustee will not be responsible for the accuracy or content of any such
documents furnished by it or the Certificateholders to the Master Servicer
under the Trust Agreement.
The Trustee may be held liable for its own grossly negligent action or
failure to act, or for its own willful misconduct; provided, however, that
the Trustee will not be personally liable with respect to any action taken,
suffered or omitted to be taken by it in good faith in accordance with the
direction of the Certificateholders in an Event of Default, see "Rights Upon
Event of Default" above. The Trustee is not required to expend or risk its
own funds or otherwise incur any financial liability in the performance of
any of its duties under a Trust Agreement, or in the exercise of any of its
rights or powers, if it has reasonable grounds for believing that repayment
of such funds or adequate indemnity against such risk or liability is not
reasonably assured to it.
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RESIGNATION OF TRUSTEE
The Trustee may, upon written notice to the Depositor, resign at any time,
in which event the Depositor will be obligated to use its best efforts to
appoint a successor Trustee. If no successor Trustee has been appointed and
has accepted the appointment within 30 days after giving such notice of
resignation, the resigning Trustee may petition any court of competent
jurisdiction for appointment of a successor Trustee. The Trustee may also be
removed at any time (i) by the Depositor, if the Trustee ceases to be
eligible to continue as such under the Trust Agreement, (ii) if the Trustee
becomes insolvent, (iii) if a tax is imposed or threatened with respect to
the Trust Fund by any state in which the Trustee or the Trust Fund held by
the Trustee pursuant to the Trust Agreement is located, or (iv) by the
Holders of Certificates evidencing over 50% of the aggregate outstanding
principal amount of the Certificates in the Trust Fund upon 30 days' advance
written notice to the Trustee and to the Depositor. Any resignation or
removal of the Trustee and appointment of a successor Trustee will not become
effective until acceptance of the appointment by the successor Trustee.
AMENDMENT OF TRUST AGREEMENT
Unless otherwise specified in the Prospectus Supplement, the Trust
Agreement for each Series of Certificates may be amended by the Depositor,
the Master Servicer, and the Trustee with respect to such Series, without
notice to or consent of the Certificateholders (i) to cure any ambiguity,
(ii) to correct or supplement any provision therein which may be inconsistent
with any other provision therein or in the Prospectus Supplement, (iii) to
make any other provisions with respect to matters or questions arising under
such Trust Agreement or (iv) to comply with any requirements imposed by the
Code; provided that any such amendment pursuant to clause (iii) above will
not adversely affect in any material respect the interests of any
Certificateholders of such Series not consenting thereto. Any such amendment
pursuant to clause (iii) of the preceding sentence shall be deemed not to
adversely affect in any material respect the interests of any
Certificateholder if the Trustee receives written confirmation from each
Rating Agency rating such Certificates that such amendment will not cause
such Rating Agency to reduce the then current rating thereof. The Trust
Agreement for each Series may also be amended by the Trustee, the Master
Servicer and the Depositor with respect to such Series with the consent of
the Holders possessing not less than 66 2/3 % of the aggregate outstanding
principal amount of the Certificates of each Class of such Series affected
thereby, for the purpose of adding any provisions to or changing in any
manner or eliminating any of the provisions of such Trust Agreement or
modifying in any manner the rights of Certificateholders of such Series;
provided, however, that no such amendment may (a) reduce the amount or delay
the timing of payments on any Certificate without the consent of the Holder
of such Certificate; or (b) reduce the aforesaid percentage of aggregate
outstanding principal amount of Certificates of each Class, the Holders of
which are required to consent to any such amendment without the consent of
the Holders of 100% of the aggregate outstanding principal amount of each
Class of Certificates affected thereby.
VOTING RIGHTS
The related Prospectus Supplement will set forth the method of determining
allocation of voting rights with respect to a Series, if other than set forth
herein.
LIST OF CERTIFICATEHOLDERS
Upon written request of three or more Certificateholders of record of a
Series for purposes of communicating with other Certificateholders with
respect to their rights under the Trust Agreement or under the Certificates
for such Series, which request is accompanied by a copy of the communication
which such Certificateholders propose to transmit, the Trustee will afford
such Certificateholders access during business hours to the most recent list
of Certificateholders of that Series held by the Trustee.
No Trust Agreement will provide for the holding of any annual or other
meeting of Certificateholders.
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REMIC ADMINISTRATOR
With respect to any Series, preparation of certain reports and certain
other administrative duties with respect to the Trust Fund may be performed
by a REMIC administrator, who may be an affiliate of the Depositor.
TERMINATION
The obligations created by the Trust Agreement for a Series will terminate
upon the distribution to Certificateholders of all amounts distributable to
them pursuant to such Trust Agreement after (i) the later of the final
payment or other liquidation of the last Mortgage Loan remaining in the Trust
Fund for such Series or the disposition of all REO Property or (ii) the
repurchase, as described below, by the Servicer from the Trustee for such
Series of all Loans at that time subject to the Trust Agreement and all REO
Property. The Trust Agreement for each Series permits, but does not require,
the Servicer to repurchase from the Trust Fund for such Series all remaining
Mortgage Loans at a price equal to 100% of the Aggregate Asset Value of such
Mortgage Loans plus, with respect to REO Property, if any, the outstanding
principal balance of the related Mortgage Loan, less, in either case, related
unreimbursed Advances (in the case of the Mortgage Loans, only to the extent
not already reflected in the computation of the Aggregate Asset Value of such
Mortgage Loans) and unreimbursed expenses (that are reimburseable pursuant to
the terms of the Trust Agreement) plus, in either case, accrued interest
thereon at the weighted average Mortgage Rate through the last day of the Due
Period in which such repurchase occurs; provided, however, that if an
election is made for treatment as a REMIC under the Code, the repurchase
price may equal the greater of (a) 100% of the Aggregate Asset Value of such
Loans, plus accrued interest thereon at the applicable net Mortgage Rates
through the last day of the month of such repurchase and (b) the aggregate
fair market value of such Mortgage Loans; plus the fair market value of any
property acquired in respect of a Mortgage Loan and remaining in the Trust
Fund. The exercise of such right will effect early retirement of the
Certificates of such Series, but the Servicer's right to so purchase is
subject to the Aggregate Value of the Mortgage Loans at the time of
repurchase being less than a fixed percentage, to be set forth in the related
Prospectus Supplement, of the Cut-off Date Aggregate Asset Value. In no
event, however, will the trust created by the Trust Agreement continue beyond
the expiration of 21 years from the death of the last survivor of certain
persons identified therein. For each Series, the Servicer or the Trustee, as
applicable, will give written notice of termination of the Trust Agreement to
each Certificateholder, and the final distribution will be made only upon
surrender and cancellation of the Certificates at an office or agency
specified in the notice of termination. If so provided in the related
Prospectus Supplement for a Series, the Depositor or another entity may
effect an optional termination of the Trust Fund or repurchase all or certain
Classes of Certificates of a Series under the circumstances described in such
Prospectus Supplement. See "DESCRIPTION OF THE SECURITIES--Optional
Termination," "--Optional Repurchase of Certificates," and "--Other
Repurchases" herein.
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THE ISSUER
THE COMPANY
The Company was incorporated in the State of Delaware on January 2, 1987.
The principal office of the Company is located at 200 Vesey Street, New York,
New York 10285. Its telephone number is (212) 526-5594.
The Certificate of Incorporation of the Company provides that the Company
may not conduct any activities other than those related to the issue and sale
of one or more Series and to serve as depositor of one or more trusts that
may issue and sell Bonds or Certificates. The Certificate of Incorporation of
the Company provides that any Securities, except for subordinated Securities,
issued by the Company must be rated in one of the three highest categories
available by any Rating Agency rating the Series. Pursuant to the terms of
the Indenture or Trust Agreement, as applicable, the Company may not issue
any Securities which would result in the lowering of the then current ratings
of the outstanding Securities of any Series.
The Series Supplement for a particular Series may permit the Primary
Assets pledged to secure the related Series of Bonds to be transferred by the
Issuer to a trust, subject to the obligations of the Bonds of such Series,
thereby relieving the Issuer of its obligations with respect to such Bonds.
OWNER TRUST
Each owner trust established to act as Issuer of a Series of bonds (each,
an "Owner Trust") will be created pursuant to a deposit trust agreement (the
"Deposit Trust Agreement") between the Company which will act as Depositor
and the bank, trust company or other fiduciary named in the related
Prospectus Supplement which will act solely in its fiduciary capacity as
Owner Trustee. Under the terms of each Deposit Trust Agreement, the Company
will convey to the Owner Trustee Mortgage Assets and other Primary Assets to
secure one or more Series in return for certificates or other instruments
evidencing beneficial ownership of the Owner Trust and the net proceeds of
the sale of the Bonds. The Company may in turn sell or assign the
certificates of beneficial interest to another entity or entities, including
affiliates of the Company.
The Owner Trust will pledge the Mortgage Assets and other Primary Assets
to the Trustee under the related Indenture as security for a Series. The
Trustee will hold such Mortgage Assets as security only for that Series, and
Holders of the Bonds of such Series will be entitled to the equal and
proportionate benefits of such security, subject to the express subordination
of certain Classes thereof, as if the same had been granted by a corporate
issuer.
Each Deposit Trust Agreement will provide that the related Trust may not
conduct any activities other than those related to the issuance and sale of
the particular Series. No Deposit Trust Agreement will be subject to
amendment without the prior written consent of the Owner Trustee, the holders
representing a majority of the beneficial interest of the Owner Trust and the
Trustee, except that the holders of not less than 66 2/3 % of the Aggregate
Outstanding Principal of each Series must consent to any amendment of, among
other provisions, the limitation on activities of the Owner Trust and the
provision regarding amendments to the Deposit Trust Agreement. The holders of
the beneficial interests in an Owner Trust which issues a Series will not be
liable for payment of principal of or interest on the Bonds and each holder
of Bonds of such Series will be deemed to have released such beneficial
owners from any such liability.
ADMINISTRATOR
Unless otherwise specified in the related Prospectus Supplement, it is
expected that the Issuer will enter into an administration agreement with an
administrator acceptable to the Rating Agencies rating the applicable Series
of Securities (the "Administrator") pursuant to which advisory,
administrative, accounting and clerical services will be provided to the
Issuer with respect to the Securities. The Trustee or the Master Servicer may
serve as the Securities Administrator. In addition, under the Indenture or
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Trust Agreement, as applicable, the Issuer is responsible for certain
administrative and accounting matters relating to the Securities. It is
intended that the Administrator will perform these services on behalf of the
Issuer, and amounts payable with respect to such services, unless otherwise
provided in the related Prospectus Supplement, will be subordinate to the
Issuer's obligations to pay principal and interest to the Bondholders or
Certificateholders (including any Residual Interest Bondholders or Residual
Interest Certificateholders) but, unless otherwise specified in the related
Prospectus Supplement, will be senior to the Issuer's obligation to pay any
Excess Cash Flow to the Residual Interest Bondholders or Residual Interest
Certificateholders.
USE OF PROCEEDS
The Issuer will apply all or substantially all of the net proceeds from
the sale of each Series offered hereby and by the related Prospectus
Supplement to purchase the Mortgage Assets securing each Series
simultaneously with the issuance and sale of such Securities. The proceeds
may also be used to repay indebtedness which has been incurred to acquire
Mortgage Assets, to establish the Reserve Funds, if any, for the Series and
to pay costs of structuring, guaranteeing and issuing the Securities. If so
specified in the related Prospectus Supplement, the purchase of the Mortgage
Assets for a Series may be effected by an exchange of Securities with the
Seller of such Mortgage Assets.
LIMITATIONS ON ISSUANCE OF BEARER SECURITIES
Any bearer securities will be issued in compliance with United States
federal tax laws and regulations applicable at the time of issuance. Under
current law, bearer securities may not be offered or sold during the
restricted period, or delivered in definitive form in connection with a sale
during the restricted period (as defined under "DESCRIPTION OF THE
SECURITIES--Bearer Securities and Registered Securities"), in the United
States or to United States persons other than to (a) the United States office
of (i) an international organization (as defined in Section 7701(a)(18) of
the Code), (ii) a foreign central bank (as defined in Section 895 of the
Code), or (iii) any underwriter, agent, or dealer offering or selling bearer
securities during the restricted period (a "Distributor") pursuant to a
written contract with the Issuer or with another Distributor, that purchases
bearer securities for resale or for its own account and agrees to comply with
the requirements of Section 165(j)(3)(A), (B), or (C) of the Code, or (b) the
foreign branch of a United States financial institution purchasing for its
own account or for resale, which institution agrees to comply with the
requirements of Section 165(j)(3)(A), (B), or (C) of the Code. In addition, a
sale of a bearer security may be made during the restricted period to a
United States person who acquired and holds the bearer security on the
certification date through a foreign branch of a United States financial
institution that agrees to comply with the requirements of Section
165(j)(3)(A), (B) or (C) of the Code. Any Distributor (including an affiliate
of a Distributor) offering or selling bearer securities during the restricted
period must agree not to offer or sell bearer securities in the United States
or to United States persons (except as discussed above) and must employ
procedures reasonably designed to ensure that its employees or agents
directly engaged in selling bearer securities are aware of these
restrictions.
Bearer securities and their interest coupons will bear a legend
substantially to the following effect: "Any United States person who holds
this obligation will be subject to limitations under the United States income
tax laws, including the limitations provided in Section 165(j) and 1287(a) of
the Internal Revenue Code."
Purchasers of bearer securities may be affected by certain limitations
under United States tax laws. See "FEDERAL INCOME TAX
CONSIDERATIONS--Miscellaneous Tax Aspects."
As used herein, "United States person" means a citizen or resident of the
United States, a corporation, partnership or other entity created or
organized in or under the laws of the United States and an estate or trust
the income of which is subject to United States federal income taxation
regardless of its source, and "United States" means the United States of
America (including the States and the District of Columbia) and its
possessions including Puerto Rico, the U.S. Virgin Islands, Guam, American
Samoa, Wake Island and the Northern Mariana Islands.
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FEDERAL INCOME TAX CONSIDERATIONS
GENERAL
The following is a summary of certain anticipated federal income tax
consequences of the purchase, ownership, and disposition of the Securities.
The summary is based upon the provisions of the Code, the regulations
promulgated thereunder, including, where applicable, proposed regulations,
and the judicial and administrative rulings and decisions now in effect, all
of which are subject to change or possible differing interpretations. The
statutory provisions, regulations, and interpretations on which this
interpretation is based are subject to change, and such a change could apply
retroactively.
The summary does not purport to deal with all aspects of federal income
taxation that may affect particular investors in light of their individual
circumstances, nor with certain types of investors subject to special
treatment under the federal income tax laws. This summary focuses primarily
upon investors who will hold Securities as "capital assets" (generally,
property held for investment) within the meaning of Section 1221 of the Code,
but much of the discussion is applicable to other investors as well.
Potential purchasers of Securities are advised to consult their own tax
advisers concerning the federal, state or local tax consequences to them of
the purchase, holding and disposition of the Securities.
CHARACTERIZATION OF SECURITIES
Unless otherwise stated in the applicable Prospectus Supplement, a REMIC
election will be made with respect to each Series of Securities. In such a
case, special counsel to the Issuer will deliver its opinion to the effect
that the arrangement by which the Securities of that Series are issued will
be treated as a REMIC as long as all of the provisions of the applicable
Indenture or Trust Agreement, as applicable, are complied with and the
statutory and regulatory requirements are satisfied. Securities of such
Series will be designated as "regular interests" or "residual interests" in a
REMIC, as specified in the related Prospectus Supplement.
