<PAGE>
<PAGE>
PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED JANUARY 29, 1996)
$1,616,274,142 (APPROXIMATE)
STRUCTURED ASSET SECURITIES CORPORATION
MULTICLASS PASS-THROUGH CERTIFICATES, SERIES 1996-CFL
Filed Pursuant to Rule 424(b)(5)
Registration No. 33-96378
Structured Asset Securities Corporation (the 'Depositor') is forming a trust
(the 'Trust') which will issue Multiclass Pass-Through Certificates, Series
1996-CFL (the 'Certificates'). The Certificates are comprised of twenty-one
classes: the Class A-1A, Class A-1B, Class A-1C, Class A-2A and Class A-2B
Certificates (collectively, the 'Class A Certificates'), the Class X-1, Class
X-1A, Class X-2 and Class X-2A Certificates (collectively, the 'Class X
Certificates,' and together with the Class A Certificates, the 'Senior
Certificates'), the Class B, Class C, Class D, Class E, Class F, Class G, Class
H, Class I and Class J Certificates (collectively, the 'Subordinate
Certificates'), the Class R and Class LR Certificates (collectively, the
'Residual Certificates') and the Class P Certificates. Only the Senior
Certificates and the Class B, Class C, Class D and Class E Certificates are
being offered hereby (collectively, the 'Offered Certificates'). It is a
condition to their issuance that each Class of the Class A Certificates be rated
'AAA' by Fitch Investors Service, L.P. ('Fitch') and Standard & Poor's Ratings
Services ('S&P '), that each Class of the Class X Certificates be rated 'AAA' by
Fitch, 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, that the
Class D Certificates be rated 'A' by Fitch and 'BBB' by S&P, and that the Class
E Certificates be rated 'BBB' by Fitch and 'BB+' by S&P.
The Certificates will evidence, in the aggregate, all of the direct
beneficial interests in the Trust established by the Depositor pursuant to a
Pooling and Servicing Agreement, dated as of February 1, 1996 (the 'Pooling
Agreement'), among the Depositor, LaSalle National Bank, as trustee (the
'Trustee'), ABN AMRO Bank N.V., as fiscal agent (the 'Fiscal Agent'), Midland
Loan Services, L.P., as servicer (the 'Servicer'), and J.E. Robert Company,
Inc., as special servicer (the 'Special Servicer').
The Certificates evidence interests in the Trust only and are payable solely
from amounts received with respect to the Mortgage Loans. The Certificates do
not constitute obligations of the Depositor, CLIC (U.S.), the Trustee, the
Servicer, the Special Servicer, the Fiscal Agent, any of their respective
affiliates, or any other person or entity, and will not be insured or guaranteed
by any governmental instrumentality, Lehman Brothers Inc. ('Lehman Brothers'),
Goldman, Sachs & Co. ('Goldman Sachs' and together with Lehman Brothers, the
'Underwriters'), or any affiliate thereof, or any other person or entity.
SEE 'RISK FACTORS' BEGINNING ON PAGE S-40 OF THIS PROSPECTUS SUPPLEMENT AND
'RISK FACTORS' BEGINNING ON PAGE 27 OF THE PROSPECTUS FOR CERTAIN FACTORS TO BE
CONSIDERED IN PURCHASING THE OFFERED CERTIFICATES.
(Cover continued on page S-3)
------------------------
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.
------------------------
<TABLE>
<CAPTION>
Initial
Aggregate Certificate
Principal Price to Certificate
or Notional Public Interest CUSIP
Class Amount (1) (2)(3) Rate(5) Number
- ------------------ --------------------- --------- ----------- ----------
<S> <C> <C> <C> <C>
Class A-1A........ $ 152,820,047 100.004% 5.711% 863572 HP1
Class A-1B........ $ 200,000,000 100.001% 5.751% 863572 HQ9
Class A-1C........ $ 450,000,000 100.002% 5.944% 863572 HR7
Class A-2A........ $ 171,097,717 102.084% 7.750% 863572 HS5
Class A-2B........ $ 175,000,000 102.002% 6.759% 863572 HT3
Class X-1......... $ 1,601,220,527 (4) 1.335% 863572 HU0
<CAPTION>
Initial
Aggregate Certificate
Principal Price to Certificate
or Notional Public Interest CUSIP
Class Amount (1) (2)(3) Rate(5) Number
- ------------------ --------------------- --------- ----------- ----------
<S> <C> <C> <C> <C>
Class X-1A........ $ 1,172,810,513 (4) 1.645% 863572 HV8
Class X-2......... $ 346,097,717 (4) 1.274% 863572 HW6
Class X-2A........ $ 346,097,717 (4) 0.501% 863572 HX4
Class B........... $ 97,365,912 100.002% 6.303% 863572 HY2
Class C........... $ 136,312,277 100.004% 6.525% 863572 HZ9
Class D........... $ 136,312,277 100.002% 7.034% 863572 JA2
Class E........... $ 97,365,912 98.202% 7.750% 863572 JB0
</TABLE>
- ------------
(1) The initial aggregate certificate principal or notional amount of the
Offered Certificates is approximate and is subject to a permitted variance
of plus or minus 5%, depending on the Mortgage Loans actually delivered to
the Trustee.
(2) Plus accrued interest from February 1, 1996.
(3) The compensation to the Underwriters varies by Class and will aggregate
approximately 0.325% of the aggregate Certificate Principal Amount of the
Offered Certificates (excluding the Class X Certificates). The aggregate
proceeds (excluding accrued interest) to the Depositor from the sale of the
Offered Certificates (excluding the Class X Certificates), before deducting
expenses estimated to be approximately $7,750,000, will be approximately
$1,622,000,000. See 'UNDERWRITING' herein.
(4) Upon issuance, the Class X Certificates will be sold by the Depositor to
CLIC (U.S.) as part of the purchase price paid by the Depositor for the
Mortgage Loans.
(5) The Certificate Interest Rate for the Class X Certificates reflects the
approximate Certificate Interest Rate for the first Distribution Date.
The Offered Certificates (other than the Class X Certificates) are offered
by the Underwriters subject to prior sale, withdrawal, cancellation or
modification of the offer without notice, to delivery to and acceptance by the
Underwriters and certain further conditions. It is expected that the Class A,
Class B, Class C, Class D and Class E Certificates will be delivered in
book-entry form through the Same-Day Funds Settlement System of The Depository
Trust Company and that the Class X Certificates will be delivered in definitive
form at the offices of Lehman Brothers, New York, New York on or about February
15, 1996.
------------------------
LEHMAN BROTHERS GOLDMAN, SACHS & CO.
February 9, 1996
<PAGE>
<PAGE>
[PHOTOS]
<PAGE>
<PAGE>
(Continued from cover page)
The primary assets of the Trust will generally consist of fixed rate
commercial and multifamily mortgage loans (the 'Mortgage Loans') that have an
aggregate Scheduled Principal Balance as of February 1, 1996 (the 'Cut-Off
Date') of approximately $1,953,745,229 (the 'Mortgage Pool') and certain
Collection and Distribution Accounts (collectively, the 'Trust Fund'). The
Mortgage Pool consists of two groups (each, a 'Mortgage Loan Group'): 'Group 1'
or the ' Group 1 Mortgage Loans,' which generally consist of fixed rate
commercial and multifamily mortgage loans, approximately 94.7% of which are
currently subject to prepayment restrictions, and 'Group 2' or the 'Group 2
Mortgage Loans,' which generally consist of fixed rate commercial and
multifamily mortgage loans, all of which may be prepaid without restriction
during certain periods of time. Substantially all of the Mortgage Loans were
originated by the U.S. branch operation of Confederation Life Insurance Company
('Confederation Life') or by its rehabilitation estate, Confederation Life
Insurance Company (U.S.) In Rehabilitation ('CLIC (U.S.)'). On or before the
Closing Date, the Mortgage Loans will be purchased by the Depositor from the
Insurance Commissioner of the State of Michigan acting solely in his capacity as
rehabilitator (the 'Rehabilitator') of CLIC (U.S.). References herein to CLIC
(U.S.) include the Rehabilitator and/or persons acting pursuant to his delegated
authority in dealing with the applicable assets (including the Mortgage Loans)
and liabilities of CLIC (U.S.).
The Class X Certificates will not have Certificate Principal Amounts or
entitle their Holders to distributions of principal. The Class X Certificates
will bear interest on their respective aggregate Notional Amounts outstanding
from time to time.
THE YIELD TO MATURITY ON THE CLASS X-1 CERTIFICATES AND CLASS X-2
CERTIFICATES WILL BE EXTREMELY SENSITIVE TO THE RATE AND TIMING OF PRINCIPAL
PAYMENTS (INCLUDING PREPAYMENTS), PRINCIPAL LOSSES AND INTEREST RATE DECREASES
DUE TO MODIFICATIONS ON THE GROUP 1 AND GROUP 2 MORTGAGE LOANS, RESPECTIVELY,
WHICH, IN EITHER CASE, MAY FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME, AND TO
OTHER FACTORS SET FORTH HEREIN. THE YIELD TO MATURITY ON THE CLASS X-1A
CERTIFICATES WILL BE EXTREMELY SENSITIVE TO THE RATE AND TIMING OF PRINCIPAL
PAYMENTS (INCLUDING PREPAYMENTS) AND PRINCIPAL LOSSES ON THE GROUP 1 MORTGAGE
LOANS, AND, TO A LESSER DEGREE, ON THE GROUP 2 MORTGAGE LOANS, WHICH MAY
FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME, AND TO OTHER FACTORS SET FORTH
HEREIN. SIMILARLY, THE YIELD TO MATURITY ON THE CLASS X-2A CERTIFICATES WILL BE
EXTREMELY SENSITIVE TO PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) AND PRINCIPAL
LOSSES ON THE GROUP 2 MORTGAGE LOANS AND, TO A LESSER DEGREE, ON THE GROUP 1
MORTGAGE LOANS, WHICH ALSO MAY FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME, AND TO
OTHER FACTORS SET FORTH HEREIN. INVESTORS SHOULD FULLY CONSIDER THE ASSOCIATED
RISKS, INCLUDING THE RISK THAT A RAPID RATE OF PRINCIPAL PAYMENTS AND/OR
PRINCIPAL LOSSES ON A RELATED MORTGAGE LOAN GROUP OR ON THE MORTGAGE POOL IN
GENERAL, AS THE CASE MAY BE, COULD RESULT IN THE FAILURE BY INVESTORS IN THE
CLASS X CERTIFICATES TO FULLY RECOUP THEIR INITIAL INVESTMENTS. SEE 'YIELD,
PREPAYMENT AND MATURITY CONSIDERATIONS' HEREIN.
The Underwriters, directly or through one or more of their respective
affiliates, intend to make a secondary market in the Offered Certificates (other
than the Class X Certificates) but are under no obligation to do so. There can
be no assurance that a secondary market for such Offered Certificates will
develop or, if it does develop, that it will continue. See 'RISK FACTORS'
herein.
The Offered Certificates will bear interest at the respective rates per
annum set forth herein. Interest on the Offered 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
March 25, 1996. Interest will accrue on the Offered Certificates 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'). Distributions of interest on the Senior Certificates will
generally be made from all of the Mortgage Loans. Distributions of principal on
the Class A-1A, Class A-1B and Class A-1C Certificates generally will be made
from the Group 1 Mortgage Loans. Distributions of principal on the Class A-2A
and Class A-2B Certificates will generally be made from the Group 2 Mortgage
Loans. Distributions of principal and interest on the Subordinate Certificates
will generally be made from the Group 1 Mortgage Loans and, to a lesser extent,
the Group 2 Mortgage Loans, as described herein. Realized Losses and Additional
Expense Losses (each as defined herein) with respect to the Mortgage Loans will
generally be allocated to the Subordinate Certificates prior to allocation
thereof to the Senior Certificates.
Elections will be made to treat two segregated pools of assets comprising
the Trust (each, a 'REMIC Pool') as two separate 'real estate mortgage
investment conduits' (each, a 'REMIC' and, respectively, the 'Upper-Tier REMIC'
and the 'Lower-Tier REMIC') for federal income tax purposes. As described more
fully herein and in the Prospectus, the Certificates (other than the Residual
Certificates) will be designated as 'regular interests' in the Upper-Tier REMIC
and the Class R and Class LR Certificates will be designated as the 'residual
interests' in the Upper-Tier and Lower-Tier REMICs, respectively. 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.
PaineWebber Incorporated serves as financial adviser to CLIC (U.S.) with
respect to certain matters associated with the issuance and sale of the Offered
Certificates.
S-3
<PAGE>
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
Executive Summary......................................................................................... S-7
Summary of Terms.......................................................................................... S-17
Risk Factors.............................................................................................. S-40
The Certificates........................................................................................ S-40
The Mortgage Loans...................................................................................... S-43
Modifications of Certain Mortgage Loans................................................................. S-47
Description of the Certificates........................................................................... S-49
General................................................................................................. S-49
Certificate Balances.................................................................................... S-50
Registration; Denominations............................................................................. S-51
Distributions........................................................................................... S-52
Available Distribution Amount........................................................................... S-53
Distributions of Interest............................................................................... S-55
Distributions of Principal.............................................................................. S-58
Subordination; Allocation of Losses and Certain Expenses................................................ S-63
Prepayment Interest Shortfalls and Excess Prepayment Interest........................................... S-66
Advances................................................................................................ S-67
Reports to Certificateholders; Available Information.................................................... S-68
Example of Distributions................................................................................ S-72
Assumed Final Distribution Date; Rated Final Distribution Date.......................................... S-72
Optional Termination.................................................................................... S-73
The Trustee............................................................................................. S-74
The Fiscal Agent........................................................................................ S-75
Collection Account, Lower-Tier Distribution Account and
Upper-Tier Distribution Account...................................................................... S-75
The Trust................................................................................................. S-76
General................................................................................................. S-76
CLIC (U.S.)............................................................................................. S-76
Financial Adviser....................................................................................... S-77
Assignment of the Mortgage Loans; Repurchases........................................................... S-78
Representations and Warranties; Repurchases............................................................. S-79
The Mortgage Loans...................................................................................... S-81
Underwriting Practices.................................................................................. S-83
Description of the Mortgage Pool........................................................................ S-84
Secondary Financing..................................................................................... S-114
Modifications of Certain Mortgage Loans................................................................. S-114
Prepayment Provisions................................................................................... S-114
Certain Environmental Matters........................................................................... S-115
</TABLE>
S-4
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
PAGE
------
<S> <C>
Servicing of Mortgage Loans............................................................................... S-116
General................................................................................................. S-116
Servicing Transfers..................................................................................... S-116
The Servicer............................................................................................ S-117
The Special Servicer.................................................................................... S-119
The Operating Adviser................................................................................... S-122
The Extension Adviser................................................................................... S-124
Mortgage Loan Modifications............................................................................. S-125
Sale of Defaulted Mortgage Loans and REO Properties..................................................... S-126
Maintenance of Insurance................................................................................ S-127
Foreclosures............................................................................................ S-128
Certain Matters Regarding the Servicer and the Special Servicer......................................... S-130
Events of Default....................................................................................... S-131
Termination of the Servicer or Special Servicer......................................................... S-132
Resignation by the Servicer or Special Servicer......................................................... S-133
Appointment of a Successor Servicer or Special Servicer................................................. S-133
Yield, Prepayment and Maturity Considerations............................................................. S-134
General................................................................................................. S-134
Effects of Losses on the Mortgage Loans, Additional Trust Fund Expenses and Other Matters............... S-135
Yield Sensitivity of the Class X Certificates........................................................... S-136
Legal Investment Considerations........................................................................... S-138
Certain Legal Aspects of Mortgage Loans Located in California, New Jersey, Georgia, Florida, Illinois, and
Maryland................................................................................................ S-138
California.............................................................................................. S-138
New Jersey.............................................................................................. S-138
Georgia................................................................................................. S-139
Florida................................................................................................. S-139
Illinois................................................................................................ S-139
Maryland................................................................................................ S-139
Use of Proceeds........................................................................................... S-140
ERISA Considerations...................................................................................... S-140
Federal Income Tax Considerations......................................................................... S-142
General................................................................................................. S-142
Characterization of Certificates........................................................................ S-142
Original Issue Discount................................................................................. S-142
Underwriting.............................................................................................. S-144
Legal Matters............................................................................................. S-145
Certificate Rating........................................................................................ S-145
Incorporation of Certain Information By Reference......................................................... S-146
Index of Principal Terms.................................................................................. S-147
Appendix A -- Summary Information Regarding the Mortgage Loans and Mortgaged Properties as of the Cut-Off
Date.................................................................................................... A-1
Appendix B -- Net Operating Income........................................................................ B-1
Appendix C-1 -- Form of Comparative Financial Status Report............................................... C-1-1
Appendix C-2 -- Form of Delinquent Loan Status Report..................................................... C-2-1
Appendix C-3 -- Form of Historical Loan Modification Report............................................... C-3-1
Appendix C-4 -- Form of Historical Loss Estimate Report................................................... C-4-1
Appendix C-5 -- Form of REO Status Report................................................................. C-5-1
Appendix C-6 -- Form of Watch List........................................................................ C-6-1
Appendix C-7 -- Form of Operating Statement Analysis...................................................... C-7-1
Appendix D -- Price/Yield Tables.......................................................................... D-1
Appendix E -- Weighted Average Life....................................................................... E-1
</TABLE>
S-5
<PAGE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
S-6
<PAGE>
<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 Offered Certificates or Mortgage Loans,
particularly with respect to the risks and special considerations involved with
an investment in the Offered Certificates 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.
[CHART]
<TABLE>
<CAPTION>
INITIAL
AGGREGATE CASH
CERTIFICATE WEIGHTED FLOW OR
PRINCIPAL OR CERTIFICATE AVERAGE PRINCIPAL
RATING NOTIONAL % OF INTEREST LIFE WINDOW
CLASS FITCH/S&P AMOUNT TOTAL DESCRIPTION RATE(1) (YEARS)(2) (YEARS)(2)
<S> <C> <C> <C> <C> <C> <C> <C>
Senior Certificates
A-1A AAA/AAA $ 152,820,047 7.8% Fixed Rate 5.711% 1.32 0.11 - 1.86
A-1B AAA/AAA $ 200,000,000 10.3% Fixed Rate 5.751% 2.37 1.86 - 3.03
A-1C AAA/AAA $ 450,000,000 23.1% Fixed Rate 5.944% 4.14 3.03 - 5.03
A-2A AAA/AAA $ 171,097,717 8.8% Fixed Rate 7.750% 1.37 0.11 - 2.78
A-2B AAA/AAA $ 175,000,000 9.0% Fixed Rate 6.759% 3.87 2.78 - 5.11
X-1 AAA/NR $1,601,220,527 NA Interest Only 1.335% -- 0.11 - 25.28
X-1A AAA/NR $1,172,810,513 NA Interest Only 1.645% -- 0.11 - 7.53
X-2 AAA/NR $ 346,097,717 NA Interest Only 1.274% -- 0.11 - 6.11
X-2A AAA/NR $ 346,097,717 NA Interest Only 0.501% -- 0.11 - 5.11
Subordinate Certificates
B AAA/AA $ 97,365,912 5.0% Fixed Rate 6.303% 5.28 5.11 - 5.44
C AA/A $ 136,312,277 7.0% Fixed Rate 6.525% 5.63 5.44 - 5.86
D A/BBB $ 136,312,277 7.0% Fixed Rate 7.034% 6.57 5.86 - 7.53
E BBB/BB+ $ 97,365,912 5.0% Fixed Rate 7.750% 7.88 7.53 - 8.61
F BB+/BB $ 58,419,547 3.0% Fixed Rate 7.750% 9.24 8.61 - 10.11
G B/B $ 97,365,912 5.0% Fixed Rate 7.750% 11.42 10.11 - 13.03
H B-/B- $ 48,682,956 2.5% Fixed Rate 7.750% 13.83 13.03 - 14.69
I NR/NR $ 68,156,138 3.5% Fixed Rate 7.750% 15.72 14.69 - 17.11
J NR/NR $ 58,419,549 3.0% Fixed Rate 7.750% 19.48 17.11 - 25.28
</TABLE>
Class P Certificates not represented by this diagram.
(1) Approximate initial Certificate Interest Rate for Class X Certificates.
(2) Based on Scenario 1 (as defined in the Modeling Assumptions on page D-1) at
0% CPR.
S-7
<PAGE>
<PAGE>
<TABLE>
<S> <C>
SECURITIES:
DISTRIBUTION DATES......................... Distributions on the Certificates will be made monthly on the 25th
day of the month, or, if such day is not a Business Day, the
next succeeding Business Day commencing on March 25, 1996. All
Classes of Certificates have a '24-day delay' and all Classes
accrue interest on the basis of a year deemed to consist of
twelve 30-day months. 'See DESCRIPTION OF THE
CERTIFICATES -- Distributions' herein.
RATED FINAL DISTRIBUTION DATE.............. February 25, 2028, the first Distribution Date after the 24th
month following the end of the amortization term for the
Mortgage Loan that, as of the Cut-Off Date, has the longest
remaining amortization term. See 'DESCRIPTION OF THE
CERTIFICATES -- Assumed Final Distribution Date; Rated Final
Distribution Date' and 'CERTIFICATE RATING' herein.
</TABLE>
<TABLE>
<CAPTION>
ASSUMED FINAL DISTRIBUTION DATE............ CLASS DESIGNATION ASSUMED FINAL DISTRIBUTION DATE
----------------- --------------------------------
<S> <C> <C>
Class A-1A December 25, 1997
Class A-1B February 25, 1999
Class A-1C February 25, 2001
Class A-2A November 25, 1998
Class A-2B March 25, 2001
Class X-1 May 25, 2021
Class X-1A August 25, 2003
Class X-2 March 25, 2002
Class X-2A March 25, 2001
Class B July 25, 2001
Class C December 25, 2001
Class D August 25, 2003
Class E September 25, 2004
Determined on the basis of the assumptions set forth in
'DESCRIPTION OF THE CERTIFICATES -- Assumed Final
Distribution Date; Rated Final Distribution Date' herein.
</TABLE>
<TABLE>
<S> <C>
TERMINATION RIGHTS......................... 10% optional termination. See 'DESCRIPTION OF THE
CERTIFICATES -- Optional Termination' herein.
SERVICER................................... Midland Loan Services, L.P. See 'SERVICING OF MORTGAGE
LOANS -- The Servicer' herein.
SPECIAL SERVICER........................... J.E. Robert Company, 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
Fiscal Agent' herein.
LEGAL STATUS............................... Class A, Class X, Class B, Class C, Class D and Class E
Certificates are publicly registered securities; no other Class
is offered hereby. See also 'LEGAL INVESTMENT CONSIDERATIONS'
herein.
</TABLE>
S-8
<PAGE>
<PAGE>
<TABLE>
<S> <C>
FEDERAL TAX STATUS......................... Elections will be made to treat the segregated pool of assets
comprising the Trust as two separate 'real estate mortgage
investment conduits' ('REMIC').
ERISA...................................... The Class A and Class X Certificates should qualify for an
exemption from the prohibited transaction provisions of ERISA.
The Class B, Class C, Class D and Class E 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 Offered Certificates are mortgage-related securities
pursuant to the Secondary Mortgage Market Enhancement Act of
1984.
DENOMINATIONS.............................. $100,000 in Certificate Principal Amount and integral multiples of
$1,000 in excess thereof, with respect to the Class A, Class B,
Class C, Class D and Class E Certificates, and $1,000,000 in
Notional Amount and integral multiples of $1,000 in excess
thereof, with respect to the Class X Certificates.
DTC ELIGIBILITY............................ Class A-1A, Class A-1B, Class A-1C, Class A-2A, Class A-2B, Class
B, Class C, Class D and Class E Certificates are being delivered
through the facilities of The Depository Trust Company ('DTC').
CLOSING DATE............................... On or about February 15, 1996.
CERTIFICATE TERMINOLOGY:
SENIOR CERTIFICATES........................ Classes A-1A, A-1B, A-1C, A-2A, A-2B, X-1, X-1A, X-2 and X-2A.
CLASS A CERTIFICATES....................... Classes A-1A, A-1B, A-1C, A-2A and A-2B.
CLASS X CERTIFICATES....................... Classes X-1, X-1A, X-2 and X-2A.
SUBORDINATE CERTIFICATES................... Classes B, C, D, E, F, G, H, I and J.
OFFERED CERTIFICATES....................... The Senior Certificates and Classes B, C, D and E.
NON-OFFERED CERTIFICATES................... Classes F, G, H, I, J, P, R and LR.
GROUP 1 CERTIFICATES....................... Classes A-1A, A-1B, A-1C, X-1 and X-1A (collectively, the 'Senior
Group 1 Certificates') and the Subordinate Certificates.
GROUP 2 CERTIFICATES....................... Classes A-2A, A-2B, X-2 and X-2A (collectively, the 'Group 2
Certificates').
STRUCTURAL SUMMARY:
LOAN GROUPS................................ The Mortgage Loans are divided into two groups of Mortgage Loans:
the Group 1 Mortgage Loans, which generally consist of fixed
rate commercial and multifamily Mortgage Loans, approximately
94.7% of which (by Scheduled Principal Balance) are currently
subject to prepayment restrictions, and which include 20
Discount Mortgage Loans; and the Group 2 Mortgage Loans, which
generally consist of fixed rate commercial and
</TABLE>
S-9
<PAGE>
<PAGE>
<TABLE>
<S> <C>
multifamily Mortgage Loans, all of which may be prepaid without
restriction during certain periods of time, and which include 6
Discount Mortgage Loans. See 'Collateral Overview' in this
Executive Summary and 'THE TRUST -- The Mortgage Loans' herein.
DISCOUNT MORTGAGE LOANS.................... 26 of the Mortgage Loans, with an aggregate Scheduled Principal
Balance of approximately $126,915,556, included in the Trust
Fund have Net Mortgage Interest Rates below 7.750% (each, a
'Discount Mortgage Loan').
INTEREST PAYMENTS.......................... Interest collected on both the Group 1 Mortgage Loans and the
Group 2 Mortgage Loans will be aggregated (except for purposes
of calculating and allocating Excess Prepayment Interest
Shortfalls, as described herein) and distributed (subject to
reduction by allocations of Excess Prepayment Interest
Shortfalls and certain losses of interest, as further described
herein):
First, to the Holders of the Class A-1A, Class A-1B, Class
A-1C, Class A-2A, Class A-2B, Class X-1, Class X-1A, Class
X-2 and Class X-2A Certificates, pro rata.
Second, to the Holders of the Class B, Class C, Class D,
Class E, Class F, Class G, Class H, Class I and Class J
Certificates, in that order.
See 'DESCRIPTION OF THE CERTIFICATES -- Distributions --
Distributions of Interest' herein.
PRINCIPAL PAYMENTS......................... Until the Class A-1C Certificates or the Class A-2B Certificates
have been retired, the Group 1 and Group 2 Principal
Distribution Amounts will be distributed to the Holders of the
Classes of Senior Group 1 Certificates (other than the Class X-1
and Class X-1A Certificates) and Group 2 Certificates (other
than the Class X-2 and Class X-2A Certificates), respectively,
in each case in alphabetical order, until the applicable Class
entitled to receive principal distributions has been retired
(e.g., in the case of the Senior Group 1 Certificates, first to
the Class A-1A Certificates, then to the Class A-1B Certificates
and then to the Class A-1C Certificates). At such time as either
the Class A-1C or Class A-2B Certificates have been retired, the
Principal Distribution Amounts for both Mortgage Loan Groups
will be combined and there will be a single Principal
Distribution Amount which will be distributed first to (i) the
Group 2 Certificates (other than the Class X-2 and Class X-2A
Certificates), if the Class A-1C Certificates have been retired,
or (ii) the Senior Group 1 Certificates (other than the Class
X-1 and Class X-1A Certificates), if the Class A-2B Certificates
have been retired, in either case, in alphabetical order, and
then to the Class B, Class C, Class D, Class E, Class F, Class
G, Class H, Class I and Class J Certificates, in that order, and
in each case, until
</TABLE>
S-10
<PAGE>
<PAGE>
<TABLE>
<S> <C>
the aggregate Certificate Principal Balance of such Class of
Certificates has been reduced to zero.
With respect to any Discount Mortgage Loan, the Holders of the
Class P Certificates will be entitled to receive an amount equal
to the product of (a) the PO Percentage (as defined herein), and
(b) any amounts collected with respect to principal on such
Discount Mortgage Loan.
See 'DESCRIPTION OF THE CERTIFICATES --
Distributions -- Distributions of Principal' herein.
CREDIT ENHANCEMENT......................... The Class A and Class X Certificates are credit enhanced by the
Classes of Subordinate Certificates, which consist of the Class
B, Class C, Class D, Class E, Class F, Class G, Class H, Class I
and Class J Certificates.
Realized Losses of principal (except for the PO Percentage of any
Realized Loss of principal on Discount Mortgage Loans) and
interest from any Mortgage Loan and certain other losses
experienced by the Trust Fund (excluding Prepayment Interest
Shortfalls, which will be allocated as described herein) will
generally be allocated separately to the Classes of Regular
Certificates (other than the Class P and Class X Certificates)
in reverse alphabetical order starting with the Class J
Certificates.
The Class P Certificates are not a Class of Subordinate
Certificates and do not act as credit enhancement for any Class
of Certificates, nor are the Class P Certificates a Class of
Senior Certificates that is supported by the Subordinate
Certificates.
ADVANCING.................................. The Servicer, the Trustee and the Fiscal Agent will be obligated
to make advances of scheduled principal and interest payments
(except for principal portions of Balloon Payments) and Assumed
Scheduled 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,
together with interest accrued thereon, in its reasonable
business judgment, are ultimately not recoverable from future
payments and collections from the related Mortgagor, and
Insurance Proceeds, Condemnation Proceeds, and net Liquidation
Proceeds from the related Mortgage Loans and REO Properties. In
addition, the Pooling Agreement provides that the aggregate
principal amount of outstanding Advances required to be made by
the Servicer shall not exceed $15,000,000 (the 'Servicer Advance
Limitation') at any one time. To the extent that the Servicer
fails to make an Advance required to be made or the Servicer
Advance Limitation has been reached, 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 Trustee's and the Fiscal
Agent's obligations to make Advances will not be subject to a
</TABLE>
S-11
<PAGE>
<PAGE>
<TABLE>
<S> <C>
dollar limitation. See 'DESCRIPTION OF THE
CERTIFICATES -- Advances' herein.
OPERATING ADVISER.......................... The majority Holder (or Holders) of the Class of Regular
Certificates (other than the Class X and Class P Certificates)
with the latest alphabetical Class designation that remains
outstanding in an amount at least equal to a minimum amount
calculated as described herein will have the right, subject to
certain conditions described herein, to elect the Operating
Adviser. The initial Operating Adviser will be CLIC (U.S.) or an
affiliate or designee of CLIC (U.S.). The Operating Advisor may
terminate the Special Servicer and appoint a new one, subject to
certain conditions. See 'SERVICING OF MORTGAGE LOANS -- The
Operating Adviser' herein.
EXTENSION ADVISER.......................... The Holders of Certificates evidencing greater than 50% of the
aggregate Certificate Principal Amount of all of the Regular
Certificates (other than the Class X Certificates, the
Controlling Class (as defined herein), and any Classes of
Regular Certificates subordinate to the Controlling Class) will
have the right, subject to certain conditions described herein,
to elect the Extension Adviser. The initial Extension Adviser
will be CLIC (U.S.), or an affiliate or designee of CLIC (U.S.).
See 'SERVICING OF MORTGAGE LOANS -- The Extension Adviser'
herein.
SPECIAL SERVICER MODIFICATION, WAIVER AND
AMENDMENT RIGHTS........................ After consultation with, and approval of, the Operating Adviser,
to the extent described herein, 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
with respect to which such a default is reasonably foreseeable)
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 of Net Collections, on a
net present value basis, than liquidation of such Mortgage Loan;
provided that the Special Servicer may not 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 Rated Final 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 Net Mortgage Interest Rate to less
than 7.750% (or, with respect to the Discount Mortgage Loans,
less than the Net Mortgage Interest Rate as of the Cut-Off
Date), or (iii) permits the deferral of interest unless interest
accrues thereon, generally, at the Mortgage Interest Rate
thereon and the aggregate amount of such deferred interest does
not exceed 5% of the unpaid principal balance of any Specially
Serviced Mortgage Loan. See 'SERVICING OF MORTGAGE
LOANS -- Mortgage Loan Modifications' herein.
</TABLE>
S-12
<PAGE>
<PAGE>
<TABLE>
<S> <C>
SPECIAL SERVICER........................... J.E. Robert Company, Inc.
SERVICER................................... Midland Loan Services, L.P.