If the applicable Prospectus Supplement so specifies with respect to a
Series of Securities, the Securities of such Series will not be treated as
regular or residual interests in a REMIC for federal income tax purposes but
instead will be treated as (i) indebtedness of the Issuer; (ii) an undivided
beneficial ownership interest in the Mortgage Loans (and the arrangement
pursuant to which the Mortgage Loans will be held and the Securities will be
issued will be treated as a grantor trust under Subpart E, part I of
subchapter J of the Code and not as an association taxable as a corporation
for federal income tax purposes); (iii) equity interests in an association
that will satisfy the requirements for qualification as a real estate
investment trust; or (iv) interests in an entity that will satisfy the
requirements for qualification as a partnership for federal income tax
purposes. The federal income tax consequences to Bondholders or
Certificateholders of any such Series will be described in the applicable
Prospectus Supplement.
Except to the extent the related Prospectus Supplement specifies
otherwise, if a REMIC election is made with respect to a Series of
Securities, (i) Securities held by a mutual savings bank or domestic building
and loan association will represent interests in "qualifying real property
loans" within the meaning of Code Section 593(d) (assuming that at least 95%
of the REMIC's assets are "qualifying real property loans"); (ii) Securities
held by a domestic building and loan association will constitute "a regular
or a residual interest in a REMIC" within the meaning of Code Section
7701(a)(19)(C)(xi) (assuming that at least 95% of the REMIC's assets consist
of cash, government securities, "loans . . . secured by an interest in real
property," and other types of assets described in Code Section
7701(a)(19)(C)); and (iii) Securities held by a real estate investment trust
will constitute "real estate assets" within the meaning of Code Section
856(c)(6)(B), and income with respect to the Securities will be considered
"interest on obligations secured by mortgages on real property or on interest
in real property" within the meaning of Code Section 856(c)(3)(B) (assuming,
for both purposes, that at least 95% of the REMIC's assets are qualifying
assets). If less than 95% of the REMIC's assets consist of assets described
in (i), (ii) or (iii) above, then Securities will qualify for the tax
treatment described in (i), (ii), or (iii) in the proportion that such REMIC
assets are qualifying assets. In general, Mortgage Loans secured by
non-residential real property will not constitute "loans . . . secured by an
interest in real property" within the meaning of Section 7701(a)(19)(C).
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It is possible that various reserves or funds will reduce the proportion
of REMIC assets which qualify under the standards described above.
TAXATION OF REGULAR INTEREST SECURITIES
Interest and Acquisition Discount. Securities that qualify as regular
interests in a REMIC ("Regular Interest Securities") are generally treated as
indebtedness for federal income tax purposes. Stated interest on a Regular
Interest Security will be taxable as ordinary income using the accrual method
of accounting, regardless of the Bondholder's or Certificateholder's normal
accounting method. Reports will be made annually to the IRS and to holders of
Regular Interest Securities that are not excepted from the reporting
requirements regarding amounts treated as interest (including accrual of
original issue discount) on Regular Interest Securities.
Compound Interest Securities, Interest Weighted Securities, and Zero
Coupon Securities will, and other Securities constituting Regular Interest
Securities may, be issued with "original issue discount" ("OID") within the
meaning of Code Section 1273. Rules governing original issue discount are set
forth in sections 1271-1275 of the Code and the Treasury regulations
thereunder (the "OID Regulations"). The OID Regulations do not address the
treatment of instruments having contingent payments. However, Treasury
regulations (the "Proposed Contingent Regulations") governing the treatment
of contingent payment obligations have recently been proposed. As described
more fully below, Code Section 1272(a)(6) requires the use of an income tax
accounting methodology that utilizes (i) a single constant yield to maturity
and (ii) the Prepayment Assumptions. Under Section 1272(a)(6) of the Code,
special rules apply to the computation of OID on instruments, such as the
Regular Interest Securities, on which principal is prepaid based on
prepayments of the underlying assets. Neither the OID Regulations nor the
Proposed Contingent Regulations contain rules applicable to instruments
governed by Section 1272(a)(6). Although technically not applicable to
prepayable securities and not yet finalized, the Proposed Contingent
Regulations may represent the likely method to be applied in calculating OID
on certain Classes of Certificates. Until the Treasury issues guidance to the
contrary, the Servicer or other person responsible for computing the amount
of original issue discount to be reported to a Regular Interest
Securityholder each taxable year (the "Tax Administrator") intends to base
its computations on Code Section 1272(a)(6), the OID Regulations and the
Proposed Contingent Regulations as described below. However, because no
regulatory guidance currently exists under Code Section 1272(a)(6), there can
be no assurance that the methodology described below represents the correct
manner of calculating original issue discount on the Regular Interest
Securities.
In general, OID, if any, will equal the difference between the stated
redemption price at maturity of a Regular Interest Security and its issue
price. A holder of a Regular Interest Security must include such OID in gross
income as ordinary interest income as it accrues under a method taking into
account an economic accrual of the discount. In general, OID must be included
in income in advance of the receipt of the cash representing that income. The
amount of OID on a Regular Interest Security will be considered to be zero if
it is less than a de minimis amount determined under the Code. However, the
amount of any de minimis OID must be included in income as principal payments
are received on an Offered Certificate, in the proportion that each such
payment bears to the original principal balance of the Certificate.
The issue price of a Regular Interest Security of a Class will generally
be the initial offering price at which a substantial amount of the Securities
in the Class are sold, and will be treated by the Issuer as including, in
addition, the amount paid by the Bondholder or Certificateholder for accrued
interest that relates to a period prior to the Closing Date of such Regular
Interest Security. Under the OID Regulations, the stated redemption price at
maturity is the sum of all payments on the Security other than any "qualified
stated interest" payments. Qualified stated interest is defined as any one of
a series of payments equal to the product of the outstanding principal
balance of the Security and a single fixed rate, or certain variable rates of
interest that is unconditionally payable at least annually. See "Variable
Rate Securities" below. In the case of the Compound Interest Securities, and
certain of the other Regular Interest Securities, none of the payments under
the instrument will be considered "qualified stated interest," and thus the
aggregate amount of all payments will be included in the stated redemption
price.
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For example, any securities upon which interest can be deferred and added to
principal ("Deferred Interest Securities"), and certain securities the
interest rate on which is based on a weighted average of the rates on certain
of the underlying mortgage loans, will not be "qualified stated interest." In
addition, because Securities Owners are entitled to receive interest only to
the extent that payments are made on the Mortgage Loans, interest on all
Regular Interest Securities may not be "unconditionally payable." In that
case, all of the yield on a Regular Interest Security will be taxed as OID,
but Interest would not then be includable in income again when received.
Unless otherwise specified in the related Prospectus Supplement, the Issuer
intends to take the position that interest on the Regular Interest Securities
is "unconditionally payable."
The holder of a Regular Interest Security issued with OID must include in
gross income, for all days during its taxable year on which it holds such
Regular Interest Security, the sum of the "daily portions" of such OID. Such
daily portions are computed by allocating to each day during a taxable year a
pro rata portion of the OID that accrued during the relevant accrual period.
In the case of a debt instrument, subject to Section 1272(a)(6) of the Code,
such as a Regular Interest Security, that is subject to acceleration due to
prepayments on other debt obligations securing such instrument, OID is
computed by taking into account the anticipated rate of prepayments assumed
in pricing the debt instrument (the "Prepayment Assumption"). The amount of
OID that will accrue during an accrual period (generally the period between
interest payments or compounding dates) is the excess (if any) of (i) the sum
of (a) the present value of all payments remaining to be made on the Regular
Interest Security as of the close of the accrual period and (b) the payments
during the accrual period of amounts included in the stated redemption price
of the Regular Interest Security, over (ii) an "adjusted issue price" of the
Regular Interest Security at the beginning of the accrual period. The
adjusted issue price of a Regular Interest Security is the sum of its issue
price plus prior accruals of OID, reduced by the total payments made with
respect to such Regular Interest Security in all prior periods, other than
qualified stated interest payments. The present value of the remaining
payments is determined on the basis of three factors: (i) the original yield
to maturity of the Regular Interest Security (determined on the basis of
compounding at the end of each accrual period and properly adjusted for the
length of the accrual period), (ii) events which have occurred before the end
of the accrual period and (iii) the assumption that the remaining payments
will be made in accordance with the original Prepayment Assumption.
The effect of this method is to increase the portions of OID required to
be included in income by a Bondholder or Certificateholder to take into
account prepayments with respect to the Mortgage Loans at a rate that exceeds
the Prepayment Assumption, and to decrease (but not below zero for any
period) the portions of OID required to be included in income by a Bondholder
or Certificateholder to take into account prepayments with respect to the
Mortgage Loans at a rate that is slower than the Prepayment Assumption.
Although original issue discount will be reported to Bondholders or
Certificateholders based on the Prepayment Assumption, no representation is
made to Bondholders or Certificateholders that Mortgage Loans will be prepaid
at that rate or at any other rate.
The Issuer may adjust the accrual of OID on a Class of Regular Interest
Securities (or other regular interests in a REMIC) in a manner that it
believes to be appropriate, to take account of realized losses on the
Mortgage Assets, although the OID Regulations do not provide for such
adjustments. If the Service challenges the method adopted by the Issuer, the
rate of accrual of OID for a Class of Regular Interest Securities could
increase.
Certain classes of Regular Interest Securities may represent more than one
class of REMIC regular interests. Unless the applicable Prospectus Supplement
specifies otherwise, the Trustee intends, based on the OID Regulations, to
calculate OID on such Regular Interest Securities as if, solely for the
purposes of computing OID, the separate regular interests were a single debt
instrument.
Certain Series of Securities may be structured to include two or more
REMICs, one or more of which (each, an "Upper Tier REMIC") hold regular
interests ("Lower Tier Interests") in other REMICs (each, a "Lower Tier
REMIC"). Under the OID Regulations, OID on all of the Lower Tier Interests
issued by a single Lower Tier REMIC that are held by a second REMIC will be
calculated by treating all of such Lower Tier Interests as a single debt
instrument.
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A holder of a Regular Interest Security, which acquires the Regular
Interest Security for an amount that exceeds its stated redemption price,
will not include any original issue discount in gross income. A subsequent
holder of a Regular Interest Security which acquires the Regular Interest
Security for an amount that is less than its stated redemption price, will be
required to include original issue discount in gross income, but such a
holder who purchases such Regular Interest Security for an amount that
exceeds its adjusted issue price will be entitled (as will an initial holder
who pays more than a Regular Interest Security's issue price) to offset such
original issue discount by comparable economic accruals of portions of such
excess.
Interest Weighted Securities. It is not clear how income should be accrued
with respect to Regular Interest Securities the payments on which consist
solely or primarily of a specified portion of the interest payments on
qualified mortgages held by a REMIC ("Interest Weighted Securities"). Absent
guidance to the contrary, the Issuer intends to take the position that all of
the income derived from Interest Weighted Securities should be treated as OID
and that the amount and rate of accrual of such OID should be calculated in
the same manner as for a Compound Interest Security. However, the Internal
Revenue Service could assert that income derived from an Interest Weighted
Security should be calculated as if the Interest Weighted Security were a
bond purchased at a premium equal to the excess of the price paid by such
holder for the Interest Weighted Security over its stated principal amount,
if any. Under this approach, a holder would be entitled to amortize such
premium only if it has in effect an election under Section 171 of the Code
with respect to all taxable debt instruments held by such holder, as
described below. Alternatively, the Internal Revenue Service could assert
that the Interest Weighted Security should be taxable under the rules
governing bonds issued with contingent principal payments or otherwise
treated as contingent payment instruments. The OID Regulations do not, at the
present time, include regulations governing instruments that provide for
contingent payments. Under the Proposed Contingent Regulations, if they were
finalized, and were applicable to Interest Weighted Securities (which, as
1272(a)(6) instruments, are specifically excluded from the scope of the
Proposed Contingent Regulations) income on certain Certificates would be
computed under the "noncontingent bond method." The noncontingent bond method
would generally apply in a manner similar to the method prescribed by the
Code under Section 1272(a)(6). See "--Variable Rate Regular Securities."
Under the noncontingent bond method, however, if the interest payable for any
period is greater or less than the amount projected, the amount of income
included for that period would be either increased or decreased accordingly.
Any reduction in the income accrual for a period below zero (a "Negative
Adjustment") would be treated by a Certificateholder as ordinary loss to the
extent of prior income accruals and may be carried forward to offset future
interest accruals. At maturity, any remaining Negative Adjustment would be
treated as a loss on retirement of the Certificate. The legislative history
or relevant Code provisions indicates, however, that negative amount of OID
on an instrument such as a REMIC regular interest may not give rise to
taxable losses in any accrual period prior to the instrument's disposition or
retirement. Thus, it is not clear whether any losses resulting from a
Negative Adjustment may be recognized currently or must be carried forward
until disposition or retirement of the debt obligation.
Variable Rate Regular Securities. The REMIC regulations (the "REMIC
Regulations") permit REMICs to issue regular interests bearing a variety of
variable rates including rates based on (i) "qualified floating rates" or
(ii) a weighted average of the interest rates on some or all of the qualified
mortgages held by the REMIC (a "Variable Rate Security"). Under the OID
Regulations, the amount and accrual of OID on a Variable Rate Security that
qualifies for treatment under the rules applicable to variable rate debt
instruments ( a "VRDI Security") is determined, in general, by converting the
VRDI Security into a hypothetical fixed rate security and applying the rules
applicable to fixed rate securities described above to the hypothetical fixed
rate security. A VRDI Security providing for a qualified floating rate or
rates or a qualified inverse floating rate is converted to a hypothetical
fixed rate security by assuming that each qualified floating rate or the
qualified inverse floating rate will remain at its value as of the issue
date. A VRDI Security providing for an objective rate or rates is converted
to a hypothetical fixed rate security by assuming that each objective rate
will equal a fixed rate that reflects the yield that reasonably is expected
for the instrument. Such hypothetical fixed rate securities are assumed to
have terms identical to those provided under the related VRDI Securities,
except for the substitution of fixed rates for the qualified floating rates,
objective rates, or qualified inverse floating rate as described above. In
the case
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of a VRDI Security that does not provide for the payment of interest at least
annually, appropriate adjustments to the OID accruals and the qualified
stated interest payments are made in each accrual period to the extent that
the interest actually accrued or paid during the accrual period is greater or
less than the interest assumed to be accrued or paid under the hypothetical
fixed rate security.
Regular Interest Securities of certain Series may provide for interest
based on a weighted average of the interest rates on some or all of the
Mortgage Loans of the related Trust ("Weighted Average Securities"). Under
the OID Regulations, it appears that Weighted Average Securities relating to
a Trust whose Mortgage Loans are exclusively ARM Loans bear interest at an
"objective rate," since the ARM Loans themselves bear interest at qualified
floating rates. Under the existing OID Regulations, Weighted Average
Securities relating to a Trust whose Mortgage Loans are not exclusively ARM
Loans ("Non-Objective Weighted Average Securities") do not bear interest at
an objective or a qualified floating rate and, consequently, are not governed
by the rules applicable to VRDI Securities described above. Accordingly,
absent additional regulatory guidance, it appears that Non-Objective Weighted
Average Securities would be taxed under the rules applicable to contingent
payment instruments. As noted above, there currently are no effective
regulations governing such instruments. Under the Proposed Contingent
Regulations, however, which will not be effective until 60 days after
published in final form, it appears that a weighted average of fixed rates
would qualify as an objective rate.
Effect of Defaults and Delinquencies. Each holder of a Regular Interest
Security will be required to accrue interest and original issue discount on
such Security without giving effect to any reductions in distributions
attributable to defaults or delinquencies on the Mortgage Loans, until it can
be established that any such reduction ultimately will not be recoverable. As
a result, the amount of taxable income reported in any period by the holder
of a Regular Interest Security could exceed the amount of economic income
actually realized by the holder in such period. Although the holder of a
Regular Interest Security eventually will recognize a loss or reduction in
income attributable to previously accrued and included income that, as a
result of such loss, ultimately will not be paid, the law is unclear with
respect to the timing and character of such losses or reduction in income.
Under Section 166 of the Code, both corporate and noncorporate holders of
Regular Interest Securities that hold such Securities in connection with a
trade of business should be allowed to deduct, as ordinary losses, any losses
sustained during a taxable year in which their Regular Interest Securities
become wholly or partially worthless as the result of one or more realized
losses on the Mortgage Loans. However, it appears that a noncorporate holder
that does not acquire a Regular Interest Security in connection with a trade
or business will not be entitled to deduct a loss under Section 166 of the
Code until such holder's Regular Interest Security becomes wholly worthless
(that is, until its outstanding principal balance has been reduced to zero)
and that the loss will be characterized as a short-term capital loss.
Market Discount and Premium. A purchaser of a Regular Interest Security
may also be subject to the market discount rules of the Code. Such purchaser
generally will be required to recognize accrued market discount as ordinary
income as payments of principal are received on such Regular Interest
Security, or upon sale or exchange of the Regular Interest Security. In
general terms, until regulations are promulgated, market discount may be
treated as accruing, at the election of the holder, either (i) under a
constant yield method, taking into account the Prepayment Assumption, or (ii)
in proportion to accruals of original issue discount (or, if there is no
original issue discount, in proportion to accruals of stated interest). A
holder of a Regular Interest Security having market discount may also be
required to defer a portion of the interest deductions attributable to any
indebtedness incurred or continued to purchase or carry the Regular Interest
Security. As an alternative to the inclusion of market discount in income on
the foregoing basis, the holder may elect to include such market discount in
income currently as it accrues on all market discount instruments acquired by
such holder in that taxable year or thereafter, in which case the interest
deferral rule will not apply.
A holder who purchases a Regular Interest Security (other than an Interest
Weighted Security, to the extent described above) at a cost greater than its
stated redemption price at maturity, generally will be considered to have
purchased the Security at a premium, which it may elect to amortize as an
offset to
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interest income on such Security (and not as a separate deduction item) on a
constant yield method. Although no regulations addressing the computation of
premium accrual on collateralized mortgage obligations or REMIC regular
interests have been issued, applicable legislative history indicates that
premium is to be accrued in the same manner as market discount. Accordingly,
it appears that the accrual of premium on a Regular Interest Security will be
calculated using the prepayment assumption used in pricing such Regular
Interest Security. If a holder makes an election to amortize premium on a
Security, such election will apply to all taxable debt instruments (including
all REMIC regular interests) held by the holder at the beginning of the
taxable year in which the election is made, and to all taxable debt
instruments acquired thereafter by such holder, and will be irrevocable
without the consent of the Internal Revenue Service. Purchasers who pay a
premium for the Regular Interest Security should consult their tax advisers
regarding the election to amortize premium and the method to be employed.
SALE OR EXCHANGE OF REGULAR INTEREST SECURITIES
A Regular Bondholder's or Regular Certificateholder's tax basis in its
Regular Interest Securities is the price such holder pays for a Security,
plus amounts of original issue discount included in income and reduced by any
payments received (other than qualified periodic interest payments) and any
amortized premium. Gain or loss recognized on a sale, exchange, or redemption
of a Regular Interest Securities, measured by the difference between the
amount realized and the Regular Interest Security's basis as so adjusted,
will generally be capital gain or loss, assuming that the Regular Interest
Security is held as a capital asset. If, however, a Regular Bondholder or
Regular Certificateholder is a bank, thrift, or similar institution described
in Section 582 of the Code, gain or loss realized on the sale or exchange of
a Regular Interest Security will be taxable as ordinary income or loss. In
addition, gain from the disposition of a Regular Interest Security that might
otherwise be capital gain will be treated as ordinary income to the extent of
the excess, if any, of (i) the amount that would have been includable in the
holder's income if the yield on such Regular Interest Security had equaled
110% of the applicable federal rate as of the beginning of such holder's
holding period, over (ii) the amount of ordinary income actually recognized
by the holder with respect to such Regular Interest Security.
REMIC EXPENSES
As a general rule, all of the expenses of a REMIC will be taken into
account by holders of the Residual Interest Securities or the REMIC residual
interest. In the case of a "single class REMIC," however, the expenses will
be allocated, under temporary Treasury regulations, among the holders of the
Regular Interest Securities and the holders of the Residual Interest
Securities on a daily basis in proportion to the relative amounts of income
accruing to each Bondholder or Certificateholder on that day. In the case of
a holder of a Regular Interest Security who is an individual or a
"pass-through interest holder" (including certain pass-through entities but
not including real estate investment trusts), such expenses will be
deductible only to the extent that such expenses, plus other "miscellaneous
itemized deductions" of the Bondholder or Certificateholder exceed 2% of such
Bondholder's or Certificateholder's adjusted gross income and will not be
deductible in computing alternative minimum taxable income. In addition, Code
Section 68 provides that the amount of itemized deductions otherwise
allowable for the taxable year for an individual whose adjusted gross income
exceeds the applicable amount (for 1991, $100,000, or $50,000 in the case of
a separate return by a married individual within the meaning of Code Section
7703, which amount will be adjusted annually for inflation) will be reduced
by the lesser of (i) 3% of the excess of adjusted gross income over the
applicable amount, or (ii) 80% of the amount of itemized deductions otherwise
allowable for such taxable year. The disallowance of this deduction may have
a significant impact on the yield of the Regular Interest Security to such a
holder. In general terms, a single class REMIC is one that either (i) would
qualify, under existing Treasury regulations, as a grantor trust if it were
not a REMIC (treating all interests as ownership interests, even if they
would be classified as debt for federal income tax purposes) or (ii) is
similar to such a trust and which is structured with the principal purpose of
avoiding the single class REMIC rules.
TAXATION OF THE REMIC
General. Although a REMIC is a separate entity for federal income tax
purposes, a REMIC is not generally subject to entity-level tax. Rather, the
taxable income or net loss of a REMIC is taken into account by the holders of
residual interests. The regular interests are generally taxable as debt of
the REMIC.
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Calculation of REMIC Income. The taxable income or net loss of a REMIC is
determined under an accrual method of accounting and in the same manner as in
the case of an individual, with certain adjustments. In general, the taxable
income or net loss will be the difference between (i) the gross income
produced by the REMIC's assets, including stated interest and any original
issue discount or market discount on loans and other assets, and (ii)
deductions, including stated interest and original issue discount accrued on
a Regular Interest Security, amortization of any premium with respect to
loans, and servicing fees and other expenses of the REMIC. A holder of a
Residual Interest Security that is an individual or a "pass-through interest
holder" (including certain pass-through entities, but not including real
estate investment trusts) will be unable to deduct servicing fees payable on
the loans or other administrative expenses of the REMIC for a given taxable
year, to the extent that such expenses, when aggregated with the Residual
Interest Securityholder's other miscellaneous itemized deductions for that
year, do not exceed two percent of such holder's adjusted gross income. In
addition, Code Section 68 provides that the amount of itemized deductions
otherwise allowable for the taxable year for an individual whose adjusted
gross income exceeds the applicable amount (for 1995, $114,700, or $57,350 in
the case of a separate return by a married individual within the meaning of
Code Section 7703, which amounts will be adjusted annually for inflation)
will be reduced by the lesser of (i) 3% of the excess of adjusted gross
income over the applicable amount, or (ii) 80% of the amount of itemized
deductions otherwise allowable for such taxable year. See "REMIC Expenses"
above.
For purposes of computing its taxable income or net loss, the REMIC should
have an initial aggregate tax basis in its assets equal to the aggregate fair
market value of the regular interests and the residual interests on the Start
Up Day (generally, the day that the interests are issued). That aggregate
basis will be allocated among the assets of the REMIC in proportion to their
respective fair market values.
The original issue discount provisions of the Code apply to loans of
individuals originated on or after March 2, 1984, and the market discount
provisions apply to all loans. Subject to possible application of the de
minimis rules, the method of accrual by the REMIC of original issue discount
on such loans will be equivalent to the method under which holders of Regular
Interest Securities accrue original issue discount (i.e., under the constant
yield method taking into account the Prepayment Assumption). The REMIC will
deduct original issue discount on the Regular Interest Securities in the same
manner that the holders of the Securities include such discount in income,
but without regard to the de minimis rules. See "Taxation of Regular Interest
Securities" above. However, a REMIC that acquires loans at a market discount
must include such market discount in income currently, as it accrues, on a
constant interest basis.
To the extent that the REMIC's basis allocable to loans that it holds
exceeds their principal amounts, the resulting premium, if attributable to
mortgages originated after September 27, 1985, will be amortized over the
life of the loans (taking into account the Prepayment Assumption) on a
constant yield method. Although the law is somewhat unclear regarding
recovery of premium attributable to loans originated on or before such date,
it is possible that such premium may be recovered in proportion to payments
of loan principal.
Income from Foreclosure Property. To the extent that the Lower Tier REMIC
derives income from Foreclosed Properties that is treated as "net income from
foreclosure property", that income will be subject to taxation at the highest
corporate tax rate. Net income from foreclosure property generally includes
gain from the sale of a foreclosure property that is inventory property and
net income from the property that would not be treated as "rents from real
property" or other certain other qualifying income. In addition, if the
operation of the Foreclosed Property is treated as a trade or business
carried on by the REMIC, then unless the property is operated through an
independent contractor, the income from the foreclosed property will be
subject to tax on "income from nonpermitted assets" at a rate of 100%. A
trust agreement or indenture may permit the Servicer to operate a Foreclosed
Property in a manner that produces income subject to the foregoing taxes if
certain conditions are satisfied.
TAXATION OF HOLDERS OF RESIDUAL INTEREST SECURITIES
The Holder of a Security representing a REMIC residual interest (a
"Residual Interest Security") will take into account the "daily portion" of
the taxable income or net loss of the REMIC for each day during the taxable
year on which such holder held the Residual Interest Security. The daily
portion is
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determined by allocating to each day in any calendar quarter its ratable
portion of the taxable income or net loss of the REMIC for such quarter, and
by allocating that amount among the holders (on such day) of the Residual
Interest Securities in proportion to their respective holdings on such day.
Prohibited Transactions and Contributions Tax. The REMIC will be subject
to a 100% tax on any net income derived from a "prohibited transaction." For
this purpose, net income will be calculated without taking into account any
losses from other prohibited transactions or any deductions attributable to
any prohibited transaction that resulted in a loss. In general, prohibited
transactions include (i) subject to limited exceptions, the sale or other
disposition of any qualified mortgage transferred to the REMIC; (ii) subject
to a limited exception, the sale or other disposition of a cash flow
investment; (iii) the receipt of any income from assets not permitted to be
held by the REMIC pursuant to the Code; or (iv) the receipt of any fees or
other compensation for services rendered by the REMIC. It is anticipated that
a REMIC will not engage in any prohibited transactions in which it would
recognize a material amount of net income. In addition, subject to a number
of exceptions, a tax is imposed at the rate of 100% on amounts contributed to
a REMIC after the close of the three-month period beginning on the Start Up
Day. The holders of Residual Interest Securities will generally be
responsible for the payment of any such taxes imposed on the REMIC. To the
extent not paid by such Holders or otherwise, however, such taxes will be
paid out of the assets of the REMIC and, unless otherwise specified in the
related Prospectus Supplement, will be allocated pro rata to all outstanding
Classes of Securities of such REMIC.
The holder of a Residual Interest Security must report its proportionate
share of the taxable income of the REMIC whether or not it receives cash
distributions from the REMIC attributable to such income or loss. The
reporting of taxable income without corresponding distributions could occur,
for example, in certain REMIC issues in which the loans held by the REMIC
were issued or acquired at a discount, since mortgage prepayments cause
recognition of discount income, while the corresponding portion of the
prepayment could be used in whole or in part to make principal payments on
Regular Interest Securities issued without any discount or at an
insubstantial discount. (If this occurs, it is likely that cash distributions
will exceed taxable income in later years.) Taxable income may also be
greater in earlier years of certain REMIC issues as a result of the fact that
interest expense deductions, as a percentage of outstanding principal on
Regular Interest Securities, will typically increase over time as lower
yielding Securities are paid, whereas interest income with respect to loans
will generally remain constant over time as a percentage of loan principal.
In any event, because the holder of a residual interest is taxed on the
net income of the REMIC, the taxable income derived from a Residual Interest
Security in a given taxable year will not be equal to the taxable income
associated with investment in a corporate bond or stripped instrument having
similar cash flow characteristics and pretax yield. Therefore, the after-tax
yield on the Residual Interest Security may be less than that of such a bond
or instrument, or may be negative.
Limitation on Losses. The amount of the REMIC's net loss that a holder may
take into account currently is limited to the holder's adjusted basis at the
end of the calendar quarter in which such loss arises. A holder's basis in a
Residual Interest Security will initially equal such holder's purchase price,
and will subsequently be increased by the amount of the REMIC's taxable
income allocated to the holder, and decreased (but not below zero) by the
amount of distributions made and the amount of the REMIC's net loss allocated
to the holder. Any disallowed loss may be carried forward indefinitely, but
may be used only to offset income generated by the same REMIC. The ability of
Residual Bondholders or Residual Certificateholders to deduct net losses may
be subject to additional limitations under the Code, as to which such holders
should consult their tax advisers.
Distributions. Distributions on a Residual Interest Security (whether at
their scheduled times or as a result of prepayments) will generally not
result in any additional taxable income or loss to a holder of a Residual
Interest Security. If the amount of such payment exceeds a holder's adjusted
basis in the Residual Interest Security, however, the holder will recognize
gain (treated as gain from the sale of the Residual Interest Security) to the
extent of such excess.
Mark-to-Market Rules. A Residual Interest Security is not treated as a
security and thus may not be marked to market under proposed Treasury
regulations that generally require a securities dealer to mark to market
securities held for sale to customers.
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Sale or Exchange. A holder of a Residual Interest Security will recognize
gain or loss on the sale or exchange of a Residual Bond equal to the
difference, if any, between the amount realized and such Bondholder's or
Certificateholder's adjusted basis in the Residual Interest Security at the
time of such sale or exchange. Except to the extent provided in regulations,
which have not yet been issued, any loss upon disposition of a Residual
Interest Security will be disallowed if the selling Bondholder or
Certificateholder acquires any residual interest in a REMIC or similar
mortgage pool within six months before or after such disposition.
EXCESS INCLUSION INCOME
The portion of a Residual Bondholder's or Residual Certificateholder's
REMIC taxable income consisting of "excess exclusion" income may not be
offset by other deductions or losses, including net operating losses, on such
Bondholder's or Certificateholder's federal income tax return. An exception
applies to organizations to which Code Section 593 applies (generally,
certain thrift institutions); however, such exception will not apply if the
aggregate value of the Residual Interest Securities is not considered to be
"significant," as described below. Further, if the holder of a Residual
Interest Security is an organization subject to the tax on unrelated business
income imposed by Code Section 511, such Residual Bondholder's or Residual
Certificateholder's excess inclusion income will be treated as unrelated
business taxable income of such Bondholder or Certificateholder's. In
addition, under Treasury regulations yet to be issued, if a real estate
investment trust, a regulated investment company, a common trust fund, or
certain cooperatives were to own a Residual Interest Security, a portion of
dividends (or other distributions) paid by the real estate investment trust
(or other entity) would be treated as excess inclusion income. If a Residual
Interest Security is owned by a foreign person excess inclusion income is
subject to tax at a rate of 30% which may not be reduced by treaty and is not
eligible for treatment as "portfolio interest." The REMIC Regulations provide
that a Residual Interest Security has significant value only if (i) the
aggregate issue price of the Residual Bonds is at least 2% of the aggregate
of the issue prices of all Regular Interest Securities and Residual Interest
Securities in the REMIC and (ii) the anticipated weighted average life
(determined as specified in the REMIC Regulations) of the Residual Interest
Securities is at least 20% of the anticipated weighted average life of the
REMIC.