INVESTOR REPORTING......................... Generally, several monthly reports will be made available to
Certificateholders. These reports include:
(1) a Distribution Date Statement that provides, among other
things, standard information as to principal and interest
distributions, Certificate Principal Amounts, factors,
Advances and Scheduled Principal Balances of the Mortgage
Loans;
(2) a Mortgage Loan Status Report, which provides updated
information as set forth in the tables contained herein under
'THE TRUST -- Description of the Mortgage Pool' and a
loan-by-loan listing showing loan name, property type,
location, unpaid principal balance, interest rate, paid
through date and maturity date, which loan-by-loan listing
will be made available electronically;
(3) a Top 100 Comparative Financial Status Report, which
provides, among other things, revenue, net operating income
and debt service coverage ratio for each of the then 100
largest Mortgage Loans (to the extent such information is
made available by the Mortgagors);
(4) a Delinquent Loan Status Report, which provides, among
other things, loan name, loan number and unpaid principal
balance of Mortgage Loans which are delinquent 30-59 days,
60-89 days, 90 days or more, or are in foreclosure but have
not yet become REO Properties;
(5) an Historical Loan Modification Report, which provides,
among other things, information on those Mortgage Loans which
have been modified;
(6) an Historical Loss Estimate Report, which provides on a
loan-by-loan basis, among other things, the aggregate amount
of Liquidation Proceeds, liquidation expenses and Realized
Losses for certain Specially Serviced Mortgage Loans;
(7) an REO Status Report, which provides, among other things,
for each REO Property, the date of acquisition, net operating
income and the value of such REO Property (based on the most
recent appraisal or valuation); and
(8) a Watch List, which provides, among other things, a list
of Mortgage Loans in jeopardy of becoming Specially Serviced
Mortgage Loans.
See 'DESCRIPTION OF THE CERTIFICATES -- Reports to
Certificateholders; Available Information' herein.
COLLATERAL OVERVIEW:
LOAN DETAILS............................... See Appendix A hereto for certain characteristics of Mortgage
Loans on a loan-by-loan basis. See also 'THE TRUST -- The
Mortgage Loans' for additional statistical information regarding
the Mortgage Loans.
</TABLE>
S-13
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
CHARACTERISTICS TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------ -------------- -------------- ------------
<S> <C> <C> <C>
Scheduled Principal Balance................................. $1,953,745,229 $1,606,870,428 $346,874,801
Number of Mortgage Loans.................................... 564 458 106
Weighted Average Mortgage Interest Rate..................... 9.117% 9.126% 9.077%
Weighted Average Maturity................................... 86 months 81 months 107 months
Weighted Average Seasoning(2)............................... 77 months 76 months 81 months
Weighted Average DSCR(3).................................... 1.33x 1.32x 1.37x
Average Loan Balance........................................ $ 3,464,087 $ 3,508,451 $ 3,272,404
California Percent(1)....................................... 23.2% 18.6% 44.7%
Balloon Mortgage Loans(1)................................... 84.9% 82.8% 94.5%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
(2) Calculated from the first payment date to the Cut-Off Date.
(3) Debt Service Coverage Ratio ('DSCR') is calculated based on the ratio of net
operating income to the annualized current Scheduled Payments under the
Mortgage Loans. For more information on the Debt Service Coverage Ratios,
see 'The Trust -- Description of the Mortgage Pool -- Debt Service Coverage
Ratios' herein.
SCHEDULED PRINCIPAL BALANCES
<TABLE>
<CAPTION>
SCHEDULED PRINCIPAL BALANCE TOTAL GROUP 1 GROUP 2
- ---------------------------------------------------------------------------------- ----- ------- -------
<S> <C> <C> <C>
$ 1,000,000 or less............................................................... 3.5% 3.7% 2.7%
1,000,001 - 2,000,000.......................................................... 12.4% 11.9% 14.5%
2,000,001 - 3,000,000.......................................................... 12.9% 12.0% 17.0%
3,000,001 - 4,000,000.......................................................... 9.0% 8.8% 10.1%
4,000,001 - 5,000,000.......................................................... 9.9% 9.7% 10.5%
5,000,001 - 6,000,000.......................................................... 6.9% 6.7% 7.7%
6,000,001 - 7,000,000.......................................................... 3.8% 4.3% 1.9%
7,000,001 - 8,000,000.......................................................... 4.6% 4.2% 6.4%
8,000,001 - 9,000,000.......................................................... 4.8% 4.3% 7.3%
9,000,001 - 10,000,000.......................................................... 4.4% 4.7% 2.8%
10,000,001 - 15,000,000.......................................................... 7.4% 7.6% 6.7%
15,000,001 - 20,000,000.......................................................... 9.8% 10.8% 5.2%
$20,000,000 or greater............................................................ 10.6% 11.3% 7.2%
</TABLE>
GEOGRAPHIC DISTRIBUTION(1)
<TABLE>
<CAPTION>
STATE TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
California.................................................................... 23.2% 18.6% 44.7%
New Jersey.................................................................... 12.6% 14.1% 5.3%
Georgia....................................................................... 7.9% 6.8% 12.9%
Florida....................................................................... 7.5% 6.3% 13.0%
Illinois...................................................................... 5.8% 6.1% 4.7%
Maryland...................................................................... 5.0% 5.8% 1.1%
Other......................................................................... 38.0% 42.3% 18.3%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
CALIFORNIA COUNTIES DISTRIBUTION(1)
<TABLE>
<CAPTION>
COUNTY TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
Los Angeles................................................................... 20.6% 20.7% 20.3%
Alameda....................................................................... 12.8% 13.2% 11.9%
Santa Clara................................................................... 10.5% 10.1% 11.4%
San Diego..................................................................... 9.4% 9.3% 9.7%
Orange........................................................................ 9.1% 11.3% 4.9%
Contra Costa.................................................................. 8.2% 3.8% 16.8%
Riverside..................................................................... 6.1% 9.3% 0.0%
Other......................................................................... 23.3% 22.3% 25.1%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
S-14
<PAGE>
<PAGE>
DEBT SERVICE COVERAGE RATIOS(1)(2)
<TABLE>
<CAPTION>
RANGE OF DEBT SERVICE COVERAGE RATIOS TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
0.75x - 1.00x................................................................. 8.8% 8.3% 10.6%
1.01 - 1.10x.................................................................. 17.3% 16.9% 18.8%
1.11 - 1.20x.................................................................. 17.0% 18.0% 12.3%
1.21 - 1.30x.................................................................. 16.4% 17.8% 9.6%
1.31 - 1.40x.................................................................. 10.6% 9.7% 14.8%
1.41 - 1.50x.................................................................. 8.7% 9.3% 6.0%
1.51 - 1.60x.................................................................. 6.1% 5.0% 11.4%
1.61 - 1.70x.................................................................. 4.6% 5.1% 2.0%
1.71 - 1.80x.................................................................. 2.3% 2.0% 4.0%
1.81 - 1.90x.................................................................. 1.8% 1.6% 2.8%
1.91 - 2.00x.................................................................. 1.9% 2.0% 1.5%
2.01 - 2.25x.................................................................. 1.7% 1.1% 4.3%
2.26 - 2.50x.................................................................. 1.5% 1.8% 0.0%
2.51x or greater.............................................................. 1.4% 1.3% 1.9%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
(2) Calculated based on the ratio of net operating income to the
annualized current Scheduled Payments under the Mortgage Loans.
See 'THE TRUST -- Description of the Mortgage Pool -- Debt Service
Coverage Ratios' herein for more information relating to the calculation
of debt service coverage ratios. See Appendix B to the Prospectus
Supplement for further discussion.
NET OPERATING INCOME USED TO COMPUTE DEBT SERVICE COVERAGE RATIOS(1)(2)
<TABLE>
<CAPTION>
NOI PERIOD TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
1994.......................................................................... 71.7% 72.2% 69.8%
Static NOI.................................................................... 21.0% 20.1% 25.4%
1993.......................................................................... 3.3% 3.0% 4.8%
Pro Forma NOI................................................................. 3.9% 4.7% 0.0%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
(2) See 'THE TRUST -- Description of the Mortgage Pool -- Debt Service Coverage
Ratios' herein for more information relating to the calculation of debt
service ratios. See Appendix B to the Prospectus Supplement for further
discussion.
PROPERTY TYPES(1)
<TABLE>
<CAPTION>
PROPERTY TYPES TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
Retail........................................................................ 28.2% 27.0% 33.7%
Office........................................................................ 27.9% 29.9% 18.6%
Multifamily................................................................... 23.5% 25.5% 14.4%
Warehouse..................................................................... 13.2% 11.0% 23.2%
Industrial.................................................................... 6.4% 5.7% 10.0%
Other......................................................................... 0.7% 0.9% 0.0%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
S-15
<PAGE>
<PAGE>
SEASONING(1)(2)
<TABLE>
<CAPTION>
AGE IN MONTHS TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
0 - 24..................................................................... 3.7% 4.2% 1.4%
25 - 60..................................................................... 18.0% 19.5% 11.1%
61 - 120..................................................................... 75.1% 73.2% 83.9%
121 - 300..................................................................... 3.2% 3.1% 3.7%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
(2) Calculated from the first payment date to the Cut-Off Date.
BALLOON MORTGAGE LOANS -- MONTHS TO FINAL SCHEDULED MATURITY(1)
<TABLE>
<CAPTION>
REMAINING TERM IN MONTHS TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
0 - 6..................................................................... 5.4% 6.7% 0.0%
7 - 12..................................................................... 3.8% 4.7% 0.0%
13 - 24..................................................................... 8.1% 10.1% 0.0%
25 - 48..................................................................... 25.8% 32.0% 0.4%
49 - 60..................................................................... 15.6% 18.4% 4.0%
61 - 84..................................................................... 16.0% 13.5% 26.2%
85 - 120..................................................................... 14.7% 5.1% 53.6%
121 - 180..................................................................... 9.7% 8.2% 15.9%
181 - 240..................................................................... 0.9% 1.1% 0.0%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
DELINQUENCY STATUS AS OF FEBRUARY 1, 1996(1)
<TABLE>
<CAPTION>
STATUS TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
No Delinquencies.............................................................. 100.0% 100.0% 100.0%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
YEAR OF ORIGINATION(1)
<TABLE>
<CAPTION>
YEAR TOTAL GROUP 1 GROUP 2
- ------------------------------------------------------------------------------ ------ ------- -------
<S> <C> <C> <C>
1974 or earlier............................................................... 0.1% 0.1% 0.0%
1975 - 1985................................................................... 3.1% 3.0% 3.7%
1986 - 1987................................................................... 15.8% 15.8% 16.1%
1988.......................................................................... 17.2% 16.3% 21.4%
1989.......................................................................... 25.3% 24.5% 29.2%
1990.......................................................................... 16.8% 16.7% 17.1%
1991.......................................................................... 13.2% 14.4% 7.6%
1992.......................................................................... 3.2% 3.4% 2.0%
1993.......................................................................... 1.6% 1.6% 1.5%
1994.......................................................................... 0.9% 0.8% 1.4%
1995.......................................................................... 0.5% 0.6% 0.0%
1996.......................................................................... 2.2% 2.7% 0.0%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
MODIFIED MORTGAGE LOANS SINCE JANUARY 1, 1993(1)(2)
<TABLE>
<CAPTION>
TOTAL GROUP 1 GROUP 2
----- ------- -------
<S> <C> <C> <C>
Modified Mortgage Loans......................................................... 30.8% 31.9% 25.6%
</TABLE>
- ------------
(1) By Scheduled Principal Balance.
(2) Mortgage Loans that have been assumed, that have changed monthly due dates,
or that with respect to which the interest rate has changed pursuant to Rate
Reset Options related to Rate Reset Mortgage Loans (each as defined herein)
are not included with the modified Mortgage Loans in the table above.
S-16
<PAGE>
<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 the
Prospectus. Capitalized terms used and not otherwise defined herein have the
respective meanings assigned to them in the Prospectus. See 'INDEX OF PRINCIPAL
TERMS' herein and 'GLOSSARY' in the Prospectus. Whenever reference is made
herein to the Scheduled Principal Balance of the Mortgage Loans, such reference
is to the Scheduled Principal Balance as of the Cut-Off Date.
<TABLE>
<S> <C>
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 1996-CFL (the
'Certificates') in the Classes and in the aggregate Certificate
Principal Amounts or Notional Amounts set forth on the cover
page of this Prospectus Supplement. The initial aggregate
Certificate Principal Amounts and aggregate Notional 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, Class A-1C, Class A-2A and Class A-2B
Certificates are collectively referred to herein as the 'Class A
Certificates.' The Class X-1, Class X-1A, Class X-2 and Class
X-2A Certificates are collectively referred to herein as the
'Class X Certificates,' and, together with the Class A
Certificates, are referred to herein as the 'Senior
Certificates.' The Class B, Class C, Class D, Class E, Class F,
Class G, Class H, Class I and Class J Certificates are
collectively referred to herein as the 'Subordinate
Certificates.' The Senior Certificates and the Class B, Class C,
Class D and Class E Certificates are collectively referred to
herein as the 'Offered Certificates.' The Class A-1A, Class
A-1B, Class A-1C, Class X-1 and Class X-1A Certificates are
collectively referred to herein as the 'Senior Group 1
Certificates' and the Class A-2A, Class A-2B, Class X-2 and
Class X-2A Certificates are collectively referred to herein as
the 'Group 2 Certificates.' The Class R Certificates and the
Class LR Certificates are collectively referred to herein as the
'Residual Certificates.' See 'DESCRIPTION OF THE CERTIFICATES'
herein.
The Certificates will evidence direct 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 pooling and servicing
agreement to be dated as of February 1, 1996 (the 'Pooling
Agreement'), among the Depositor, the Trustee, the Fiscal Agent,
the Servicer and the Special Servicer pursuant to which the
Trust will be created. See 'DESCRIPTION OF THE CERTIFICATES'
herein.
</TABLE>
S-17
<PAGE>
<PAGE>
<TABLE>
<S> <C>
The Offered Certificates will bear interest at the respective
rates per annum set forth under 'DESCRIPTION OF THE
CERTIFICATES -- Distributions of Interest.' Principal payments
on each Class of Offered Certificates (other than Class X
Certificates) will be made in the amounts and in accordance with
the priorities described herein on a pro rata basis among the
Certificates of any particular Class.
Any references in the Prospectus to (i) the 'Trust Agreement,'
(ii) the 'Servicing Agreement' or (iii) the 'Special Servicing
Agreement' should be interpreted as referring to the Pooling
Agreement as described herein.
CERTIFICATES NOT OFFERED..................... The Class F, Class G, Class H, Class I, Class J, Class P, Class R
and Class LR 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.
Accordingly, information herein regarding the terms of the
Non-Offered Certificates is provided solely because of its
potential relevance to a prospective purchaser of an Offered
Certificate. The initial aggregate Certificate Principal Amount
of the Non-Offered Certificates is approximately $337,471,084
(subject to a permitted variance of plus or minus 5%),
representing approximately 17.3% of the initial aggregate
principal amount of the Mortgage Loans. The Non-Offered
Certificates will initially be sold by the Depositor to CLIC
(U.S.) as part of the consideration for the Mortgage Loans, and
may be held by CLIC (U.S.) or sold or transferred to one or more
entities formed to hold and/or liquidate the remaining assets of
CLIC (U.S.), or may be sold by CLIC (U.S.) or such other entity
or entities at any time in accordance with the terms of the
Pooling Agreement.
DENOMINATIONS................................ The Class A, Class B, Class C, Class D and Class E Certificates
will be issued in book-entry form in denominations of $100,000
initial Certificate Principal Amount and in integral multiples
of $1,000 in excess thereof. The Class X Certificates will be
issued in fully registered, certificated form in original
denominations of $1,000,000 initial Notional Amount and in
integral multiples of $1,000 in excess thereof. One Certificate
of each of the foregoing Classes may be issued in a different
Certificate Principal Amount or Notional Amount to accommodate
the remainder of the initial Certificate Principal Amount or
Notional 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.
MORTGAGE LOAN SELLER......................... The Insurance Commissioner of the State of Michigan, acting solely
in his capacity as rehabilitator (in such
</TABLE>
S-18
<PAGE>
<PAGE>
<TABLE>
<S> <C>
capacity, the 'Rehabilitator') of Confederation Life Insurance
Company (U.S.) In Rehabilitation ('CLIC (U.S.)'), the estate of
a Michigan-domiciled life insurance branch operation in
rehabilitation under the management, direction and control of
the Rehabilitator. CLIC (U.S.) is the successor to all of the
businesses and operations in the United States of Confederation
Life Insurance Company, a Canadian mutual life insurance
company. References herein to CLIC (U.S.) include the
Rehabilitator and/or persons acting pursuant to his delegated
authority in dealing with the applicable assets (including the
Mortgage Loans) and liabilities of CLIC (U.S.). On the Closing
Date, the Depositor will acquire the Mortgage Loans from CLIC
(U.S.) See 'THE TRUST -- General' 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.
FISCAL AGENT................................. ABN AMRO Bank N.V. (the 'Fiscal Agent') will make Advances with
respect to the Mortgage Loans in certain circumstances as
described in 'DESCRIPTION OF THE CERTIFICATES -- Advances'
herein.
SERVICER..................................... Midland Loan Services, L.P. (the 'Servicer') will be responsible
for servicing the Mortgage Loans, except to the extent that
servicing of the Specially Serviced Mortgage Loans is the
responsibility of the Special Servicer, and will make certain
Advances with respect to the Mortgage Loans. See 'DESCRIPTION OF
THE CERTIFICATES -- Advances' and 'SERVICING OF MORTGAGE LOANS'
herein.
SPECIAL SERVICER............................. J.E. Robert Company, Inc. (the 'Special Servicer') will be
responsible for performing certain servicing functions with
respect to certain Mortgage Loans that, in general, are in
default (and, depending on the default, have been so for a
specified period of time) or as to which such a default is
imminent or as to which certain bankruptcy or insolvency events
have occurred with respect to the related Mortgagor ('Specially
Serviced Mortgage Loans'). The Special Servicer will also be
responsible for the management of REO Properties (as defined
herein) acquired on behalf of the Trust. See 'SERVICING OF
MORTGAGE LOANS' herein.
OPERATING ADVISER............................ The majority Holder (or Holders) of the Class of Regular
Certificates (other than the Class X and the Class P
Certificates) with the latest alphabetical Class designation
that is outstanding in an amount at least equal to a minimum
amount as described herein (initially the Class J Certificates)
will have the right, subject to certain conditions described
herein, to elect an adviser (the
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'Operating Adviser') from whom the Special Servicer will seek
advice and approval and take direction under the various
circumstances described herein. The initial Operating Adviser
will be CLIC (U.S.), or an affiliate or designee of CLIC (U.S.).
See 'SERVICING OF MORTGAGE LOANS -- The Operating Adviser'
herein.
EXTENSION ADVISER............................ The Holders of Certificates evidencing greater than 50% of the
aggregate Certificate Principal Amount of all of the Regular
Certificates (other than the Class X Certificates, the
Controlling Class, and any Classes of Regular Certificates
subordinate to the Controlling Class) 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 then stated maturity date. The initial Extension Adviser
will be CLIC (U.S) or an affiliate or designee of CLIC (U.S.).
See 'SERVICING OF MORTGAGE LOANS -- The Extension Adviser'
herein.
CLOSING DATE................................. On or about February 15, 1996.
CUT-OFF DATE................................. February 1, 1996.
RECORD DATE.................................. The record date (the 'Record Date') for each Class of Offered
Certificates for each Distribution Date will be the close of
business on the last day of the month immediately 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.
DISTRIBUTION DATE............................ The 25th day of each month or, if such day is not a Business Day,
then the next succeeding business day, commencing March 25,
1996.
CREDIT ENHANCEMENT........................... Credit enhancement for the Offered Certificates will be provided
by the Classes of Certificates which are subordinate to such
Offered Certificates (including, except in the case of the Class
E Certificates, subordination provided by other Offered
Certificates to the extent provided herein) with respect to (i)
rights to receive certain distributions of interest and, except
with respect to Class X Certificates, principal and (ii) the
allocation of Realized Losses and Additional Expense Losses
incurred on the Mortgage Loans. See 'THE CERTIFICATES --
Subordination; Allocation of Losses and Certain Expenses'
herein.
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,
Principal Prepayments, liquidations of Mortgage Loans or
associated REO Properties or the sale of defaulted Mortgage
Loans) being allocated as
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described herein and (ii) the allocation of Realized Losses and
certain Additional Expense Losses to the most subordinate
Certificates outstanding. THE CLASS P CERTIFICATES ARE NOT A
CLASS OF SUBORDINATE CERTIFICATES AND DO NOT ACT AS CREDIT
ENHANCEMENT FOR ANY CLASS OF CERTIFICATES, NOR ARE THE CLASS P
CERTIFICATES A CLASS OF SENIOR CERTIFICATES THAT IS SUPPORTED BY
THE SUBORDINATE CERTIFICATES. ONLY THE PO PERCENTAGE OF ANY
REALIZED LOSSES OF PRINCIPAL ON THE DISCOUNT MORTGAGE LOANS WILL
BE ALLOCATED TO THE CLASS P CERTIFICATES.
PRINCIPAL AND INTEREST DISTRIBUTIONS
A. GENERAL................................. On each Distribution Date, scheduled principal and interest
payments, including Balloon Payments ('Scheduled Payments') due
on the Mortgage Loans 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.
The Trust Fund will include two separate real estate mortgage
investment conduits (each, a 'REMIC'). Collections on the
Mortgage Loans will be used to make payments of principal and
interest on interests (the 'Lower-Tier Interests') in a REMIC
(the 'Lower-Tier REMIC'). Those payments in turn will be used to
make distributions on the Certificates, which represent
interests in a second REMIC (the 'Upper-Tier REMIC'). For
purposes of simplicity, distributions will generally be
described herein as if made directly from collections on the
Mortgage Loans to the Holders of the Certificates.
Interest to be distributed on a Distribution Date on the
Certificates (other than the Class P and Residual 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 (each, an 'Interest
Accrual Period') and will be calculated on the basis of a year
deemed to consist of twelve 30-day months.
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.
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The 'Prepayment Period' relating to each Distribution Date
commences on the first day following the Determination Date in
the month prior to the month in which such Distribution Date
occurs (or in the case of the first Distribution Date, the
Cut-Off Date) and ending on the Determination Date in the month
in which such Distribution Date occurs. See 'DESCRIPTION OF THE
CERTIFICATES -- Distributions' herein.
'Certificate Principal Amount' means, with respect to any
Certificate (other than the Class X Certificates and the
Residual Certificates), as of any Distribution Date, the maximum
specified dollar amount of principal to which the Holder thereof
is then entitled pursuant to the Pooling Agreement, such amount
being equal to the initial principal amount set forth on the
face of such Certificate, as increased by, in the case of the
Class B, Class C, Class D, Class E, Class F, Class G, Class H,
Class I and Class J Certificates, any Appraisal Reduction Amount
(as defined herein) added to such principal amount, less the
amount of all principal distributions previously made with
respect to such Certificate and less all Realized Losses of
principal and Additional Expense Losses (to the extent allocated
to reduce principal distributions as described herein) allocated
to such Certificate.
In addition, if and to the extent collected, Prepayment Charges
will generally be distributed among the Holders of each of the
respective Classes of Regular Certificates (other than the Class
P Certificates) whose aggregate Certificate Principal Amount or
Notional Amount, as the case may be, is reduced in connection
with the distribution of the related prepayment of principal, in
the amounts and in accordance with the priorities described
under 'DESCRIPTION OF THE CERTIFICATES -- Distributions of
Principal -- Distributions of Prepayment Charges' herein.
B. AMOUNTS AVAILABLE FOR DISTRIBUTION...... The 'Available Distribution Amount' on any Distribution Date will
equal the sum of the Interest Distribution Amount (as defined
below) and the Principal Distribution Amount(s) (as defined
below).
A single Interest Distribution Amount will be calculated in the
aggregate for both Mortgage Loan Groups. For any Distribution
Date, the 'Interest Distribution Amount' will equal the sum of:
(i) the interest portion of 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;
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(ii) the interest portion of all net Liquidation Proceeds,
Insurance Proceeds and Condemnation Proceeds, together with
any accrued interest on such payments, to the extent received
on the Mortgage Loans or REO Property during the related
Prepayment Period;
(iii) any amounts attributable to reductions of the Servicing
Fee payable on such Distribution Date as a result of Net
Prepayment Interest Shortfalls on the Mortgage Loans;
(iv) the interest portion of the proceeds of all repurchases
of Mortgage Loans during the related Prepayment Period; and
(v) all other collections or proceeds received during the
related Prepayment Period, other than collections allocable
to principal, with respect to the Mortgage Loans not
otherwise payable to the Special Servicer, the Servicer, the
Trustee or the Fiscal Agent;
less:
(a) the interest portion of all Scheduled Payments
collected during the related Due Period but due on a
date subsequent to such Due Period;
(b) the interest portion of all net Liquidation Proceeds,
Insurance Proceeds and Condemnation Proceeds on the
Mortgage Loans received after the end of the related
Prepayment Period (together with any interest with
respect thereto for periods after the end of the
related Prepayment Period);
(c) all amounts (other than Additional Trust Fund
Expenses) that are currently due or reimbursable to
the Servicer, the Special Servicer, the Trustee or the
Fiscal Agent (including any Servicing Fee and the
Trustee Fee), including, but not limited to, interest
on Advances;
(d) any Prepayment Charges collected during the related
Prepayment Period;
(e) any Additional Expense Losses incurred on the Mortgage
Loans which have not otherwise been allocated as of
the related Determination Date and are allocated to
reduce interest distributions as described herein;
(f) all Appraisal Reduction Amounts for such Distribution
Date to the extent available for distribution from
interest otherwise distributable on the Subordinate
Certificates to which the related Appraisal Reduction
is allocated (after allocations of Realized Losses of
interest, Additional Expense Losses (to the
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extent allocated to reduce interest distributions to
such Subordinated Certificates as described herein)
and Excess Prepayment Interest Shortfalls); and
(g) all amounts with respect to any Retained Interests,
and all amounts deposited in the Collection Account or
Distribution Accounts in error.
So long as both the Class A-1C and Class A-2B Certificates remain
outstanding, the Principal Distribution Amount for each
Distribution Date shall be calculated on a Mortgage Loan
Group-by-Mortgage Loan Group basis (the 'Group 1 Principal
Distribution Amount' and 'Group 2 Principal Distribution
Amount,' respectively). On each Distribution Date after the
Certificate Principal Amounts of either the Class A-1C or Class
A-2B Certificates have been reduced to zero, a single Principal
Distribution Amount will be calculated in the aggregate for both
Mortgage Loan Groups.
For any Distribution Date, the 'Principal Distribution Amount'
with respect to a Mortgage Loan Group will equal the sum of:
(i) the principal portion of 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 in such Mortgage Loan Group;
(ii) the principal portion of all Principal Prepayments
including net Liquidation Proceeds, Insurance Proceeds and
Condemnation Proceeds to the extent received on the Mortgage
Loans or REO Properties in such Mortgage Loan Group during
the related Prepayment Period;
(iii) the principal portion of the proceeds of all
repurchases of Mortgage Loans in such Mortgage Loan Group
repurchased during the related Prepayment Period;
(iv) any Appraisal Reduction Amount for such Distribution
Date relating to Mortgage Loans in the Mortgage Loan Group
but only to the extent available for distribution from
interest otherwise distributable on the Subordinate
Certificates to which the related Appraisal Reduction is
allocated (after allocations of Realized Losses of interest,
Additional Expense Losses (to the extent allocated to reduce
interest distributions to such Subordinated Certificates as
described herein) and Excess Prepayment Interest Shortfalls);
and
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(v) all other collections or proceeds allocable to principal
with respect to the Mortgage Loans which are received during
the related Prepayment Period;
less:
(a) the principal portion of all Scheduled Payments
collected during the related Due Period but due on a
date subsequent to such Due Period with respect to the
Mortgage Loans in such Mortgage Loan Group;
(b) all Principal Prepayments and the principal portion of
all net Liquidation Proceeds, Insurance Proceeds and
Condemnation Proceeds received with respect to Mortgage
Loans or REO Properties in such Mortgage Loan Group
after the end of the related Prepayment Period;
(c) any Additional Expense Losses incurred on Mortgage
Loans in such Mortgage Loan Group which have not
otherwise been allocated as of the related
Determination Date and are allocable to principal; and
(d) the PO Percentage (as defined herein) of any principal
payments (including Principal Prepayments) made on any
Discount Mortgage Loan in such Mortgage Loan Group and
included in clause (i), (ii), (iii) or (v) above.
C. INTEREST DISTRIBUTIONS.................... On each Distribution Date, distributions of interest on the
Certificates (other than the Class P Certificates and the
Residual Certificates) will be made from the Interest
Distribution Amount for such Distribution Date as described
below.
Interest 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 or Notional Amount, as the case may
be, of each Certificate of such Class bears to the aggregate
Certificate Principal Amount or Notional Amount, as applicable,
of all Certificates of such Class.
Interest will accrue with respect to the Regular Certificates
(other than the Class P Certificates) on the basis of a year
deemed to consist of twelve 30-day months.
Class A, Class B, Class C, Class D and
Class E Certificates.................... On each Distribution Date, the Holders of the Class A-1A, Class
A-1B, Class A-1C, Class A-2A, Class A-2B, Class B, Class C,
Class D, and Class E Certificates each are entitled to receive
(subject to allocations of Realized Losses of interest, Excess
Prepayment Interest Shortfalls, Additional Expense Losses (to
the extent allocated to reduce interest distributions as
described herein) and, with respect to the Class B, Class C,
Class D and Class E Certificates, Appraisal Reduction Amounts),
from the
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Interest Distribution Amount, interest accrued during the
related Interest Accrual Period on the outstanding Certificate
Principal Amount of such Certificates immediately preceding such
Distribution Date at the following Certificate Interest Rates:
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<CAPTION>
CLASS OF CERTIFICATE
CERTIFICATES INTEREST RATE
------------ -------------
<S> <C>
A-1A 5.711%
A-1B 5.751%
A-1C 5.944%
A-2A 7.750%
A-2B 6.759%
B 6.303%
C 6.525%
D 7.034%
E 7.750%
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Class X-1 Certificates..................... On each Distribution Date, the Holders of the Class X-1
Certificates are entitled to receive (subject to allocations of
Realized Losses of interest, Additional Expense Losses (to the
extent allocated to reduce interest distributions as described
herein) and Excess Prepayment Interest Shortfalls), from the
Interest Distribution Amount, interest on the Class X-1 Notional
Amount at a rate per annum (the 'Class X-1 Rate') equal to the
excess, if any, of the weighted average of the Net Mortgage
Interest Rates of the Mortgage Loans (or in the case of any
Discount Mortgage Loan, the then current Net Mortgage Interest
Rate multiplied by a fraction, the numerator of which is 7.750%
and the denominator of which is the Net Mortgage Interest Rate
of such Discount Mortgage Loan as of the Cut-Off Date) in
Mortgage Loan Group 1 for the related Interest Accrual Period
(as defined below) over 7.750%. The Class X-1 Rate for the
initial Interest Accrual Period is expected to be approximately
1.335% per annum.
The Class X-1 Certificates will not have Certificate Principal
Amounts or entitle their Holders to distributions of principal.
The Class X-1 Certificates will, however, represent the right to
receive distributions of interest accrued as described herein on
a notional amount (the 'Class X-1 Notional Amount') equal to the
aggregate Scheduled Principal Balance of the Group 1 Mortgage
Loans (other than the PO Percentage of the Scheduled Principal
Balance of the Discount Mortgage Loans in Group 1) as of the
first day of the Mortgage Loan Due Period related to such
Distribution Date. During the initial Interest Accrual Period,
the Class X-1 Notional Amount is expected to be approximately
$1,601,220,527 (subject to a permitted variance of plus or minus
5%).
The 'Net Mortgage Interest Rate' with respect to each Mortgage
Loan during the period for each Mortgage Loan from the prior due
date for such Mortgage Loan to
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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) (the 'Mortgage
Interest Rate') during such Mortgage Loan Due Period minus the
Administrative Cost Rate (as defined herein).
Class X-1A Certificates.................... On each Distribution Date, the Holders of the Class X-1A
Certificates are entitled to receive (subject to the allocation
of Realized Losses of interest, Additional Expense Losses (to
the extent allocated to reduce interest distributions as
described herein) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest on the Class
X-1A Notional Amount at a per annum rate (the 'Class X-1A Rate')
equal to the excess, if any, of (a) 7.750%, over (b) the
weighted average of the Certificate Interest Rates for the Class
A-1A Certificates, the Class A-1B Certificates, the Class A-1C
Certificates, the Class B Certificates, the Class C Certificates
and the Class D Certificates, weighted by their respective
aggregate Certificate Principal Amounts immediately prior to
such Distribution Date. The Class X-1A Rate for the initial
Interest Accrual Period is expected to be approximately 1.645%
per annum.
The Class X-1A Certificates will not have Certificate Principal
Amounts or entitle their Holders to distributions of principal.