The excess inclusion portion of a REMIC's income is generally equal to the
excess, if any, of REMIC taxable income for the quarterly period allocable to
a Residual Interest Security, over the daily accruals for such quarterly
period of (i) 120% of the long term applicable federal rate on the Start Up
Day multiplied by (ii) the adjusted issue price of such Residual Interest
Security at the beginning of such quarterly period. The adjusted issue price
of a Residual Interest Security at the beginning of each calendar quarter
will equal its issue price (calculated in a manner analogous to the
determination of the issue price of a Regular Interest Security), increased
by the aggregate of the daily accruals for prior calendar quarters, and
decreased (but not below zero) by the amount of loss allocated to a holder
and the amount of distributions made on the Residual Interest Security before
the beginning of the quarter. The long-term federal rate, which is announced
monthly by the Treasury Department, is an interest rate that is based on the
average market yield of outstanding marketable obligations of the United
States government having remaining maturities in excess of nine years.
Under the REMIC Regulations, in certain circumstances, transfers of
Residual Interest Securities may be disregarded. See "Restrictions on
Ownership and Transfer of Residual Interest Securities" and "Tax Treatment of
Foreign Investors" below.
RESTRICTIONS ON OWNERSHIP AND TRANSFER OF RESIDUAL INTEREST SECURITIES
As a condition to qualification as a REMIC, reasonable arrangements must
be made to prevent the ownership of a REMIC residual interest by any
"Disqualified Organization." Disqualified Organizations include the United
States, any State or political subdivision thereof, any foreign government,
any international organization, or any agency or instrumentality of any of
the foregoing, a rural electric or telephone cooperative described in Section
1381(a)(2)(C) of the Code, or any entity exempt from the tax imposed by
Sections 1-1399 of the Code, if such entity is not subject to tax on its
unrelated business income. Accordingly, the Indenture or Trust Agreement, as
applicable, will prohibit Disqualified
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Organizations from owning a Residual Interest Security. In addition, no
transfer of a Residual Interest Security will be permitted unless the
proposed transferee shall have furnished to the Issuer an affidavit
representing and warranting that it is neither a Disqualified Organization
nor an agent or nominee acting on behalf of a Disqualified Organization.
If a Residual Interest Security is transferred to a Disqualified
Organization (in violation of the restrictions set forth above), a
substantial tax will be imposed on the transferor of such Residual Interest
Security at the time of the transfer. In addition, if a Disqualified
Organization holds an interest in a pass-through entity (including, among
others, a partnership, trust, real estate investment trust, regulated
investment company, or any person holding as nominee), that owns a Residual
Interest Security, the pass-through entity will be required to pay an annual
tax on its allocable share of the excess inclusion income of the REMIC.
Under the REMIC Regulations, if a Residual Interest Security is a
"noneconomic residual interest," as described below, a transfer of a Residual
Interest Security to a United States person will be disregarded for all
Federal tax purposes unless no significant purpose of the transfer was to
impede the assessment or collection of tax. A Residual Interest Security is a
"noneconomic residual interest" unless, at the time of the transfer (i) the
present value of the expected future distributions on the Residual Interest
Security at least equals the product of the present value of the anticipated
excess inclusions and the highest rate of tax for the year in which the
transfer occurs, and (ii) the transferor reasonably expects that the
transferee will receive distributions from the REMIC at or after the time at
which the taxes accrue on the anticipated excess inclusions in an amount
sufficient to satisfy the accrued taxes. The present value is calculated
based on the Prepayment Assumption, using a discount rate equal to the
"applicable federal rate" at the time of transfer. If a transfer of a
residual interest is disregarded, the transferor would be liable for any
Federal income tax imposed upon taxable income derived by the transferee from
the REMIC. A significant purpose to impede the assessment or collection of
tax exists if the transferor, at the time of transfer, knew or should have
known that the transferee would be unwilling or unable to pay taxes on its
share of the taxable income of the REMIC. A similar limitation exists with
respect to certain transfers of residual interests by foreign persons to
United States persons. See "Tax Treatment of Foreign Investors" below.
ADMINISTRATIVE MATTERS
The REMIC's books must be maintained on a calendar year basis and the
REMIC must file an annual federal income tax return. The REMIC will also be
subject to the procedural and administrative rules of the Code applicable to
partnerships, including the determination of any adjustments to, among other
things, items of REMIC income, gain, loss, deduction, or credit, by the
Internal Revenue Service in a unified administrative proceeding.
TAX STATUS AS A GRANTOR TRUST
General. If the applicable Prospectus Supplement so specifies with respect
to a Series of Securities, the Securities of such Series will not be treated
as regular or residual interests in a REMIC for federal income tax purposes
but instead, special tax counsel to the Issuer will deliver its opinion to
the effect that the arrangement by which the Securities of that Series are
issued will be treated as a "grantor" or "fixed investment" trust as long as
all of the provisions of the applicable Trust Agreement are complied with and
the statutory and regulatory requirements are satisfied. In some Series
("Pass-Through Certificates"), there will be no separation of the principal
and interest payments on the Mortgage Loans. In such circumstances, a
Certificateholder will be considered to have purchased an undivided interest
in each of the Mortgage Loans. In other cases ("Stripped Certificates"), sale
of the Certificates will produce a separation in the ownership of the
principal payments and interest payments on the Mortgage Loans.
Each Certificateholder must report on its federal income tax return its
pro rata share of the gross income derived from the Mortgage Loans (not
reduced by the amount payable as fees to the Trustee and the Master Servicer
and similar fees (collectively, the "Servicing Fee")), at the same time and
in the same manner as such items would have been reported under the
Certificateholder's tax accounting method had it held its interest in the
Mortgage Loans directly, received directly its share of the amounts received
with
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respect to the Mortgage Loans, and paid directly its share of the Servicing
Fees. In the case of Pass-Through Certificates, such gross income will
consist of a pro rata share of all of the income derived from all of the
Mortgage Loans and, in the case of Stripped Certificates, such income will
consist of a pro rata share of the income derived from each stripped bond or
stripped coupon in which the Certificateholder owns an interest. The holder
of a Certificate will generally be entitled to deduct such Servicing Fees
under Section 162 or Section 212 of the Code to the extent that such
Servicing Fees represent "reasonable" compensation for the services rendered
by the Trustee, the Master Servicer, and any other service providers. In the
case of a noncorporate holder, however, Servicing Fees (to the extent not
otherwise disallowed, e.g., because they exceed reasonable compensation) will
be deductible in computing such holder's regular tax liability only to the
extent that such fees, when added to other miscellaneous itemized deductions,
exceed 2% of adjusted gross income and may not be deductible to any extent in
computing such holder's alternative minimum tax liability. In addition, Code
Section 68 provides that the amount of itemized deductions otherwise
allowable for the taxable year for an individual whose adjusted gross income
exceeds the applicable amount (for 1995, $114,700, or $57,350 in the case of
a separate return by a married individual, which amounts will be adjusted
annually for inflation) will be reduced by the lesser of (i) 3% of the excess
of adjusted gross income over the applicable amount, or (ii) 80% of the
amount of itemized deductions otherwise allowable for such taxable year.
Discount or Premium on Pass-Through Certificates. The holder's purchase
price of a Pass-Through Certificate is to be allocated among the Mortgage
Loans in proportion to their fair market values, determined as of the time of
purchase of the Certificates. In the typical case, the Trustee believes it is
reasonable for this purpose to treat each Mortgage Loan as having a fair
market value proportional to the share of the aggregate principal balances of
all of the Mortgage Loans that it represents, to the extent that the Mortgage
Loans underlying a series have a relatively uniform interest rate and other
common characteristics. To the extent that the portion of the purchase price
of a Certificate allocated to a Mortgage Loan (other than to a right to
receive any accrued interest thereon and any undistributed principal
payments) is less than or greater than the portion of the principal balance
of the Mortgage Loan allocable to the Certificate, the interest in the
Mortgage Loan allocable to the Certificate will be deemed to have been
acquired at a discount or premium, respectively.
The treatment of any discount will depend on whether the discount
represents original issue discount or market discount. In the case of a
Mortgage Loan with original issue discount in excess of a prescribed de
minimis amount, a holder of a Certificate will be required to report as
interest income in each taxable year its share of the amount of original
issue discount that accrues during that year, determined under a constant
yield method by reference to the initial yield to maturity of the Mortgage
Loan, in advance of receipt of the cash attributable to such income and
regardless of the method of federal income tax accounting employed by that
holder. Original issue discount with respect to a Mortgage Loan could arise
for example by virtue of the financing of points by the originator of the
Mortgage Loan, or by virtue of the charging of points by the originator of
the Mortgage Loan in an amount greater than a statutory de minimis exception,
in circumstances under which the points are not currently deductible pursuant
to applicable Code provisions. However, the OID Regulations provide that if a
holder acquires an obligation at a price that exceeds its stated redemption
price, the holder will not include any original issue discount in gross
income. In addition, if a subsequent holder acquires an obligation for an
amount that exceeds its adjusted issue price, the subsequent holder will be
entitled to offset the original issue discount with economic accruals of
portions of such excess. Accordingly, if the Mortgage Loans acquired by a
Certificateholder are purchased at a price that exceeds the adjusted issue
price of such Mortgage Loans, any original issue discount will be reduced or
eliminated.
Certificateholders also may be subject to the market discount rules of
Sections 1276-1278 of the Code. A Certificateholder that acquires an interest
in Mortgage Loans with more than a prescribed de minimis amount of "market
discount" (generally, the excess of the principal amount of the Mortgage
Loans over the purchaser's purchase price) will be required under Section
1276 of the Code to include accrued market discount in income as ordinary
income in each month, but limited to an amount not exceeding the principal
payments on the Mortgage Loans received in that month and, if the
Certificates are sold, the gain realized. Such market discount would accrue
in a manner to be provided in Treasury regulations. The
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relevant legislative history of the 1986 Act indicates that, until such
regulations are issued, such market discount would in general accrue either
(i) on the basis of a constant interest rate or (ii) in the ratio of (a) in
the case of Mortgage Loans not originally issued with original issue
discount, stated interest payable in the relevant period to total stated
interest remaining to be paid at the beginning of the period or (b) in the
case of Mortgage Loans originally issued at a discount, original issue
discount in the relevant period to total original issue discount remaining to
be paid.
Section 1277 of the Code provides that the excess of interest paid or
accrued to purchase or carry a loan with market discount over interest
received on such loan is allowed as a current deduction only to the extent
such excess is greater than the market discount that accrued during the
taxable year in which such interest expense was incurred. In general, the
deferred portion of any interest expense will be deductible when such market
discount is included in income, including upon the sale, disposition, or
repayment of the loan. A holder may elect to include market discount in
income currently as it accrues, on all market discount obligations acquired
by such holder during the taxable year such election is made and thereafter,
in which case the interest deferral rule discussed above will not apply.
A Certificateholder who purchases a Certificate at a premium generally
will be deemed to have purchased its interest in the underlying Mortgage
Loans at a premium. A Certificateholder who holds a Certificate as a capital
asset may generally elect under Section 171 of the Code to amortize such
premium as an offset to interest income on the Mortgage Loans (and not as a
separate deduction item) on a constant yield method. The legislative history
of the 1986 Act suggests that the same rules that will apply to the accrual
of market discount (described above) will generally also apply in amortizing
premium with respect to Mortgage Loans originated after September 27, 1985.
If a holder makes an election to amortize premium, such election will apply
to all taxable debt instruments held by such holder at the beginning of the
taxable year in which the election is made, and to all taxable debt
instruments acquired thereafter by such holder, and will be irrevocable
without the consent of the Internal Revenue Service. Purchasers who pay a
premium for the Certificates should consult their tax advisers regarding the
election to amortize premium and the method to be employed. Although the law
is somewhat unclear regarding recovery of premium allocable to Mortgage Loans
originated before September 28, 1985, it is possible that such premium may be
recovered in proportion to payments of Mortgage Loan principal.
Discount or Premium on Stripped Certificates. A Stripped Certificate may
represent a right to receive only a portion of the interest payments on the
Mortgage Loans, a right to receive only principal payments on the Mortgage
Loans, or a right to receive certain payments of both interest and principal.
Certain Stripped Certificated ("Ratio Strip Certificates") may represent a
right to receive differing percentages of both the interest and principal on
each Mortgage Loan. Pursuant to Section 1286 of the Code, the separation of
ownership of the right to receive some or all of the interest payments on an
obligation from ownership of the right to receive some or all of the
principal payments results in the creation of "stripped bonds" with respect
to principal payments and "stripped coupons" with respect to interest
payments. Section 1286 of the Code applies the original issue discount rules
to stripped bonds and stripped coupons. For purposes of computing original
issue discount, a stripped bond or a stripped coupon is treated as a debt
instrument issued on the date that such stripped interest is purchased with
an issue price equal to its purchase price or, if more than one stripped
interest is purchased, the ratable share of the purchase price allocable to
such stripped interest. The Code, the OID Regulations, and judicial decisions
provide no direct guidance as to how the interest and original issue discount
rules are to apply to Stripped Certificates. Under the method described above
for REMIC Regular Interest Certificates (the "Cash Flow Bond Method"), a
prepayment assumption is used and periodic recalculations are made which take
into account with respect to each accrual period the effect of prepayments
during such period. The 1986 Act prescribed the same method for debt
instruments "secured by" other debt instruments, the maturity of which may be
affected by prepayments on the underlying debt instruments. However, the 1986
Act does not, absent Treasury regulations, appear specifically to cover
instruments such as the Stripped Certificates which technically represent
ownership interests in the underlying Mortgage Loans, rather than being debt
instruments "secured by" those loans. Nevertheless, it is believed that the
Cash Flow Bond Method is a reasonable method of reporting income for such
Certificates, and it is expected that original issue discount will be
reported on that basis except in the case of Certificates which it determines
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should more appropriately be treated as contingent payment instruments. In
applying the calculation to a class of Certificates, the Trustee will treat
all payments to be received with respect to the Certificates, whether
attributable to principal or interest on the loans, as payments on a single
installment obligation, in the case of a Class of Certificates that has no
right, or a nominal right, to receive principal, and as includable in the
stated redemption price at maturity. In the case of a "stripped bond" which
is entitled to a significant amount of principal, the Trustee intends to take
the position that interest payments are "qualified stated interest." The
Internal Revenue Service could, however, assert that original issue discount
must be calculated separately for each Mortgage Loan underlying a
Certificate. In addition, in the case of Ratio Strip or similar Certificates,
the Internal Revenue Service could assert that original issue discount must
be calculated separately for each stripped coupon or stripped bond underlying
a Certificate.
Under certain circumstances, if the Mortgage Loans prepay at a rate faster
than the Prepayment Assumption, the use of the Cash Flow Bond Method may
accelerate a Certificateholder's recognition of income. If, however, the
Mortgage Loans prepay at a rate slower than the prepayment assumption, in
some circumstances the use of this method may decelerate a
Certificateholder's recognition of income.
A Stripped Certificate which either embodies only interest payments on the
underlying loans or (if it embodies some principal payments on the Mortgage
Loans) is issued at a price that exceeds the principal payments (an "Interest
Weighted Certificate"), may be taxed as a contingent payment instrument.
Under proposed Treasury Regulations applicable to contingent payment
instruments (the "Proposed Contingent Regulations"), income on Stripped
Certificates would be calculated by determining a projected payment schedule
and a projected yield, and reporting income accruals on that basis. If the
amount payable for a period were, however, greater or less than the amount
projected, the income included for that period would be increased or
decreased accordingly. Any reduction in the income accrual for a period below
zero (a "Negative Adjustment") would be treated by a Certificateholder as an
ordinary loss to the extent of prior income accruals and may be carried
forward to offset future interest accruals. At maturity, any remaining
Negative Adjustment would be treated as a loss on retirement of the
Certificate.
Possible Alternative Characterizations. The characterizations of the
Stripped Certificates described above are not the only possible
interpretations of the applicable Code provisions. Among other possibilities,
the Internal Revenue Service could contend that (i) in certain Series, each
non-Interest Weighted Certificate is composed of an unstripped undivided
ownership interest in Loans and an installment obligation consisting of
stripped principal payments; (ii) the non-Interest Weighted Certificates are
subject to the OID Regulations; (iii) each Interest Weighted Certificate is
composed of an unstripped undivided ownership interest in the Mortgage Loans
and an installment obligation consisting of stripped interest payments; or
(iv) there are as many stripped bonds or stripped coupons as there are
scheduled payments of principal and/or interest on each Mortgage Loan.
Given the variety of alternatives for treatment of the Certificates and
the different federal income tax consequences that result from each
alternative, potential purchasers are urged to consult their own tax advisers
regarding the proper treatment of the Certificates for federal income tax
purposes.
Character as Qualifying Mortgage Loans. In the case of Stripped
Certificates there is no specific legal authority existing regarding whether
the character of the Certificates, for federal income tax purposes, will be
the same as the Mortgage Loans. The IRS could take the position that the
Mortgage Loans' character is not carried over to the Certificates in such
circumstances. Pass-Through Certificates will be, and, although the matter is
not free from doubt, Stripped Certificates should be considered to represent
"qualifying real property loans" within the meaning of Section 593(d) of the
Code, "real estate assets" within the meaning of Section 856(c)(6)(B) of the
Code, and "loans(Trademark) secured by an interest in real property" within
the meaning of Section 7701(a)(19)(C)(v) of the Code; and interest income
attributable to the Certificates should be considered to represent "interest
on obligations secured by mortgages on real property or on interests in real
property" within the meaning of Section 856(c)(3)(B) of the Code. However,
Mortgage Loans secured by non-residential real property will not constitute
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"loans(Trademark) secured by an interest in real property" within the meaning
of Section 7701(a)(19)(C) of the Code. In addition, it is possible that
various reserves or funds underlying the Certificates may cause a
proportionate reduction in the above-described qualifying status categories
of Certificates.
Sale of Certificates. As a general rule, if a Certificate is sold, gain or
loss will be recognized by the holder thereof in an amount equal to the
difference between the amount realized on the sale and the
Certificateholder's adjusted tax basis in the Certificate. Such gain or loss
will generally be capital gain or loss if the Certificate is held as a
capital asset. In the case of Pass-Through Certificates, such tax basis will
generally equal the holder's cost of the Certificate increased by any
discount income with respect to the loans represented by such Certificate
previously included in income, and decreased by the amount of any
distributions of principal previously received with respect to the
Certificate. Such gain, to the extent not otherwise treated as ordinary
income, will be treated as ordinary income to the extent of any accrued
market discount not previously reported as income. In the case of Stripped
Certificates, the tax basis will generally equal the Certificateholder's cost
for the Certificate, increased by any discount income with respect to the
Certificate previously included in income, and decreased by the amount of all
payments previously received with respect to such Certificate.
MISCELLANEOUS TAX ASPECTS
Backup Withholding. A Bondholder or Certificateholder, other than a
Residual Bondholder or Residual Certificateholder, may, under certain
circumstances, be subject to "backup withholding" at the rate of 31% with
respect to distributions or the proceeds of a sale of certificates to or
through brokers that represent interest or original issue discount on the
Securities. This withholding generally applies if the holder of a Security
(i) fails to furnish the Issuer with its taxpayer identification number
("TIN"); (ii) furnishes the Issuer an incorrect TIN; (iii) fails to report
properly interest, dividends or other "reportable payments" as defined in the
Code; or (iv) under certain circumstances, fails to provide the Issuer or
such holder's securities broker with a certified statement, signed under
penalty of perjury, that the TIN provided is its correct number and that the
holder is not subject to backup withholding. Backup withholding will not
apply, however, with respect to certain payments made to Bondholders or
Certificateholders, including payments to certain exempt recipients (such as
exempt organizations) and to certain Nonresidents (as defined below). Holders
of the Securities should consult their tax advisers as to their qualification
for exemption from backup withholding and the procedure for obtaining the
exemption.
The Issuer will report to the Securityholders and to the Internal Revenue
Service for each calendar year the amount of any "reportable payments" during
such year and the amount of tax withheld, if any, with respect to payments on
the Securities.
TAX TREATMENT OF FOREIGN INVESTORS
Under the Code, unless interest (including OID) paid on a Security (other
than a Residual Interest Security) is considered to be "effectively
connected" with a trade or business conducted in the United States by a
nonresident alien individual, foreign partnership or foreign corporation
("Nonresidents"), such interest will normally qualify as portfolio interest
(except where (i) the recipient is a holder, directly or by attribution, of
10% or more of the capital or profits interest in the Issuer or (ii) the
recipient is a controlled foreign corporation to which the Issuer is a
related person) and will be exempt from federal income tax. Upon receipt of
appropriate ownership statements, the Issuer normally will be relieved of the
obligation to withhold federal income tax from such interest payments. These
provisions supersede the generally applicable provisions of United States law
that would otherwise require the Issuer to withhold at a 30% rate (unless
such rate were reduced or eliminated by an applicable tax treaty) on, among
other things, interest and other fixed or determinable, annual or periodic
income paid to Nonresidents.
Interest and original issue discount of Bondholders or Certificateholders
who are foreign persons are not subject to withholding if they are
effectively connected with a United States business conducted by the
Bondholder or Certificateholders. They will, however, generally be subject to
the regular United States income tax.
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Payments to holders of Residual Interest Securities who are foreign
persons will generally be treated as interest for purposes of the 30% (or
lower treaty rate) United States withholding tax. Holders should assume that
such income does not qualify for exemption from United States withholding tax
as "portfolio interest." To the extent that a payment represents a portion of
REMIC taxable income that constitutes excess inclusion income, a holder of a
Residual Interest Security will not be entitled to an exemption from or
reduction of the 30% (or lower treaty rate) withholding tax rule. If the
payments are subject to United States withholding tax, they generally will be
taken into account for withholding tax purposes only when paid or distributed
(or when the Residual Interest Security is disposed of). The Treasury has
statutory authority, however, to promulgate regulations which would require
such amounts to be taken into account at an earlier time in order to prevent
the avoidance of tax. Such regulations could, for example, require
withholding prior to the distribution of cash in the case of Residual
Interest Securities that do not have significant value. Under the REMIC
Regulations, if a Residual Interest Security has tax avoidance potential, a
transfer of a Residual Interest Security to a Nonresident will be disregarded
for all Federal tax purposes. A Residual Interest Security has tax avoidance
potential unless, at the time of the transfer the transferor reasonably
expects that the REMIC will distribute to the transferee residual holder
amounts that will equal at least 30% of each excess inclusion, and that such
amounts will be distributed at or after the time at which the excess
inclusion accrues and not later than the close of the calendar year following
the calendar year of accrual. If a Nonresident transfers a Residual Interest
Security to a United States person, and if the transfer has the effect of
allowing the transferor to avoid tax on accrued excess inclusions, then the
transfer is disregarded and the transferor continues to be treated as the
owner of the Residual Interest Security for purposes of the withholding tax
provisions of the Code. See "Excess Inclusion Income."
STATE AND LOCAL TAX CONSIDERATIONS
In addition to the federal income tax consequences described in "FEDERAL
INCOME TAX CONSIDERATIONS," potential investors should consider the state
income tax consequences of the acquisition, ownership, and disposition of the
Securities. State and local income tax law may differ substantially from the
corresponding federal law, and this discussion does not purport to describe
any aspect of the income tax laws of any state or locality. Therefore,
potential investors should consult their own tax advisors with respect to the
various state and local tax consequences of investment in the Bonds or
Certificates. In particular, potential investors in Residual Interest
Securities should consult their tax advisers regarding the taxation of the
Residual Interest Securities in general and the effect of foreclosure on the
Mortgaged Properties on such taxation.
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ERISA CONSIDERATIONS
The Employee Retirement Income Security Act of 1974, as amended ("ERISA"),
imposes certain restrictions on employee benefit plans ("Plans") subject to
ERISA and persons who have certain specified relationships to such Plans
("Parties in Interest"). ERISA also imposes certain duties on persons who are
fiduciaries of Plans subject to ERISA and prohibits certain transactions
between a Plan and Parties in Interest with respect to such Plans
("Prohibited Transactions"). Under ERISA, any person who exercises any
authority or control respecting the management or disposition of the assets
of a Plan is considered to be a fiduciary of such Plan (subject to certain
exceptions not here relevant). Similar restrictions also apply to Plans that
are subject to the Code.
The Issuer, the Master Servicer, if any, the Servicer, the Trustee or the
provider of Enhancement, if any, because of their activities or the
activities of their respective affiliates, may be considered to be Parties in
Interest with respect to certain Plans. If the Securities are acquired by a
Plan with respect to which the Issuer, the Master Servicer, if any, the
Servicer, the Trustee or the provider of Enhancement, if any, is a Party in
Interest, such transaction would violate the Prohibited Transaction rules of
ERISA and the Code unless such transaction were subject to one or more
statutory or administrative exemptions such as Prohibited Transaction Class
Exemption ("PTCE") 75-1, which exempts certain transactions involving
employee benefit plans and certain broker-dealers, reporting dealers and
banks; PTCE 90-1, which exempts certain transactions between insurance
company pooled separate accounts and Parties in Interest; PTCE 91-38, which
exempts certain transactions between bank collective investment funds and
Parties in Interest; PTCE 84-14, which exempts certain transactions effected
on behalf of a Plan by a "qualified plan asset manager;" or any other
available exemption. Accordingly, prior to making an investment in the
Securities, investing Plans should determine whether the Issuer is a Party in
Interest with respect to such Plan and, if so, whether such transaction is
subject to one or more of statutory or administrative exemptions.
The Certificates of a Series will, and the Bonds of a Series could, be
treated as "equity" for purposes of ERISA. Under regulations issued by the
Department of Labor ("DOL") (the "Plan Asset Regulations"), if a Plan makes
an "equity" investment in a corporation, partnership, trust or certain other
entities, the underlying assets and properties of such entity will be deemed
for purposes of ERISA to be assets of the investing Plan unless certain
exceptions set forth in the regulation apply. If a particular Series is
treated as "equity" for purposes of the Plan Asset Regulations such that the
underlying assets of the Issuer could be treated as assets of a Plan
purchasing Securities of such Series and the Mortgage Assets securing such
Series consists of a single Mortgage Loan or obligations of a single obligor
or related obligors as specified in the related Prospectus Supplement (e.g.,
affiliates of the Issuer), and Securities of such Series are acquired by a
Plan with respect to which the obligor or related obligors are Parties in
Interest, such transaction would violate the Prohibited Transaction rules of
ERISA and the Code unless such transaction were subject to one or more
statutory or administrative exemptions such as those described above or any
other available exemption. Accordingly, prior to making an investment in
Securities of such Series, a Plan investor should determine whether such
obligor or related obligors are Parties in Interest with respect to such Plan
and, if so, whether such transaction is subject to one or more of the
statutory or administrative exemptions.
If a particular Series is treated as "equity" for purposes of the Plan
Asset Regulations such that the underlying assets of the Issuer could be
treated as assets of a Plan purchasing Securities of such Series and the
Mortgage Assets securing such Series consists of multiple Mortgage Loans or
obligations of multiple unrelated obligors as specified in the related
Prospectus Supplement, an investing Plan may not be able to determine whether
any of the obligors is a Party in Interest with respect to such Plan. In that
event, prior to making an investment in Securities of such Series, such Plan
investor should determine whether (i) one or more statutory or administrative
exemptions is applicable or (ii) one or more exceptions to the Plan Asset
Regulations is applicable such that the underlying assets of the Issuer will
not be treated as assets of such investing Plan.
One such exception applies if the class of "equity" interests in question
is (i) held by 100 or more investors who are independent of the Issuer and
each other, (ii) freely transferable, and (iii) sold as part
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of an offering pursuant to (a) an effective registration statement under the
Securities Act of 1933, and then subsequently registered under the Securities
Exchange Act of 1934 or (b) an effective registration statement under Section
12(b) or 12(g) of the Securities Exchange Act of 1934 ("Publicly Offered
Securities"). In addition, the regulation provides that if at all times more
than 75% of the value of all classes of equity interests in the Issuer are
held by investors other than benefit plan investors (which is defined as
including plans subject to ERISA, government plans and individual retirement
accounts), the investing Plan's assets will not include any of the underlying
assets of the Issuer.
Furthermore, if the Issuer were deemed to hold plan assets by reason of a
Plan's investment in a Security, the persons providing services with respect
to the assets of the Issuer, including the Mortgage Loans, may be subject to
the fiduciary responsibility provisions of Title I of ERISA and be subject to
the prohibited transactions provisions of ERISA and Section 4975 of the Code
with respect to transactions involving such assets unless such transactions
are subject to a statutory or administrative exemption, such as those
described above.
An additional exemption may also be available if the Issuer is a trust.
The DOL granted to Shearson Lehman Hutton, Inc. an administrative exemption
(the "Exemption") from certain of the prohibited transaction rules of ERISA
with respect to the initial purchase, the holding and the subsequent resale
by Plans of certificates representing interests in asset-backed pass through
trusts that consist of certain receivables, loans and other obligations that
meet the conditions and requirements of the Exemption. The obligations
covered by the Exemption include obligations such as the Mortgage Assets. The
Exemption will apply to the acquisition, holding and resale of the Securities
by a Plan, provided that certain conditions (certain of which are described
below) are met.
Among the conditions which must be satisfied for the Exemption to apply
are the following:
1. The acquisition of the Securities by a Plan is on terms (including the
price for the Securities) that are at least as favorable to the Plan as they
would be in an arm's-length transaction with an unrelated party;
2. The rights and interests evidenced by the Securities acquired by the
Plan are not subordinated to the rights and interests evidenced by other
certificates of the trust;
3. The Securities acquired by the Plan have received a rating at the time
of such acquisition that is in one of the three highest generic rating
categories from either Standard & Poor's Ratings Group ("Standard & Poor's"),
Moody's Investors Service, Inc. ("Moody's"), Duff & Phelps Credit Rating Co.
("DCR") or Fitch Investors Service, L.P. ("Fitch");
4. The sum of all payments made to the underwriter in connection with the
distribution of the Securities represents not more than reasonable
compensation for underwriting the Securities. The sum of all payments made to
and retained by the seller pursuant to the sale of the obligations to the
trust represents not more than the fair market value of such obligations. The
sum of all payments made to and retained by the servicer represents not more
than reasonable compensation for the servicer's services under the related
servicing agreement and reimbursement of the servicer's reasonable expenses
in connection therewith;
5. The Trustee must not be an affiliate of any other member of the
Restricted Group (as defined below); and
6. The Plan investing in the Securities 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 trust also must meet the following requirements:
(i) the corpus of the trust must consist solely of assets of the type
which have been included in other investment pools;
(ii) certificates in such other investment pools must have been rated
in one of the three highest rating categories of Standard & Poor's,
Moody's, DCR or Fitch for at least one year prior to the Plan's
acquisition of certificates; and
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(iii) certificates evidencing interests in such other investment pools
must have been purchased by investors other than Plans for at least one
year prior to any Plan's acquisition of Securities.