The Class X-1A Certificates will, however, represent the right
to receive distributions of interest accrued as described herein
on a notional amount (the 'Class X-1A Notional Amount') equal to
the sum of the following six components (each, an 'X-1A
Component'): (a) the aggregate Certificate Principal Amount of
the Class A-1A Certificates outstanding from time to time
('Component A-1A'); (b) the aggregate Certificate Principal
Amount of the Class A-1B Certificates outstanding from time to
time ('Component A-1B'); (c) the aggregate Certificate Principal
Amount of the Class A-1C Certificates outstanding from time to
time ('Component A-1C'); (d) the aggregate Certificate Principal
Amount of the Class B Certificates outstanding from time to time
('Component B'); (e) the aggregate Certificate Principal Amount
of the Class C Certificates outstanding from time to time
('Component C'); and (f) the aggregate Certificate Principal
Amount of the Class D Certificates outstanding from time to time
('Component D'). None of the X-1A Components is separately
transferable. During the initial Interest Accrual Period, the
Class X-1A Notional Amount is expected to be approximately
$1,172,810,513 (subject to a permitted variance of plus or minus
5%).
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Class X-2 Certificates..................... On each Distribution Date, the Holders of the Class X-2
Certificates are entitled to receive (subject to the allocation
of Realized Losses of interest, Additional Expense Losses (to
the extent allocated to reduce interest distributions as
described herein) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest on the Class X-2
Notional Amount at a rate per annum (the 'Class X-2 Rate') equal
to the excess, if any, of the weighted average of the Net
Mortgage Interest Rates of the Mortgage Loans (or 7.750%, in the
case of Discount Mortgage Loans) in Mortgage Loan Group 2 for
the related Interest Accrual Period over 7.750%. The Class X-2
Rate for the initial Interest Accrual Period is expected to be
approximately 1.274% per annum.
The Class X-2 Certificates will not have Certificate Principal
Amounts or entitle their Holders to distributions of principal.
The Class X-2 Certificates will, however, represent the right to
receive distributions of interest accrued as described herein on
a notional amount (the 'Class X-2 Notional Amount') equal to the
aggregate Scheduled Principal Balance of the Group 2 Mortgage
Loans (other than the PO Percentage of the Scheduled Principal
Balance of the Discount Mortgage Loans in Group 2) as of the
first day of the Mortgage Loan Due Period related to such
Distribution Date. During the initial Interest Accrual Period,
the Class X-2 Notional Amount is expected to be approximately
$346,097,717 (subject to a permitted variance of plus or minus
5%).
Class X-2A Certificates.................... On each Distribution Date, the Holders of the Class X-2A
Certificates are entitled to receive (subject to the allocation
of Realized Losses of interest and Additional Expense Losses (to
the extent allocated to reduce interest distributions as
described herein) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest on the Class
X-2A Notional Amount at a per annum rate (the 'Class X-2A Rate')
equal to the excess, if any, of (a) 7.750%, over (b) the
weighted average of the Certificate Interest Rates for the Class
A-2A Certificates and the Class A-2B Certificates, weighted by
their respective aggregate Certificate Principal Amounts
immediately prior to such Distribution Date. The Class X-2A Rate
for the initial Interest Accrual Period is expected to be
approximately 0.501% per annum.
The Class X-2A Certificates will not have Certificate Principal
Amounts or entitle their Holders to distributions of principal.
The Class X-2A Certificates will, however, represent the right
to receive distributions of interest accrued as described herein
on a notional amount (the 'Class X-2A Notional Amount') equal to
the sum of the following two components (each, an
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'X-2A Component' and collectively with the X-1A Components, the
'Components'); (a) the aggregate Certificate Principal Amount of
the Class A-2A Certificates outstanding from time to time
('Component A-2A'); and (b) the aggregate Certificate Principal
Amount of the Class A-2B Certificates outstanding from time to
time ('Component A-2B'). Neither of the X-2A Components is
separately transferable. During the initial Interest Accrual
Period, the Class X-2A Notional Amount is expected to be
approximately $346,097,717 (subject to a permitted variance of
plus or minus 5%).
Interest Distribution Amount............... The Interest Distribution Amount will be distributed in the
following order of priority:
(i) to pay Distributable Certificate Interest with respect
to such Distribution Date, and, to the extent not
previously distributed, for all prior Distribution
Dates, to the Holders of the Class A-1A, Class A-1B,
Class A-1C, Class A-2A, Class A-2B, Class X-1, Class
X-1A, Class X-2 and Class X-2A Certificates, pro rata in
accordance with amounts of interest distributable on
such Classes of Certificates on such Distribution Date
pursuant to this clause (i);
(ii) then, to pay Distributable Certificate Interest with
respect to such Distribution Date, and, to the extent
not previously distributed, for all prior Distribution
Dates, to the Holders of the Class B, Class C, Class D,
Class E, Class F, Class G, Class H, Class I and Class J
Certificates, in that order; and
(iii) then, to the Holders of the Class LR Certificates.
With respect to any Class of Offered Certificates, the
'Distributable Certificate Interest' for any Distribution Date
generally will equal one month's interest accrued at the related
Certificate Interest Rate, on the aggregate Certificate
Principal Balance or Notional Amount, as the case may be, of
such Class of Certificates outstanding immediately prior to such
Distribution Date, reduced (to not less than zero) by any
allocations, to the extent described herein, to such Class of
Certificates of the interest portion of any Realized Losses,
Excess Prepayment Interest Shortfalls, Additional Expense Losses
(to the extent allocated to reduce interest distributions to
such Class as described herein) and Appraisal Reduction Amounts
added to the Certificate Principal Amount of such Class for such
Distribution Date.
To the extent that the Interest Distribution Amount with respect
to any Distribution Date is insufficient to distribute the full
amount of Distributable Certificate Interest to which any Class
of Certificates is entitled on such Distribution Date, such
shortfall (an 'Interest
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Shortfall') will be distributed on subsequent Distribution Dates
in accordance with the interest distribution priorities
described above to the extent that the Interest Distribution
Amounts on such Distribution Dates are sufficient therefor, but
interest will not accrue on Interest Shortfalls.
D. PRINCIPAL DISTRIBUTIONS................... On each Distribution Date, distributions of principal on the
Regular Certificates (other than the Class P and Class X
Certificates) will be made as described below.
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...... Prior to the Principal Aggregation Date (as defined below), the
Group 1 Principal Distribution Amount 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, to the Holders of the Class A-1C Certificates,
until the outstanding Certificate Principal Amount of
such Class has been reduced to zero.
Group 2 Principal Distribution Amount...... Prior to the Principal Aggregation Date, the Group 2 Principal
Distribution Amount will be distributed in the following order
of priority:
(i) to the Holders of the Class A-2A Certificates, until the
outstanding Certificate Principal Amount of such Class
has been reduced to zero; and
(ii) then, to the Holders of the Class A-2B Certificates,
until the outstanding Certificate Principal Amount of
such Class has been reduced to zero.
Principal Aggregation Date................. On and after the Distribution Date on which the Certificate
Principal Amount of either the Class A-1C or the Class A-2B
Certificates has been reduced to zero (the 'Principal
Aggregation Date'), the Group 1 Principal Distribution Amount
and the Group 2 Principal Distribution Amount (or, on the
Principal Aggregation Date, the remaining portion, if any, of
such Principal Distribution Amounts) will be aggregated into a
single Principal Distribution Amount and will be distributed on
each Distribution Date in the following order of priority:
(i) if the Class A-1C Certificates have been retired, to the
Holders of the Class A-2A and Class A-2B Certificates,
as described above; or, if the Class
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A-2B Certificates have been retired, to the Holders of
the Class A-1A, Class A-1B and Class A-1C Certificates,
as described above;
(ii) then, to the Holders of the Class B, Class C, Class D,
Class E, Class F, Class G, Class H, Class I and Class J
Certificates, in that order, until the outstanding
Certificate Principal Amount of each such Class has been
reduced to zero; and
(iii) then, to the Holders of the Class LR Certificates.
Class P Certificates....................... The Class P Certificates will represent beneficial ownership
interests in the PO Percentage (as defined below) of the
principal balance of each Discount Mortgage Loan (as defined
herein) and will only be entitled to receive distributions in an
amount equal to the product of (x) the PO Percentage, and (y)
any collections allocable to principal on the Discount Mortgage
Loans. The Class P Certificates will not represent a beneficial
ownership in, and will not be entitled to distributions from,
any Mortgage Loan other than the Discount Mortgage Loans.
The Certificates (other than the Class P Certificates) will
represent the beneficial ownership interests in the Non-PO
Percentage (as defined below) of the principal balance of any
Discount Mortgage Loan within the related Mortgage Loan Group,
and 100% of the beneficial ownership interest in any interest
payments on such Discount Mortgage Loan.
The 'PO Percentage' with respect to any Discount Mortgage Loan
will equal the excess of (a) 100%, over (b) the Non-PO
Percentage for such Discount Mortgage Loan. The 'Non-PO
Percentage' with respect to any Discount Mortgage Loan will
equal the Net Mortgage Interest Rate as of the Cut-Off Date of
such Discount Mortgage Loan, divided by 7.750%.
The Class P Certificates are not offered pursuant hereto but will
be sold by the Depositor to CLIC (U.S.) pursuant to the terms of
the Mortgage Loan Purchase Agreement.
ALLOCATION OF REALIZED LOSSES AND ADDITIONAL
EXPENSE LOSSES............................. Losses of principal (other than the PO Percentage of such losses
on a Discount Mortgage Loan) and interest (subject to certain
limitations set forth herein) on the Mortgage Loans (as more
particularly described herein, 'Realized Losses') will be
allocated to the Class J, Class I, 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 amount of
interest otherwise payable on such Distribution Date to, each
such Class has been reduced to zero. Any remaining Realized
Losses in Mortgage Loan Group 1 will be allocated to the Class
A-1A, Class A-1B, Class A-1C, Class X-1 and Class X-1A
Certificates (pro rata, in the case of Realized Losses of
principal, based on the then outstanding Certificate Principal
Amounts of the Class A-1A, Class A-1B and Class A-1C
Certificates and,
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in the case of Realized Losses of interest, based on the
interest otherwise distributable on the Class A-1A, Class A-1B,
Class A-1C, Class X-1 and Class X-1A Certificates). Any
remaining Realized Losses in Mortgage Loan Group 2 will be
allocated to the Class A-2A, Class A-2B, Class X-2 and Class
X-2A Certificates (pro rata, in the case of Realized Losses of
principal, based on the then outstanding Certificate Principal
Amounts of the Class A-2A and Class A-2B Certificates, and, in
the case of Realized Losses of interest, based on the interest
otherwise distributable on the Class A-2A, Class A-2B, Class X-2
and Class X-2A Certificates).
Realized Losses on a Mortgage Loan will be allocated first to the
principal balance of that Mortgage Loan, and then to interest.
See 'DESCRIPTION OF THE CERTIFICATES -- Subordination;
Allocation of Losses and Certain Expenses' herein.
With respect to each Mortgage Loan Group, only the Non-PO
Percentage of any Realized Losses of principal on any Discount
Mortgage Loan in such Mortgage Loan Group will be borne by the
Certificates entitled to principal distributions from such
Mortgage Loan Group.
On each Distribution Date, any Additional Expense Losses with
respect to such Distribution Date will be allocated in the
following order: first, to reduce the amount of interest
otherwise distributable to the Class J, Class I, Class H, Class
G and Class F Certificates, in that order, and second, any
remaining Additional Expense Losses will reduce the amounts
available for principal distributions on such Distribution Date.
An amount equal to such principal shortfall will be allocated to
the Classes of Certificates in the same manner as Realized
Losses of principal are allocated, such that generally there
will be a corresponding reduction to the Certificate Principal
Amounts of the Classes of Certificates in reverse alphabetical
order. In the event that any Additional Expense Losses remain on
any Distribution Date after the allocations set forth above,
such remaining Additional Expense Losses will be allocated to
reduce the amount of interest otherwise distributable on such
Distribution Date to the Class E, Class D, Class C and Class B
Certificates, in that order, and then any remaining Additional
Expense Losses will be allocated to the Senior Certificates, pro
rata, based upon the amount of interest otherwise distributable
to such Classes on such Distribution Date. See 'DESCRIPTION OF
THE CERTIFICATES -- Subordination; Allocation of Losses and
Certain Expenses.'
An 'Additional Expense Loss' is, with certain exceptions, any loss
borne by the Trust as a result of an Additional Trust Fund
Expense. 'Additional Trust Fund Expenses' include, among other
things: (i) any interest paid to the Servicer, Trustee, or the
Fiscal Agent in respect of Advances unreimbursed out of
collections on the related
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Mortgage Loan or REO Property; (ii) certain additional
compensation payable to the Special Servicer in connection with
a Mortgage Loan becoming a Specially Serviced Mortgage Loan or
an REO Property; and (iii) any of certain unanticipated,
non-Mortgage Loan specific expenses of the Trust Fund,
including, but not limited to, certain unanticipated
reimbursements and indemnification payments made by the Trust to
the Servicer, the Special Servicer, the Trustee or the Fiscal
Agent or certain related persons, certain taxes payable from the
assets of the Trust Fund, certain tax-related expenses and the
cost of various opinions of counsel required to be obtained in
connection with the servicing of the Mortgage Loans and
administration of the Trust, in each case to the extent that the
Trust has not obtained, and in the reasonable good faith
judgment of the Trustee shall not obtain, reimbursement or
indemnification thereof from any person or from the proceeds of
the liquidation or disposition of any Mortgage Loan or REO
Property. See 'DESCRIPTION OF THE CERTIFICATES -- Subordination;
Allocation of Losses and Certain Expenses' herein.
Prepayment Charges......................... On each Distribution Date, any Prepayment Charge collected on a
Mortgage Loan during the Prepayment Period related to such
Distribution Date will be distributed, separately from the
Available Distribution Amount for such Distribution Date, to the
Holders of each Class of Certificates, pro rata in proportion to
their respective PV Yield Loss Amounts, in each case in an
amount up to the PV Yield Loss Amount of such Class.
For purposes of determining the allocation of any Prepayment
Charges collected, a PV Yield Loss Amount will be calculated as
described herein with respect to each Class of Regular
Certificates (or, in the case of the Class X-1A or Class X-2A
Certificates, each Component thereof), other than the Class P
Certificates, in connection with the related Principal
Prepayment (as defined in the Prospectus); however, unless the
aggregate Certificate Principal Amount or Notional Amount, as
the case may be, of such Class of Regular Certificates is to be
reduced in connection with the distribution of such Principal
Prepayment, the related PV Yield Loss Amount for such Class of
Regular Certificates will be zero. The portion of any Prepayment
Charge actually distributed in respect of any Class of Regular
Certificates may not equal the corresponding PV Yield Loss
Amount and may be insufficient to offset any adverse effect on
the yield to maturity of such Class resulting from the related
Principal Prepayment. See 'DESCRIPTION OF THE CERTIFICATES --
Distributions of Principal -- Distributions of Prepayment
Charges' and 'RISK FACTORS--The Mortgage Loans -- Prepayment
Restrictions' herein.
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PREPAYMENT INTEREST SHORTFALLS 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)
a full or partial Principal Prepayment (other than in connection
with a default, casualty, liquidation or condemnation) that
occurs in any calendar month during the Prepayment Period that
commences in such month and prior to the Due Date in such month
or (b) a Balloon Payment having a Due Date that occurs less than
one full month after the preceding Due Date for such Mortgage
Loan. On the other hand, excess interest will arise by reason of
(a) a full or partial Principal Prepayment that occurs in any
calendar month prior to the first day of the Prepayment Period
that commences in such month or (b) a Balloon Payment having a
Due Date in the same Due Period as that in which the preceding
Due Date for such Mortgage Loan occurs. Such excess interest
('Excess Prepayment Interest') with respect to any Distribution
Date will generally be equal to the interest that accrues on
such Principal Prepayment or the principal portion of such
Balloon Payment from the Due Date that occurs in the Due Period
related to such Distribution Date to the date of such Principal
Prepayment or the Due Date for such Balloon Payment. To the
extent that aggregate Prepayment Interest Shortfalls with
respect to any Distribution Date exceed aggregate Excess
Prepayment Interest for such Distribution Date ('Net Prepayment
Interest Shortfalls'), such amount will reduce the Servicing Fee
(but not the fees payable to the Special Servicer, in the case
of Specially Serviced Mortgage Loans, or to the Trustee) to
which the Servicer would otherwise be entitled with respect to
such Distribution Date up to the amount sufficient to offset
fully such Net Prepayment Interest Shortfalls. See 'SERVICING OF
MORTGAGE LOANS -- The Servicer -- Adjustment to Servicer's Fee
in Connection with Prepaid Mortgage Loans' herein. Any
Prepayment Interest Shortfall in excess of the sum of (x) the
Excess Prepayment Interest and (y) the Servicing Fee ('Excess
Prepayment Interest Shortfall'), will generally be allocated
among the outstanding Classes of Certificates by (i) first,
calculating the Excess Prepayment Interest Shortfalls for the
Group 1 Mortgage Loans and Group 2 Mortgage Loans separately,
(ii) second, applying any Excess Prepayment Interest and
Servicing Fees relating to a Mortgage Loan Group that is not
needed to offset Prepayment Interest Shortfalls in such Mortgage
Loan Group to offset any Prepayment Interest Shortfalls in the
other Mortgage Loan Group, and (iii) third, allocating Excess
Prepayment Interest Shortfalls remaining with respect to a
Mortgage Loan Group to each Class of Certificates related to
such Mortgage Loan Group in the ratio that the interest with
respect to such Class, if there had been
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no Excess Prepayment Interest Shortfall, calculated prior to the
allocation of Realized Losses of interest, Additional Expense
Losses (to the extent allocated to reduce interest distributions
on such Class) and Appraisal Reduction Amounts, would bear to
the total of the interest accrued on all Classes of Certificates
related to such Mortgage Loan Group, if there had been no Excess
Prepayment Interest Shortfall. To the extent Excess Prepayment
Interest exceeds Prepayment Interest Shortfalls for any
Distribution Date, the Servicer shall be entitled to retain such
excess amounts.
OPTIONAL TERMINATION......................... The assets of the Trust Fund may be purchased, in whole, but not
in part, by the Depositor, the Servicer or the Holder of the
Class LR Certificates after the aggregate Certificate Principal
Amount of the outstanding Certificates is less than or equal to
10% of the initial aggregate Certificate Principal Amount of all
the Certificates. Any such sale will effect a termination of the
Trust Fund and an early retirement of the Certificates. See
'DESCRIPTION OF THE CERTIFICATES -- Optional Termination'
herein.
THE TRUST.................................... The Trust will consist primarily of fixed rate commercial and
multifamily Mortgage Loans, having an aggregate Scheduled
Principal Balance, of approximately $1,953,745,229 as of the
Cut-Off Date (subject to a permitted variance of plus or minus
5%). See 'THE TRUST' herein.
DISCOUNT MORTGAGE LOANS...................... 26 of the Mortgage Loans included in the Trust Fund, with an
aggregate Scheduled Principal Balance of approximately
$126,915,556, have Net Mortgage Interest Rates below 7.750%
(each, a 'Discount Mortgage Loan').
MORTGAGE LOAN GROUP 1........................ The Group 1 Mortgage Loans will consist of a pool of approximately
458 Mortgage Loans with fixed Mortgage Interest Rates ranging
from 5.000% to 14.750% per annum. Approximately 94.7% of the
Group 1 Mortgage Loans contain provisions restricting
prepayments or requiring the payment of a Prepayment Charge in
connection with a Principal Prepayment. None of the Group 1
Mortgage Loans are Rate Reset Mortgage Loans (as defined
herein). As of the Cut-Off Date, the Group 1 Mortgage Loans had
an aggregate Scheduled Principal Balance of approximately
$1,606,870,428 and a weighted average Mortgage Interest Rate of
approximately 9.126% per annum.
MORTGAGE LOAN GROUP 2........................ The Group 2 Mortgage Loans will consist of a pool of approximately
106 Mortgage Loans with fixed Mortgage Interest Rates ranging
from 7.500% to 10.375% per annum. All of the Group 2 Mortgage
Loans are Rate Reset Mortgage Loans (as defined below). As of
the Cut-Off Date, the Mortgage Loans in Mortgage Loan Group 2
had an aggregate Scheduled Principal Balance of approximately
$346,874,801 and a weighted average
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Mortgage Interest Rate of approximately 9.077% per annum.
Certain of the Mortgage Loans ('Rate Reset Mortgage Loans')
contain provisions which grant the holder of such Mortgage Loan
the option (a 'Rate Reset Option'), in its sole discretion, to
reset the Mortgage Interest Rate during a specified period of
time (the 'Option Period'). The terms of the Rate Reset Mortgage
Loans permit the related Mortgagor to prepay the related Rate
Reset Mortgage Loan in full at any time during the Option Period
without the payment of any Prepayment Charge. Pursuant to the
terms of the Pooling Agreement, none of the Trustee, the
Servicer or the Special Servicer will be permitted to exercise
any Rate Reset Option. See 'RISK FACTORS -- The Mortgage
Loans -- Prepayment Restrictions' herein.
ADMINISTRATIVE COST RATE..................... The administrative cost rate on each Mortgage Loan will equal the
sum of the Servicing Fee Rate, the Trustee Fee Rate and the
Retained Servicing Interest Rate (as defined herein) (the
'Administrative Cost Rate'). The Administrative Cost Rate, with
respect to any Distribution Date, will equal a fixed rate of
0.07325% per annum on the Scheduled Principal Balance of each
such Mortgage Loan as of the first day of the Mortgage Loan Due
Period related to such Distribution Date.
ADVANCES..................................... The Servicer, the Trustee and the Fiscal Agent will each be
obligated to make Advances of Scheduled Payments of principal
and interest (other than the principal portion of a Balloon
Payment), and Assumed Scheduled Payments (as defined herein) and
certain other property and lien priority protection expenses
('Servicing Advances') in accordance with the provisions set
forth in the Pooling Agreement. See 'DESCRIPTION OF THE
CERTIFICATES -- Advances' herein.
The Pooling Agreement provides that the aggregate principal amount
of unreimbursed Advances made by the Servicer with respect to
Mortgage Loans shall not exceed $15,000,000 (the 'Servicer
Advance Limitation') at any one time. To the extent that
Advances are required in excess of the Servicer Advance
Limitation or the Servicer fails to make any Advance required of
it, the Trustee will make such required Advances. In the event
the Trustee fails to make such required Advances, the Fiscal
Agent will make such Advances. Neither the Trustee's nor the
Fiscal Agent's obligations to make Advances will be subject to a
dollar limitation.
The Servicer, the Trustee and the Fiscal Agent will be obligated
to make advances only to the extent that such Advances, together
with interest that would accrue thereon, 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 other
collections
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on or in respect of the related Mortgage Loan or REO Property,
including Insurance Proceeds, Condemnation Proceeds and net
Liquidation Proceeds.
All Advances will bear interest on the outstanding principal
amount thereof for the period during which the Advance is
outstanding at the Prime Rate (as published in the 'Money Rates'
section of The Wall Street Journal from time to time) in effect
during the time which the Advance was outstanding and payable to
the Servicer, the Trustee or the Fiscal Agent, as the case may
be.
USE OF PROCEEDS.............................. The Depositor will use all of the proceeds from the sale of the
Certificates to purchase the Mortgage Loans from CLIC (U.S.) 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, elections will be made to treat
the segregated pool of assets comprising the Trust as two
separate real estate mortgage investment conduits (each, a
'REMIC' and, respectively, the 'Upper-Tier REMIC' and the
'Lower-Tier REMIC'). All of the classes of Offered Certificates
and the Class F, Class G, Class H, Class I, Class J and Class P
Certificates (the 'Regular Certificates') will be designated as
regular interests in the Upper-Tier REMIC. The Class R and Class
LR Certificates will be designated as residual interests in the
Upper-Tier REMIC and the Lower-Tier REMIC, respectively.
Because they represent REMIC regular interests, each class of
Regular Certificates generally will be treated as newly
originated debt instruments 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
anticipated that the Class X-1, X-1A, X-2 and X-2A Certificates
will be treated as issued with original issue discount ('OID')
for federal income tax purposes in an amount equal to the excess
of all distributions of interest anticipated to be received
thereon over their respective issue prices (including accrued
interest). In addition, it is anticipated that the Class A-1A,
Class A-1B, Class A-1C, Class A-2A, Class A-2B, Class B, Class C
and Class D Certificates will be issued at a premium and that
the Class E Certificates will be issued with de minimis 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 or whether such OID is
de minimis and that may be used to amortize premium is 0% CPR
and assumes an extension of the
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maturity date of each Balloon Mortgage Loan in Group 1 one year
beyond its stated maturity date. NO REPRESENTATION IS MADE THAT
THE MORTGAGE LOANS WILL PREPAY AT THAT OR ANY OTHER RATE.
For further information regarding the federal income tax
consequences of investing in the Offered Certificates, see
'FEDERAL INCOME TAX CONSIDERATIONS' herein and 'FEDERAL INCOME
TAX CONSIDERATIONS' in the Prospectus.
CERTIFICATE RATINGS.......................... 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'):
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CERTIFICATE CLASS FITCH S&P
- ------------------------------------------- ----- ---
<S> <C> <C>
Class A.................................... AAA AAA
Class X.................................... AAA *
Class B.................................... AAA AA
Class C.................................... AA A
Class D.................................... A BBB
Class E.................................... BBB BB+
- ------------
* Not rated by S&P.
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A rating addresses the likelihood of the receipt by
Certificateholders of distributions due on the Certificates,
including, in the case of the Class A, Class B, Class C, Class D
and Class E Certificates, distribution of all principal thereof
by the Rated Final Distribution Date (as defined herein). The
rating takes into consideration the characteristics of the
Mortgage Loans and the structural and legal aspects associated
with the Certificates. Each rating assigned to the Offered
Certificates should be evaluated independently of any other
rating.
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 agency. In addition, a rating does not address
the likelihood or frequency of voluntary or mandatory
prepayments of Mortgage Loans, payments of Prepayment Charges or
the corresponding effect on yield to investors. Fitch's ratings
on the Class X Certificates do not address the possibility that
Certificateholders might suffer a lower than anticipated yield
or that if there is a rapid rate of principal payments
(including voluntary and involuntary prepayments) or principal
losses on the Mortgage Loans, investors in such Classes of
Certificates could fail to recover their initial investment. See
'CERTIFICATE RATING' herein and 'RISK FACTORS -- Limited Nature
of Rating' in the Prospectus.
LEGAL INVESTMENT............................. The Certificates offered hereby do not constitute 'mortgage
related securities' for purposes of the Secondary Mortgage
Market Enhancement Act of 1984, as amended. As a result, the
appropriate characterization of the Offered Certificates under
various legal investment
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restrictions, and thus the ability of investors subject to these
restrictions to purchase the Offered Certificates of any Class,
may be subject to significant interpretative uncertainties. In
addition, institutions whose investment activities are subject
to review by federal or state regulatory authorities may be or
may become subject to restrictions on the investment by such
institutions in certain forms of mortgage backed securities.
Investors should consult their own 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 Inc. and Goldman, Sachs & Co.
individual prohibited transaction exemptions PTE 91-14, 56 Fed.
Reg. 7,413 (1991) and PTE 89-88, 54 Fed. Reg. 42,582 (Oct 17,
1989), respectively (collectively, the 'Exemptions'), 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 in pass-through trusts that
consist of certain secured receivables, loans, and other
obligations that meet the conditions and requirements of the
Exemptions. The assets covered by the Exemptions include
mortgage loans such as the Mortgage Loans and fractional
undivided interests in such loans.
The Depositor believes that the Exemptions will apply to the
acquisition and holding of the Senior Certificates by Plans and
that all conditions of the Exemptions other than those within
the control of the investors have been met.
THE SUBORDINATE CERTIFICATES MAY NOT BE PURCHASED BY OR
TRANSFERRED TO A PLAN UNLESS SUCH TRANSFER AND SUBSEQUENT
HOLDING WOULD BE EXEMPT FROM THE PROHIBITED TRANSACTIONS
PROVISIONS OF SECTION 406 OF ERISA AND SECTION 4975 OF THE CODE
UNDER AN EXEMPTION FROM THE PROHIBITED TRANSACTION PROVISIONS OF
ERISA. 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 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. SEE 'ERISA
CONSIDERATIONS' HEREIN AND IN THE PROSPECTUS.
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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 Recourse for Breaches of Representations and Warranties
The Mortgage Loans will be purchased by the Depositor from CLIC (U.S.)
pursuant to a Mortgage Loan Purchase and Exchange Agreement, dated as of
February 1, 1996 (the 'Mortgage Loan Purchase Agreement'), between CLIC (U.S.)
and the Depositor. In the Mortgage Loan Purchase Agreement, CLIC (U.S.) will
make certain representations and warranties with respect to CLIC (U.S.) and the
Mortgage Loans. Pursuant to the Pooling Agreement, the Depositor will assign to
the Trustee all of its right, title and interest in the Mortgage Loan Purchase
Agreement insofar as the Mortgage Loan Purchase Agreement relates to such
representations and warranties and any remedies provided thereunder for any
breach of such representations and warranties, which remedies will be enforced
against CLIC (U.S.) (or its successors in interest or assigns) directly by the
Servicer (or with respect to Specially Serviced Mortgage Loans, the Special
Servicer). See 'THE TRUST -- Representations and Warranties; Repurchases' and
' -- Assignment of the Mortgage Loans; Repurchases.' Neither the Depositor nor
any of its affiliates will make any representations with respect to the Mortgage
Loans.
It is expected that CLIC (U.S.)'s obligations under the Mortgage Loan
Purchase Agreement will be assumed by one or more entities whose sole purpose
will be to hold and/or liquidate the remaining assets of CLIC (U.S.) and satisfy
CLIC (U.S.)'s remaining obligations. Such entities are expected to liquidate
substantially all of such assets within the next five years, which is
significantly before the Rated Final Distribution Date. Therefore, in the event
of a material breach of any of such representations and warranties, there can be
no assurance that CLIC (U.S.) or any such entity will be in existence to fulfill
any obligation to repurchase the related Mortgage Loan or Mortgage Loans or, if
they are in existence at the time, that CLIC (U.S.) or any such entity, will
have available sufficient assets to satisfy any such repurchase obligation. No
person or entity will guarantee such obligation.
In addition, with respect to certain breaches of representations and
warranties, the failure to remove the affected Mortgage Loan from the Trust Fund
could result in the failure of the Trust Fund to qualify as a REMIC. See
'CERTAIN FEDERAL INCOME TAX CONSIDERATIONS' in the Prospectus.
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 Underwriters have advised that
they (or their respective affiliates) intend to make a secondary market in the
Offered Certificates (other than the Class X Certificates), they are 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 such
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
and the allocation of Realized Losses, Additional Expense Losses, Appraisal
Reduction Amounts and Excess Prepayment Interest Shortfalls to such Certificate.
The rate, timing and amount of distributions on any Offered Certificate will in
turn depend on, among other things, (i) the rate, timing and amount of principal
payments and other collections on the Mortgage Loans attributable to principal
(including Principal Prepayments and proceeds from liquidations of Mortgage
Loans or as a result of a repurchase of a Mortgage Loan from the Trust by
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CLIC (U.S.)), and (ii) the order of priority of distributions in respect of the
Certificates. The allocation of Realized Losses, Additional Expense Losses,
Interest Shortfalls (other than Excess Prepayment Interest Shortfalls) and
Appraisal Reduction Amounts to a Class of Certificates will depend on the
priority of distributions on the Certificates and the subordination of such
Class relative to other Classes of Certificates.
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 and prevailing mortgage rates (giving
consideration to limitations imposed by lockout provisions and the cost of
refinancing, including, among other things, the payment of any prepayment
premium or yield maintenance amount (collectively, 'Prepayment Charges')) and
the availability of refinancing. Although approximately 95.5% of the Mortgage
Loans currently contain lockout periods, prepayment premiums and/or yield
maintenance requirements which might tend to discourage prepayment of the
Mortgage Loans, in general where such restrictions do not discourage prepayment
or with respect to Mortgage Loans that do not contain such restrictions, 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. None of CLIC (U.S.), the Depositor, the Underwriters or
any other person or entity makes any representation as to the effect of such
lock-out periods and Prepayment Charges on the rate of prepayment of the
Mortgage Loans.
The Prepayment Charges are calculated according to varying formulas. See
'THE TRUST -- Description of the Mortgage Pool -- Prepayment Provisions' herein.
No representation is made as to whether the Prepayment Charges provided for by
the Mortgage Loans are enforceable or, if enforceable, would adequately
compensate Certificateholders for the loss of value caused by a Mortgage Loan
prepayment.
The risk of Principal Prepayment is relatively higher with respect to the
Group 2 Mortgage Loans than the Group 1 Mortgage Loans, because Mortgagors are
not restricted from prepaying Group 2 Mortgage Loans during Option Periods and,
in addition, are not required to pay Prepayment Charges with respect to
Principal Prepayments during such Options Periods.