Moreover, the Exemption provides relief from certain self-dealing/conflict
of interest prohibited transactions that may occur when the Plan fiduciary
causes a Plan to acquire certificates in a trust in which the fiduciary (or
its affiliate) is an obligor on the receivables held in the trust provided
that, among other requirements: (i) in the case of an acquisition in
connection with the initial issuance of Securities, at least fifty (50)
percent of each class of Securities in which Plans have invested is acquired
by persons independent of the Restricted Group and at least fifty (50)
percent of the aggregate interest in the trust is acquired by persons
independent of the Restricted Group; (ii) such fiduciary (or its affiliate)
is an obligor with respect to five (5) percent or less of the fair market
value of the obligations contained in the trust; (iii) the Plan's investment
in Securities does not exceed twenty-five (25) percent of all of the
Securities outstanding after the acquisition; and (iv) no more than
twenty-five (25) percent of the assets of the Plan are invested in
certificates representing an interest in one or more trusts containing assets
sold or serviced by the same entity. The Exemption does not apply to Plans
sponsored by the Issuer, the Underwriter, the Trustee, the Servicer, the
Master Servicer, if any, the Special Servicer, if any, any obligor with
respect to obligations included in a Trust constituting more than five (5)
percent of the aggregate unamortized principal balance of the assets in a
Trust, or any affiliate of such parties (the "Restricted Group").
There can be no assurance that the Securities will not be treated as
equity interests in the Issuer for purposes of the Plan Asset Regulations.
Moreover, if the Securities are treated as equity interests for purposes of
ERISA, there can be no assurance that any of the exceptions set forth in the
Plan Asset Regulations will apply to the purchase of Securities offered
hereby.
Prospective Plan investors should consult with their legal advisors
concerning the impact of ERISA and the Code and the potential consequences to
their specific circumstances, prior to making an investment in the
Securities. Moreover, each Plan fiduciary should determine whether under the
general fiduciary standards of investment procedure and diversification an
investment in the Securities is appropriate for the Plan, taking into account
the overall investment policy of the Plan and the composition of the Plan's
investment portfolio.
LEGAL INVESTMENT
Unless otherwise specified in the related Prospectus Supplement, the
Securities will not constitute "mortgage-related securities" within the
meaning of the Secondary Mortgage Market Enhancement Act of 1984
("Enhancement Act"). Accordingly, investors whose investment authority is
subject to legal restrictions should consult their own legal advisors to
determine whether and to what extent the Securities constitute legal
investments for them.
PLAN OF DISTRIBUTION
The Issuer may sell the Securities offered hereby through Lehman Brothers,
as agent or as underwriter, or through underwriting syndicates represented by
Lehman Brothers (collectively, the "Underwriters") or by one or more other
underwriters, in each case, to be specified in the related Prospectus
Supplement. The Prospectus Supplement relating to a Series will set forth the
terms of the offering of such Series and each Class within such Series,
including the name or names of the Underwriters, the proceeds to and their
intended use by the Issuer, and either the initial public offering price, the
discounts and commissions to the Underwriters and any discounts or
concessions allowed or reallowed to certain dealers, or the method by which
the price at which the Underwriters will sell the Securities will be
determined.
The Underwriters will be obligated, subject to certain conditions, to
purchase all of the Securities described in the Prospectus Supplement
relating to a Series if any such Securities are purchased. The Securities may
be acquired by the Underwriters for their own account and may be resold from
time to time in one or more transactions, including negotiated transactions,
at a fixed public offering price or at varying prices determined at the time
of sale. If specified in the related Prospectus Supplement, a Series
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may be offered in whole or in part in exchange for the Mortgage Assets that
would be pledged to secure such Series. In such event, the Prospectus
Supplement will specify the amount of compensation to be paid to the
Underwriters and expenses, if any, in connection with such distribution. If
so indicated in the Prospectus Supplement, the Issuer will authorize
Underwriters or other persons acting as the Issuer's agents to solicit offers
by certain institutions to purchase the Securities on such terms and subject
to such conditions as so specified.
The Issuer may also sell the Securities offered hereby and by means of the
related Prospectus Supplements from time to time in negotiated transactions
or otherwise, at prices determined at the time of sale. The Issuer may effect
such transactions by selling Securities to or through dealers and such
dealers may receive compensation in the form of underwriting discounts,
concessions or commissions from the Issuer and any purchasers of Securities
for whom they may act as agents.
If any Certificates are offered other than through underwriters pursuant
to such underwriting agreements, the related Prospectus Supplement or
Prospectus Supplements will contain information regarding the terms of such
offering and any agreements to be entered into in connection with such
offering.
Purchasers of Certificates, including dealers, may, depending on the facts
and circumstances of such purchases, be deemed to be "underwriters" within
the meaning of the Securities Act of 1933, as amended (the "Securities Act"),
in connection with reoffers and sales by them of Certificates.
Certificateholders should consult with their legal advisors in this regard
prior to any such reoffer and sale.
If specified in the Prospectus Supplement relating to a Series of
Certificates, the Depositor, any affiliate thereof or any other person or
persons specified therein may purchase some or all of one or more Classes of
Certificates of such Series from the underwriter or underwriters of such
other person or persons specified in such Prospectus Supplement. The
consideration for such purchase may be cash or Mortgage Assets. Such
purchaser may thereafter from time to time offer and sell, pursuant to this
Prospectus and the related Prospectus Supplement, some or all of such
Certificates so purchased, directly, through one or more underwriters to be
designated at the time of the offering of such Certificates, through dealers
acting as agent and/or principal as in such other manner as may be specified
in the related Prospectus Supplement. Such offering may be restricted in the
manner specified in such Prospectus Supplement. Such transactions may be
effected at market prices prevailing at the time of sale, at negotiated
prices or at fixed prices. Any underwriters and dealers participating in such
purchaser's offering of such Certificates may receive compensation in the
form of underwriting discounts or commissions from such purchaser and such
dealers may receive commissions from the investors purchasing such
Certificates for whom they may act as agent (which discounts or commissions
will not exceed those customary in those types of transactions involved). Any
dealer that participates in the distribution of such Certificates may be
deemed to be an "underwriter" within the meaning of the Securities Act and
any commissions and discounts received by such dealer and any profit on the
resale of such Certificates by such dealer might be deemed to be underwriting
discounts and commissions under the Securities Act.
The place and time of delivery for the Series in respect of which this
Prospectus is delivered will be set forth in the related Prospectus
Supplement.
LEGAL MATTERS
Certain legal matters in connection with the Securities offered hereby
will be passed upon for the Issuer and for the Underwriters by Skadden, Arps,
Slate, Meagher & Flom, New York, New York, Weil, Gotshal and Manges, New
York, New York or Cadwalader, Wickersham & Taft, New York, New York.
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GLOSSARY
The following are abbreviated definitions of certain capitalized terms
used in this Prospectus. Unless otherwise provided in the Prospectus
Supplement for a Series, such definitions shall apply to capitalized terms
used in such Prospectus Supplement. The definitions may vary from those in
the Indenture or Trust Agreement, as applicable, and the Indenture or Trust
Agreement, as applicable, generally provides a more complete definition of
certain of the terms. Reference should be made to the Indenture or Trust
Agreement, as applicable, for a more complete definition of such terms.
"Accrual Date" means, with respect to any Series, the date upon which
interest begins accruing on the Securities of the Series, as specified in the
related Prospectus Supplement.
"Accrual Payment Amount" means, with respect to any Payment Date or
Distribution Date for a Series that occurs prior to or on the Accrual
Termination Date, the aggregate amount of interest which has accrued on the
Compound Interest Securities of such Series during the Interest Accrual
Period relating to such Payment Date or Distribution Date and which is not
then required to be paid.
"Accrual Termination Date" means, with respect to a Class of Compound
Interest Securities, the Payment Date or Distribution Date on which all
Securities of the related Series with Stated Maturities or Final Scheduled
Termination Dates earlier than that of such Class of Compound Interest
Securities have been fully paid, or such other date or period as may be
specified in the related Prospectus Supplement.
"Administration Agreement" means, with respect to a Series, an agreement
pursuant to which the Administrator agrees to perform certain ministerial,
administrative, accounting and clerical duties on behalf of the Issuer with
respect to such Series.
"Administration Fee" means the fee specified as such in the Administration
Agreement.
"Advances" means, unless otherwise specified in a Prospectus Supplement,
cash advances with respect to delinquent payments of principal and interest
on any Mortgage Loan made by the Primary Servicer from its own funds or, if
so specified in the related Prospectus Supplement, from excess funds in the
Custodial Account or Servicing Account, but only to the extent that such
advances are, in the good faith business judgment of the Servicer or the
Master Servicer, as the case may be, ultimately recoverable from future
payments and collections on the Mortgage Loans or otherwise.
"Aggregate Asset Value" means, with respect to any Series, the aggregate
amount obtained by adding the Asset Value of each Mortgage Loan or Private
Mortgage-Backed Security or other Mortgage Assets in the Trust Estate for
such Series, plus the Asset Value, as determined in the related Series
Supplement, of any cash remaining in the Collection Account or any other
Pledged Fund or Account subsequent to an initial deposit therein by the
Issuer.
"Aggregate Outstanding Principal" means, with respect to any Series or
Class thereof, the principal amount of all Securities of such Series or Class
outstanding at the date of determination, including, in respect of any Class
of Compound Interest Securities of such Series (or other Class of Securities
on which interest accrues and is added to the outstanding principal amount
thereof), the Compound Value (or accreted value) of such Securities through
the Payment Date or Distribution Date immediately preceding the date of
determination.
"Appraised Value" means, unless otherwise specified in a Prospectus
Supplement, the lesser of the appraised value determined in an appraisal
obtained at origination or the sales price of a Mortgaged Property.
"ARM," "ARM Loan," or "Adjustable Rate Mortgage Loan" means a Mortgage
which provides for adjustment from time to time to the Mortgage Rate in
accordance with an approved index.
"Asset Value" means, unless specified otherwise in the related Prospectus
Supplement, with respect to each Private Mortgage-Backed Security or Mortgage
Loan or other Mortgage Assets included in the Trust Estate or Trust Fund for
a Series, its Scheduled Principal Balance. In addition, the related Series
Supplement shall set forth, for purposes of calculating the Asset Value of
Mortgage Assets, the dates on
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which the scheduled principal and interest payments with respect to such
Mortgage Assets are assumed to be deposited in the Collection Account. The
Asset Value of any cash deposited in any Pledged Fund or Account shall be as
set forth in the related Series Supplement.
"Assumed Deposit Date" means the date specified therefor in the Series
Supplement for a Series, upon which distributions on the Primary Assets are
assumed to be deposited in the Collection Account for purposes of calculating
Reinvestment Income thereon.
"Assumed Reinvestment Rate" means, with respect to a Series, the per annum
rate or rates specified in the related Prospectus Supplement or the related
Guaranteed Investment Contract for a particular period or periods as the
"Assumed Reinvestment Rate" for funds held in Pledged Funds and Accounts for
the Series.
"Bankers Trust" means Bankers Trust Company of California, N.A., a
national banking association.
"BIF" means Bank Insurance Fund.
"Bondholder" means the Person in whose name a Bond is registered in the
Bond Register.
"Bond Interest Rate" means the interest rate on the outstanding principal
amount of a Bond payable on the applicable Payment Date for such Bond, as
specified in the related Prospectus Supplement.
"Bond Register" means the register maintained pursuant to the Trust
Indenture for a Series, providing for the registration of the Bonds of a
Series and the transfers and exchanges thereof.
"Bonds" means Collateralized Mortgage Obligations sold by the Issuer
pursuant to this Prospectus and a related Prospectus Supplement.
"Business Day" means, with respect to any Series that does not include any
Class of Variable Interest Securities, any day that is not a Saturday, Sunday
or other day on which commercial banking institutions in New York, New York,
or in the city in which the Corporate Trust Office is then located, are
authorized or obligated by law or executive order to be closed, and with
respect to any Series that includes any Class of Variable Interest
Securities, a day that is not a Saturday or Sunday, and that is not a legal
holiday nor a day on which banking institutions are authorized or obligated
by law, regulation or executive order to close in either London or New York
City or in the city in which the Corporate Trust Office is then located.
"Cash Liquidation" means as to any defaulted Mortgage Loan other than a
Mortgage Loan with respect to which the related Mortgaged Property became REO
Property, the recovery of all Insurance Proceeds, Liquidation Proceeds and
other payments or recoveries that the Master Servicer or Servicer, as
applicable, expects to be finally recoverable.
"CERCLA" means the federal Comprehensive Environmental Response,
Compensation, and Liability Act of 1980.
"Certificateholder" means the Person in whose name a Certificate is
registered in the Certificate Register.
"Certificate Interest Rate" means the interest rate on the outstanding
principal amount of a Certificate payable on the applicable Distribution Date
for such Certificate, as specified in the related Prospectus Supplement.
"Certificate Register" means the register maintained pursuant to the Trust
Agreement for a Series, providing for the registration of the Certificates of
a Series and the transfers and exchanges thereof.
"Certificates" means the Mortgage-Backed Certificates sold by the Issuer
pursuant to this Prospectus and a related Prospectus Supplement.
"Class" means a class of Securities of a Series.
"Closing Date" means, with respect to a Series, the date specified in the
related Series Supplement as the date on which Securities of such Series are
first issued.
"Code" means the Internal Revenue Code of 1986, as amended, and
regulations promulgated thereunder.
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"Collection Account" means, with respect to a Series, the account
designated as such and created pursuant to the Trust Indenture or Trust
Agreement, as applicable.
"Commercial Property" means any property securing a Mortgage Loan that
used for commercial purposes.
"Commission" means the Securities and Exchange Commission.
"Company" means Structured Asset Securities Corporation.
"Compound Interest Security" means any Security of a Series on which
interest accrues and is added to the principal of such Security periodically,
but with respect to which no interest or principal shall be payable except
during the period or periods specified in the related Prospectus Supplement.
"Compound Value" means, with respect to a Class of Compound Interest
Securities, as of any determination date, the original principal amount of
such Class, plus all accrued and unpaid interest, if any, previously added to
the principal thereof and reduced by any payments of principal previously
made on such Class of Compound Interest Securities and by any losses
allocated to such Class.
"Condemnation Proceeds" means any awards resulting from the full or
partial condemnation or any eminent domain proceeding or any conveyance in
lieu or in anticipation thereof with respect to a Mortgaged Property by or to
any governmental or quasi-governmental authority other than amounts to be
applied to the restoration, preservation or repair of such Mortgaged Property
or released to the related Mortgagor in accordance with the terms of the
Mortgage Loan.
"Corporate Trust Office" means the corporate trust office of the Trustee,
which, unless otherwise specified in the related Prospectus Supplement, shall
be the office of Bankers Trust Company of California, N.A., 3 Park Plaza,
16th Floor, Irvine, California 92714, if Bankers Trust Company of California,
N.A. is the Trustee, or Marine Midland Bank, N.A., 140 Broadway, New York,
New York 10015, if Marine Midland Bank, N.A. is the Trustee.
"Covered Trust" means a Trust Estate or Trust Fund covered by a form of
credit support.
"CPR" means the Constant Prepayment Rate prepayment model.
"Custodial Account" means an account established by a Master Servicer, a
Servicer, or a Special Servicer in the name of the Trustee for the deposit on
a daily basis of all Mortgage Loan related receipts received by it subsequent
to the Cut-Off Date.