The timing of changes in the rate of prepayments on the related Mortgage
Loans may significantly affect the actual yield to maturity to investors in the
Offered Certificates, 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 related Mortgage Loans, the greater the effect on an
investor's yield to maturity. As a result, the effect on an investor's yield of
principal 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. Disproportionate principal payments
on the Mortgage Loans (whether resulting from differences in the amortization
schedules applicable to the various Mortgage Loans or full or partial
prepayments) may also affect the yield on the Offered Certificates.
If the purchaser of an Offered Certificate purchased at a discount from its
initial Certificate Principal Amount calculates its anticipated yield to
maturity based on an assumed rate of payment of principal that is faster than
that actually experienced on such Certificate, the actual yield to maturity will
likely be lower than that so calculated. Conversely, if the purchaser of an
Offered Certificate purchased at a premium calculates its anticipated yield to
maturity based on an assumed rate of payment of principal on the Mortgage Loans
that is slower than that actually experienced on such Certificate, the actual
yield to maturity will be lower than that so calculated.
THE YIELD TO MATURITY ON THE CLASS X-1 CERTIFICATES AND CLASS X-2
CERTIFICATES WILL BE EXTREMELY SENSITIVE TO THE RATE AND TIMING OF PRINCIPAL
PAYMENTS (INCLUDING PREPAYMENTS), PRINCIPAL LOSSES AND INTEREST RATE DECREASES
DUE TO MODIFICATIONS ON THE GROUP 1 AND GROUP 2 MORTGAGE LOANS, RESPECTIVELY,
WHICH, IN EITHER CASE, MAY FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME, AND TO
OTHER FACTORS SET FORTH HEREIN. THE YIELD TO MATURITY ON THE CLASS X-1A
CERTIFICATES WILL BE EXTREMELY SENSITIVE TO THE RATE AND TIMING OF PRINCIPAL
PAYMENTS (INCLUDING PREPAYMENTS) AND PRINCIPAL LOSSES ON THE GROUP 1 MORTGAGE
LOANS AND, TO A LESSER EXTENT, ON THE GROUP 2 MORTGAGE LOANS, WHICH MAY
FLUCTUATE SIGNIFICANTLY FROM TIME TO
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TIME, AND TO OTHER FACTORS SET FORTH HEREIN. SIMILARLY, THE YIELD TO MATURITY ON
THE CLASS X-2A CERTIFICATES WILL BE EXTREMELY SENSITIVE TO THE RATE AND TIMING
OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) AND PRINCIPAL LOSSES ON THE GROUP
2 MORTGAGE LOANS AND, TO A LESSER DEGREE, ON THE GROUP 1 MORTGAGE LOANS, WHICH
MAY ALSO FLUCTUATE FROM TIME TO TIME AND TO OTHER FACTORS SET FORTH HEREIN.
INVESTORS SHOULD FULLY CONSIDER THE ASSOCIATED RISKS, INCLUDING THE RISK THAT A
RAPID RATE OF PRINCIPAL PAYMENTS AND/OR PRINCIPAL LOSSES ON A RELATED MORTGAGE
LOAN GROUP OR ON THE MORTGAGE POOL IN GENERAL, AS THE CASE MAY BE, COULD RESULT
IN THE FAILURE BY INVESTORS IN THE CLASS X CERTIFICATES TO FULLY RECOUP THEIR
INITIAL INVESTMENTS.
ANY OPTIONAL TERMINATION BY THE DEPOSITOR, THE SERVICER OR THE HOLDERS OF
THE CLASS LR CERTIFICATES WOULD RESULT IN PREPAYMENT IN FULL OF THE CERTIFICATES
AND WOULD HAVE AN ADVERSE EFFECT ON THE YIELD OF ANY OUTSTANDING CLASS X
CERTIFICATES AND ANY OTHER OUTSTANDING CERTIFICATES PURCHASED AT A PREMIUM,
BECAUSE A TERMINATION WOULD HAVE THE SAME EFFECT AS A PRINCIPAL PREPAYMENT IN
FULL OF THE MORTGAGE LOANS AND, AS A RESULT, INVESTORS IN THE CLASS X
CERTIFICATES AND ANY OTHER CERTIFICATES PURCHASED AT PREMIUM MIGHT NOT FULLY
RECOUP THEIR INITIAL INVESTMENT. SEE 'YIELD, PREPAYMENT AND MATURITY
CONSIDERATIONS' HEREIN.
Any changes in the weighted average lives of the Offered Certificates may
adversely affect the yield to Certificateholders. Prepayments resulting in a
shortening of weighted average lives of any of the Offered Certificates may be
made at a time of low interest rates when a Holder may be unable to reinvest the
resulting payments of principal on its Offered Certificates at a rate comparable
to the effective yield anticipated by such Holder in making its investment in
such Certificates, while delays and extensions resulting in a lengthening of
such weighted average lives may occur at a time of high interest rates when a
Holder may have been able to reinvest principal payments that would otherwise
have been received by such Holder at higher rates. See 'YIELD, PREPAYMENT AND
MATURITY CONSIDERATIONS.'
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. Because approximately 84.9% of the aggregate
Scheduled Principal Balance of the Mortgage Loans are Balloon Mortgage Loans and
because the ability of the related Mortgagor on any Mortgage Loan to make a
Balloon Payment typically will depend upon its ability either to refinance the
Mortgage Loan or to sell the related Mortgaged Property at a price sufficient to
permit the Mortgagor to make the Balloon Payment, there is a risk that a number
of Mortgage Loans having Balloon Payments may default at maturity, or that,
following or in anticipation of such a default, the Servicer or the Special
Servicer may extend the maturity of a number of such Mortgage Loans 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, and, under certain
circumstances, the Extension Adviser, is given considerable flexibility under
the Pooling Agreement to modify or sell Mortgage Loans that are in material
default or as to which a payment default has occurred or is imminent. See
'SERVICING OF MORTGAGE LOANS -- Mortgage Loan Modifications' herein.
In addition, because an amount equal to the Appraisal Reduction Amounts
will be applied to the extent available to make principal distributions on the
Offered Certificates in the priority described herein, the amount of the
Appraisal Reduction Amounts and the timing of its receipt will affect the
average life of the Offered Certificates. See 'DESCRIPTION OF THE
CERTIFICATES -- Distributions of Interest -- Appraisal 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 the Depositor, CLIC (U.S.), the Servicer, the Special Servicer, the Fiscal
Agent, the Trustee, the Underwriters or any of their respective affiliates or
any other person or entity. 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 Additional
Expense Losses are incurred
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or 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 Subordinate Certificates
As described herein, the rights of Holders of each Class of Subordinate
Certificates to receive certain payments of principal and interest otherwise
payable on such Class of Certificates will be subordinated to those of the
Holders of each Class of Senior Certificates, to the extent set forth herein. In
addition, certain rights of the Holders of each Class of Subordinate
Certificates to receive payments will be subordinated to the rights of Holders
of each other Class of Subordinate Certificates, if any, with an earlier
alphabetical Class designation. This may result in such Subordinate Certificates
experiencing Interest Shortfalls on a Distribution Date.
Realized Losses of principal on the Mortgage Loans (other than the PO
Percentage of such Realized Losses on Discount Mortgage Loans) and Additional
Expense Losses (to the extent allocated to reduce principal distributions as
described herein) will be allocated to reduce the outstanding principal amount
of the Classes of Subordinate Certificates in reverse alphabetical order until
the aggregate outstanding Certificate Principal Amount of the related Class of
such Certificates has been reduced to zero. Similarly, Realized Losses of
interest, Additional Expense Losses (to the extent allocated to reduce interest
distributions as described herein) and Appraisal Reduction Amounts on the
Mortgage Loans will be allocated to reduce the amount of interest distributable
to the Classes of Subordinate Certificates in reverse alphabetical order until
the aggregate amount of interest distributable to such Certificates on a
Distribution Date has been reduced to zero.
Special Servicer Actions at Direction of the Operating Adviser
In connection with the servicing of the Specially Serviced Mortgage Loans,
the Special Servicer may, at the direction of 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 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 majority of the Class J Certificates, or another Class of
Regular Certificates (other than the Class P and Class X Certificates), which
may have interests in conflict with those of the Holders of the Classes of
Offered 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 Classes of the Offered Certificates.
All or a portion of the Class J Certificates are expected to be owned
initially either directly or indirectly by CLIC (U.S.) or by one or more
entities (the 'Liquidating Entities') formed to hold and/or liquidate the
remaining assets of CLIC (U.S.). As long as CLIC (U.S.) or the Liquidating
Entities own such Class, and in the absence of significant Realized Losses which
would result in such Class no longer being the Controlling Class, the Operating
Adviser will be, or will be appointed by, CLIC (U.S.) or the Liquidating
Entities, as applicable. Initially, the Operating Advisor will be CLIC (U.S.),
or an affiliate or designee of CLIC (U.S.). See 'SERVICING OF MORTGAGE
LOANS -- The Operating Adviser' herein.
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 residential one- to four-family
mortgage loans. 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
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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.
Limited Recourse
The Mortgage Loans are not insured or guaranteed by any governmental entity
or private mortgage insurer. Generally, the Mortgage Loans are non-recourse to
the related Mortgagor, and any recourse provisions contained in mortgage loan
documents, as a practical matter, may be unenforceable in states with
'one-form-of-action' or anti-deficiency restrictions or similar regulations. 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' environmental site assessment was performed on
Mortgaged Properties securing approximately 95.5% of the aggregate Scheduled
Principal Balance of the Mortgage Loans. All such environmental site assessments
were conducted after June 26, 1995. For certain of the Mortgaged Properties,
depending on the result of the Phase I environmental site assessment, a further
regulatory file review and/or Phase II environmental site assessment was
performed. All environmental site assessments and/or file reviews were reviewed
by Environmental Management Group, Inc. ('EMG').
The Pooling Agreement requires that the Special Servicer obtain an
environmental site assessment of a Mortgaged Property prior to the Trust
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 Fund will become liable for a material adverse environmental condition at
the Mortgaged Property. However, there can be no assurance that the requirements
of the Pooling Agreement will effectively insulate the Trust Fund from potential
liability for a materially adverse environmental condition at any Mortgaged
Property. See 'THE TRUST -- Certain Environmental Matters' in this Prospectus
Supplement and 'RISK FACTORS -- Environmental Risks' 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. Environmental
Protection Agency 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. EPA and the Department of Justice ('DOJ'), however,
issued a joint policy memorandum in which these agencies announced that they
would continue to follow the 'Lender Liability Rule' vacated by the Kelley case.
These agencies indicated that prior to its invalidation, several courts adhered
to the terms of the 'Lender Liability Rule' or interpreted CERCLA in a manner
consistent with the 'Lender Liability Rule.' EPA and DOJ indicated in the
September 22, 1995 memorandum that they intend to follow this line of cases.
This EPA/DOJ policy, however, 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.
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Environmental 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 if such remedial costs were incurred.
Tax Considerations Related to Foreclosure
Except as otherwise set forth herein under 'SERVICING OF THE MORTGAGE
LOANS -- Foreclosures,' if the Trust were to acquire a Mortgaged Property
subsequent to a default on the related Mortgage Loan pursuant to a foreclosure
or deed in lieu of foreclosure, an independent contractor would be retained to
operate and manage the Mortgaged Property. Any net income from such operation
and management, other than qualifying 'rents from real property,' or any rental
income based on the net profits of a tenant or sub-tenant or allocable to a
service that is non-customary in the area and for the type of building involved,
will subject the Lower-Tier REMIC to federal (and possibly state or local) tax
on such income at the highest marginal corporate tax rate (currently 35%)
thereby reducing the net proceeds available for distribution to
Certificateholders. See 'FEDERAL INCOME TAX CONSIDERATIONS -- Taxation of the
REMIC -- Income From Foreclosure Property' in the Prospectus.
Geographic Concentration
Repayments by Mortgagors and the market value of the Mortgaged Properties
on the related Mortgage Loan may be affected by economic conditions generally or
in regions where the Mortgaged Properties 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.
Approximately 23.2%, 12.6%, 7.9%, 7.5%, 5.8% and 5.0% 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, New
Jersey, Georgia, Florida, Illinois and Maryland, respectively. In general,
concentration of Mortgaged Properties in such states increases the exposure of
Certificateholders to any adverse economic or other developments that may occur
in those states. See 'CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS LOCATED IN
CALIFORNIA, NEW JERSEY, GEORGIA, FLORIDA, ILLINOIS, AND MARYLAND' herein.
Mortgage Loans on Properties Owned by Affiliates of CLIC (U.S.)
26 of the Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $43,383,199 as of the Cut-Off Date, were made by CLIC (U.S.) to
Confederation Real Estate (U.S.), Inc., a Michigan corporation ('Confederation
Real Estate'), and each such Mortgage Loan (each, an 'Affiliate Mortgage Loan')
is secured by a Mortgaged Property (each, an 'Affiliate Property') acquired by
CLIC (U.S.) through foreclosure upon a mortgage loan or by taking a deed in lieu
of foreclosure with respect to a mortgage loan.
The underwriting with respect to the Affiliate Mortgage Loans was performed
by CLIC (U.S.) on the basis of physical conditions and property financial
performance, including the historical and/or stabilized (giving effect to signed
leases) net operating income generated by the related Affiliate Properties. The
debt service coverage ratios for these Affiliate Properties range from
approximately 1.24x to approximately 2.20x, and the weighted average stabilized
debt service coverage ratio for these Affiliate Properties is approximately
1.53x. 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.
Each Affiliate Mortgage Loan provides that in the event any party, other
than Confederation Real Estate, any affiliate of Confederation Real Estate or
any Liquidating Entity, is the Mortgagor under such Affiliate Mortgage Loan,
such Mortgagor may only transfer an Affiliate Property and enter into an
assumption agreement with the related transferee (i) with the prior written
consent of the Servicer or the Special Servicer, as applicable, on behalf of the
Trustee, and (ii) upon payment of an assumption fee
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equal to 1% of the outstanding principal balance of such Affiliate Mortgage
Loan. Under the terms of the Affiliate Mortgage Loans, a Mortgagor is prohibited
from prepaying the related Affiliate Mortgage Loan for a period of two years,
and thereafter may prepay subject to paying a Prepayment Charge in an amount
which decreases over time, but in no case is less than 1% of the outstanding
principal balance of such Affiliate Mortgage Loan at the time of prepayment.
Notwithstanding the foregoing, so long as Confederation Real Estate, an
affiliate of Confederation Real Estate or any Liquidating Entity is the
Mortgagor under an Affiliate Mortgage Loan, Confederation Real Estate, or such
affiliate or Liquidating Entity, may sell or otherwise transfer the related
Affiliate Property to a third party purchaser without paying any assumption fee
and without the mortgagee's consent. In addition, Confederation Real Estate, or
such affiliate or Liquidating Entity, may prepay any or all of the Affiliate
Mortgage Loans at any time without any Prepayment Charge.
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 or entity, including CLIC (U.S.), the Depositor, the Trustee, the
Underwriters, the Servicer, the Special Servicer, the Fiscal Agent or any of
their affiliates.
Subordinate Indebtedness
Substantially all of the Mortgage Loan documents either permit the
Mortgagor or do not prohibit the Mortgagor from entering into subordinate
indebtedness. Where subordinate indebtedness is permitted, the subordinate
lender is not required to enter into an intercreditor agreement; however, in
many cases there are preconditions (such as minimum combined debt service
coverage ratios) which must be satisfied prior to the Mortgagor being permitted
to incur subordinate indebtedness. The encumbrance of a property by subordinate
indebtedness without execution of an intercreditor agreement increases the risk
to a first lienholder posed by the subordinate debt. In such cases, there would
be no restriction on the junior lienholder's exercise of remedies. The presence
of subordinate debt can hinder conveyance to the first lienholder by deed in
lieu of foreclosure, effectively forcing foreclosure. Similarly, the presence of
subordinate debt can hinder loan modification due to the concern that
modification may vitiate subordination and place the subordinate lender in pari
passu status with the first lienholder in whole or in part.
The Mortgage Loans include certain Mortgage Loans as to which the related
Mortgagors are known to have entered into other subordinated indebtedness
secured by the related Mortgaged Properties. With respect to 7 Mortgage Loans
(representing approximately 4.8% of the Mortgage Loans by Scheduled Principal
Balance), such subordinated indebtedness (with an aggregate principal balance of
approximately $20,663,781) was entered into in connection with a recent
modification of the related Mortgage Loans entered into by CLIC (U.S.).
Subordinated mortgage indebtedness held by CLIC (U.S.) will initially continue
to be held by CLIC (U.S.) or the Liquidating Entities. In Intercreditor
Agreements (the 'Intercreditor Agreements') between CLIC (U.S.) and the
Depositor and its assignees, including the Trust, CLIC (U.S.) has agreed not to
exercise its right to foreclose under its subordinate mortgage loan unless CLIC
(U.S.), 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. Any
such purchase would cause an acceleration of principal payments to
Certificateholders.
No Recent Appraisals
Neither CLIC (U.S.) nor the Depositor has caused an appraisal to be
performed recently, and none of such persons has independent reliable
information as to the current market values of the Mortgaged Properties. Because
many real estate markets in the United States have experienced declining values
since the period during which many of the Mortgage Loans were originated, it is
likely that some of the Mortgaged Properties have declined in market value since
that time. None of CLIC (U.S.), the
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Depositor, the Underwriters or any other person or entity makes any
representation or warranty with respect to the values of the Mortgaged
Properties.
MODIFICATIONS OF CERTAIN MORTGAGE LOANS
Since January 1, 1993, approximately 30.8% of the Mortgage Loans were
modified through negotiations with the respective Mortgagors. Approximately
21.6% of such modifications occurred in 1993; approximately 35.0% of such
modifications occurred in 1994; approximately 42.3% of such modifications
occurred in 1995; and approximately 1.1% of such modifications occurred in 1996.
These 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, (vi) conversion of a portion of the
principal balance of a first-lien mortgage loan into a second-lien mortgage loan
retained by CLIC (U.S.) (subject to Intercreditor Agreements) and (vii)
modification of prepayment restrictions. In certain cases, CLIC (U.S.) may have
received subordinate mortgages in connection with the modifications of the
original mortgage loans which will be retained by CLIC (U.S.). See
' -- Subordinate Indebtedness' below. None of CLIC (U.S.), the Depositor, the
Underwriters or any other person or entity makes any representation that the
underwriting of the modified Mortgage Loans would conform in all respects to
procedures employed by federally insured financial institutions. Mortgage Loans
that have been assumed, have changed monthly due dates or with respect to which
the interest rate has changed pursuant to Rate Reset Options set forth in Rate
Reset Mortgage Loans (each as defined herein) are not included with the modified
Mortgage Loans described above.
The majority of the modifications performed in 1995 were either modified in
order to improve their debt service coverage ratios or refinanced due to the
nearness (generally 18 months or less) of their scheduled maturity date, in each
case, in anticipation of this offering.
Balloon Payment at Maturity and Extension of Maturity
Approximately 84.9% of the Mortgage Loans, by Scheduled Principal Balance,
are Balloon Mortgage Loans (as defined herein), 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 fully refinance the Mortgage Loan or sell
the related Mortgaged Property at a price sufficient to permit the Mortgagor to
make the balloon payments. The ability of a Mortgagor to effect a refinancing or
sale will be affected by a number of factors, including, without limitation, the
value of the related Mortgaged Property, the level of available mortgage
interest rates at the time of refinancing, the related Mortgagor's equity in the
Mortgaged Property, the financial condition and operating history of the
Mortgagor and the related Mortgaged Property, the strength of the commercial and
multifamily real estate markets, tax laws, and prevailing general economic
conditions. None of CLIC (U.S.), the Depositor nor any of their respective
affiliates is under any obligation to refinance any Mortgage Loan.
The Pooling Agreement permits the Servicer or the Special Servicer, as the
case may be, to extend and modify a defaulted Mortgage Loan (or one on which
default is reasonably believed to be imminent) under certain circumstances and
subject to certain limitations. There can be no assurance, however, that any
such extension or modification will increase the present value of the recoveries
in a given case. Such an extension or modification will likely 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 described under
'THE TRUST -- Description of the Mortgage Pool' herein, substantially all 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.
Prepayment Restrictions
546 of the Mortgage Loans (representing approximately 95.5% of the
aggregate Scheduled Principal Balance of the Mortgage Loans), contain provisions
restricting prepayments of such Mortgage
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Loans. Such restrictions may prohibit prepayments in whole or in part during a
specified period of time and/or require the payment of a Prepayment Charge in
connection with the prepayment thereof. See the table entitled 'Types of
Prepayment Provisions' set forth in 'THE TRUST -- Description of the Mortgage
Pool' herein which sets forth the types of prepayment restriction, for the
Mortgage Loans. Such prepayment restrictions can, but do not necessarily,
provide a deterrent to prepayments. Prepayment Charges may be in an amount which
is less than the figure which would fully compensate for the difference in yield
upon reinvestment of the prepayment proceeds against its expected yield to
maturity of the Mortgage Loan. There can be no assurance that the Mortgagor on a
Mortgage Loan which is being prepaid will have sufficient financial resources to
pay all or a portion of any required Prepayment Charges, particularly where the
prepayment results from acceleration of the Mortgage Loan following a payment
default. No assurance can be given that, at the time any Prepayment Charges are
required to be made in connection with a defaulted Mortgage Loan, foreclosure
proceeds will be sufficient to make such payments. If and to the extent
received, Prepayment Charges will generally be distributed among the Holders of
each of the respective Classes of Regular Certificates whose aggregate
Certificate Principal Amount or Notional Amount, as the case may be, is reduced
in connection with the distribution of the related prepayment of principal in
the amounts and in accordance with the priorities described herein. See
'DESCRIPTION OF THE CERTIFICATES -- Distributions of Principal -- Distributions
of Prepayment Charges' herein. No representation or warranty is made as to the
effect of such Prepayment Charges on the rate of prepayment of the related
Mortgage Loans.
The enforceability, under the laws of a number of states, of provisions
similar to the provisions in the Mortgage Loans providing for the payment of
Prepayment Charges upon a voluntary or involuntary prepayment is unclear. In
particular, no assurance can be given that, at any time that any Prepayment
Charge is required to be made in connection with an involuntary prepayment, the
obligation to pay such Prepayment Charge will be enforceable under applicable
law or, if enforceable, that foreclosure proceeds will be sufficient to make
such payment. Liquidation Proceeds recovered in respect of any defaulted
Mortgage Loan will, in general, be applied to cover outstanding property
protection expenses and servicing expenses and unpaid principal and interest
prior to being applied to cover any Prepayment Charge due in connection with the
liquidation of such Mortgage Loan. See 'CERTAIN LEGAL ASPECTS OF MORTGAGE
LOANS -- Enforceability of Prepayment and Late Payment Fees' in the Prospectus.
In addition, 106 of the Mortgage Loans ('Rate Reset Mortgage Loans')
(representing approximately 17.8% of the aggregate Scheduled Principal Balance
of the Mortgage Loans, and 100% of the Group 2 Mortgage Loans) contain
provisions which grant the holder of such Mortgage Loan the option (a 'Rate
Reset Option'), in its sole discretion, to reset the Mortgage Interest Rate
during a specified period of time (the 'Option Period'). The terms of the Rate
Reset Mortgage Loans permit the related Mortgagor to prepay the related Rate
Reset Mortgage Loan in full at any time during the Option Period without the
payment of any Prepayment Charge. Generally, the related Mortgage or Mortgage
Note limits the Option Period to a single day, however, certain Rate Reset
Mortgage Loans have longer Option Periods. Pursuant to the terms of the Pooling
Agreement, the Trustee, the Servicer and the Special Servicer will not be
permitted to exercise any Rate Reset Option. However, this prohibition in the
Pooling Agreement will not affect the Mortgagor's ability to prepay any such
Rate Reset Mortgage Loan without a Prepayment Charge.
In addition, certain of the Mortgage Loans provide for prepayment without
Prepayment Charge in the event of casualty or condemnation of the related
Mortgage Properties.
No Prepayment Charge will be payable in connection with any repurchase of a
Mortgage Loan for a material breach of representation or warranty or any failure
to deliver documentation relating thereto, nor will any Prepayment Charge be
payable in connection with the purchase of all the Mortgage Loans and any REO
Properties by the Depositor, the Servicer or the Class LR Certificateholders in
connection with the termination of the Trust Fund. See 'THE TRUST -- Assignment
of the Mortgage Assets; Repurchases' and ' -- Representations and Warranties;
Repurchases' and 'DESCRIPTION OF THE CERTIFICATES -- Optional Termination'
herein.
S-48
<PAGE>
<PAGE>
Junior Mortgage Loans
Approximately 2.2% of the Mortgage Loans (by Scheduled Principal Balance)
are secured by junior Mortgages which are subordinate to senior mortgages or
deeds of trust held by other lenders or institutional investors. The rights of
the Trust Fund (and therefore the Certificateholders), as beneficiary under a
junior Mortgage, are subordinate to those of the mortgagee or beneficiary under
the senior mortgage or deed of trust, including the prior rights of the senior
mortgagee or beneficiary to receive rents, hazard insurance and condemnation
proceeds and to cause the Mortgaged Property securing the Mortgage Loan to be
sold upon default of the mortgagor or trustor, thereby extinguishing the Trust's
junior Mortgage unless the Servicer or the Special Servicer asserts the Trust's
subordinate interest in the Mortgaged Property in foreclosure litigation or
satisfies the defaulted senior loan. Neither the Servicer, the Special Servicer,
the Trustee, nor the Fiscal Agent is obligated to make advances to keep current
or satisfy such a senior mortgage loan. See 'CERTAIN LEGAL ASPECTS OF MORTGAGE
LOANS -- Junior Mortgages; Rights of Senior Mortgagees or Beneficiaries' in the
Prospectus.
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 Pooling
Agreement. When particular provisions or terms used in the Pooling 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 pooling and servicing
agreement, dated as of February 1, 1996 (the 'Pooling Agreement'), among the
Depositor, the Trustee, the Fiscal Agent, the Servicer and the Special Servicer.
Reference is made to the Prospectus for additional information regarding the
terms of the Pooling Agreement.
The Certificates will represent in the aggregate the entire beneficial
ownership interest in the assets of the Trust (collectively, the 'Trust Fund'),
consisting primarily of: (i) the Mortgage Loans (exclusive of the Retained
Interests) and all payments under and proceeds of the Mortgage Loans received or
applicable to periods after the Cut-Off Date (exclusive of payments of principal
and interest due on or before the Cut-Off Date); (ii) any Mortgaged Property
acquired on behalf of the Trust through foreclosure, deed in lieu of foreclosure
or otherwise (upon acquisition, an 'REO Property'); and (iii) such other funds
or assets as from time to time are deposited in the Collection Account or the
Distribution Accounts, as hereinafter described.
The Certificates will consist of twenty-one Classes: the Class A-1A, Class
A-1B, Class A-1C, Class A-2A and Class A-2B Certificates (collectively, the
'Class A Certificates'), the Class X-1, Class X-1A, Class X-2 and Class X-2A
Certificates (collectively, the 'Class X Certificates,' and together with the
Class A Certificates, the 'Senior Certificates'), the Class B, Class C, Class D,
Class E, Class F, Class G, Class H, Class I and Class J Certificates
(collectively, the 'Subordinate Certificates'), the Class R and Class LR
Certificates (collectively, the 'Residual Certificates'), and the Class P
Certificates. The Class A-1A, Class A-1B, Class A-1C, Class X-1 and Class X-1A
Certificates are collectively referred to herein as the 'Senior Group 1
Certificates,' and the Class A-2A, Class A-2B, Class X-2 and Class X-2A
Certificates are collectively referred to herein as the 'Group 2 Certificates.'
Only the Senior Certificates and the Class B, Class C, Class D and Class E
Certificates (collectively, the 'Offered Certificates') are being offered
hereby. The Class F, Class G, Class H, Class I, Class J, Class P, Class R and
Class LR Certificates (collectively, the 'Non-Offered Certificates') will
initially be retained by CLIC (U.S.) or sold or transferred to one or more of
the Liquidating Entities but may be sold at any time in accordance with the
terms of the Pooling 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.
S-49
<PAGE>
<PAGE>
26 of the Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $126,915,556, have Net Mortgage Interest Rates below 7.750% (each,
a 'Discount Mortgage Loan'). The Class P Certificates will represent beneficial
ownership interests in the PO Percentage of the principal balance of each
Discount Mortgage Loan and on any Distribution Date will only be entitled to
receive distributions of an amount equal to the product of (x) the PO Percentage
and (y) any principal distributions (including Principal Prepayments) on the
Discount Mortgage Loans for such Distribution Date. The Class P Certificates
will not represent a beneficial ownership in, and will not be entitled to
distributions from, any Mortgage Loan other than the Discount Mortgage Loans. On
any Distribution Date, only the PO Percentage of any Realized Losses of
principal on any Discount Mortgage Loans will be allocated to the Class P
Certificates.
The Certificates (other than the Class P Certificates) will represent
beneficial ownership interests in the Non-PO Percentage of the principal balance
of any Discount Mortgage Loan and 100% of the beneficial ownership interest in
any interest payments on such Discount Mortgage Loan.
The 'PO Percentage' with respect to any Discount Mortgage Loan will equal
the excess of (a) 100%, over (b) the Non-PO Percentage for such Discount Morgage
Loan. The 'Non-PO Percentage' with respect to any Discount Mortage Loan will
equal the Net Mortgage Interest Rate as of the Cut-Off Date of such Discount
Mortgage Loan, divided by 7.750%.
The Pooling Agreement provides for the formation of two separate REMICs,
the Upper-Tier REMIC and the Lower-Tier REMIC. The assets of the Lower-Tier
REMIC will consist primarily of the Mortgage Loans, the Collection Account and
the Lower-Tier Distribution Account. The assets of the Upper-Tier REMIC will
consist of certain uncertificated classes of regular interests in the Lower-Tier
REMIC and the Upper-Tier Distribution Account. The Class A-1A, Class A-1B, Class
A-1C, Class X-1, Class X-1A, Class X-2, Class X-2A, Class A-2A, Class A-2B,
Class B, Class C, Class D, Class E, Class F, Class G, Class H, Class I, Class J
and Class P Certificates (the 'Regular Certificates') represent regular
interests in the Upper-Tier REMIC and the Class R and Class LR Certificates will
represent residual interests in the Upper-Tier REMIC and the Lower-Tier REMIC,
respectively.
CERTIFICATE BALANCES
Upon initial issuance, the Class A-1A, Class A-1B, Class A-1C, Class A-2A,
Class A-2B, Class B, Class C, Class D and Class E Certificates will have the
respective Certificate Principal Amounts set forth in the following table,
subject to a permitted variance of plus or minus 5%.
<TABLE>
<CAPTION>
INITIAL AGGREGATE APPROXIMATE
CERTIFICATE PRINCIPAL PERCENT OF
CLASS OF CERTIFICATES AMOUNT INITIAL POOL BALANCE
- ----------------------------------------------------- --------------------- --------------------
<S> <C> <C>
Class A-1A Certificates.............................. $ 152,820,047 7.8%
Class A-1B Certificates.............................. 200,000,000 10.2
Class A-1C Certificates.............................. 450,000,000 23.0
Class A-2A Certificates.............................. 171,097,717 8.8
Class A-2B Certificates.............................. 175,000,000 9.0
--------------------- -----
Subtotal -- Class A Certificates................ $ 1,148,917,764 58.8%
Class B Certificates................................. 97,365,912 5.0
Class C Certificates................................. 136,312,277 7.0
Class D Certificates................................. 136,312,277 7.0
Class E Certificates................................. 97,365,912 5.0
--------------------- -----
Total........................................... $ 1,616,274,142 82.7%
--------------------- -----
--------------------- -----
</TABLE>
Upon initial issuance, the Class F, Class G, Class H, Class I, Class J and
Class P Certificates will have an aggregate Certificate Principal Amount of
approximately $337,471,086 (subject to a permitted variance of plus or minus
5%), representing approximately 17.3% of the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the Cut-Off Date.
The Class X Certificates will not have Certificate Principal Amounts or
entitle their Holders to distributions of principal. Each such Class of Class X
Certificates will, however, represent the right to
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<PAGE>
receive distributions of interest accrued as described herein on a notional
amount (each, a 'Notional Amount'). The Notional Amount of each Class X
Certificate is used solely for purposes of describing the amounts of interest
payable on the related Class of Certificates and does not represent an interest
in principal payments on the Mortgage Loans.
The aggregate Notional Amount of the Class X-1 Certificates (the 'Class X-1
Notional Amount') will equal the aggregate Scheduled Principal Balance of the
Group 1 Mortgage Loans (other than the PO Percentage of the Scheduled Principal
Balance of the Discount Mortgage Loans in Group 1) as of the first day of the
Mortgage Loan Due Period related to such Distribution Date. With respect to any
Mortgage Loan, the 'Mortgage Loan Due Period' shall be the period from the prior
due date for such Mortgage Loan to the due date for such Mortgage Loan in the
related Due Period. The initial Class X-1 Notional Amount will be approximately
$1,601,220,527, subject to a permitted variance of plus or minus 5%.