"Custodian" means any bank, savings and loan association, trust company or
other entity appointed to hold documentation with respect to any Mortgage
Loans.
"Cut-Off Date" means, with respect to a Series, the date specified in the
related Series Supplement on which, as of the close of business on such date,
the Mortgage Loans securing or included in such Series are sold to a Trust or
subject to the lien of the Indenture.
"Deferred Interest" means the excess resulting when the amount of interest
required to be paid by a Mortgagor on a Mortgage Loan on any Due Date for
such Mortgage Loan is less than the amount of interest accrued on the
Scheduled Principal Balance thereof, to the extent such excess is added to
the Scheduled Principal Balance of such Mortgage Loan.
"Deferred Interest Securities" means Bonds or Certificates on which
interest accrued during an Interest Accrual Period may be added to the
principal amount of such Bonds or Certificates rather than being paid in cash
on the related Distribution Date.
Definitive Securities" means the Bonds or the Certificates for a Series
when and if issued in definitive form to the Securities Owners of such Series
or their nominees.
"Deleted Mortgage Loan" means a Mortgage Loan removed from the Trust
Estate or Trust Fund in order to substitute a Substitute Mortgage Loan.
"Delivery Date" means with respect to a Series, the date specified in the
related Prospectus Supplement as the date on which the Securities of such
Series are to be delivered to the original purchasers thereof.
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"Depositor" means the Company (i) when acting in such capacity under a
Deposit Trust Agreement to deposit Primary Assets into an Owner Trust
relating to a Series of Bonds, or (ii) when acting in such capacity under a
Trust Agreement to deposit Primary Assets into a Trust Fund relating to a
Series of Certificates.
"Deposit Trust Agreement" means a deposit trust agreement between the
Company and an Owner Trustee pursuant to which an Owner Trust is created and
Primary Assets are deposited therein.
"Designated Interest Accrual Date" means, as specified in the related
Prospectus Supplement, (a) the day preceding a Redemption Date or Special
Redemption Date as the date through which accrued interest is paid upon
redemption or special redemption, or (b) the date through which accrued
interest is paid upon the occurrence of an Event of Default.
"Determination Date" means the date specified in the related Prospectus
Supplement.
"Disqualified Organization" means the United States, any State or
political subdivision thereof, any possession of the United States, any
foreign government, any international organization, or any agency or
instrumentality of any of the foregoing, a rural electric or telephone
cooperative described in section 1381(a)(2)(C) of the Code, or any entity
exempt from the tax imposed by sections 1-1399 of the Code, if such entity is
not subject to tax on its unrelated business income.
"Distribution Date" means the date on which distributions of principal of
and interest on Certificates of a Series will be made.
"DOL" means Department of Labor.
"Due Date" means each date on which a payment is due and payable on any
Mortgage Assets.
"Due Period" means, unless other specified in the related Prospectus
Supplement, for each Payment Date or Distribution Date, as applicable, the
period beginning on the second day of the month preceding the month in which
such Payment Date or Distribution Date, as applicable, occurs and ending on
the first day of the month in which such Payment Date or Distribution Date,
as applicable, occurs.
"Eligible Investments" means any one or more of the obligations or
securities described herein under "SECURITY FOR THE BONDS AND
CERTIFICATES--Investment of Funds."
"Enhancement" means the Enhancement for a Series, if any, specified in the
related Prospectus Supplement.
"Enhancement Agreement" means the agreement or instrument pursuant to
which any Enhancement is issued or the terms of any Enhancement are set
forth.
"ERISA" means the Employee Retirement Income Security Act of 1974, as
amended.
"ERISA Plans" means qualified employee benefit plans established under
ERISA or the Code.
"Escrow Account" means an escrow account established and maintained by the
Primary Servicer in which payments by Mortgagors to pay taxes, assessments,
mortgage and hazard insurance premiums and other comparable items will be
deposited.
"Event of Default" unless otherwise specified in the Prospectus Supplement
shall have the meaning set forth herein under "THE INDENTURE AND TRUST
AGREEMENT--Events of Default."
"Excess Cash Flow" shall have the meaning set forth in the related
Prospectus Supplement.
"Exchange Act" means the Securities Exchange Act of 1934.
"FDIC" means the Federal Deposit Insurance Corporation.
"FHA" means the Federal Housing Administration, a division of HUD. "FHA
Loan" means a fixed-rate mortgage loan insured by the FHA. "FHLMC" means the
Federal Home Loan Mortgage Corporation.
"FNMA" means the Federal National Mortgage Association.
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"Final Scheduled Distribution Date" means the Distribution Date on which
principal of and interest on a Series of Certificates is scheduled to be paid
in full.
"First Mandatory Principal Distribution Date" means the date specified in
the related Prospectus Supplement as the Distribution Date on which the
Issuer must begin paying installments of principal of the Certificates of the
related Series or Class if the Issuer has not already begun making such
distributions.
"First Mandatory Principal Payment Date" means the date specified in the
related Prospectus Supplement as the Payment Date on which the Issuer must
begin paying installments of principal of the Bonds of the related Series or
Class if the Issuer has not already begun making such payments.
"First PAC Paydown Date" means the date on which the initial PAC Principal
Payment is applied to the PAC Bonds, as set forth in the related Prospectus
Supplement.
"Garn-St. Germain Act" means the Garn-St. Germain Depository Institutions
Act of 1982.
"Guarantor" means a guarantor acceptable to the Rating Agencies rating the
Securities.
"Grant" means to mortgage, pledge, bargain, sell, warrant, alienate,
remise, convey, assign, transfer, create and grant a lien upon and a security
interest in and right of setoff against, deposit, set over and confirm.
"Guaranteed Investment Contract" means a guaranteed investment contract
providing for the investment of all distributions on the Mortgage Assets
guaranteeing a minimum or a fixed rate of return on the investment of moneys
deposited therein.
"Highest Bond Interest Rate" means, unless specified otherwise in the
related Prospectus Supplement, with respect to any Series of Bonds, the
highest Bond Interest Rate borne by outstanding Bonds of the Series.
"Highest Certificate Interest Rate" means, unless otherwise specified in
the related Prospectus Supplement, with respect to any Series of
Certificates, the highest Certificate Interest Rate borne by outstanding
Certificates of a Series.
"Holder" means a Bondholder or Certificateholder, as applicable.
"Housing Act" means the National Housing Act of 1934, as amended.
"HUD" means the United States Department of Housing and Urban Development.
"Indenture" means, with respect to any Series of Bonds, collectively the
Trust Indenture and any related Series Supplement.
"Individual Investor Bonds" means each of the Bonds of a Class identified
as such in the related Prospectus Supplement.
"Individual Investor Certificates" means each of the Certificates of a
Class identified as such in the related Prospectus Supplement.
"Insurance Proceeds" means amounts received by the Trustee from the Master
Servicer or a Servicer in connection with sums paid or payable under any
insurance policies, to the extent not applied to the restoration or repair of
the Mortgaged Property.
"Insurance Policies" means hazard insurance and other insurance policies
required to be maintained with respect to Mortgage Loans.
"Interest Accrual Period" means the period specified in the related
Prospectus Supplement for a Series, during which interest accrues on
Securities of the related Series or Class with respect to any Payment Date,
Distribution Date, Redemption Date, or Special Redemption Date.
"Interest Only Securities" means a Security entitled to receive payments
of interest only based upon the Notional Amount of the Security.
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"Interest Weighted Securities" means, with respect to Certificates issued
by a grantor Trust, Certificates that embody only interest payments on the
underlying Mortgage Loans or which consist in whole or in part of stripped
coupons or, in the case of a regular interest in a REMIC, which qualify as
such pursuant to Section 860G(a)(1)(B)(ii) of the Code.
"IRS" means the Internal Revenue Service.
"Issuer" means the Company Owner Trust, or a separate trust established by
the Company as issuer of a Series of Securities.
"L/C Bank" means the issuer of the letter of credit.
"LCPI" means Lehman Commercial Paper Inc.
"Lehman Brothers" means Lehman Brothers Inc.
"Liquidation Proceeds" means amounts (other than Insurance Proceeds)
received and retained in connection with liquidation of defaulted Mortgage
Loans whether through foreclosure or otherwise, net of related liquidation
expenses and certain other expenses.
"Loan-to-Value Ratio" means, as of any date of determination, the ratio of
the then outstanding principal amount to the lesser of the appraised value
and the purchase price of the Mortgaged Property at the time of origination.
"Marine Midland" means Marine Midland Bank, N.A., a national banking
association.
"Master Servicer" means, with respect to a Series secured by Mortgage
Loans or Private Mortgage-Backed Securities, the Person, if any, designated
in the related Prospectus Supplement to manage and supervise the
administration and servicing by the Servicers of the Mortgage Loans
comprising Mortgage Assets or Underlying Collateral for that Series, or the
successors or assigns of such Person.
"Master Servicing Agreement" means the Master Servicing Agreement between
the Issuer and the Master Servicer, if any, specified in the related
Prospectus Supplement.
"Maximum Variable Interest Rate" means the interest rate cap on the Bond
Interest Rate or Certificate Interest Rate for Variable Interest Securities.
"Minimum Variable Interest Rate" means the interest rate floor on the Bond
Interest Rate or Certificate Interest Rate for Variable Interest Securities.
"Mortgage" means a mortgage, deed of trust or other security instrument
evidencing the lien on the Mortgaged Property.
"Mortgage Assets" means the Mortgage Loans, including participation
interests therein, REO Property and Private Mortgage-Backed Securities which
are Granted to the Trustee as security for a Series of Bonds or deposited
into the Trust Fund in respect of a Series of Certificates; an item of
Mortgage Assets refers to a specific Mortgage Loan, REO Property or Private
Mortgage-Backed Security.
"Mortgaged Properties" means the real properties on which liens are
created pursuant to Mortgages for purposes of securing the Mortgage Loans.
"Mortgage Loan Group" means groups of Mortgage Assets.
"Mortgage Loan" means a mortgage loan or participation interest therein
that is owned by the Issuer and constitutes a part of the Mortgage Assets for
a Series, or that is Underlying Collateral for a Private Mortgage-Backed
Security that constitutes a part of the Mortgage Assets for a Series.
"Mortgage Note" means the note or other evidence of indebtedness of a
Mortgagor with respect to a Mortgage Loan.
"Mortgage Pool" means, with respect to a Series, the pool of Mortgage
Loans.
"Mortgage Rate" means, with respect to each Mortgage Loan, the annual
interest rate required to be paid by the Mortgagor under the terms of the
related Mortgage Note.
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"Mortgagor" means the Person indebted under the Mortgage Note relating to
a Mortgage Loan.
"Multifamily Property" means any property securing a Mortgage Loan
consisting of multifamily residential rental property or cooperatively owned
multifamily property consisting of five or more dwelling units.
"New York Presenting Agent" means the Issuer's agent in the State of New
York, which, unless otherwise specified in the Prospectus Supplement for a
Series, will be Bankers Trust Company, Four Albany Street, New York, New York
10006.
"Nonresidents" means a nonresident alien individual, foreign partnership
or foreign corporation.
"OID" means "original issue discount" within the meaning of section 1273
of the Code.
"OTS" means the Office of the Thrift Supervision.
"Owner Trust" means the trust fund established by the Company pursuant to
a Deposit Trust Agreement to hold Primary Assets and issue a Series of Bonds.
"Owner Trustee" means the bank or trust company named in the Prospectus
Supplement related to a Series of Bonds, not in its individual capacity but
solely as trustee pursuant to a Deposit Trust Agreement, and its successors
and assigns.
"PAC" means Planned Amortization Class Securities.
"PAC Amount" means the scheduled amounts of principal payments to be
applied on each Payment Date or Distribution Date to the PAC Securities, as
set forth in the related Prospectus Supplement.
"PAC Security" or "Planned Amortization Class Security" means a Security
on which the Principal Amortization Amount in an amount equal to the PAC
Principal Payment or PAC Principal Distribution will be applied to such
Securities commencing on the First PAC Paydown Date, and each Payment Date or
Distribution Dates thereafter.
"PAC Paydown Date" means the date on which each PAC Amount is applied to
the PAC Securities as set forth in the related Prospectus Supplement.
"PAC Principal Payment" means, with respect to a particular Payment Date,
the scheduled PAC Amount, if any, for such Payment Date less any principal
payments made on the PAC Securities due to a special redemption subsequent to
the preceding Payment Date.
"Participating Securities" means a Security entitled to receive payments
of principal and interest and an additional return on investment as described
in the related Prospectus Supplement.
"Participation Agreement" means the agreement through which participation
interests in a Series will be acquired.
"Pass-Through Certificates" means, in respect of Certificates issued by a
grantor trust, Certificates in which there is no separation of the principal
and interest payments on the underlying Mortgage Loans.
"Paying Agent" means the Trustee or any other Person that meets the
eligibility standards for the Paying Agent specified in the Indenture or
Trust Agreement, as applicable and is authorized and appointed pursuant to
the Indenture or Trust Agreement, as applicable by the Issuer to pay the
principal of or interest on any Securities on behalf of the Issuer.
"Payment Date" means the date on which payments of principal of and
interest on the Bonds will be made.
"Person" means any individual, corporation, partnership, joint venture,
association, joint stock company, trust (including any beneficiary thereof),
unincorporated organization, or government or any agency or political
subdivision thereof.
"Pledged Fund or Account" means any fund or account, including, without
limitation, the Collection Account or any Reserve Fund established with
respect to, and Granted as security for, a Series.
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"PMBS Agreement" means the pooling and servicing agreement, indenture or
similar agreement pursuant to which Private Mortgage-Backed Securities have
been issued.
"PMBS Issuer" means the issuer of the Private Mortgage-Backed Securities.
"PMBS Trustee" means the trustee of the Private Mortgage-Backed
Securities.
"Policy Statement" means the supervisory policy statement adopted by the
Federal Financial Institution Examination Council.
"Prepayment Assumption" means the anticipated rate of prepayments assumed
in pricing the Securities.
"Prepayment Period" means, if specified in any Prospectus Supplement with
respect to any Series, the calendar month preceding the month in which the
related Payment Date occurs.
"Primary Assets" means that portion of the Trust Estate pledged to secure
a Series of Bonds, or comprising the Trust Fund relating to a Series of
Certificates.
"Primary Servicer" means the entity which has primary liability for
servicing Mortgage Loans directly.
"Principal Balance" means, unless otherwise specified in a Prospectus
Supplement, with respect to any Mortgage Loan or related REO Property, for
any Due Date and the Due Period with respect thereto, the principal balance
of such Mortgage Loan (or, in the case of REO Property, of the related
Mortgage Loan on the last date on which a payment was made thereon)
outstanding as of the Cut-Off Date, after application of principal payments
due on or before the Cut-Off Date, whether or not received, plus all amounts
of Deferred Interest accrued on such Mortgage Loan to the Due Date in the Due
Period immediately preceding the date of determination minus the sum of (a)
the principal portion of the Scheduled Payment due on or prior to such Due
Date, but only if received from or on behalf of the Mortgagor, (b) all
Principal Prepayments, and all Insurance Proceeds, Condemnation Proceeds,
Liquidation Proceeds and other amounts applied as recoveries of principal to
the extent identified and applied by the Master Servicer, Special Servicer or
Servicer, as applicable, as recoveries of principal through the close of the
related Prepayment Period for the Master Servicer or Servicer, as applicable,
and (c) any Realized Loss on such Mortgage Loan to the extent treated as a
principal loss and which is realized during such Prepayment Period.
"Principal Determination Date" means the day specified in the related
Prospectus Supplement.
"Principal Payment Amount" means, with respect to any Payment Date or
Distribution Date related to a particular Series, the amount that is
specified in the related Prospectus Supplement.