The aggregate Notional Amount of the Class X-1A Certificates (the 'Class
X-1A Notional Amount') will equal the sum of the following six components (each,
an 'X-1A Component'): (a) the aggregate Certificate Principal Amount of the
Class A-1A Certificates outstanding from time to time ('Component A-1A'); (b)
the aggregate Certificate Principal Amount of the Class A-1B Certificates
outstanding from time to time ('Component A-1B'); (c) the aggregate Certificate
Principal Amount of the Class A-1C Certificates outstanding from time to time
('Component A-1C'); (d) the aggregate Certificate Principal Amount of the Class
B Certificates outstanding from time to time ('Component B'); (e) the aggregate
Certificate Principal Amount of the Class C Certificates outstanding from time
to time ('Component C'); and (f) the aggregate Certificate Principal Amount of
the Class D Certificates outstanding from time to time ('Component D'). The
Class A-1A through Class D Components of the Class X-1A Certificates are not
separately transferable. The initial Class X-1A Notional Amount will be
approximately $1,172,810,513, subject to a permitted variance of plus or minus
5%.
The aggregate Notional Amount of the Class X-2 Certificates (the 'Class X-2
Notional Amount') will equal the aggregate Scheduled Principal Balance of the
Group 2 Mortgage Loans (other than the PO Percentage of the Scheduled Principal
Balance of the Discount Mortgage Loans in Group 2) as of the first day of the
Mortgage Loan Due Period related to such Distribution Date. The initial Class
X-2 Notional Amount will be approximately $346,097,717, subject to a permitted
variance of plus or minus 5%.
The aggregate Notional Amount of the Class X-2A Certificates (the 'Class
X-2A Notional Amount') will equal the sum of the following two components (each,
an 'X-2A Component,' and collectively with the Class X-1A Components, the
'Components'): (a) the aggregate Certificate Principal Amount of the Class A-2A
Certificates outstanding from time to time ('Component A-2A'); and (b) the
aggregate Certificate Principal Amount of the Class A-2B Certificates
outstanding from time to time ('Component A-2B'). The Class A-2A and Class A-2B
Components of the Class X-2A Certificates are not separately transferable. The
initial Class X-2A Notional Amount will be approximately $346,097,717 subject to
a permitted variance of plus or minus 5%.
The Residual Certificates will not have Certificate Principal Amounts or
Notional Amounts.
REGISTRATION; DENOMINATIONS
The Class A, Class B, Class C, Class D and Class E 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 initial Certificate Principal Amount, and in integral multiples of
$1,000 in excess thereof. One Certificate of each of the foregoing Classes may
be issued in a different denomination to accommodate the remainder of the
initial Certificate Principal Amount of each such Class of Certificates. The
Class X-1, Class X-1A, Class X-2 and Class X-2A Certificates will be issued in
fully registered, certificated form in minimum denominations of $1,000,000
initial Notional Amount, and in integral multiples of $1,000 in excess thereof,
with one Certificate of each such Class evidencing an additional amount equal to
the remainder of the initial Notional Amount of such Class of Certificates.
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
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<PAGE>
that DTC's nominee will be Cede & Co. No beneficial owner of a Book-Entry
Certificate (each, a 'Certificate Owner') of any Class thereof 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.
The Class X Certificates may be transferred or exchanged at the offices of
the Trustee, without the payment of any service charges, other than an amount
sufficient to cover any tax or other governmental charge payable in connection
therewith. The Trustee will initially serve as registrar (in such capacity, the
'Certificate Registrar') for purposes of recording and otherwise providing for
the registration, transfer and exchange of the Certificates.
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 March 25, 1996. On each Distribution Date, 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 collected during the related Prepayment Period, less certain amounts due
to the Servicer, the Special Servicer, the Fiscal Agent and the Trustee and
amounts in respect of any Retained Interests, will be distributed from the Trust
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' related to each Distribution Date
commences on the first day following the Determination Date in the month prior
to the month in which such Distribution Date occurs (or in the case of the first
Distribution Date, the Cut-off Date) and will end on the Determination Date in
the month in which such Distribution Date occurs.
The Trustee will make payments on the Class X Certificates by check mailed
to the registered Certificateholders as of the Record Date at their addresses
appearing on the books and records of the Trustee or, upon written request to
the Trustee, five Business Days prior to the Record Date immediately preceding
such Distribution Date of any Holder of a Class X Certificate, by wire transfer
in immediately available funds to the account of such Certificateholder
specified in the request and at the expense of such Certificateholder.
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
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.
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<PAGE>
<PAGE>
AVAILABLE DISTRIBUTION AMOUNT
The 'Available Distribution Amount' on any Distribution Date will equal the
sum of the Interest Distribution Amount (as defined below) for such Distribution
Date and the Principal Distribution Amount(s) (as defined below) for such
Distribution Date.
A single Interest Distribution Amount will be calculated in the aggregate
for both Mortgage Loan Groups. For any Distribution Date, the 'Interest
Distribution Amount' with respect to the Mortgage Pool will equal the sum of:
(i) the interest portion of 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) the interest portion of all net Liquidation Proceeds, Insurance
Proceeds and Condemnation Proceeds to the extent received on the Mortgage
Loans or REO Properties during the related Prepayment Period;
(iii) any amounts attributable to reductions of the Servicing Fee
payable with respect to such Distribution Date as a result of Net
Prepayment Interest Shortfalls on the Mortgage Loans;
(iv) the interest portion of the proceeds of all repurchases of any
Mortgage Loan repurchased during the related Prepayment Period; and
(v) all other collections or proceeds received during the related
Prepayment Period, other than collections allocable to principal, with
respect to the Mortgage Loans and not otherwise payable to the Servicer,
the Trustee or the Fiscal Agent;
less:
(a) the interest portion of all Scheduled Payments collected during
the related Due Period but due on a date subsequent to such Due Period;
(b) the interest portion of all net Liquidation Proceeds, Insurance
Proceeds and Condemnation Proceeds on the Mortgage Loans received after
the end of the related Prepayment Period;
(c) all amounts (other than any Additional Trust Fund Expenses)
that are currently due or reimbursable to the Servicer, the Special
Servicer, the Trustee or the Fiscal Agent (including any Servicing Fee
and the Trustee Fee), including, but not limited to, interest on
Advances;
(d) all Prepayment Charges collected during the related Prepayment
Period;
(e) any Additional Expense Losses incurred on the Mortgage Loans
which have not previously been allocated as of the related Determination
Date and are allocated to reduce interest distributions as described
herein;
(f) all Appraisal Reduction Amounts for such Distribution Date to
the extent available for distribution from interest otherwise
distributable on the Subordinate Certificates to which the related
Appraisal Reduction is allocated (after allocations of Realized Losses
of interest, Additional Expense Losses (to the extent allocated to
reduce interest distributions to such Subordinated Certificates as
described herein) and Excess Prepayment Interest Shortfalls); and
(g) all amounts in respect of any Retained Interests, and all
amounts deposited in the Collection Account or Distribution Accounts in
error.
So long as both the Class A-1C and Class A-2B Certificates remain
outstanding, the Principal Distribution Amount for each Distribution Date shall
be calculated on a Mortgage Loan Group-by-Mortgage Loan Group basis (the 'Group
1 Principal Distribution Amount,' and 'Group 2 Principal Distribution Amount,'
respectively). On each Distribution Date after the Certificate Principal Amounts
of either the Class A-1C or Class A-2B Certificates have been reduced to zero, a
single Principal Distribution Amount will be calculated in the aggregate for
both Mortgage Loan Groups.
S-53
<PAGE>
<PAGE>
For any Distribution Date, the 'Principal Distribution Amount' with respect
to a Mortgage Loan Group will equal the sum of:
(i) the principal portion of 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 in such Mortgage Loan Group;
(ii) the principal portion of all Principal Prepayments including net
Liquidation Proceeds, Insurance Proceeds and Condemnation Proceeds to the
extent received on the Mortgage Loans or REO Properties in such Mortgage
Loan Group during the related Prepayment Period;
(iii) the principal portion of the proceeds of all repurchases of
Mortgage Loans in such Mortgage Loan Group repurchased during the related
Prepayment Period;
(iv) any Appraisal Reduction Amount for such Distribution Date
relating to Mortgage Loans in the Mortgage Loan Group but only to the
extent available for distribution from interest otherwise distributable on
the Subordinate Certificates to which the related Appraisal Reduction is
allocated (after allocations of Realized Losses of interest, Additional
Expense Losses (to the extent allocated to reduce interest distributions to
such Subordinate Certificates as described herein) and Excess Prepayment
Interest Shortfalls); and
(v) all other collections or proceeds allocable to principal with
respect to the Mortgage Loans which are received during the related
Prepayment Period;
less:
(a) the principal portion of all Scheduled Payments collected
during the related Due Period but due on a date subsequent to such Due
Period with respect to the Mortgage Loans in such Mortgage Loan Group;
(b) all Principal Prepayments and the principal portion of all net
Liquidation Proceeds, Insurance Proceeds and Condemnation Proceeds
received with respect to Mortgage Loans or REO Properties in such
Mortgage Loan Group after the end of the related Prepayment Period;
(c) any Additional Expense Losses incurred on Mortgage Loans in
such Mortgage Loan Group which have not previously been allocated as of
the related Determination Date and are allocated to reduce principal
distributions as described herein; and
(d) the PO Percentage of any principal payment (including any
Principal Prepayments) made on any Discount Mortgage Loan in such
Mortgage Loan Group for such Distribution Date and included in clauses
(i), (ii), (iii) or (v) above.
The 'Assumed Scheduled Payment' is an amount deemed due in respect of (i)
any Balloon Mortgage Loan that is delinquent in respect of its Balloon Payment
beyond the end of the Mortgage Loan Due Period in which its maturity date
occurred and (ii) any Mortgage Loan as to which the related Mortgaged Property
has become an REO Property. With respect to any such delinquent Balloon Mortgage
Loan or any such Mortgage Loan described in clause (ii) of the preceding
sentence, the Assumed Scheduled Payment with respect to any Mortgage Loan Due
Period following the maturity date of such Balloon Mortgage Loan (but not
including any period following the modification, forbearance or extension of
such Balloon Mortgage Loan and prior to its modified maturity date) or any
Mortgage Loan Due Period following acquisition of an REO Property in respect of
such Mortgage Loan, will generally equal the Scheduled Payment that would have
been due on the Mortgage Loan in accordance with the terms of the Mortgage Note
for such Mortgage Loan Due Period if (a) the maturity date for such Mortgage
Loan had not occurred, (b) the related Mortgaged Property had not become an REO
Property, such Mortgage Loan was still outstanding and no acceleration of the
Mortgage Loan had occurred, (c) in the case of any Mortgage Loan that provided
for amortization of principal prior to its maturity date, principal continued to
amortize on the same amortization schedule, and (d) in the case of any Mortgage
Loan that did not provide for amortization of principal prior to its maturity
date, no principal is amortized with respect to such Mortgage Loan.
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<PAGE>
<PAGE>
'Balloon Mortgage Loan' means a Mortgage Loan that provides for Scheduled
Payments based on an amortization schedule significantly longer than its term to
maturity or a Mortgage Loan with no scheduled amortization. 'Balloon Payment'
means, with respect to any Balloon Mortgage Loan, the Scheduled Payment payable
on the maturity date of such Mortgage Loan.
DISTRIBUTIONS OF INTEREST
Interest will accrue on the Offered Certificates 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 (each, an 'Interest Accrual
Period'). Interest on the Offered Certificates will be calculated on the basis
of a 360-day year consisting of twelve 30-day months.
On each Distribution Date, distributions of interest on the Certificates
(other than the Class P and Residual Certificates) will be made from the
Interest Distribution Amount for such Distribution Date as described below.
Interest 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 or Notional Amount, as the case may be, of each Certificate of
such Class bears to the aggregate Certificate Principal Amount or Notional
Amount, as applicable, of all Certificates of such Class.
Class A, Class B, Class C, Class D and Class E Certificates
On each Distribution Date, the Holders of the Class A-1A, Class A-1B, Class
A-1C, Class A-2A, Class A-2B, Class B, Class C, Class D and Class E Certificates
are entitled to receive (subject to allocations of Realized Losses of interest,
Excess Prepayment Interest Shortfalls, Additional Expense Losses (to the extent
allocated to reduce interest distributions as described herein) and, with
respect to the Class B, Class C, Class D and Class E Certificates, Appraisal
Reduction Amounts), from the Interest Distribution Amount, interest accrued
during the related Interest Accrual Period on the outstanding Certificate
Principal Amount of the Class A-1A, Class A-1B, Class A-1C, Class A-2A, Class
A-2B, Class B, Class C, Class D, and Class E Certificates, respectively,
immediately preceding such Distribution Date at the following Certificate
Interest Rates:
<TABLE>
<CAPTION>
CLASS OF CERTIFICATE
CERTIFICATES INTEREST RATE
- ---------------------------------------- -------------
<S> <C>
A-1A.................................... 5.711%
A-1B.................................... 5.751%
A-1C.................................... 5.944%
A-2A.................................... 7.750%
A-2B.................................... 6.759%
B..................................... 6.303%
C..................................... 6.525%
D..................................... 7.034%
E..................................... 7.750%
</TABLE>
Class X-1 Certificates
On each Distribution Date, the Holders of the Class X-1 Certificates are
entitled to receive (subject to the allocations of Realized Losses of interest,
Additional Expense Losses (to the extent allocated to reduce interest
distributions as described below) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest accrued during the related
Interest Accrual Period on the Class X-1 Notional Amount at a per annum rate
(the 'Class X-1 Rate') equal to the excess, if any, of the weighted average of
the Net Mortgage Interest Rates of the Mortgage Loans (or in the case of any
Discount Mortgage Loan, the then current Net Mortgage Interest Rate multiplied
by a fraction, the numerator of which is 7.750% and the denominator of which is
the Net Mortgage Interest Rate of such
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<PAGE>
Discount Mortgage Loan as of the Cut-Off Date) in Mortgage Loan Group 1 over
7.750%. The Class X-1 Rate for the initial Interest Accrual Period is expected
to be approximately 1.335% per annum.
Class X-1A Certificates
On each Distribution Date, the Holders of the Class X-1A Certificates are
entitled to receive (subject to the allocation of Realized Losses of interest,
Additional Expense Losses (to the extent allocated to reduce interest
distributions as described below) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest on the Class X-1A Notional
Amount at a per annum rate (the 'Class X-1A Rate') equal to the excess, if any,
of (a) 7.750%, over (b) the weighted average of the Certificate Interest Rates
for the Class A-1A Certificates, the Class A-1B Certificates, the Class A-1C
Certificates, the Class B Certificates, the Class C Certificates and the Class D
Certificates, weighted by their respective aggregate Certificate Principal
Amounts immediately prior to such Distribution Date. The Class X-1A Rate for the
initial Interest Accrual Period is expected to be approximately 1.645% per
annum.
Class X-2 Certificates
On each Distribution Date, the Holders of the Class X-2 Certificates are
entitled to receive (subject to the allocations of Realized Losses of interest,
Additional Expense Losses (to the extent allocated to reduce interest
distributions as described below) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest accrued during the related
Interest Accrual Period on the Class X-2 Notional Amount at a per annum rate
(the 'Class X-2 Rate') equal to the excess, if any, of the weighted average of
the Net Mortgage Interest Rates of the Mortgage Loans (or 7.750%, in the case of
Discount Mortgage Loans) in Mortgage Loan Group 2 over 7.750%. The Class X-2
Rate for the initial Interest Accrual Period is expected to be approximately
1.274% per annum.
Class X-2A Certificates
On each Distribution Date, the Holders of the Class X-2A Certificates are
entitled to receive (subject to the allocation of Realized Losses of interest,
Additional Expense Losses (to the extent allocated to reduce interest
distributions as described below) and Excess Prepayment Interest Shortfalls),
from the Interest Distribution Amount, interest on the Class X-2A Notional
Amount at a per annum rate (the 'Class X-2A Rate') equal to the excess, if any,
of (a) 7.750%, over (b) the weighted average of the Certificate Interest Rates
for the Class A-2A Certificates and the Class A-2B Certificates, weighted by
their respective aggregate Principal Amounts immediately prior to such
Distribution Date. The Class X-2A Rate for the initial Interest Accrual Period
is expected to be approximately 0.501% per annum.
Interest Distribution Priorities
The Interest Distribution Amount with respect to any Distribution Date will
be allocated on such Distribution Date in the following order of priority:
(i) to pay Distributable Certificate Interest with respect to such
Distribution Date and, to the extent not previously distributed, for all
prior Distribution Dates, to the Holders of the Class A-1A, Class A-1B,
Class A-1C, Class A-2A, Class A-2B, Class X-1, Class X-1A, Class X-2 and
Class X-2A Certificates, pro rata, in accordance with amounts of interest
distributable on such Classes of Certificates on such Distribution Date
pursuant to this clause (i);
(ii) then, to the Holders of the Class B Certificates, in an amount
equal to the Distributable Certificate Interest in respect of the Class B
Certificates for such Distribution Date and, to the extent not previously
paid, for all prior Distribution Dates;
(iii) then, to the Holders of the Class C Certificates, in an amount
equal to the Distributable Certificate Interest in respect of the Class C
Certificates for such Distribution Date and, to the extent not previously
paid, for all prior Distribution Dates;
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(iv) then, to the Holders of the Class D Certificates, in an amount
equal to the Distributable Certificate Interest in respect of the Class D
Certificates for such Distribution Date and, to the extent not previously
paid, for all prior Distribution Dates;
(v) then, to the Holders of the Class E Certificates, in an amount
equal to the Distributable Certificate Interest in respect of the Class E
Certificates for such Distribution Date and, to the extent not previously
paid, for all prior Distribution Dates;
(vi) then, to Holders of the Class F, Class G, Class H, Class I and
Class J Certificates, in that order, in an amount equal to the
Distributable Certificate Interest in respect of such Class and, to the
extent not previously paid, for all prior Distribution Dates; and
(vii) then, to the Holders of the Class LR Certificates.
With respect to any Class of Offered Certificates, the 'Distributable
Certificate Interest' for any Distribution Date generally will equal one month's
interest (calculated as described above), accrued at the related Certificate
Interest Rate, on the aggregate Certificate Principal Amount or Notional Amount,
as the case may be, of such Class of Certificates outstanding immediately prior
to such Distribution Date, reduced (to not less than zero) by any allocations,
to the extent described herein, to such Class of Certificates of the interest
portion of any Realized Losses, Excess Prepayment Interest Shortfalls,
Additional Expense Losses (to the extent allocated to reduce interest
distributions to such Class as described herein) and Appraisal Reduction Amounts
added to the Certificate Principal Amount of such Class for such Distribution
Date.
To the extent that the Interest Distribution Amount with respect to any
Distribution Date is insufficient to distribute the full amount of Distributable
Certificate Interest to which any Class of Certificates is entitled on such
Distribution Date, such shortfall (an 'Interest Shortfall') will be distributed
on subsequent Distribution Dates in accordance with the interest distribution
priorities described above to the extent that the Interest Distribution Amounts
on such Distribution Dates are sufficient therefor, but interest will not accrue
on Interest Shortfalls.
Appraisal 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 Scheduled Payments with respect to a Mortgage Loan if any
delinquency remains uncured, (ii) the date 12 months after a receiver is
appointed and continues in such capacity in respect of such Mortgaged Property
and (iii) the date a Mortgaged Property becomes a REO Property, an appraisal of
the related Mortgaged Property or REO Property, as the case may be, will be
ordered (at the expense of the Trust) from an independent MAI appraiser, if the
related Scheduled Principal Balance exceeds $1,000,000, or, an internal
valuation (which may not conform to MAI standards) will be performed if the
related 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
Reduction may be created. The 'Appraisal 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 (less the PO Percentage thereof in the case of a Discount
Mortgage Loan) of such Mortgage Loan or the Mortgage Loan relating to an REO
Property, as the case may be, (ii) to the extent not previously advanced by the
Servicer, the Trustee or the Fiscal Agent, all accrued and 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) an amount equal
to 90% of the 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 Reduction will equal the greater of (a) the amount
calculated in the immediately preceding sentence and (b) 30% of such Scheduled
Principal Balance (less the PO Percentage thereof in the case of a Discount
Mortgage Loan). With respect to any Mortgage Loan, if the appraisal has not been
received within 60 days of ordering, the Appraisal Reduction shall be 30% of
such Scheduled Principal
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Balance of such Mortgage Loan (less the PO Percentage thereof in the case of a
Discount Mortgage Loan); provided, however, that upon receipt of such appraisal,
the Appraisal Reduction will be recalculated. An Appraisal 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.
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 Reduction is allocated
on such Distribution Date, after allocations of the interest component of any
Realized Losses, Additional Expense Losses (to the extent allocated to reduce
interest distributions) and Excess Prepayment Interest Shortfalls, will be
reduced by the amount of interest accrued at the applicable Certificate Interest
Rate on the portion of the Certificate Principal Amount of such Class equal to
the Appraisal Reduction allocated to such Class or Classes for such Distribution
Date. The aggregate Appraisal Reduction will generally 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 J, Class I, Class H, Class G, Class F, Class E, Class D, Class C and Class
B Certificates, in that order. On any Distribution Date, an Appraisal Reduction
that otherwise would be allocated to a Class of Certificates will be allocated
to the next most subordinate Class to the extent that the amount of interest
otherwise distributable on such Class is less than the Appraisal Reduction
Amount for such Distribution Date. The portion of the interest that accrues on
the Class B, Class C, Class D, Class E, Class F, Class G, Class H, Class I and
Class J Certificates for each Interest Accrual Period at the applicable
Certificate Interest Rate on the portion of the Certificate Principal Amount
equal to the Appraisal Reduction allocated to such Class for such Distribution
Date will be the 'Appraisal Reduction Amount' for such Distribution Date. On
each Distribution Date, the Appraisal Reduction Amount will be added to the
Certificate Principal Amounts of the related Class J, Class I, Class H, Class G,
Class F, Class E, Class D, Class C and Class B Certificates, as the case may be,
and, with respect to any affected Mortgage Loan, the related Appraisal Reduction
Amount will be included in the Group 1 or Group 2 Principal Distribution Amount,
as the case may be, for such Distribution Date. Notwithstanding the foregoing,
the total amount of Appraisal Reduction Amount so added to the Certificate
Principal Amounts of each such Subordinate Certificate shall not exceed the
total amount of interest that would otherwise be distributed on such Subordinate
Certificate (after allocations of Realized Losses of interest and Additional
Expense Losses (to the extent allocated to reduce interest distributions to such
Certificate as described herein) and Excess Prepayment Interest Shortfalls).
With respect to each Mortgage Loan as to which an Appraisal Reduction has
occurred and which has become current and has remained current for twelve
consecutive Scheduled Payments, and with respect to which no other Servicing
Transfer Event has occurred and is continuing, the Servicer shall, within 30
days of the date of such twelfth Scheduled Payment, order an appraisal (which
may be an update of a prior appraisal) (the cost of which shall be an Additional
Trust Fund Expense) or perform an internal valuation, as applicable. Based upon
such appraisal, the Servicer shall thereupon redetermine and report to the
Trustee the amount of the Appraisal Reduction with respect to such Mortgage
Loan.
'Modified Mortgage Loan' means any Specially Serviced Mortgage Loan or
Rehabilitated Mortgage Loan which was modified by the Special Servicer.
DISTRIBUTIONS OF PRINCIPAL
On each Distribution Date, the Principal Distribution Amount with respect
to any Mortgage Loan Group will be distributed to the Holders of the Regular
Certificates (other than the Class X or Class P Certificates) related to such
Mortgage Loan Group as described below.
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.
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With respect to any Discount Mortgage Loan, the Holders of the Class P
Certificates will be entitled to receive an amount equal to the product of (a)
the PO Percentage, and (b) any amounts collected with respect to principal on
such Discount Mortgage Loan.
Group 1 Principal Distribution Amount
Prior to the Principal Aggregation Date (as defined below), the Group 1
Principal Distribution Amount for each Distribution Date 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, to the Holders of the Class A-1C Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero.
Group 2 Principal Distribution Amount
Prior to the Principal Aggregation Date, the Group 2 Principal Distribution
Amount will be distributed in the following order of priority:
(i) to the Holders of the Class A-2A Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
and
(ii) then, to the Holders of the Class A-2B Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero.
Principal Aggregation Date
On and after the Distribution Date on which the Certificate Principal
Amount of either the Class A-1C or the Class A-2B Certificates has been reduced
to zero (the 'Principal Aggregation Date'), the Group 1 Principal Distribution
Amount and the Group 2 Principal Distribution Amount (or, on the Principal
Aggregation Date, the remaining portion, if any, of such Principal Distribution
Amounts) will be aggregated into a single Principal Distribution Amount and will
be distributed on each Distribution Date in the following order of priority:
(i) if the Class A-1C Certificates have been retired, to the Holders
of the Class A-2A and Class A-2B Certificates, as described above; or, if
the Class A-2B Certificates have been retired, to the Holders of the Class
A-1A, Class A-1B and Class A-1C Certificates, as described above;
(ii) then, to the Holders of the Class B Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
(iii) then, to the Holders of the Class C Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
(iv) then, to the Holders of the Class D Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
(v) then, to the Holders of the Class E Certificates, until the
outstanding Certificate Principal Amount thereof has been reduced to zero;
(vi) then, to the Holders of the Class F, Class G, Class H, Class I
and Class J Certificates, in that order, until the outstanding Certificate
Principal Balance of each such Class has been reduced to zero; and
(vii) then, to the Holders of the Class LR Certificates.
Distributions of Prepayment Charges
On each Distribution Date, any Prepayment Charges collected during the
Prepayment Period related to such Distribution Date will be distributed,
separately from the Available Distribution
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Amount for such Distribution Date, pro rata, in proportion to each Class' PV
Yield Loss Amount up to the PV Yield Loss Amount of each Class.
The 'PV Yield Loss Amount' with respect to each Class of Regular
Certificates (other than the Class X and Class P Certificates), as calculated on
any Distribution Date in respect of any prepayment of principal of a Mortgage
Loan received during the related Prepayment Period, will equal the present value
of a series of monthly payments each equal to the Interest Payment Adjustment
(as defined below) for such Class of Certificates in connection with such
prepayment and payable on each subsequent Distribution Date to and including the
earlier to occur of (a) the Assumed Final Distribution Date for such Class of
Certificates or (b) the stated maturity date for such Mortgage Loan, discounted
at the applicable Reinvestment Yield (as defined below) (monthly compounding)
for the number of months remaining from the current Distribution Date to each
such subsequent Distribution Date to and including the earlier to occur of (a)
the Assumed Final Distribution Date for such Class of Certificates or (b) the
stated maturity date for such Mortgage Loan. The 'Interest Payment Adjustment'
in respect of each Class of Regular Certificates (other than the Class X and
Class P Certificates) in connection with a prepayment of principal of a Mortgage
Loan during any Prepayment Period is equal to one-twelfth of the product of (a)
the amount, if any, by which the Certificate Interest Rate for such Class of
Certificates for the related Distribution Date exceeds the applicable
Reinvestment Yield, multiplied by (b) the amount of such prepayment (exclusive
of the PO Percentage of such prepayment, in the case of a Discount Mortgage
Loan), multiplied by (c) a fraction, the numerator of which is the portion of
the applicable Principal Distribution Amount for such Distribution Date payable
in reduction of the aggregate Certificate Principal Amount of such Class of
Certificates, and the denominator of which is the Principal Distribution Amount
for the related Mortgage Loan Group for such Distribution Date.
The 'PV Yield Loss Amount' with respect to the Class X-1 and X-2
Certificates, as calculated on any Distribution Date in respect of any
prepayment of principal of a Mortgage Loan received during the related
Prepayment Period, will equal the present value of a series of monthly payments
each equal to the IO Interest Payment Adjustment (as defined below) for such
Class of Certificates in connection with such prepayment and payable on each
subsequent Distribution Date to and including the stated maturity for such
Mortgage Loan, discounted at the applicable IO Reinvestment Yield (as defined
below) (monthly compounding) for the number of months remaining from the current
Distribution Date to each such subsequent Distribution Date to and including the
stated maturity date for such Mortgage Loan. The 'IO Interest Payment
Adjustment' in respect of the Class X-1 and Class X-2 Certificates in connection
with a prepayment of principal of a Mortgage Loan during any Prepayment Period
is equal to one-twelfth of the product of the excess of the Net Mortgage
Interest Rate of the related Mortgage Loan over 7.750%, multiplied by the amount
of such prepayment (exclusive of the PO Percentage of such prepayment, in the
case of a Discount Mortgage Loan); provided, however, the Class X-1 or Class X-2
Certificates may only experience a PV Yield Loss Amount with respect to a
principal prepayment of a Mortgage Loan if such Mortgage Loan is used to
calculate the Notional Amount of such Class of Certificates.
The 'PV Yield Loss Amount' with respect to each Component of the Class X-1A
Notional Amount of the Class X-1A Certificates, as calculated on any
Distribution Date in respect of any prepayment of principal of a Mortgage Loan
received during the related Prepayment Period, will equal the aggregate of the
present values of a series of monthly payments, each equal to the Interest
Payment Adjustment for such Component in connection with such prepayment and
payable on each subsequent Distribution Date to and including the earlier to
occur of (a) the Assumed Final Distribution Date for such Class of Certificates
or (b) the stated maturity date for such Mortgage Loan, for the Class A-1A
Certificates in the case of Component A-1A, the Class A-1B Certificates in the
case of Component A-1B, the Class A-1C Certificates in the case of Component
A-1C, the Class B Certificates in the case of Component B, the Class C
Certificates in the case of Component C, and the Class D Certificates in the
case of Component D, discounted at the applicable Reinvestment Yield (monthly
compounding) for the number of months remaining from the current Distribution
Date to each such subsequent Distribution Date to and including the earlier to
occur of (a) the Assumed Final Distribution Date for such Class of Certificates
related to such Component or (b) the stated maturity date for such Mortgage
Loan. The 'Interest Payment Adjustment' in respect of any Component of the
aggregate Class X-1A
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Notional Amount of the Class X-1A Certificates in connection with a prepayment
of principal of a Mortgage Loan during any Prepayment Period is equal to
one-twelfth of the product of (x) the related Component Rate (that is, the
Component Rate with the same letter designation as such Component) for the
related Distribution Date, multiplied by (y) the amount of such prepayment
(exclusive of the PO Percentage of such prepayment, in the case of a Discount
Mortgage Loan), multiplied by (z) a fraction, the numerator of which is the
portion of either (i) the Group 1 Principal Distribution Amount for such
Distribution Date or (ii) on and after the Principal Aggregation Date resulting
from the Certificate Principal Amount of the Class A-2B Certificates being
reduced to zero, the Principal Distribution Amount for such Distribution Date,
deemed payable in reduction of the amount of such Component, and the denominator
of which is the Group 1 Principal Distribution Amount or the Principal
Distribution Amount, as applicable, for such Distribution Date.
The 'PV Yield Loss Amount' with respect to each Component of the Class X-2A
Notional Amount of the Class X-2A Certificates, as calculated on any
Distribution Date in respect of any prepayment of principal of a Mortgage Loan
received during the related Prepayment Period, will equal the aggregate of the
present values of a series of monthly payments, each equal to the Interest
Payment Adjustment for such Component in connection with such prepayment and
payable on each subsequent Distribution Date to and including the earlier to
occur of (a) the Assumed Final Distribution Date for such Class of Certificates
or (b) the stated maturity date for such Mortgage Loan, for the Class A-2A
Certificates in the case of Component A-2A and the Class A-2B Certificates in
the case of Component A-2B, discounted at the applicable Reinvestment Yield
(monthly compounding) for the number of months remaining from the current
Distribution Date to each such subsequent Distribution Date to and including the
earlier to occur of (a) the Assumed Final Distribution Date for such Class of
Certificates or (b) the stated maturity date for such Mortgage Loan. The
'Interest Payment Adjustment' in respect of any Component of the aggregate Class
X-2A Notional Amount of the Class X-2A Certificates in connection with a
prepayment of principal of a Mortgage Loan during any Prepayment Period is equal
to one-twelfth of the product of (x) the related Component Rate (that is, the
Component Rate with the same letter designation as such Component) for the
related Distribution Date, multiplied by (y) the amount of such prepayment
(exclusive of the PO Percentage of such prepayment, in the case of a Discount
Mortgage Loan), multiplied by (z) a fraction, the numerator of which is the
portion of either (i) the Group 2 Principal Distribution Amount for such
Distribution Date or (ii) on and after the Principal Aggregation Date resulting
from the Certificate Principal Amount of the Class A-1C Certificate being
reduced to zero, the Principal Distribution Amount for such Distribution Date,
deemed payable in reduction of the amount of such Component, and the denominator
of which is the Group 2 Principal Distribution Amount or the Principal
Distribution Amount, as applicable, for such Distribution Date.
The 'Component Rate' for each Component of the Class X-1A Notional Amount
for any Distribution Date will be: (a) with respect to Component A-1A, a per
annum rate equal to the difference between 7.750% and the Certificate Interest
Rate for the Class A-1A Certificates for such Distribution Date; (b) with
respect to Component A-1B, a per annum rate equal to the difference between
7.750% and the Certificate Interest Rate for the Class A-1B Certificates for
such Distribution Date; (c) with respect to Component A-1C, a per annum rate
equal to the difference between 7.750% and the Certificate Interest Rate for the
Class A-1C Certificates for such Distribution Date; (d) with respect to
Component B, a per annum rate equal to the difference between 7.750% and the
Certificate Interest Rate for the Class B Certificates for such Distribution
Date; (e) with respect to Component C, a per annum rate equal to the difference
between 7.750% and the Certificate Interest Rate for the Class C Certificates
for such Distribution Date; and (f) with respect to Component D, a per annum
rate equal to the difference between 7.750% and the Certificate Interest Rate
for the Class D Certificates.
The 'Component Rate' for each Component of the Class X-2A Notional Amount
for any Distribution Date will be: (a) with respect to Component A-2A, a per
annum rate equal to the difference between 7.750% and the Certificate Interest
Rate for the Class A-2A Certificates for such Distribution Date; and (b) with
respect to Component A-2B, a per annum rate equal to the difference between
7.750% and the Certificate Interest Rate for the Class A-2B Certificates for
such Distribution Date.
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The 'Reinvestment Yield' applicable to any of the Regular Certificates (and
to each Component of the aggregate Class X-1A or Class X-2A Notional Amount with
the same letter designation as the Class related to such Component), other than
the Class X-1, Class X-2 and Class P Certificates, for the foregoing purposes
will be equal to the yield on the U.S. Treasury issue (primary issue) with a
maturity date closest to the Assumed Final Distribution Date for such Class of
Certificates.
The 'IO Reinvestment Yield' applicable to the Class X-1 and Class X-2
Certificates for the foregoing purposes will be equal to the yield on the U.S.
Treasury issue (primary issue) with a maturity date closest to the stated
maturity date of the Mortgage Loan on which a prepayment of principal is
received.
The following is an example of the foregoing allocation of Prepayment
Charges, and is based on the assumptions that (i) a Group 1 Mortgage Loan with a
$10,000,000 unpaid principal balance, a Mortgage Interest Rate of 10% per annum
and a stated maturity date of February 1, 2006, prepays in full on its Due Date
during the initial Prepayment Period, (ii) such Mortgage Loan provides for the
payment of a Prepayment Charge calculated in accordance with the 'treasury'
yield maintenance formula described in clause (a) of this example below, (iii)
the U.S. Treasury issue (primary issue) with a maturity date closest to the
stated maturity date of such Mortgage Loan (the 'Treasury Yield') is 5.75% per
annum (with an equivalent nominal annual rate of approximately 5.682% paid
monthly), (iv) the Mortgage Loans provide for scheduled payments of interest
only on their respective Due Dates during the initial Prepayment Period, (v) no
other payment of principal is received on any Mortgage Loan during the initial
Prepayment Period, (vi) the applicable Reinvestment Yield for the Class A-1A
Certificates and Component A-1A of the aggregate Notional Amount of the Class
X-1A Certificates is 5.25% per annum (with an equivalent annual rate of
approximately 5.193% paid monthly), (vii) the applicable Reinvestment Yield for
the Class X-1 Certificates is 5.75% per annum (with an equivalent nominal annual
rate of 5.682% paid monthly), (viii) the Certificate Interest Rate for the Class
A-1A Certificates equals 5.711%, (ix) the Component Rate for Component A-1A is
2.039%, (x) the IO Interest Payment Adjustment is based on an assumed Net
Mortgage Interest Rate of the Group 1 Mortgage Loan of 9.116% minus 7.75%, and
(xi) the Assumed Final Distribution Date of the Class A-1A Certificates is
December 25, 1997, and is otherwise based on the 'Modeling Assumptions' set
forth in Appendix D hereto.
(a) The 'Payment Differential' for the Mortgage Loan being prepaid
would be an amount equal to (i) 10% (the loan's Mortgage Interest Rate)
minus approximately 5.682% (the equivalent nominal annual rate paid monthly
of the applicable Treasury Yield of 5.75%), divided by (ii) 12, multiplied
by (iii) $10,000,000 (the amount being prepaid), or $35,980.78. The
Prepayment Charge payable in connection with the assumed Principal
Prepayment would equal the present value of a series of payments each equal
to such Payment Differential and payable on each Due Date over the
remaining term of the Mortgage Loan being prepaid (which is 120 months)
discounted at the applicable Treasury Yield for the number of months
remaining from the date of prepayment to each such Due Date through the
stated maturity date for such loan, or $3,287,963.15.
(b) Because the assumed Principal Prepayment would be applied only in
reduction of the aggregate Certificate Principal Amount of the Class A-1A
Certificates, the Notional Amount of the Class X-1 and Component A-1A of
the aggregate Notional Amount of the Class X-1A Certificates, only the
Class A-1A, Class X-1 and Class X-1A Certificates would have a PV Yield
Loss Amount greater than zero in connection with such Principal Prepayment.
(c) The Interest Payment Adjustment for the Class A-1A Certificates in
connection with the assumed Principal Prepayment would equal one-twelfth of
(i) approximately 5.711% (the Certificate Interest Rate for the Class A-1A
Certificates for the initial Distribution Date) minus approximately 5.193%
(the equivalent nominal annual rate paid monthly of the applicable
Reinvestment Yield of 5.25%), multiplied by (ii) $10,000,000 (the amount
prepaid), multiplied by (iii) 100% (the portion of the related Principal
Distribution Amount for the initial Distribution Date payable in reduction
of the aggregate Certificate Principal Amount of the Class A-1A
Certificates), or $4,312.65.
(d) The IO Interest Payment Adjustment for the Class X-1 Certificates
in connection with the assumed Principal Prepayment would equal one-twelfth
of (i) 9.116% (the Net Mortgage Interest
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Rate on the Group 1 Mortgage Loan) minus 7.75% (the assumed maximum
Certificate Interest Rate on any Class of Certificates) multiplied by
$10,000,000 (the Notional Amount prepaid), or $11,383.33.
(e) The Interest Payment Adjustment for Component A-1A of the
aggregate Notional Amount of the Class X-1A Certificates in connection with
the assumed Principal Prepayment would equal one-twelfth of (i) 2.039% (the
assumed Component A-1A Rate for the initial Distribution Date), multiplied
by (ii) $10,000,000 (the amount prepaid), multiplied by (iii) 100% (the
portion of the related Principal Distribution Amount for the initial
Distribution Date payable in reduction of Component A-1A of the aggregate
Notional Amount of the Class X-1A Certificates), or $16,991.67.
(f) The PV Yield Loss Amount for the Class A-1A Certificates would
equal the present value of a series of 22 monthly payments each equal to
the Interest Payment Adjustment for such Class of Certificates in
connection with the assumed Principal Prepayment and payable on each
subsequent Distribution Date to and including the Assumed Final
Distribution Date for such Class of Certificates, discounted at the
applicable Reinvestment Yield (monthly compounding) for the number of
months remaining from the initial Distribution Date to each such subsequent
Distribution Date to and including the Assumed Final Distribution Date, or
$90,315.21.
(g) The PV Yield Loss Amount for the Class X-1 Certificates would
equal the present value of a series of 120 monthly payments each equal to
the IO Interest Payment Adjustment for such Class of Certificates in
connection with the assumed Principal Prepayment and payable on each
subsequent Distribution Date to and including the Distribution Date
corresponding to the stated maturity date for the prepaid Mortgage Loan,
discounted at the applicable IO Reinvestment Yield (monthly compounding)
for the number of months remaining from the initial Distribution Date to
each such subsequent Distribution Date to and including the Distribution
Date which corresponds with the stated maturity date of the prepaid
Mortgage Loan, or $1,040,221.36.
(h) The PV Yield Loss Amount for the Class X-1A Certificates would
equal the present value of a series of 22 monthly payments each equal to
the Interest Payment Adjustment for Component A-1A of the aggregate
Notional Amount of Class X-1A Certificates in connection with the assumed
Principal Prepayment and payable on each subsequent Distribution Date to
and including the Assumed Final Distribution Date for the Class A-1A
Certificates, discounted at the applicable Reinvestment Yield (monthly
compounding) for the number of months remaining from the initial
Distribution Date to each such subsequent Distribution Date to and
including the Assumed Final Distribution Date, or $355,838.62.
(i) On the initial Distribution Date, the above-referenced
$3,287,963.15 Prepayment Charge would be paid to the Holders of the Class
A-1A, Class X-1 and Class X-1A Certificates pro rata, in proportion to each
such Class PV Yield Loss Amount determined above, in each case up to their
respective PV Yield Loss Amounts, and the balance, if any, would be paid to
the holders of the Class LR Certificates.
SUBORDINATION; ALLOCATION OF LOSSES AND CERTAIN EXPENSES
The rights of Holders of the Class B Certificates, the Class C
Certificates, the Class D Certificates, the Class E Certificates, Class F
Certificates, Class G Certificates, Class H Certificates, Class I Certificates
and Class J 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 Class A Certificates of
principal in an amount equal to the entire Certificate Principal Amount of the
Class A 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
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Certificates, the Holders of the Class C Certificates, the Holders of the Class
D Certificates and the Holders of the Class E 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 Certificates, the
Holders of the Class C Certificates, the Holders of the Class D Certificates and
the Holders of Class E 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 E Certificates by means of the
subordination of the Non-Offered Certificates (other than the Class P
Certificates), to the Holders of the Class D Certificates by the subordination
of the Class E Certificates and the Non-Offered Certificates (other than the
Class P Certificates), to the Holders of the Class C Certificates by means of
the subordination of the Class D, the Class E and the Non-Offered Certificates
(other than the Class P Certificates), to the Holders of the Class B
Certificates by means of the subordination of the Class C, the Class D, the
Class E and the Non-Offered Certificates (other than the Class P Certificates),
and to the Holders of the Senior 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 Class A Certificates, for so long as they are
outstanding, of the entire Principal Distribution Amount for each Distribution
Date with respect to the related Mortgage Loan Group will have the effect of
reducing the aggregate Certificate Principal Amount of the Class A Certificates
at a faster rate than the aggregate Scheduled Principal Balance of the Mortgage
Pool. Thus, as principal is distributed to the Holders of the Class A
Certificates, the percentage interest in the Trust Fund evidenced by the Class A
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 Class A Certificates by the Subordinate Certificates.
Following retirement of the Class A Certificates, the successive allocation on
each Distribution Date of the Principal Distribution Amount with respect to both
Mortgage Loan Groups to the Class B Certificates, the Class C Certificates, the
Class D Certificates and the Class E Certificates, in that order, in each case
for so long as they are outstanding, will provide a similar benefit to each such
Class of Certificates as to the relative amount of subordination afforded by the
other Classes of Certificates with later alphabetical Class designations (other
than the Class P and Class X Certificates).
On each Distribution Date, all Realized Losses (other than the PO
Percentage of any Realized Losses on any Discount Mortgage Loan) will be
allocated (separately in the case of Realized Losses of principal and interest)
to reduce the Certificate Principal Amount of, or the interest payable to, the
Class J, Class I, 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
interest otherwise payable to, each such Class has been reduced to zero. Any
remaining Realized Losses of principal on Mortgage Loans in Mortgage Loan Group
1 will be allocated to the Class A-1A, Class A-1B and Class A-1C Certificates
and, in the case of Realized Losses of interest, the Class A-1A, Class A-1B,
Class A-1C, Class X-1 and X-1A Certificates (pro rata, in the case of Realized
Losses of principal, based on the Certificate Principal Amounts of the Class
A-1A, Class A-1B and Class A-1C Certificates to the extent of the remaining
Certificate Principal Amount thereof, if any, and, in the case of Realized
Losses of interest, based on the interest otherwise payable to the Classes of
Class A-1A, Class A-1B, Class A-1C, Class X-1 and Class X-1A Certificates). Any
remaining Realized Losses of principal in Mortgage Loan Group 2 will be
allocated to the Class A-2A and Class A-2B Certificates and, in the case of
Realized Losses of interest, the Class A-2A, Class A-2B, Class X-2 and Class
X-2A Certificates (pro rata, in the case of Realized Losses of principal, based
on the Certificate Principal Amounts of the Class A-2A and Class A-2B
Certificates to the extent of the remaining Certificate Principal Amount
thereof, if any, and in the case of Realized Losses of interest, based on the
interest otherwise payable to the Class A-2A, Class A-2B, Class X-2 and Class
X-2A Certificates). Only the Non-PO Percentage of any Realized Losses of
principal on the Discount Mortgage Loans will be allocated to the Regular
Certificates (other than the Class X and Class P Certificates).
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'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 Mortgagor, or a casualty of any nature at the related
Mortgaged Property, to the extent not covered by insurance. A Realized Loss in
respect of a liquidated Mortgage Loan (or related REO Property) is an amount
generally equal to the excess, if any, of (a) the outstanding principal balance
of such Mortgage Loan (or deemed principal balance in the case of an REO
Property) as of the date of final liquidation, together with (i) all accrued and
unpaid interest thereon (or interest deemed to have accrued in the case of an
REO Property) at the related Mortgage Interest Rate to but not including the Due
Date in the Due Period in which the liquidation occurred, (ii) all unreimbursed
Servicing Advances with respect to such Mortgage Loans, and (iii) accrued and
unpaid interest on unreimbursed Advances, over (b) the aggregate amount of
Liquidation Proceeds, if any, recovered in connection with such liquidation (net
of any portion of such Liquidation Proceeds that is payable or reimbursable in
respect of the expenses of 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
Mortgagor, the amount so forgiven also will be treated as a Realized Loss of
principal or interest, as applicable. Realized Losses on a Mortgage Loan will be
allocated first to the principal balance of that Mortgage Loan, and then to
interest.
On each Distribution Date, any Additional Expense Losses with respect to
such Distribution Date will be allocated in the following order: first, to
reduce the amount of interest otherwise distributable to the Class J, Class I,
Class H, Class G and Class F Certificates, in that order, and second, any
remaining Additional Expense Losses will reduce the amounts available for
principal distributions on such Distribution Date. An amount equal to such
principal shortfall will be allocated to the Classes of Certificates in the same
manner as Realized Losses of principal are allocated, such that there will be a
corresponding reduction to the Certificate Principal Amounts of the outstanding
Classes of Certificates in reverse alphabetical order. In the event that any
Additional Expense Losses remain on any Distribution Date after the allocations
set forth above, such remaining Additional Expense Losses will be allocated to
reduce the amount of interest otherwise distributable on such Distribution Date
to the Class E, Class D, Class C and Class B Certificates, in that order, and
then any remaining Additional Expense Losses will be allocated to the Senior
Certificates, pro rata, based upon the amount of interest otherwise
distributable to such Classes on such Distribution Date.
An 'Additional Expense Loss' is any loss realized upon payment by the Trust
of an Additional Trust Fund Expense; provided that the payment of interest in
respect of unreimbursed Advances will be deemed not to be an Additional Expense
Loss to the extent that such payment is made out of late payment charges and/or
default interest collected on the related Mortgage Loan and the payment of any
Additional Trust Fund Expense will be deemed not to be an Additional Expense
Loss to the extent that such payment is made out of the portion of Insurance
Proceeds, Condemnation Proceeds, Liquidation Proceeds or the proceeds of any
repurchase of a Mortgage Loan paid in respect of the related Mortgage Loan or
REO Property to cover the same.
'Additional Trust Fund Expenses' include, among other things: (i) any
interest paid to the Servicer, the Trustee, or the Fiscal Agent in respect of
Advances that cannot be reimbursed out of collections on the related Mortgage
Loan or REO Property; (ii) certain additional compensation payable to the
Special Servicer in connection with a Mortgage Loan becoming a Specially
Serviced Mortgage Loan or an REO Property; and (iii) any of certain
unanticipated, non-Mortgage Loan specific expenses of the Trust Fund, including,
but not limited to, certain reimbursements and indemnification to the Trustee or
the Fiscal Agent and certain related persons described under ' -- The Trustee'
below, certain unanticipated reimbursements and indemnification to the Servicer,
the Special Servicer and certain related persons described under 'SERVICING OF
MORTGAGE LOANS -- Certain Matters Regarding the Servicer and the Special
Servicer' herein, certain taxes payable from the assets of the Trust Fund and
described under 'FEDERAL INCOME TAX CONSIDERATIONS -- Taxation of the
REMIC -- Income from Foreclosure Property' and ' -- Taxation of Holders of
Residual Interest Securities -- Prohibited Transactions and Contributions Tax'
in the Prospectus, certain tax-related expenses and the cost of various opinions
of counsel required to be obtained in connection with the servicing of the
Mortgage Loans and the administration of the Trust, in each case to the extent
that the
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Trust has not obtained, and in the reasonable good faith judgment of the Trustee
will not obtain, reimbursement or indemnification thereof from any person or
from the proceeds of the liquidation or disposition of any Mortgage Loan or REO
Property.
PREPAYMENT INTEREST SHORTFALLS AND EXCESS PREPAYMENT INTEREST
For any Distribution Date, a 'Prepayment Interest Shortfall' will arise
with respect to any Mortgage Loan by reason of (a) a full or partial Principal
Prepayment (other than in connection with a default, casualty, liquidation or
condemnation) that occurs in any calendar month during the Prepayment Period
that commences in such month and prior to the Due Date in such month or (b) a
Balloon Payment having a Due Date that occurs less than one full month after the
preceding Due Date for such Mortgage Loan. Such a shortfall arises because
interest ceases to accrue on the Principal Prepayment or the principal portion
of such Balloon Payment on the date of payment, but continues to accrue on the
Certificates through the end of the related Interest Accrual Period. In such
case, the Prepayment Interest Shortfall will generally equal the excess of (a)
the aggregate amount of interest which would have accrued on the Scheduled
Principal Balance of such Mortgage Loan for the one month period commencing on
the Due Date preceding such Principal Prepayment or Balloon Payment over (b) the
aggregate interest that did so accrue through the date such payment was made.
On the other hand, excess interest will arise by reason of (a) a full or
partial Principal Prepayment that occurs in any calendar month prior to the
first day of the Prepayment Period that commences in such month or (b) a Balloon
Payment having a Due Date in the same Due Period as that in which the preceding
Due Date for such Mortgage Loan occurs. Such excess arises because interest
continues to accrue on the Mortgage Loan from the Due Date that occurs in the
Due Period related to the Distribution Date on which such Principal Prepayment
or Balloon Payment is distributed to the date of such Principal Prepayment or
the Due Date for such Balloon Payment. Such excess interest ('Excess Prepayment
Interest') with respect to such Distribution Date will generally be equal to the
interest that accrues on such Principal Prepayment or the principal portion of
such Balloon Payment from the Due Date that occurs in such Due Period to the
date of such Principal Prepayment or the Due Date for such Balloon Payment.
To the extent that the aggregate of such Prepayment Interest Shortfalls for
all Mortgage Loans exceed such aggregate Excess Prepayment Interest for such
Mortgage Loans as of any Distribution Date (such amounts, 'Net Prepayment
Interest Shortfalls'), such amount will reduce the Servicing Fee (but not the
fees payable to the Special Servicer in the case of Specially Serviced Mortgage
Loans, or to the Trustee) to which the Servicer would otherwise be entitled with
respect to such Distribution Date up to the amount sufficient to offset fully
such Net Prepayment Interest Shortfalls. See 'SERVICING OF MORTGAGE LOANS -- The
Servicer -- Adjustment to Servicer's Fee in Connection with Prepaid Mortgage
Loans' herein. Any Prepayment Interest Shortfall in excess of the sum of (x) the
Excess Prepayment Interest and (y) the Servicing Fee ('Excess Prepayment
Interest Shortfall') will generally be allocated among the outstanding Classes
of Certificates by (i) first, calculating Excess Prepayment Interest Shortfalls
for the Group 1 Mortgage Loans and Group 2 Mortgage Loans separately, (ii)
second, applying any Excess Prepayment Interest and Servicing Fee relating to a
Mortgage Loan Group that is not needed to offset Prepayment Interest Shortfalls
in such Mortgage Loan Group to offset any Prepayment Interest Shortfalls in the
other Mortgage Loan Group, and (iii) third, allocating Excess Prepayment
Interest Shortfalls remaining with respect to a Mortgage Loan Group to each
Class of Certificates relating to such Mortgage Loan Group in the ratio that the
interest with respect to such Class, if there had been no Excess Prepayment
Interest Shortfall, calculated prior to the allocation of Realized Losses of
interest, Additional Expense Losses (to the extent allocated to reduce interest
distributions on such Class) and Appraisal Reduction Amounts, would bear to the
total of the interest accrued on all Classes of Certificates relating to such
Mortgage Loan Group if there had been no Excess Prepayment Interest Shortfall.
To the extent that such Excess Prepayment Interest for all Mortgage Loans
exceeds such Prepayment Interest Shortfalls for all Mortgage Loans as of any
Distribution Date, such excess amount (the 'Net Excess Prepayment Interest')
will be payable to the Servicer as additional servicing compensation.
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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 Pooling Agreement) in accordance with the provisions
set forth in the Pooling Agreement.
The Pooling Agreement provides that the aggregate principal amount of
unreimbursed Advances required to be made by the Servicer shall not exceed
$15,000,000 (the 'Servicer Advance Limitation') at any one time. However, for
administrative convenience, the Servicer may make Advances in excess of such
Servicer Advance Limitation. To the extent that Advances in excess of the
Servicer Advance Limitation are required to be made, or the Servicer fails to
make an Advance required to be made, the Trustee shall make such required
Advances pursuant to the Pooling Agreement. In the event the Trustee fails to
make such required Advances, the Fiscal Agent will make such Advances. Neither
the Trustee's nor the Fiscal Agent's obligations to make Advances will be
subject to a dollar limitation.
The Servicer, subject to the limitations described herein, and the Trustee,
if a Servicer Advance Limitation is reached or 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, with respect to each Distribution Date of (i) with respect to all
Mortgage Loans other than those described in clause (ii) of this sentence, all
delinquent Scheduled Payments due during the related Mortgage Loan Due Period;
and (ii) in the case of a Balloon Mortgage Loan delinquent in respect of its
Balloon Payment or a Mortgage Loan as to which the related Mortgaged Property
has become an REO Property, the excess, if any, of the Assumed Scheduled Payment
deemed due in respect of such Mortgage Loan during the related Mortgage Loan Due
Period, over any amounts collected on or in respect of such Mortgage Loan and
applied as previously unpaid principal of, or interest on, such Mortgage Loan
('P&I Advances').
The Servicer, subject to the limitations described herein, and the Trustee,
if a Servicer Advance Limitation is reached or 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 cash advances with respect to any Mortgaged Property to the extent
necessary to pay taxes and insurance premiums that the related Mortgagor failed
to pay and for certain other servicing and property protection expenses
('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 (together with interest
that would accrue thereon), in the reasonable business judgment of the Servicer,
the Trustee or the Fiscal Agent, as applicable, are ultimately not recoverable
from future payments and other collections on or in respect of the related
Mortgaged Property or REO Property, including Insurance Proceeds, Condemnation
Proceeds and Liquidation Proceeds. Any determination of non-recoverability by
the Servicer, the Trustee or the Fiscal Agent is to be supported by analysis by
the Servicer, the Trustee or the Fiscal Agent, as applicable, of the possibility
for repayment of such Advance (together with interest that would accrue thereon)
giving full consideration to the cash flow generated by and the value of the
related Mortgaged Property. In addition, the Servicer, the Trustee or the Fiscal
Agent, as applicable, may, in making a non-recoverability determination, take
into account the costs of any environmental remediation with respect to the
related Mortgaged Property or REO Property. The Servicer, the Trustee and the
Fiscal Agent will not have any liability to the Trust Fund, the
Certificateholders or any other person if a determination that a proposed
Advance is nonrecoverable proves to be wrong or incorrect, so long as such
determination and the related analysis were made in good faith by the Servicer,
the Trustee or the Fiscal Agent, as applicable. To the extent that such proceeds
in respect of any Mortgage Loan or REO Property are not available in an amount
sufficient to reimburse such Advances made 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 prior to the allocation
thereof to pay principal and interest on the Certificates. Notwithstanding the
foregoing, if the Trustee or the Fiscal Agent, as the case may be, is required
to make an Advance with respect to a Mortgage Loan due to the Servicer Advance
Limitation being met and collections on such Mortgage Loan during the Mortgage
Loan Due Period immediately following such Advance are insufficient to reimburse
the Trustee or the Fiscal
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Agent, as applicable, for such Advance (including interest accrued thereon), the
Trustee or Fiscal Agent, as the case may be, may be reimbursed prior to the
Servicer from amounts available to reimburse Advances on any Mortgage Loan.
To the extent that a Mortgagor is not obligated under the related Mortgage
Loan documents to pay or reimburse any portion of any Advances and/or interest
thereon that are outstanding with respect to the related Mortgage Loan as a
result of a modification or workout of such Mortgage Loan which forgives
unreimbursed amounts for which the Servicer, the Trustee or the Fiscal Agent had
previously advanced, such Advances and/or interest thereon shall be deemed to be
nonrecoverable.
The Servicer, the Trustee and the Fiscal Agent are each entitled to
interest on the aggregate amount of Advances made thereby with respect to a
Mortgage Loan or REO Property. Interest will accrue on each such Advance at a
per annum rate (the 'Advance Rate') equal to the 'Prime Rate' (as published from
time to time in the 'Money Rates' section of The Wall Street Journal or, if such
publication is no longer available, such other publication as determined by the
Trustee in its reasonable discretion) until repaid and will generally be payable
out of late payment charges and/or default interest, if any, collected in
respect of the related Mortgage Loan or, if such amounts are or will be
insufficient, out of any amounts on deposit in the Collection Account at the
time such Advance is reimbursed. Pursuant to the terms of the Pooling Agreement,
with respect to Advances made on all Mortgage Loans, the Trustee 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), and the Fiscal Agent will be entitled to recover all of its
Advances (and interest accrued thereon) before the Trustee and the Servicer are
entitled to recover any of their respective aggregate Advances (and interest
accrued thereon), in each case, from funds on deposit in the Collection Account.
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, the Operating Adviser and each Rating
Agency:
1. A statement (a 'Distribution Date Statement') setting forth, among
other things: (i) the amount of distributions, if any, made on such
Distribution Date to the Holders of each Class of Offered Certificates and
applied to reduce the respective Certificate Principal Amounts thereof;
(ii) the amount of distributions, if any, made on such Distribution Date to
Holders of each Class of Offered Certificates allocable to (A)
Distributable Certificate Interest and/or (B) Prepayment Charges; (iii) the
number of outstanding Mortgage Loans, the aggregate Scheduled Principal
Balance and the aggregate unpaid principal balance of the Mortgage Loans in
each Mortgage Loan Group at the close of business on the related
Determination Date; (iv) the number and aggregate unpaid principal balance
of Mortgage Loans in each Mortgage Loan Group (A) delinquent one month, (B)
delinquent two months, (C) delinquent three or more months, (D) that are
Specially Serviced Mortgage Loans that are not delinquent, or (E) as to
which foreclosure proceedings have been commenced; (v) with respect to any
Mortgage Loan as to which the related Mortgaged Property became an REO
Property during the preceding calendar month, the Scheduled Principal
Balance and unpaid principal balance of such Mortgage Loan as of the date
such Mortgaged Property became an REO Property; (vi) as to any Mortgage
Loan repurchased by CLIC (U.S.) or otherwise liquidated or disposed of
during the related Prepayment Period, the loan number thereof and the
amount of proceeds of any repurchase of a Mortgage Loan, Liquidation
Proceeds and/or other amounts, if any, received thereon during the related
Prepayment Period and the portion thereof included in the Available
Distribution Amount for such Distribution Date; (vii) with respect to any
REO Property included in the Trust Fund as of the close of business on the
related Determination Date, the loan number of the related Mortgage Loan,
the book value of such REO Property and the amount of any other income
collected with respect to any REO Property net of related expenses and
other amounts, if any, received on such REO Property during the related
Prepayment Period and the portion thereof included in the Available
Distribution Amount for such
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Distribution Date; (viii) with respect to any REO Property sold or
otherwise disposed of during the related Prepayment Period, (A) the loan
number of the related Mortgage Loan and the amount of sale proceeds and
other amounts, if any, received in respect of such REO Property during the
related Prepayment Period and the portion thereof included in the Available
Distribution Amount for such Distribution Date and (B) 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'); (ix) the aggregate Certificate Principal Amount of each
Class of Offered Certificates before and after giving effect to the
distributions made on such Distribution Date, separately identifying any
reduction in the aggregate Certificate Principal Amount of each such Class
due to Realized Losses and Additional Expense Losses; (x) the aggregate
amount of Principal Prepayments made during the related Prepayment Period
and the aggregate amount of any Excess Prepayment Interest Shortfalls for
such Distribution Date; (xi) the Certificate Interest Rate applicable to
each Class of Offered Certificates for such Distribution Date; (xii) the
aggregate amount of servicing compensation retained by or paid to the
Servicer and the Special Servicer during the related Due Period; (xiii) the
amount of Realized Losses, Additional Expense Losses and Interest
Shortfalls, if any, incurred with respect to the Mortgage Loans during the
related Prepayment Period; (xiv) 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 (xv) the amount of any Appraisal
Reductions effected during the related Due Period on a loan-by-loan basis
and the total Appraisal Reduction Amounts as of such Distribution Date on a
loan-by-loan basis. In the case of information furnished pursuant to
subclauses (i), (ii) and (ix) above, the amounts shall be expressed as a
dollar amount in the aggregate for all Certificates of each applicable
Class and per single Certificate of a specified minimum 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 in the tables under
the caption 'THE TRUST -- Description of the Mortgage Pool' (calculated,
where applicable, on the basis of the most recent relevant information
provided by the Mortgagors to the Servicer or the Special Servicer and by
the Servicer or the Special Servicer, as the case may be, to the Trustee)
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, Mortgage Interest Rate, paid through date, maturity date, net
interest portion of the Scheduled Payment, principal portion of the
Scheduled Payment and any Prepayment Charge received. Such loan-by-loan
listing will be made available electronically; provided, however, the
Trustee will provide Certificateholders with a written copy of such report
upon written request.
Certain information made available in the Distribution Date Statements
referred to in item (1) above may be obtained by calling LaSalle National
Bank's ASAP System at (312) 904-2200 and requesting statement number 172 or
such other mechanism as the Trustee may have in place from time to time.
The Servicer is required to deliver to the Trustee prior to each
Distribution Date, and the Trustee is to deliver to each Certificateholder, the
Depositor, the Operating Adviser and each Rating Agency on each Distribution
Date, the following six reports:
(a) A 'Top 100 Comparative Financial Status Report' substantially
containing the content in Appendix C-1 attached hereto, setting forth, to
the extent such information is provided by the related Mortgagor, among
other things, the occupancy, revenue, net operating income and debt service
coverage ratio for the 100 Mortgage Loans with the greatest outstanding
principal balance as of the current Determination Date for each of three
periods: (i) the most current available year-to-date, (ii) the previous two
full fiscal years, and (iii) the 'base year' (representing the original
underwriting information used as of the Cut-Off Date).
(b) A 'Delinquent Loan Status Report' substantially containing the
content in Appendix C-2 attached hereto, setting forth, among other things,
those Mortgage Loans which, as of the close of business on the
Determination Date immediately preceding the preparation of such report,
were
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delinquent 30-59 days, delinquent 60-89 days, delinquent 90 days or more,
current but specially serviced, or in foreclosure but not REO Property.
(c) An 'Historical Loan Modification Report' substantially containing
the content in Appendix C-3 attached hereto, setting forth, among other
things, those Mortgage Loans which, as of the close of business on the
Determination Date immediately preceding the preparation of such report,
have been modified pursuant to the Pooling Agreement (i) during the related
Prepayment Period and (ii) since the Cut-Off Date, showing the original and
the revised terms thereof.
(d) An 'Historical Loss Estimate Report' substantially containing the
content in Appendix C-4 attached hereto, setting forth, among other things,
as of the close of business on the Determination Date immediately preceding
the preparation of such report, (i) the aggregate amount of liquidation
proceeds and liquidation expenses, both for the current period and
historically, and (ii) the amount of Realized Losses occurring during the
related Prepayment Period, set forth on a Mortgage Loan-by-Mortgage Loan
basis.
(e) An 'REO Status Report' substantially containing the content in
Appendix C-5 attached hereto, setting forth, among other things, with
respect to each REO Property that was included in the Trust Fund as of the
close of business on the Determination Date immediately preceding the
preparation of such report, (i) the acquisition date of such REO Property,
(ii) the amount of income collected with respect to any REO Property net of
related expenses and other amounts, if any, received on such REO Property
during the related Prepayment Period and (iii) the value of the REO
Property based on the most recent appraisal or other valuation thereof
available to the Servicer as of such date of determination (including any
prepared internally by the Special Servicer).