"Principal Payment Dates" means, with respect to a Class, the dates
specified in the related Prospectus Supplement on which principal of the
Securities of such Class is to be paid.
"Principal Prepayment" means, with respect to any Private Mortgage-Backed
Security or Mortgage Loan, any payment of principal on such Private
Mortgage-Backed Security or Mortgage Loan in excess of the Scheduled Payment,
resulting from prepayment, partial prepayment, (other than Liquidation
Proceeds, Condemnation Proceeds or Insurance Proceeds) with respect to the
Mortgage Loan or Mortgage Loans underlying such Private Mortgage-Backed
Security but not including any Scheduled Payment received prior to the Due
Period in which it was scheduled to be paid.
"Principal Only Securities" means a Security entitled to receive payments
of principal only.
"Private Mortgage-Backed Security" means a mortgage participation or other
interest, pass-through certificate or collateralized mortgage obligation.
"Proceeding" means any suit in equity, action at law or other judicial or
administrative proceeding.
"PTE" means Prohibited Transactions Exemption.
"Rating Agency" means a nationally recognized statistical rating agency.
108
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"Realized Losses" means, unless otherwise specified in a Prospectus
Supplement, with respect to each Mortgage Loan or REO Property, as the case
may be, as to which a Cash Liquidation or REO Disposition has occurred, an
amount equal to (i) the Principal Balance of the Mortgage Loan as of the date
of Cash Liquidation or REO Disposition, plus (ii) interest at the applicable
Mortgage Rate, from the date as to which interest was last paid up to the Due
Date in the period in which such Cash Liquidation or REO Disposition has
occurred on the Principal Balance of such Mortgage Loan outstanding during
each Due Period that accrued interest was not paid, minus (iii) Liquidation
Proceeds received during the month in which such Cash Liquidation or REO
Disposition occurred, net of related expenses, including but not limited to,
amounts that are payable to a Master Servicer, Servicer, or Special Servicer,
as applicable, with respect to such Mortgage Loan and (iv) any other amounts
applied as a recovery of principal or interest on the Mortgage Loan.
"Redemption Date" means, with respect to any Series, the Payment Date
specified by the Issuer for the redemption of Bonds of such Series pursuant
to the Indenture.
"Redemption Price" means, with respect to any Bond of a Series or Class to
be redeemed, an amount equal to the percentage specified in the related
Prospectus Supplement of the principal amount (or of the Compound Value of
any Compound Interest Security) of such Security so redeemed, together with
accrued and unpaid interest thereon at the applicable Bond Interest Rate to
the Designated Interest Accrual Date for such Series.
"Regular Bondholder" means a Holder of a Regular Interest Bond.
"Regular Certificateholder" means a Holder of a Regular Interest
Certificate.
"Regular Interest Bonds" means Classes of Bonds constituting regular
interests in a REMIC.
"Regular Interest Certificates" means Classes of Certificates constituting
regular interests in a REMIC.
"Regular Interest Securities" means Regular Interest Bonds, Regular
Interest Certificates or Uncertificated Regular Interests, as applicable.
"Reinvestment Income" means any interest or other earnings on Pledged
Funds or Accounts that are part of the Primary Assets for a Series.
"REMIC Provisions" means the provisions of the federal income tax law
relating to real estate mortgage investment conduits, which appear at Section
860A through 860G of the Code, and related provisions, and regulations and
rulings promulgated thereunder.
"REMIC Regulations" means final Treasury regulations under Sections 860A
through 860G of the Code or related provisions.
"REO Disposition" means the receipt by the Master Servicer, Servicer, or
Special Servicer, as applicable, of Liquidation Proceeds, Insurance Proceeds
and other payments and recoveries (including proceeds of a final sale) from
the sale or other disposition of the REO Property.
"REO Property" means Mortgaged Properties the beneficial interest in which
has been acquired by a Trust Fund or by a Trustee on behalf of Bondholders by
foreclosure, by deed-in-lieu of foreclosure or otherwise.
"Reserve Fund" means, with respect to a Series, any reserve fund described
in the applicable Prospectus Supplement, including a Subordination Reserve
Fund.
"Reserve Funds" means, collectively, more than one reserve fund.
"Residual Bondholder" means the Holder of a Residual Interest Bond.
"Residual Certificateholder" means the Holder of a Residual Interest
Certificate.
"Residual Interest Bonds" means Classes of Bonds constituting the residual
interest in a REMIC.
"Residual Interest Certificates" means Classes of Certificates
constituting residual interests in a REMIC.
109
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"Residual Interest Securities" means Residual Interest Bonds or Residual
Interest Certificates, as applicable.
"SAIF" means Savings Association Insurance Fund.
"Scheduled Payments" means the scheduled payments of principal and
interest to be made by the Mortgagor on a Mortgage Loan in accordance with
the terms of the related Mortgage Note, as modified by any permitted
modification of a Mortgage Note.
"Scheduled Principal Balance" means the principal balance of a Mortgage
Loan outstanding as of the Cut-Off Date, after application of principal
payments due on or before the Cut-Off Date, whether or not received, plus all
amounts of Deferred Interest accrued on such Mortgage Loan to the Due Date in
the Due Period immediately preceding the date of determination, minus the sum
of (a) the principal portion of all Scheduled Payments due on or prior to
such Due Date, irrespective of any delinquency in payment by the Mortgagor,
(b) all Principal Prepayments and all Insurance Proceeds, Condemnation
Proceeds, Liquidation Proceeds and other amounts applied as recoveries of
principal to the extent identified and applied by the Master Servicer,
Special Servicer, or Servicer, as applicable, as recoveries of principal
through the close of the related Prepayment Period, and (c) any Realized Loss
on such Mortgage Loan to the extent treated as a principal loss and that is
realized during such Prepayment Period.
"Securities" means Bonds of Certificates.
"Securities Owners" means the owners of the beneficial interests in a
Series of Bonds or Certificates.
"Senior Securities" means a Class of Securities which are senior in right
and priority to the extent described in the related Prospectus Supplement to
payment of principal and interest to certain other Classes of Securities of
such Series.
"Series" means a separate series of Bonds sold pursuant to this Prospectus
and the related Prospectus Supplement.
"Series Supplement" means the supplemental indenture to or terms indenture
incorporating by reference the Trust Indenture or Trust Agreement, as
applicable, between the Issuer of a Series of Securities and the Trustee
relating to such Series of Securities.
"Servicer" means, for any Mortgage Loan, the Person approved by the Issuer
and by the Master Servicer, if any, as servicer of such Mortgage Loan, which
Person shall also be a FNMA or FHLMC- approved seller and servicer.
"Servicer Remittance Date" means with respect to each Mortgage Loan, the
date on which the Servicer shall remit all funds held in the Servicing
Account together with any Advances made by such Servicer for deposit to the
Collection Account.
"Servicing Account" means an account established by a Servicer which
complies with the standards set forth herein for a Custodial Account.
"Servicing Agreements" means the Master Servicing Agreement, Servicing
Agreement and Special Servicing Agreement, if any.
"Servicing Fee" means for any Series, the aggregate fees paid to the
Trustee, Master Servicer or other similar fees.
"SMMEA" means the Secondary Mortgage Market Enhancement Act of 1984.
"SPA" means the Standard Prepayment Assumption prepayment model.
"Special Redemption Date" means, with respect to a Series, the date each
month (other than any month in which a Payment Date occurs) on which Bonds of
that Series may be redeemed pursuant to the Trust Indenture or the related
Series Supplement; such date shall be the same day of the month as the day on
which the Payment Date for the Bonds of that Series occurs.
"Special Servicer" means a special servicer identified in the related
Prospectus Supplement appointed to perform the activities set forth in the
related Prospectus Supplement.
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"Start Up Day" means the "startup day" of the REMIC as defined in section
860G(a)(9) of the Code.
"Stated Maturity" means the date specified in the related Prospectus
Supplement no later than which all the Bonds of such Class will be fully
paid, calculated on the basis of the assumptions set forth in the related
Prospectus Supplement.
"Stripped Certificates" means, in respect of Certificates issued by a
grantor trust, Certificates in which there is considered to be a separate
ownership of the payments of principal and interest on the underlying
Mortgage Loans.
"Subordinate Securities" means a Class of Securities which are subordinate
in right and priority to the extent described in the related Prospectus
Supplement to payment of principal and interest to Senior Classes of
Securities of such Series.
"Substitute Mortgage Asset" means any Mortgage Asset that is Granted to
the Trustee as security for a Series of Bonds or deposited into the Trust
Fund in respect of a Series of Certificates in lieu of any Mortgage Assets
then pledged as security.
"Substitute Mortgage Loan" means a Mortgage Loan substituted for one or
more Deleted Mortgage Loans in the Trust Estate or Trust Fund.
"TIN" means Taxpayer Identification Number.
"Trust Agreement" means the trust agreement between the Company and a
Trustee pursuant to which a Series of Certificates is issued.
"Trust Estate" means, with respect to any Series of Bonds, all money,
instruments, securities and other property, including all proceeds thereof,
which are subject or intended to be subject to the lien of the Indenture for
the benefit of the Series as of any particular time (including, without
limitation, all property and interests Granted to the Trustee pursuant to the
Series Supplement for such Series).
"Trust Fund" means the trust fund established pursuant to a Trust
Agreement into which Primary Assets are deposited for the purpose of issuing
a Series of Certificates.
"Trust Indenture" means the trust indenture between the Company and the
Trustee or a Trust and the Trustee pursuant to which a Series of Bonds are
issued.
"Trust Indenture Act" or "TIA" means the Trust Indenture Act of 1939 and
rules and regulations promulgated by the Commission with respect thereto.
"Trustee" means Bankers Trust or Marine Midland or another bank or trust
company qualified under the TIA and named in the Prospectus Supplement for a
Series as trustee or the Trustee for any series of Certificates named in the
Prospectus Supplement.
"Uncertificated Regular Interest" means a regular interest in a REMIC that
is not represented by a physical Certificate.
"Unavailable Amount" means, with respect to a Series, the amount, if any,
remaining in the related Collection Account on a related Payment Date that
represents (1) payments of scheduled payments of principal of and interest on
the Mortgage Assets due subsequent to the Principal Determination Date
immediately preceding the related Payment Date or Distribution Date, (2) the
amount of all related prepayments received or deemed received subsequent to
the Principal Determination Date immediately preceding such Payment Date or
Distribution Date, or (3) any investment income that has accrued subsequent
to the Principal Determination Date immediately preceding such Payment Date
or Distribution Date.
"Undelivered Mortgage Assets" means Mortgage Assets that are not pledged
and delivered to the Trustee on the related Closing Date.
"Underwriters" means, collectively, Lehman Brothers, as agent or as
underwriter, or underwriting syndicates represented by Lehman Brothers.
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"Underlying Collateral" means, with respect to a Private Mortgage-Backed
Security, the underlying Mortgage Loans.
"VRDI Security" means a Regular Interest Security that qualifies as a
"variable rate debt instrument" under Section 1.7275-5 of the Treasury
Regulations.
"Variable Interest Distribution Date" means, with respect to a Class of
Variable Interest Securities issued as part of a Series of Certificates, the
date specified in the related Prospectus Supplement, it being expressly
provided herein that Variable Interest Distribution Dates may be monthly,
quarterly, semi- annual or annual.
"Variable Interest Payment Date" means, with respect to any Class of
Variable Interest Securities issued as part of a Series of Bonds, the date
specified in the related Prospectus Supplement, it being expressly provided
herein that Variable Interest Payment Dates may be monthly, quarterly,
semi-annual or annual.
"Variable Interest Period" means, with respect to any Class of Variable
Interest Securities, the period commencing immediately subsequent to the
preceding Variable Interest Period (or, in the case of the Variable Interest
Period appliable to the first Variable Interest Payment Date with respect to
such [Class of Variable Interest Securities, commencing on the Accrual Date
for such Class) and ending on the] date specified in the related Prospectus
Supplement, during which such Class of Variable Interest Securities shall
accrue interest, payable on the immediately succeeding Variable Interest
Payment Date or Variable Interest Distribution Date, at the Bond Interest
Rate or Certificate Interest Rate determined on the immediately preceding
Determination Date.
"Variable Interest Rate" means the interest rate in respect of a Variable
Interest Security.
"Variable Interest Security" means a Security on which interest accrues at
a Bond Interest Rate or Certificate Interest Rate that is adjusted, based
upon a predetermined index, at fixed periodic intervals, all as set forth in
the related Prospectus Supplement.
"Weighted Average Securities" means Regular Interest Securities that bear
interest at a rate based on a weighted average of the interest rates on some
or all of the Mortgage Loans of the related trust.
"Zero Coupon Bonds" means a Security entitled to receive payments or
distributions of Principal only.
"1986 Act" means the Tax Reform Act of 1986, as amended.
112
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No dealer, salesman or other person has been authorized to give any
information or to make any representation not contained in this Prospectus
Supplement or the Prospectus and, if given or made, such information or
representation must not be relied upon as having been authorized by the
Depositor or Lehman Brothers. This Prospectus Supplement and the Prospectus
do not constitute an offer of any securities other than those to which they
relate or an offer to sell, or a solicitation of an offer to buy, to any
person in any jurisdiction where such an offer or solicitation would be
unlawful. Neither the delivery of this Prospectus Supplement and the
Prospectus nor any sale made hereunder shall, under any circumstances, create
any implication that the information contained herein is correct as of any
time subsequent to their respective dates.
TABLE OF CONTENTS
Prospectus Supplement
<TABLE>
<CAPTION>
PAGE
---------
<S> <C>
Table of Contents ..................................... S-3
Executive Summary ..................................... S-5
Summary of Terms ...................................... S-17
Risk Factors .......................................... S-37
Description of the Certificates ....................... S-44
The Trust ............................................. S-60
Servicing of Mortgage Loans ........................... S-167
Yield, Prepayment and Maturity Considerations ........ S-175
Legal Investment Considerations ....................... S-182
Certain Legal Aspects of Mortgage Loans Located in
California, Connecticut and Pennsylvania ............. S-182
Use of Proceeds ....................................... S-182
ERISA Considerations .................................. S-183
Federal Income Tax Considerations ..................... S-185
Underwriting .......................................... S-186
Legal Matters ......................................... S-187
Certificate Rating .................................... S-187
Index of Principal Terms .............................. S-188
Appendix A ............................................ A-1
Appendix B ............................................ B-1
Prospectus
PAGE
---------
Table of Contents ..................................... 2
Prospectus Supplement ................................. 5
Additional Information ................................ 5
Incorporation of Certain Documents by Reference ...... 5
Summary of Terms ...................................... 7
Risk Factors .......................................... 26
Description of the Securities ......................... 32
Yield and Prepayment Considerations ................... 41
Security for the Bonds and Certificates ............... 44
Servicing of Mortgage Loans ........................... 52
Enhancement ........................................... 56
Description of Insurance on the Mortgage Loans ....... 59
Certain Legal Aspects of Mortgage Loan ................ 61
The Indenture ......................................... 69
The Trust Agreement ................................... 73
The Issuer ............................................ 80
Use of Proceeds ....................................... 81
Limitations on Issuance of Bearer Securities ......... 81
Federal Income Tax Considerations ..................... 82
State and Local Tax Considerations .................... 96
ERISA Considerations .................................. 97
Legal Investment ...................................... 99
Plan of Distribution .................................. 99
Legal Matters ......................................... 100
Glossary .............................................. 101
</TABLE>
$179,589,443
(APPROXIMATE)
Structured Asset
Securities Corporation
Multiclass Pass-Through Certificates,
Series 1995-C4
PROSPECTUS SUPPLEMENT
November 21, 1995
LEHMAN BROTHERS