(f) A 'Watch List' substantially containing the content in Appendix
C-6 attached hereto, setting forth, among other things, any Mortgage Loan
that is in jeopardy of becoming a Specially Serviced Mortgage Loan.
The information that pertains to Specially Serviced Mortgage Loans and REO
Properties reflected in such reports shall be based solely upon the reports
delivered by the Special Servicer to the Servicer prior to the related
Distribution Date. Absent manifest error, none of the Servicer, the Special
Servicer or the Trustee shall be responsible for the accuracy or completeness of
any information supplied to it by a Mortgagor or third party that is included in
any reports, statements, materials or information prepared or provided by the
Servicer, the Special Servicer or the Trustee, as applicable.
The Servicer is also required to deliver to the Trustee the following
materials:
(a) Annually, on or before June 30 of each year, commencing with June
30, 1996, with respect to each Mortgaged Property and REO Property, an
'Operating Statement Analysis' substantially containing the content in
Appendix C-7 attached hereto as of the end of the preceding fiscal year,
together with copies of the operating statements and rent rolls (but only
to the extent the related Mortgagor is required by the Mortgage to deliver,
or otherwise agrees to provide such information) for such Mortgaged
Property or REO Property as of the end of the preceding calendar year. The
Servicer (or the Special Servicer in the case of Specially Serviced
Mortgage Loans and REO Properties) is required to use its best reasonable
efforts to obtain said annual operating statements and rent rolls.
(b) Within thirty days of receipt by the Servicer (or within ten days
of receipt by the Special Servicer with respect to any Specially Serviced
Mortgage Loan or REO Property) of annual operating statements, if any, with
respect to any Mortgaged Property or REO Property, an 'NOI Adjustment
Worksheet' for such Mortgaged Property (with the annual operating
statements attached thereto as an exhibit), presenting the computations
made in accordance with the methodology described in the Pooling Agreement
to 'normalize' the full year net operating income and debt service coverage
numbers used by the Servicer in the other reports referenced above.
(c) Prior to each Distribution Date, a 'Comparative Financial Status
Report' substantially containing the content in Appendix C-1 attached
hereto, setting forth, among other things, the occupancy, revenue, net
operating income and debt service coverage ratio for each Mortgage Loan for
each of three periods (to the extent such information is available): (i)
the most current available
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year-to-date, (ii) the previous two full fiscal years, and (iii) the 'base
year' (representing the original underwriting information used as of the
Cut-Off Date).
The Trustee is to deliver a copy of each Operating Statement Analysis
report, NOI Adjustment Worksheet and Comparative Financial Status Report that it
receives from the Servicer to the Depositor, the Operating Adviser and each
Rating Agency promptly after its receipt thereof. Upon request, the Trustee will
make such reports available to the Certificateholders and the Special Servicer.
Any Certificateholder may obtain a copy of any NOI Adjustment Worksheet for a
Mortgaged Property or REO Property in the possession of the Trustee upon
request.
In addition, within a reasonable period of time after the end of each
calender year, the Trustee is required to send to each person who at any time
during the calendar year was a Certificateholder of record, a report summarizing
on an annual basis (if appropriate) the items provided to Certificateholders in
the monthly Distribution Date Statements and such other information as may be
required to enable such Certificateholders to prepare their federal income tax
returns. Such information is to include the amount of original issue discount
accrued on each Class of Offered Certificates held by persons other than holders
exempted from the reporting requirements and information regarding the expenses
of the Trust Fund.
Other Information
The Pooling Agreement requires that the Trustee make available at its
offices, during normal business hours, for review by any Holder of an Offered
Certificate, the Depositor, the Special Servicer, the Servicer, the Operating
Adviser, the Extension Adviser, any Rating Agency 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 Pooling
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 annual officers' certificates and accountants' reports
delivered by the Servicer and Special Servicer to the Trustee since the Closing
Date regarding compliance with the relevant agreements (see 'SERVICING OF
MORTGAGE LOANS -- Evidence as to Compliance' in the Prospectus), (iv) the most
recent property inspection report prepared by or on behalf of the Servicer or
the Special Servicer with respect to each Mortgaged Property, (v) the most
recent annual operating statements and rent rolls (to the extent such
information has been made available by the related Mortgagor), if any, collected
by or on behalf of the Servicer or the Special Servicer with respect to each
Mortgaged Property, (vi) any and all modifications, waivers and amendments of
the terms of a Mortgage Loan entered into by the Servicer and/or the Special
Servicer, (vii) any and all officers' certificates and other evidence delivered
to or by the Trustee to support the Servicer's, the Trustee's or the Fiscal
Agent's, as the case may be, determination that any Advance, if made, would not
be recoverable, and (viii) any other materials to be provided to a requesting
Certificateholder as set forth in the Pooling Agreement in situations where such
requesting Certificateholder declined to enter into a confidentiality agreement
with the Servicer. Copies of any and all of the foregoing items will be
available from the Trustee upon request; however, the Trustee 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 related Certificateholders only to the extent it is forwarded by or
otherwise available through DTC and its Participants. Any Certificateholder who
does not receive information through DTC or its Participants may request that
Trustee reports be mailed directly to it by written request to the Trustee
(accompanied by verification of such Certificateholder's ownership interest) at
the Corporate Trust Office of the Trustee. The manner in which notices and other
communications are conveyed by DTC to Participants, and by Participants to the
Certificateholders, 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, the Fiscal Agent 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.
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EXAMPLE OF DISTRIBUTIONS
The following chart sets forth an example of distributions on the Offered
Certificates for the first month of the Trust's existence, assuming the Offered
Certificates are issued on February 15, 1996:
<TABLE>
<S> <C> <C>
February 1............................. (A) Cut-Off Date.
February 29............................ (B) Record Date for all Classes of Offered
Certificates.
February 2 - March 1................... (C) The Due Period. The Servicer receives
Scheduled Payments due after the Cut-Off Date
and on or prior to March 1, the last day of
the Due Period. Scheduled Payments due during
this period will be distributed on March
25th.
February 2 - March 15.................. (D) Prepayment Period. The Servicer receives any
Principal Prepayments made after the Cut-Off
Date and on or prior to March 15th.
March 15............................... (E) Determination Date.
March 25............................... (F) Distribution Date.
</TABLE>
Succeeding monthly periods follow the pattern of (B) through (F) (except as
otherwise 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 February 1, 1996 (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 each Distribution Date will be made to those persons that
are Certificateholders of record on the last day of the month immediately
preceding the related Distribution Date.
(C) Scheduled Payments due after the Cut-Off Date and on or prior to March 1,
to the extent collected prior to the related Determination Date, will be
deposited in the Collection Account as described in ' -- Collection
Account, Lower-Tier Distribution Account and Upper-Tier 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
March 15, 1996 will be deposited in the Collection Account as described in
' -- Collection Account, Lower-Tier Distribution Account and Upper-Tier
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 'SERVICING OF MORTGAGE LOANS -- The Servicer -- Adjustment to
Servicer's Fee in Connection with Prepaid Mortgage Loans' herein.
(E) 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 Accounts.
(F) 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.
ASSUMED FINAL DISTRIBUTION DATE; RATED FINAL DISTRIBUTION DATE
The 'Assumed Final Distribution Date' with respect to any Class of Offered
Certificates is the Distribution Date on which the aggregate Certificate
Principal Amount or aggregate Notional Amount, as the case may be, of such Class
of Certificates would be reduced to zero based on the assumptions that
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the stated maturity date for each Group 1 Mortgage Loan is extended for one year
and that each Group 2 Mortgage Loan matures on the first day of each such
Mortgage Loan's Option Period and otherwise based on the 'Modeling Assumptions'
set forth in Appendix D hereto, which Distribution Date shall in each case be as
follows:
<TABLE>
<CAPTION>
CLASS DESIGNATION ASSUMED FINAL DISTRIBUTION DATE
- ----------------- -------------------------------
<S> <C>
Class A-1A December 25, 1997
Class A-1B February 25, 1999
Class A-1C February 25, 2001
Class A-2A November 25, 1998
Class A-2B March 25, 2001
Class B July 25, 2001
Class C December 25, 2001
Class D August 25, 2003
Class E September 25, 2004
Class X-1 May 25, 2021
Class X-1A August 25, 2003
Class X-2 March 25, 2002
Class X-2A March 25, 2001
</TABLE>
The Assumed Final Distribution Dates set forth above were calculated
without regard to any delays in the collection of Balloon Payments and without
regard to a reasonable liquidation time with respect to any Mortgage Loans that
may be delinquent. Accordingly, in the event of defaults on the Mortgage Loans,
the actual final Distribution Date for one or more Classes of the Offered
Certificates may be later, and could be substantially later, than the related
Assumed Final Distribution Date(s).
In addition, the Assumed Final Distribution Dates set forth above were
calculated on the basis of a 0% CPR. Since the rate of payment (including
prepayments) of 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 final Distribution Date for one or more Classes of the Offered
Certificates may be earlier, and could be substantially earlier, than the
related Assumed Final Distribution Date(s). 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' and 'THE
TRUST -- Description of the Mortgage Pool' herein and 'YIELD AND PREPAYMENT
CONSIDERATIONS' in the Prospectus.
The 'Rated Final Distribution Date' with respect to each Class of Offered
Certificates is February 25, 2028, the first Distribution Date after the 24th
month following the end of the amortization term for the Mortgage Loan that, as
of the Cut-Off Date, has the longest remaining amortization term. The rating
assigned by a Rating Agency to any Class of Certificates entitled to receive
distributions in respect of principal reflects an assessment of the likelihood
that Certificateholders of such Class will receive, on or before the Rated Final
Distribution Date, the principal distributions to which they are entitled. See
'CERTIFICATE RATING' herein.
OPTIONAL TERMINATION
The Holders of the Class LR Certificates, the Depositor and the Servicer
will each have the option to purchase, in whole but not in part, the Mortgage
Loans and any REO Properties remaining in the Trust Fund on any date on which
the aggregate Certificate Principal Amount of the Certificates then outstanding
is less than or equal to 10% of the initial aggregate Certificate Principal
Amount thereof. Such purchase will be at a price (the 'Termination Price')
generally equal to the greater of (i) the sum of (A) 100% of the aggregate
unpaid principal balance of the Mortgage Loans (other than Mortgage Loans as to
which the related Mortgaged Property has become an REO Property), plus accrued
and unpaid interest on each such Mortgage Loan at the related Mortgage Interest
Rate to the Due Date for such Mortgage Loan in the Prepayment Period of
purchase, (B) all related unreimbursed Servicing Advances (plus accrued interest
thereon and on any other unreimbursed Advances), and (C) the fair
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market value of any REO Property remaining in the Trust Fund, and (ii) the fair
market value of all such Mortgage Loans and REO Properties remaining in the
Trust Fund. Upon any such termination, the Termination Price for the Mortgage
Loans and any REO Properties remaining in the Trust Fund, shall be treated as a
prepayment of the Mortgage Loans, and the interest and principal portions
thereof will be distributed generally as set forth under ' -- Distributions of
Interest' and ' -- Distributions of Principal' above. Such sale will effect a
termination of the Trust Fund and an early retirement of the Certificates. Such
sale and subsequent termination of the Trust Fund must constitute a 'qualified
liquidation' of the Upper-Tier REMIC and the Lower-Tier REMIC under Section 860F
of the Code. The Pooling Agreement will require the Trustee to send a notice of
an optional termination of the Trust Fund to Certificateholders at least ten
days prior to the date scheduled for such 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 CLASS X
CERTIFICATES AND ANY OTHER OUTSTANDING CERTIFICATES PURCHASED AT A PREMIUM,
BECAUSE A TERMINATION WOULD HAVE THE SAME EFFECT AS A PRINCIPAL PREPAYMENT IN
FULL OF THE MORTGAGE LOANS AND, AS A RESULT, INVESTORS IN THE CLASS X
CERTIFICATES AND ANY OTHER CERTIFICATES PURCHASED AT PREMIUM MIGHT NOT FULLY
RECOUP THEIR INITIAL INVESTMENT. SEE 'YIELD, PREPAYMENT AND MATURITY
CONSIDERATIONS' HEREIN.
THE TRUSTEE
LaSalle National Bank will act as Trustee of the Trust. In addition, the
Trustee will be responsible for various tax related duties with respect to the
Trust. LaSalle National Bank is a subsidiary of LaSalle National Corporation
which is a subsidiary of the Fiscal Agent. The Trustee will at all times be, and
will be required to resign if it fails to be, (i) an institution insured by the
FDIC, (ii) a corporation, national bank or national banking association,
organized and doing business under the laws of the United States of America or
any state thereof, authorized under such laws to exercise corporate trust
powers, having a combined capital and surplus of not less than $50,000,000 and
subject to supervision or examination by federal or state authority and (iii) an
institution whose long-term senior unsecured debt is rated either (A) if a
fiscal agent is then currently in place, not less than (1) 'BBB' by S&P and (2)
'BBB' by Fitch (provided that the fiscal agent is not an entity that in and of
itself would result in the downgrading, withdrawal or qualification of Fitch's
rating of any of the then-rated Certificates) or (B) if a fiscal agent is not
then in place, 'AA' by each Rating Agency (or such entity as would not, as
evidenced in writing by such Rating Agency, adversely affect any of the ratings
then assigned thereby to the Certificates). The corporate trust office of the
Trustee responsible for administration of the Trust (the 'Corporate Trust
Office') is located at 135 LaSalle Street, Suite 200, Chicago, Illinois
60603-4017 Attention: Asset-Backed Securities Trust Service -- Structured Asset
Securities Corporation, Series 1996-CFL. As of December 31, 1994, the LaSalle
National Corporation had assets of approximately $14,000,000,000.
The Trustee may be removed by the Holders of Certificates entitled to more
than 66 2/3% of the voting rights of the Trust, for cause, upon 30 days' written
notice to the Trustee and the Depositor. However, (i) removal of the initial
Trustee will automatically result in the simultaneous removal of the initial
Fiscal Agent and (ii) upon the resignation or removal of any subsequent Trustee,
the Depositor may, in its sole discretion, remove the then current Fiscal Agent
without cause.
As compensation for the performance of its duties, the Trustee will be paid
a monthly fee (the 'Trustee Fee'), equal to one-month's interest at 0.01325% per
annum (the 'Trustee Fee Rate') accrued on the aggregate Scheduled Principal
Balance of the Mortgage Loans as of the commencement of the related Mortgage
Loan Due Period. The Trustee will be obligated to pay, at its own expense, the
ongoing fees of the Rating Agencies and the fees and expenses of the Fiscal
Agent. The Trustee shall also be entitled to recover from the Trust Fund all
reasonable unanticipated expenses and disbursements incurred or made by the
Trustee in accordance with any of the provisions of the Pooling Agreement
(including the reasonable compensation and the reasonable expenses and
disbursements of its counsel and for all persons not regularly in its employ),
but not including expenses incurred in the ordinary course of performing its
duties as Trustee under such agreement, and except any such expense,
disbursement or advance as may arise from its negligence or bad faith or which
is the specific responsibility of the Holders of Certificates, the Trustee or
any other party under such agreement.
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THE FISCAL AGENT
ABN AMRO Bank N.V., a Netherlands banking corporation and the corporate
parent of the Trustee, will act as Fiscal Agent for the Trust and will be
obligated to make any Advance required to be made, if not made, by the Servicer
and the Trustee under the Pooling Agreement, provided that the Fiscal Agent will
not be obligated to make any Advance that it deems to be a nonrecoverable
Advance. The Fiscal Agent will be entitled (but not obligated) to rely
conclusively on any determination by the Servicer or the Trustee that an
Advance, if made, would be a nonrecoverable Advance. The Fiscal Agent will be
entitled to reimbursement for each Advance made by it in the same manner and to
the same extent as, but prior to the Servicer and the Trustee. The Pooling
Agreement will provide that, in the event that the Fiscal Agent fails to make a
required Advance or upon the occurrence of certain other events of default
specified in the Pooling Agreement, the Depositor or the Trustee may and, at the
direction of the holders of Certificates evidencing aggregate voting rights of
at least 25%, the Trustee shall remove the Fiscal Agent. See ' -- Advances'
above.
The Fiscal Agent may not resign its obligations and duties under the
Pooling Agreement except under determination that it may no longer perform such
obligations and duties under applicable law or such obligations and duties are
in material conflict by reason of applicable law with any other activities
carried on by it. Any such determination is required to be evidenced by an
opinion of counsel to such effect delivered to the Depositor and the Trustee.
The Fiscal Agent may also resign from its obligations and duties under the
Pooling Agreement at any time upon reasonable notice to the Trustee, provided
that (i) a successor fiscal agent is (A) available, and (B) willing to assume
the obligations, responsibilities, and covenants to be performed by the Fiscal
Agent on substantially the same terms and conditions, and for not more than
equivalent compensation, (ii) the Fiscal Agent bears all costs associated with
such resignation, (iii) the successor fiscal agent has a long-term debt rating
of at least 'AA' from each Rating Agency or an otherwise acceptable rating as
evidenced in writing by the Rating Agencies, or is an entity that in and of
itself would not result in a downgrading, withdrawal or qualification of any
rating of any then-rated Certificate, (iv) the successor fiscal agent is
approved by the Depositor and the Trustee, and (v) the Rating Agencies shall
have confirmed in writing that the appointment of such successor fiscal agent
will not adversely affect or result in a withdrawal, downgrading, or
qualification of the ratings on the Certificates that are then rated.
Upon any resignation or removal of the Fiscal Agent, the Trustee will be
required to designate a successor thereto whose appointment will not adversely
affect the ratings on the Certificates then rated, unless (i) there is a
successor fiscal agent already provided for in accordance with the proviso to
the last sentence of the preceding paragraph or (ii) the long-term senior
unsecured debt of the Trustee is rated 'AA' by each Rating Agency (or such other
rating by either Rating Agency as would not, as evidenced in writing by such
Rating Agency, adversely affect any of the ratings then assigned thereby to the
Certificates). Except under the circumstances described in clause (ii) of the
preceding sentence, no resignation or removal of the Fiscal Agent shall become
effective until a successor fiscal agent acceptable to each Rating Agency, as
evidenced in writing, shall have assumed the Fiscal Agent's obligations and
duties under the Pooling Agreement.
The Trustee will be responsible for payment of the compensation and
expenses of the Fiscal Agent; however, the combined fees retained by the Trustee
(including fees to pay the Rating Agencies) and paid to the Fiscal Agent may not
exceed the Trustee Fee. In addition, the Fiscal Agent will be entitled to
recover from the Trust Fund all reasonable unanticipated expenses and
disbursements incurred or made by the Fiscal Agent in accordance with any of the
provisions of the Pooling Agreement (including the reasonable compensation and
the reasonable expenses and disbursements of its counsel and for all persons not
regularly in its employ), but not including expenses incurred in the ordinary
course of performing its duties as Fiscal Agent under such agreements, and
except any such expense, disbursement or advance as may arise from its
negligence or bad faith or which is the specific responsibility of the Holders
of Certificates or the Fiscal Agent under such agreement.
COLLECTION ACCOUNT, LOWER-TIER DISTRIBUTION ACCOUNT AND UPPER-TIER DISTRIBUTION
ACCOUNT
The Servicer will establish and maintain a special account (the 'Collection
Account') in the name of the Trustee in an account or accounts as described in
the Pooling Agreement (each, an 'Eligible
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Account') that are either (i) maintained with a federal or state chartered
depository institution or trust company under terms and conditions which will
not adversely affect the ratings of the Certificates by either Rating Agency as
evidenced in writing or (ii) a segregated trust account or accounts. The
Servicer is required to deposit in the Collection Account 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 will be permitted to
make withdrawals therefrom as set forth in the Pooling Agreement. See 'SERVICING
OF MORTGAGE LOANS' in the Prospectus.
Funds in the Collection Account may be invested and, if invested, will be
invested in the name of the Trustee (in its capacity as such) in Eligible
Investments (as defined in the Pooling Agreement). 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.
The Trustee will establish and maintain a special account (the 'Lower-Tier
Distribution Account') in the name of the Trustee and for the benefit of the
Certificateholders, which account will be an Eligible Account. A second
distribution account (the 'Upper-Tier Distribution Account,' and collectively
with the Lower-Tier Distribution Account, the 'Distribution Accounts') will be
established and maintained by the Trustee in an Eligible Account. With respect
to any Distribution Date, the Servicer will deliver to the Trustee for deposit
into the Lower-Tier Distribution Account from the Collection Account, on or
prior to the Servicer Remittance Date (as defined in the Pooling Agreement)
relating to such Distribution Date, an amount equal to all funds held in the
Collection Account and then available for distribution to Certificateholders on
such Distribution Date. The Pooling Agreement provides that on such Distribution
Date, the Trustee will withdraw all such funds from the Lower-Tier Distribution
Account distributable on the Lower-Tier Interests (less amounts, if any,
distributable to the Class LR Certificates) and deposit such funds into the
Upper Tier Distribution Account for distribution to the Holders of the
Certificates (other than the Class LR Certificates) on such Distribution Date.
On each Distribution Date, the Trustee will apply amounts on deposit in the
Upper-Tier Distribution Account generally to make distributions of interest and
principal from the Available Distribution Amount to the Certificateholders as
described herein.
Funds in the Distribution Accounts may be invested and, if invested, shall
be invested in Eligible Investments specified in the Pooling Agreement that
mature not later than the Business Day immediately preceding each Distribution
Date. All income and gain realized from any such investments will accrue to the
benefit of the Servicer, as additional 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.
THE TRUST
GENERAL
The primary assets of the Trust will be fixed rate commercial and
multifamily mortgage loans (exclusive of any Retained Interests, as defined
herein) (collectively, the 'Mortgage Loans') that have an aggregate Scheduled
Principal Balance as of the Cut-Off Date of approximately $1,953,745,229. The
Mortgage Loans are to be purchased by the Depositor from CLIC (U.S.) pursuant to
the Mortgage Loan Purchase Agreement and deposited in the Trust, together with
all payments on the Mortgage Loans due after the Cut-Off Date.
CLIC (U.S.)
On the Closing Date, the Depositor will acquire from CLIC (U.S.), 564
Mortgage Loans with an aggregate Scheduled Principal Balance as of the Cut-Off
Date of approximately $1,953,745,229. Substantially all of the Mortgage Loans
were originated by the U.S. branch operation of Confederation Life (as defined
below) or CLIC (U.S.).
CLIC (U.S.) is the estate of a Michigan-domiciled life insurance branch
operation in rehabilitation under the management, direction and control of the
Rehabilitator. CLIC (U.S.) is the successor to all of
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the businesses and operations of Confederation Life Insurance Company
('Confederation Life') in the United States.
Founded in Toronto, Canada in 1871, Confederation Life is a Canadian mutual
life insurance company in liquidation which, together with its subsidiaries,
offered a range of individual and group insurance, pension and other financial
products throughout Canada, the United Kingdom and the United States.
Confederation Life also offered a range of financial services including trust,
banking, treasury management, asset financing and investment management. As of
December 31, 1990, Confederation Life was the eighteenth largest life insurance
company in North America and the third largest in Canada based on its admitted
assets under management (based on 1991 figures) according to the July, 1991
Best's Review Magazine.
Confederation Life conducted business in the United States through a branch
headquartered in Atlanta, Georgia and through several subsidiaries located in
the United States. Confederation Life's businesses and operations in the United
States (the 'U.S. Branch') were subject to the laws of the State of Michigan and
regulated and supervised by the Michigan Insurance Commissioner. As a condition
to doing business in the United States, Confederation Life was required to
maintain on deposit, in segregated trust fund accounts, cash, securities and
assets of a specified kind and quality in an amount sufficient to satisfy its
United States liabilities. Through its U.S. Branch, Confederation Life sold
group life and health, group pension and annuity and individual life insurance
products to policyholders domiciled in the United States. In addition,
Confederation Life offered several non-insurance financial products, including
commercial mortgage loans, through the U.S. Branch.
Beginning in 1991, Confederation Life's profitability began to decrease due
largely to a decline in the value of its commercial mortgages and equity in real
estate, primarily in Canada. Confederation Life also began experiencing capital
adequacy and liquidity troubles. Financial instability continued during the next
several years and on August 15, 1994, upon the petition of the Attorney General
of Canada, the Ontario Court (General Division) in the proceeding captioned In
the Matter of Confederation Life Insurance Company ordered that Confederation
Life be wound-up as of August 12, 1994 pursuant to the Winding-Up Act of Canada,
as amended.
In order to protect the interests of United States policyholders and
creditors of Confederation Life, the Michigan Insurance Commissioner petitioned
the Circuit Court of Michigan -- Ingham County (the 'Michigan Court') for an
order of rehabilitation for Confederation Life's U.S. Branch. On August 12,
1994, in the proceeding captioned In the Matter of Rehabilitation of the
Confederation Life Insurance Company in the United States, the Michigan Court
ordered that all of Confederation Life's businesses and operations in the United
States cease operations as of August 12, 1994 and effective as of the same date
become Confederation Life Insurance Company (U.S.) In Rehabilitation (the
'Rehabilitation Order'). Pursuant to the Rehabilitation Order, the Michigan
Insurance Commissioner was appointed rehabilitator of CLIC (U.S.) and was vested
with exclusive possession and control of, and title to, all of the business,
operations, assets and rights of CLIC (U.S.) as well as all powers and authority
of rehabilitation as set forth in the Michigan Insurance Code. The Rehabilitator
was directed, pursuant to the Rehabilitation Order, to take such steps 'as the
Rehabilitator may deem necessary or appropriate to reform and revitalize the
Company.'
The Rehabilitator has determined that it is in the best interests of the
policyholders, contractholders and creditors of Confederation Life in the United
States and would maximize the value of the rehabilitation estate to securitize
the Mortgage Loans as contemplated by this Prospectus Supplement. The Michigan
Court entered an order dated November 29, 1995, approving the Rehabilitator's
sale of the Mortgage Loans to the Depositor and the issuance and sale of the
Certificates.
FINANCIAL ADVISER
PaineWebber Incorporated ('PaineWebber') serves as financial adviser to
CLIC (U.S.) in connection with certain matters relating to the issuance and sale
of the Offered Certificates. The services provided by PaineWebber include, among
other things, assisting CLIC (U.S.) in negotiations with the Depositor and the
Underwriters.
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ASSIGNMENT OF THE MORTGAGE LOANS; REPURCHASES
At the time of issuance of the Certificates, the Depositor will cause the
Mortgage Loans (exclusive of the Retained Interests) 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
to, or at the direction of, the Depositor in exchange for the Mortgage Loans.
Each Mortgage Loan will be identified in a schedule appearing as an exhibit to
the Pooling Agreement (the 'Mortgage Loan Schedule'). The Mortgage Loan Schedule
will include, among other things, as to each Mortgage Loan, information as to
its Scheduled Principal Balance as of the close of business on the Cut-Off Date,
as well as the Mortgage Interest Rate as of the Cut-Off Date, the Scheduled
Payment and the maturity date of each Mortgage Loan.
In addition, the Depositor will require CLIC (U.S.) 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 without recourse to the order of Trustee provided that
with respect to 5 Mortgage Loans (with an aggregate Scheduled Principal Balance
of approximately $9,777,309) with missing Mortgage Notes, the Depositor shall
deliver to the Trustee a lost note affidavit with a copy of the Mortgage Note;
(ii) the original recorded Mortgage or a copy thereof showing the applicable
recording information in the applicable public recording office and showing CLIC
(U.S.) or the U.S. Branch as mortgagee, or accompanied by original recorded
assignments (or copies thereof) showing a complete chain of title to CLIC (U.S.)
or the U.S. Branch; (iii) if such items are in the possession of CLIC (U.S.) and
is a document separate from the related Mortgage, the original or a copy of any
related assignment of leases, rents and profits together with originals or
copies of any intervening assignments of such document, in each case, with
evidence of recording indicated thereon; (iv) if such item is in the possession
of CLIC (U.S.) and is a document separate from the related Mortgage, the
original or copy of a security agreement together with originals or copies of
intervening assignments thereof; (v) any related assignment of the Mortgage from
CLIC (U.S.) in favor of the Trustee and in recordable form; (vi) originals or
copies of all assumption, modification, consolidation, extension 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 or copy of the lender's title insurance policy
issued on the date of the origination of such Mortgage Loan or, with respect to
each Mortgage Loan not covered by a title insurance policy, an original or copy
of an attorney's opinion of title; (viii) if such item is in the possession of
CLIC (U.S.), the original or copy of any guaranty relating to the Mortgage Loan;
(ix) if such documents are in CLIC (U.S.)'s possession, a copy of the UCC-1
financing statement and related continuation statements, if any, relating to the
originator's security interest in the personal property (if any) constituting
security for repayment of the Mortgage Loan; and (x) if such item is in the
possession of CLIC (U.S.), any and all amendments, modifications and supplements
to, and waivers related to, any of the foregoing.
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 such omission or defect could
materially and adversely affect the interests of the Certificateholders, CLIC
(U.S.) (or its successors in interest or assigns), if it cannot deliver or cause
the delivery of the document or cure the defect in all material respects within
a period of 90 days following its receipt of notice thereof, will be obligated
pursuant to the Mortgage Loan Purchase Agreement assigned to the Trust to
repurchase the affected Mortgage Loan within such 90-day period at a price (the
'Purchase Price') generally equal to the sum of (i) the unpaid principal balance
of such Mortgage Loan as of the date as to which a payment was last made by the
related Mortgagor, (ii) unpaid 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, (iii) any related unreimbursed
Servicing Advances, (iv) accrued and unpaid interest on unreimbursed Advances,
and (v) the amount of any other Additional Trust Fund Expenses directly related
to such Mortgage Loan which have been previously paid or reimbursed to, or
remain payable or reimbursable to, the Servicer, the Trustee, the Fiscal Agent,
the Special Servicer or any other Person.
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The foregoing repurchase obligation will constitute the sole remedy available to
the Certificateholders and the Trustee for any defect or omission in the
Mortgage File for a Mortgage Loan. None of the Depositor, the Depositor's
affiliates or any other person will be obligated to repurchase any Mortgage Loan
as to which there is a material defect or omission in the related Mortgage File
if CLIC (U.S.) defaults in its obligation to do so.
The Pooling Agreement will require the Trustee, within 60 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 POOLING AGREEMENT -- Assignment of Mortgage Assets' in the
Prospectus.
REPRESENTATIONS AND WARRANTIES; REPURCHASES
The Mortgage Loans will be acquired by the Depositor from CLIC (U.S.)
pursuant to the Mortgage Loan Purchase Agreement. The Depositor will assign to
the Trustee all of its rights, title and interest in the Mortgage Loan Purchase
Agreement insofar as the Mortgage Loan Purchase Agreement relates to
representations, warranties, covenants and agreements made by CLIC (U.S.) in
respect of the Mortgage Loans and any remedies provided thereunder for any
breach of such representations, warranties, covenants and agreements. The
Pooling Agreement will obligate the Servicer (or, with respect to Specially
Serviced Mortgage Loans, the Special Servicer) on behalf of the Trust Fund to
enforce the relevant provisions of the Mortgage Loan Purchase Agreement relating
to the representations, warranties, covenants and agreements of CLIC (U.S.) with
respect to the Mortgage Loans. THE DEPOSITOR WILL HAVE NO RESPONSIBILITY FOR AND
WILL NOT MAKE ANY REPRESENTATION WITH RESPECT TO THE ORIGINATION OF THE MORTGAGE
LOANS, THE MANAGEMENT OF THE MORTGAGED PROPERTIES, THE VALIDITY OR
ENFORCEABILITY OR SUFFICIENCY OF THE SECURITY ARRANGEMENTS WITH RESPECT TO THE
MORTGAGE LOANS, THE STATUS OR SUFFICIENCY OF THE MORTGAGE NOTE, THE MORTGAGE OR
ANY OTHER DOCUMENTS OR INSTRUMENTS INCLUDED IN THE MORTGAGE FILES, THE
COLLECTIBILITY OF AMOUNTS DUE UNDER THE MORTGAGE LOANS, OR THE VALIDITY OR
ENFORCEABILITY OF THE REPRESENTATIONS, WARRANTIES, COVENANTS OR AGREEMENTS MADE
BY CLIC (U.S.) WITH RESPECT TO THE MORTGAGE LOANS OR OF ANY REMEDIES PROVIDED BY
THE MORTGAGE LOAN PURCHASE AGREEMENT.
In the Mortgage Loan Purchase Agreement, CLIC (U.S.) will make certain
representations and warranties to the Depositor with respect to CLIC (U.S.) and
each Mortgage Loan, as of the Cut-Off Date, or as of such other date
specifically provided in the representation and warranty. Such representations
and warranties will include, among other things, representations and warranties
that:
(i) the information set forth in the schedule of Mortgage Loans is
true and correct in all material respects;
(ii) the origination or acquisition of the Mortgage Loan by CLIC
(U.S.) or the U.S. Branch and, to CLIC (U.S.)'s Actual Knowledge, the
servicing and collection practices of its correspondents have been legal,
proper and prudent and have met with customary industry standards;
(iii) immediately prior to the consummation of the transactions
contemplated by the Mortgage Loan Purchase Agreement, CLIC (U.S.) had good
and marketable title to and was the sole owner of the Mortgage Loan and
CLIC (U.S.) 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;
(iv) each of the related Mortgage Note, Mortgage and other agreements
executed in connection therewith is the legal, valid and binding obligation
of the maker thereof (subject to any non-recourse provisions therein),
enforceable in accordance with its terms, except as such enforceability
against a Mortgagor may be limited by applicable bankruptcy, insolvency,
reorganization, moratorium or other similar laws affecting generally the
enforcement of creditors' rights as from time to time are in effect, and by
general principles of equity regardless of whether such enforceability is
considered in a proceeding in equity or at law, and, to CLIC (U.S.)'s
Actual Knowledge, there is no valid offset, defense, counterclaim or right
to rescission with respect to such Mortgage Note, Mortgage or other
agreement;
(v) the assignment of the related Mortgage to the Trustee constitutes
the legal, valid and binding assignment of such Mortgage;
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(vi) subject to certain Permitted Exceptions (as defined 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 another Mortgage Loan also
included in the Trust (except with respect to 6 Mortgage Loans
(representing approximately 2.2% of the aggregate Scheduled Principal
Balance of the Mortgage Loans) as to which the Mortgage is a second
priority lien and the first lien on the related Mortgaged Property is not
represented by a Mortgage Loan included in the Trust), which Mortgaged
Property is free and clear of all liens and encumbrances having priority
over or on parity with the first lien of the Mortgage, except for (A) liens
for real estate taxes and special assessments not yet due and payable, (B)
covenants, conditions and restrictions, rights-of-way, easements and other
matters of public record as of the date of recording of such Mortgage, such
exceptions appearing of record and being acceptable to mortgage lending
institutions generally and specifically reflected in the title insurance
policy obtained in connection with the origination of the related Mortgage
Loan, and (C) other matters to which like properties are commonly subject
which do not, individually or in the aggregate, materially interfere with
the benefits of the security intended to be provided by such Mortgage;
clauses (A), (B) and (C) of this clause together being hereinafter referred
to as the 'Permitted Exceptions' (except with respect to 4 Mortgage Loans
(representing approximately 1.1% of the Scheduled Principal Balance) as to
which there exist certain other exceptions to title of record);
(vii) the Permitted Exceptions do not and will not materially
adversely interfere with (A) the ability of the Mortgagor to timely pay in
full the principal and interest on the Mortgage Note or (B) the use of the
Mortgaged Property for the use currently being made thereof;
(viii) as of the Cut-Off Date, no Mortgage Loan is 30 days or more
past due;
(ix) to CLIC (U.S.)'s Actual Knowledge, there is no proceeding pending
for the total or partial condemnation of the related Mortgaged Property;
and CLIC (U.S.) has not received any written notices from the Mortgagor or
any governmental agencies with respect to any such proceedings;
(x) the terms of the related Mortgage Note and Mortgage have not been
impaired, waived, altered or modified in any material respect, except (A)
by written instruments which have been recorded, if necessary to protect
the interest of the holder thereof and which are being delivered
contemporaneously to the Depositor, (B) with respect to certain obligations
which do not materially adversely affect the adequacy of the rights and
remedies of the holder of the Mortgage Note and Mortgage for realization
against the related Mortgaged Property of benefits of the security provided
thereby, (C) with respect to prior events of default which are not
continuing, (D) with respect to subordinations to leases, easements,
covenants and restrictions for the benefit of the Mortgaged Property
forming the security under the Mortgage and which do not materially
adversely affect the adequacy of the rights and remedies of the holder of
the Mortgage Note and Mortgage for realization against the related
Mortgaged Property of benefits of the security provided thereby, and (E)
with respect to consents or waivers regarding due-on-sale provisions
contained in the Mortgage;
(xi) as of the Cut-Off Date, (A) there is no monetary default or event
of acceleration existing under any of the related Mortgage Documents, and
(B) CLIC (U.S.) has not received any notice and otherwise has no Actual
Knowledge that there exists any material non-monetary default, breach,
violation or event of acceleration under any of the related Mortgages or
any event which, with the passing of time or the giving of notice, would
constitute a material non-monetary default;
(xii) no Mortgage related to the Mortgage Loan provides that the
related Mortgaged Property secures any other promissory note or obligation
expressly described in such Mortgage other than another Mortgage Loan in
the Trust Fund;
(xiii) to CLIC (U.S.)'s Actual Knowledge, (i) at the time of the
origination of the Mortgage Loan the Appraised Value of the Mortgaged
Property was not materially and adversely affected by the encroachment, if
any, of any improvements of the related Mortgaged Property outside of the
boundaries and building restriction lines of such Mortgaged Property, and
(ii) no improvements on adjoining properties materially encroach upon such
Mortgaged Property; and
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(xiv) upon transfer of the Mortgage Loan to the Trustee, the Mortgage
Loan is a 'qualified mortgage' within the meaning of Section 860G(a)(3) of
the Code (without regard to Treasury Regulations SS 1.860G-2(f) or any
similar rule that provides that a defective obligation is a qualified
mortgage for a temporary period).
'Actual Knowledge' means that no information has come to CLIC (U.S.)'s
attention that would give it actual knowledge or actual notice that the
representation and warranty in question is untrue or stated in a way that makes
it materially misleading. The words 'actual knowledge' are intended to be
limited solely to the knowledge of the current employees of CLIC (U.S.) in its
mortgage investment and real estate departments.
'Appraised Value' means the value attributed to a Mortgaged Property by
appraisals or valuations of such Mortgaged Property prepared internally by the
U.S. Branch or CLIC (U.S.), as the case may be, and/or by or on behalf of the
U.S. Branch's mortgage correspondent in conjunction with the underwriting and
origination of the related Mortgage Loan. The valuations were performed
utilizing an economic, physical and/or market methodology. In the case of
Mortgage Loans originated or acquired by the U.S. Branch, in most instances such
valuations were performed initially by the U.S. Branch's mortgage correspondent
and independently confirmed by the U.S. Branch.
In the case of a breach of any of the representations and warranties that
materially and adversely affects the value of any Mortgage Loan or the interests
of the Certificateholders therein, CLIC (U.S.) (or its successors in interest
and assigns), if it cannot cure such breach within a period of 90 days following
its discovery or its receipt of notice thereof, will be obligated pursuant to
the Mortgage Loan Purchase Agreement to repurchase the affected Mortgage Loan at
its applicable Purchase Price, provided that, if CLIC (U.S.) or its successors
in interest or assigns certifies to the Depositor and the Trustee that (i) such
breach is not reasonably susceptible of correction or cure within such 90-day
period and is susceptible of correction or cure within an additional 90-day
period, (ii) such breach and the proposed cure thereof does not and will not
cause the related Mortgage Loan to fail to be a 'qualified mortgage' within the
meaning of Section 860G(a)(3) of the Code, (iii) CLIC (U.S.) (or such successors
and assigns) is diligently prosecuting the correction or cure of such breach,
and (iv) the Servicer has not determined in writing that any P&I Advance for
such Mortgage Loan during such additional 90-day period would be a
nonrecoverable Advance, then CLIC (U.S.) (or such successors and assigns) shall
have an additional period of 90 days in which to correct or cure such breach, or
failing such correction or cure, to repurchase such Mortgage Loan within such
90-day period.
The foregoing repurchase obligation will constitute the sole remedy
available to the Certificateholders and the Trustee for any uncured breach of
CLIC (U.S.)'s representations and warranties regarding the Mortgage Loans. CLIC
(U.S.) (or its successors in interest or assigns) will be the sole warranting
party with respect to the Mortgage Loans, and none of the Depositor, its
affiliates or any other person or entity will be obligated to repurchase any
affected Mortgage Loan in connection with a material breach of such
representations and warranties if CLIC (U.S.) or its successors in interest or
assigns default on their obligation to do so. See 'RISK FACTORS -- The
Certificates -- Limited Recourse for Breaches of Representations and Warranties'
herein and 'THE TRUST AGREEMENT -- Repurchase of Non-Conforming Loans' in the
Prospectus.
THE MORTGAGE LOANS
General
The Mortgage Loans will consist of approximately 564 Mortgage Loans with an
aggregate Scheduled Principal Balance as of the Cut-Off Date of approximately
$1,953,745,229. 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
Loans is
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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 % OF SCHEDULED
NUMBER OF SCHEDULED PRINCIPAL PRINCIPAL
MORTGAGE LOANS BALANCE AS OF BALANCE AS OF
AS OF CUT-OFF DATE CUT-OFF DATE(1) CUT-OFF DATE
---------------------- ------------------- --------------
<S> <C> <C> <C>
Group 1 Mortgage Loans................... 458 $ 1,606,870,428 82.2%
Group 2 Mortgage Loans................... 106 346,874,801 17.8%
--- ------------------- ------
Total.......................... 564 $ 1,953,745,229 100.0%
--- ------------------- ------
--- ------------------- ------
</TABLE>
- ------------
(1) Subject to a permitted variance of plus or minus 5%.
The Mortgage Loans are evidenced by promissory notes secured by first, and
in certain cases, second, mortgages, deeds of trust, deeds to secure debt, or
other security interests on commercial and multifamily mortgaged properties,
including a fee simple interest or leasehold interest in the land and all
buildings and improvements thereon (the 'Mortgaged Properties'). Approximately
2.3% of the Mortgage Loans (by Scheduled Principal Balance) are secured by a
second lien on the related Mortgaged Property. See 'CERTAIN LEGAL ASPECTS OF THE
MORTGAGE LOANS -- Junior Mortgages; Rights for Senior Mortgages or
Beneficiaries' in the Prospectus.
Generally, the Mortgage Loans are non-recourse to the related Mortgagor,
and any recourse provisions contained in mortgage loan documents, as a practical
matter, may be unenforceable in states with 'one-form-of-action' or
anti-deficiency restrictions or similar regulations. See 'CERTAIN LEGAL ASPECTS
OF MORTGAGE LOANS -- Anti-Deficiency Legislation and Other Limitations on
Lenders' in the Prospectus.
443 of the Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $1,517,946,269, bear interest at a fixed Mortgage Interest Rate
that remains constant for the term of the Mortgage Loans. The Mortgage Interest
Rate borne by 15 of the Mortgage Loans (the 'Step Rate Mortgage Loans'), with an
aggregate Scheduled Principal Balance of approximately $88,924,159, is subject
to stepped rates based on a fixed schedule.
6 of the Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $37,299,937, provide for payments of a contingent interest based
upon an 'equity participation' in the net proceeds realized upon the sale or
refinancing of or in the net cash flow from the Mortgage Properties securing
such Mortgage Loans (each such contingent interest, a 'Contingent Interest'). In
addition, with respect to each Mortgage Loan and each related Mortgage Loan Due
Period, CLIC (U.S.), or its successors in interest or assigns, shall be entitled
to receive from interest actually collected on such Mortgage Loan, an amount
(the 'Retained Servicing Interest') equal to 0.037% per annum (the 'Retained
Servicing Interest Rate') of the Scheduled Principal Balance of such Mortgage
Loan as of the first day of such Mortgage Loan Due Period. With respect to any
Mortgage Loan, any Contingent Interest and the Retained Servicing Interest are
collectively referred to herein as the 'Retained Interests.' The Mortgage Loan
Purchase Agreement provides that the Retained Interests shall not be sold to the
Depositor or part of the Trust Fund, and the Pooling Agreement shall provide
that any payments on the Mortgage Loans attributable to a Retained Interest
shall be remitted directly to CLIC (U.S.) or its successors in interest and
assigns, except to the extent necessary to compensate a successor to the
Servicer.
476 of the Mortgage Loans, with an aggregate Scheduled Principal Balance of
approximately $1,658,074,743, are Balloon Mortgage Loans, 23 of the Mortgage
Loans, with an aggregate Scheduled Principal Balance of approximately
$137,543,602, provide for payments of interest only over the term of the
Mortgage Loan and the payment of the entire principal amount at maturity, and 4
of the Mortgage Loans, with an aggregate Scheduled Principal Balance of
$12,750,095, provide for payments of interest only over a specified period and
thereafter provide for payments of principal and interest based on an
amortization schedule that extends beyond the maturity date of the Mortgage
Loan.
106 of the Mortgage Loans (the 'Rate Reset Mortgage Loans'), representing
approximately 17.8% of the aggregate Scheduled Principal Balance of the Mortgage
Loans, and all of the Group 2 Mortgage
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Loans, contain provisions which grant the holder of such Mortgage Loan the
option (a 'Rate Reset Option'), in its sole discretion, to reset the Mortgage
Interest Rate during a specified period of time (the 'Option Period'). However,
the terms of the Rate Reset Mortgage Loans permit the related Mortgagor to
prepay the related Rate Reset Mortgage Loan in full during the Option Period
without the payment of any Prepayment Charge. Generally, the related Mortgage or
Mortgage Note limits the Option Period to a single day, however, certain Rate
Reset Mortgage Loans have longer Option Periods. Pursuant to the terms of the
Pooling Agreement, none of the Trustee, the Servicer or the Special Servicer
will be permitted to exercise any Rate Reset Option. However, this prohibition
in the Pooling Agreement will not affect the Mortgagor's ability to prepay any
such Rate Reset Mortgage Loan without a Prepayment Charge during the Option
Period.
As of the Cut-Off Date, none of the Mortgage Loans were 30 or more days
delinquent.
As used herein, 'Scheduled Principal Balance' generally means with respect
to any Mortgage Loan as of any Determination Date, the principal balance of such
Mortgage Loan as of the Cut-Off Date reduced by (i) any Principal Prepayments
received on or prior to such Determination Date, (ii) the principal portion of
any Scheduled Payment due on or before the end of the immediately preceding Due
Period or, if applicable, the principal portion of any Assumed Scheduled Payment
in respect of the related delinquent Balloon Mortgage Loan), irrespective of any
delinquency in payment by the Mortgagor (but after giving effect to any previous
modification in the terms of such Mortgage Loan), and (iii) any adjustment
thereto in the amount of a modification reducing the principal amount due on
such Mortgage Loan; provided, however that after the Special Servicer has made a
Final Recovery Determination with respect to any Specially Serviced Mortgaged
Loan, the Scheduled Principal Balance of such Specially Serviced Mortgage Loan
shall be zero.
Mortgage Loan Group 1
443 of the Group 1 Mortgage Loans (approximately 94.5% by Scheduled
Principal Balance of Group 1 Mortgage Loans) bear a fixed rate of interest; 11
of the Group 1 Mortgage Loans (approximately 5.0% by Scheduled Principal Balance
of Group 1 Mortgage Loans) are Step Rate Mortgage Loans which step up over time;
and 4 of the Group 1 Mortgage Loans (approximately 0.6% by Scheduled Principal
Balance of Group 1 Mortgage Loans) are Step Rate Mortgage Loans which step down
over time. None of the Group 1 Mortgage Loans are Rate Reset Mortgage Loans and
approximately 94.7% contain terms restricting prepayment.
Mortgage Loan Group 2
All of the Group 2 Mortgage Loans are Rate Reset Mortgage Loans. 80 of the
Group 2 Mortgage Loans (approximately 74.1% by Scheduled Principal Balance of
Group 2 Mortgage Loans) have one Option Period during the remaining term of such
Mortgage Loans; 22 of the Group 2 Mortgage Loans (approximately 22.8% by
Scheduled Principal Balance of Group 2 Mortgage Loans) have two Option Periods
during the remaining term of such Mortgage Loans; and 4 of the Group 2 Mortgage
Loans (approximately 3.1% by Scheduled Principal Balance of Group 2 Mortgage
Loans) have three or more Option Periods during the remaining term of such
Mortgage Loans.
All of the Group 2 Mortgage Loans bear a fixed rate of interest.
UNDERWRITING PRACTICES
Substantially all of the Mortgage Loans were originated by CLIC (U.S.) the
U.S. Branch (directly or through entities acting in the capacity of the U.S.
Branch's correspondents at the time of origination). To the extent that a
mortgage loan may have been originated by a correspondent of the U.S. Branch,
such mortgage loan would have been underwritten and originated in accordance
with the U.S. Branch's general procedures. The U.S. Branch's general procedures
relating to the underwriting and origination of the mortgage loans are described
below:
Correspondent Network
The mortgage loans originated by or on behalf of the U.S. Branch were
generated through the U.S. Branch's nationwide network of approximately 10 to 15
correspondent mortgage banking firms. Generally, each correspondent was
responsible for cultivating and canvassing its particular market area for
potential mortgage loans that met the U.S. Branch's then current criteria for
such loans, including that the proposed mortgaged property be a well-leased,
well-located income-producing property with strong ownership or other
sponsorship. A correspondent identifying a potentially suitable loan
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opportunity submitted to the U.S. Branch a document package including the
correspondent's underwriting and valuation (usually based on capitalization of
income) analysis and recommendations. The U.S. Branch then independently
re-underwrote the proposed mortgage loan based on its own criteria (but in many
cases based upon appraisals performed by the staff of the correspondent) and, if
the proposal satisfied its criteria, the U.S. Branch, with its correspondent's
continued involvement, negotiated the terms and conditions of the loan directly
with the applicant-borrower. Before the U.S. Branch issued a loan commitment,
the loan application was reviewed and approved by the U.S. Branch's officers or
employees to whom appropriate authority had been delegated. After the U.S.
Branch funded the mortgage loan, its correspondent generally serviced the loan
for the U.S. Branch's benefit pursuant to its servicing agreement or arrangement
with the U.S. Branch.
General Underwriting Procedures
The U.S. Branch's underwriting procedures were intended to evaluate, among
other things, the income derived from the proposed mortgaged property, the
capabilities of the management of the project, including a review of
management's past performance record, the applicant/borrower's credit standing
and repayment ability and the value and adequacy of the mortgaged property as
collateral.
Appraisals
An appraisal of each proposed mortgaged property was performed, in many
cases by the staff of the correspondent. This appraisal helped establish that,
at the time of the appraisal, the loan-to-value ratio of the proposed mortgage
loan conformed to the U.S. Branch's then-current loan-to-value requirement
(which was generally 75% during the period in which the Mortgage Loans were
originated).
In general, an appraisal represents the analysis and opinion of the party
conducting the appraisal and is not a guarantee of present or future value.
Moreover, appraisals generally seek to establish the amount a typically
motivated buyer would pay a typically motivated seller acting without any
particular time or other pressure. Such amount could be significantly higher
than the amount obtained from the sale of a mortgaged property in a distress or
liquidation sale.
Occupancy Statements, Operating Statements and Other Data
In connection with its origination of mortgage loans, the U.S. Branch
generally reviewed rent rolls and related information or statements of occupancy
rates, census data, financial data, operating statements and, with respect to
mortgage loans secured by office properties and retail properties, selected
major tenant leases.
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 tables on the following pages set forth certain approximate
characteristics of each of the Mortgage Loan Groups and the Mortgage Pool in the
aggregate as of the Cut-Off Date. In each of the following tables, the term
'Scheduled Principal Balance' means the aggregate Scheduled Principal Balance
for such Mortgage Loan Group or Groups, as applicable as of the Cut-Off Date.
The sum of any column in the tables may not equal the total indicated due to
rounding.
The descriptions in this Prospectus Supplement of the Mortgage Loans and
the Mortgaged Properties are based upon the Mortgage Pool as it is expected to
be constituted as of the close of business on the Closing Date, assuming that
(i) all scheduled principal and interest payments due on or before the Cut-Off
Date will be made, and (ii) there will be no Principal Prepayments on or before
the Cut-Off Date. Prior to the issuance of the Certificates, Mortgage Loans may
be removed from the Mortgage Pool and not sold by CLIC (U.S.) to the Depositor
as a result of prepayments, delinquencies, incomplete documentation, or
otherwise if the Depositor or CLIC (U.S.) deems such removal necessary,
appropriate 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 as well as other
characteristics of the Mortgage Loans in either Mortgage Group described herein,
may vary.
S-84
<PAGE>
<PAGE>
A Current Report on Form 8-K (the 'Form 8-K') will be available to
purchasers of the Offered Certificates on or shortly after the Closing Date and
will be filed together with the Pooling Agreement with the Securities and
Exchange Commission within fifteen days after the Closing Date.
Substantially all of the Mortgage Loans are assumable by a qualified buyer
who meets the underwriting guidelines of the Servicer or Special Servicer, as
applicable. 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' certain changes to operating statements and
operating information (generally unaudited) obtained from the respective
Mortgagors were made, resulting in either an increase or decrease in the net
operating income stated therein. Such changes were considered only for those
Mortgage Loans (representing approximately 96.5% of the Mortgage Loans by
Scheduled Principal Balance) with unpaid principal balances in excess of
$1,000,000 at the time of analysis. In certain cases, partial year 1993 or 1994
operating income data was annualized, with certain adjustments for items deemed
not appropriate to be annualized. In addition, with respect to 107 Mortgage
Loans, with an aggregate Scheduled Principal Balance as of the Cut-Off Date of
approximately $410,875,662, CLIC (U.S.) caused 'static' net operating income to
be calculated which takes into consideration historical financial statements and
material changes in the operating position of the related Mortgaged Property of
which CLIC (U.S.) was aware (e.g., new signed leases or end of 'free rent'
periods and market data). Further, with respect to 32 Mortgage Loans (with an
aggregate Scheduled Principal Balance of approximately $76,080,505), 'pro forma'
net operating income was calculated where neither 1993 or 1994 operating
statements was received from the related Mortgagor. No assurance can be given
with respect to the accuracy of the information provided by any Mortgagor or the
results of any adjustments made thereto on behalf of CLIC (U.S.) concerning the
presented 1993, 1994, 'static' or 'pro forma' net operating income derived from
any Mortgaged Property. Furthermore, since much of the information provided by
the Mortgagors and used to calculate debt service coverage ratios generally
related to periods that ended in 1994, and in approximately 32 cases, 1993, and
CLIC (U.S.) does not have 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 sets forth debt service coverage ratios (which assume no
adjustment to debt service for Mortgage Loans which have rates which step up or
down after the Cut-Off Date at certain times during the term of such Mortgage
Loans) based upon the above-described available net operating income data. The
following net operating income data was utilized for each Mortgage Loan in
calculating debt service coverage ratios: (i) if a 'static net operating income'
derived from the Mortgagor's actual operating statements, rent rolls, leases,
property inspection reports and market data ('Static NOI') was calculated, such
amount was utilized; (ii) if Static NOI was not calculated, and actual fiscal
year 1994 or annualized fiscal year 1994 net operating income was available, the
1994 net operating income ('1994 NOI') was utilized; (iii) if neither Static NOI
nor 1994 NOI was calculated, and actual fiscal year 1993 or annualized fiscal
year 1993 net operating income ('1993 NOI') was available, the 1993 net
operating income was utilized; and (iv) if none of Static NOI, 1994 NOI or 1993
NOI were calculated, the 'pro forma' net operating income ('Pro Forma NOI') was
utilized. For more information regarding the calculation of debt service
coverage ratios of the Mortgage Loans see Appendix B hereto.
The Mortgage Loans are expected to have the following characteristics as of
the Cut-Off Date.
The information under the heading 'Scheduled Principal Balance' may not
equal the 'Total' shown and the information expressed as a percentage may not
total 100% due to rounding.
S-85
<PAGE>
<PAGE>
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL ------------------------------------
SCHEDULED PRINCIPAL BALANCES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less.......................... 21 $ 7,105,387 0.4% $ 125,131 $ 485,063 $ 338,352
$ 500,001 - $ 1,000,000.................... 82 61,561,070 3.2 504,764 994,848 750,745
$ 1,000,001 - $ 1,500,000.................... 91 111,926,141 5.7 1,000,636 1,496,547 1,229,958
$ 1,500,001 - $ 2,000,000.................... 74 129,961,044 6.7 1,501,316 1,996,424 1,756,230
$ 2,000,001 - $ 2,500,000.................... 60 134,283,618 6.9 2,000,000 2,498,037 2,238,060
$ 2,500,001 - $ 3,000,000.................... 43 116,814,560 6.0 2,505,657 2,975,192 2,716,618
$ 3,000,001 - $ 3,500,000.................... 23 74,783,702 3.8 3,003,068 3,490,358 3,251,465
$ 3,500,001 - $ 4,000,000.................... 27 101,721,226 5.2 3,532,093 3,948,569 3,767,453
$ 4,000,001 - $ 4,500,000.................... 20 84,184,721 4.3 4,027,802 4,478,770 4,209,236
$ 4,500,001 - $ 5,000,000.................... 23 108,611,098 5.6 4,505,966 4,968,525 4,722,222
$ 5,000,001 - $ 6,000,000.................... 25 135,115,359 6.9 5,048,224 5,994,006 5,404,614
$ 6,000,001 - $ 7,000,000.................... 12 75,070,899 3.8 6,024,875 6,750,000 6,255,908
$ 7,000,001 - $ 8,000,000.................... 12 90,184,529 4.6 7,018,249 7,951,858 7,515,377
$ 8,000,001 - $ 9,000,000.................... 11 94,475,857 4.8 8,301,036 8,882,593 8,588,714
$ 9,000,001 - $10,000,000.................... 9 86,010,009 4.4 9,102,132 9,987,841 9,556,668
$10,000,001 - $12,500,000.................... 8 87,921,064 4.5 10,330,542 12,153,338 10,990,133
$12,500,001 - $15,000,000.................... 4 56,700,532 2.9 12,767,027 15,000,000 14,175,133
$15,000,001 - $17,500,000.................... 5 80,116,351 4.1 15,265,491 16,915,266 16,023,270
$17,500,001 - $20,000,000.................... 6 111,061,590 5.7 17,940,368 19,135,822 18,510,265
$20,000,001 or greater....................... 8 206,136,473 10.6 20,233,222 33,613,520 25,767,059
--- -------------- ------ ----------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 564 $1,953,745,229 100.0% $ 125,131 $33,613,520 $3,464,087
--- -------------- ------ ----------- ----------- ----------
--- -------------- ------ ----------- ----------- ----------
Average...................................... $ 3,464,087
Minimum................................. $ 125,131
Maximum................................. $ 33,613,520
<CAPTION>
DEBT SERVICE COVERAGE WEIGHTED
RATIO AVERAGE
-------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
SCHEDULED PRINCIPAL BALANCES MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
$ 500,000 or less.......................... 1.02x 3.26x 1.93x 9.161%
$ 500,001 - $ 1,000,000.................... 0.82 8.18 1.59 9.349
$ 1,000,001 - $ 1,500,000.................... 0.77 5.33 1.48 9.349
$ 1,500,001 - $ 2,000,000.................... 0.78 3.41 1.43 9.229
$ 2,000,001 - $ 2,500,000.................... 0.82 3.94 1.37 9.277
$ 2,500,001 - $ 3,000,000.................... 0.90 3.05 1.41 9.242
$ 3,000,001 - $ 3,500,000.................... 0.98 1.72 1.26 9.593
$ 3,500,001 - $ 4,000,000.................... 0.90 2.39 1.42 9.144
$ 4,000,001 - $ 4,500,000.................... 0.92 1.97 1.35 8.981
$ 4,500,001 - $ 5,000,000.................... 0.89 1.80 1.26 9.290
$ 5,000,001 - $ 6,000,000.................... 0.94 2.39 1.43 9.102
$ 6,000,001 - $ 7,000,000.................... 1.02 1.82 1.35 8.955
$ 7,000,001 - $ 8,000,000.................... 0.94 1.49 1.18 9.451
$ 8,000,001 - $ 9,000,000.................... 1.02 1.55 1.21 9.022
$ 9,000,001 - $10,000,000.................... 0.94 1.34 1.21 9.197
$10,000,001 - $12,500,000.................... 0.87 2.30 1.33 9.204
$12,500,001 - $15,000,000.................... 1.10 1.27 1.20 8.999
$15,000,001 - $17,500,000.................... 1.01 1.63 1.30 8.546
$17,500,001 - $20,000,000.................... 0.98 1.63 1.19 8.792
$20,000,001 or greater....................... 1.02 1.55 1.25 8.782
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.33x 9.117%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
S-86
<PAGE>
<PAGE>
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
MORTGAGE INTEREST RATES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- -------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
5.000% - 6.000%........................... 1 $ 3,732,573 0.2% $3,732,573 $ 3,732,573 $3,732,573
6.001% - 6.500%........................... 5 10,224,623 0.5 625,763 3,586,875 2,044,925
6.501% - 7.000%........................... 1 6,750,000 0.3 6,750,000 6,750,000 6,750,000
7.001% - 7.500%........................... 8 19,088,250 1.0 1,354,884 4,216,401 2,386,031
7.501% - 8.000%........................... 30 179,272,676 9.2 300,000 24,837,212 5,975,756
8.001% - 8.500%........................... 85 317,111,646 16.2 125,131 26,498,948 3,730,725
8.501% - 9.000%........................... 94 357,340,553 18.3 504,764 19,135,822 3,801,495
9.001% - 9.500%........................... 132 440,550,438 22.5 437,412 16,254,479 3,337,503
9.501% - 10.000%........................... 131 399,121,422 20.4 126,897 33,613,520 3,046,728
10.001% - 10.500%........................... 69 203,979,684 10.4 273,813 28,636,401 2,956,227
10.501% - 11.000%........................... 6 14,672,680 0.8 1,111,804 5,082,445 2,445,447
11.001% - 15.000%........................... 2 1,900,682 0.1 813,275 1,087,408 950,341
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ........... 564 $1,953,745,229 100.0% $ 125,131 $33,613,520 $3,464,087
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Weighted Average............................ 9.117%
Minimum................................ 5.000%
Maximum................................ 14.750%
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
MORTGAGE INTEREST RATES MINIMUM MAXIMUM AVERAGE RATE
- -------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
5.000% - 6.000%........................... 0.90x 0.90x 0.90x 5.000%
6.001% - 6.500%........................... 1.29 3.73 2.23 6.434
6.501% - 7.000%........................... 1.72 1.72 1.72 7.000
7.001% - 7.500%........................... 1.03 1.88 1.41 7.384
7.501% - 8.000%........................... 0.82 2.87 1.32 7.831
8.001% - 8.500%........................... 0.97 5.33 1.38 8.439
8.501% - 9.000%........................... 0.87 8.18 1.30 8.839
9.001% - 9.500%........................... 0.82 3.41 1.30 9.339
9.501% - 10.000%........................... 0.77 4.53 1.34 9.794
10.001% - 10.500%........................... 0.78 3.04 1.28 10.273
10.501% - 11.000%........................... 1.04 2.39 1.67 10.705
11.001% - 15.000%........................... 1.20 1.39 1.31 13.463
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ........... 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
DISTRIBUTION OF TYPES OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
PROPERTY TYPE(1) LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ----------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Retail......................................... 177 $ 551,156,922 28.2% $273,813 $18,091,780 $3,113,881
Office......................................... 134 544,497,810 27.9 322,139 33,613,520 4,063,416
Multifamily.................................... 93 459,787,229 23.5 460,483 24,837,212 4,943,949
Warehouse...................................... 104 257,949,740 13.2 125,131 27,473,835 2,480,286
Industrial..................................... 49 125,799,032 6.4 249,075 8,410,060 2,567,327
Other.......................................... 7 14,554,496 0.7 126,897 3,934,913 2,079,214
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg.. ............. 564 $1,953,745,229 100.0% $125,131 $33,613,520 $3,464,087
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
PROPERTY TYPE(1) MINIMUM MAXIMUM AVERAGE RATE
- ----------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Retail......................................... 0.82x 3.73x 1.31x 9.126%
Office......................................... 0.77 3.41 1.32 9.150
Multifamily.................................... 0.82 4.53 1.31 8.903
Warehouse...................................... 0.87 8.18 1.34 9.415
Industrial..................................... 0.78 5.33 1.45 8.986
Other.......................................... 1.20 2.39 2.01 10.206
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg.. ............. 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
(1) Property Type for each Mortgage Loan has been determined on the basis of the
most substantial use to which the related Mortgaged Property is being put
(based on square footage).
S-87
<PAGE>
<PAGE>
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
DEBT SERVICE COVERAGE RATIOS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------ --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
0.75x - 1.00x................. 47 $ 170,993,512 8.8% $911,885 $18,974,628 $3,638,160
1.01x - 1.10x................. 74 337,196,822 17.3 362,376 27,473,835 4,556,714
1.11x - 1.20x................. 74 332,107,031 17.0 582,180 28,636,401 4,487,933
1.21x - 1.30x................. 88 319,978,989 16.4 312,856 17,983,392 3,636,125
1.31x - 1.40x................. 66 207,077,565 10.6 331,163 15,730,274 3,137,539
1.41x - 1.50x................. 43 169,905,461 8.7 126,897 33,613,520 3,951,290
1.51x - 1.60x................. 41 119,899,353 6.1 567,835 24,837,212 2,924,374
1.61x - 1.70x................. 31 89,265,500 4.6 125,131 18,935,601 2,879,532
1.71x - 1.80x................. 22 45,671,516 2.3 615,391 6,750,000 2,075,978
1.81x - 1.90x................. 17 35,899,074 1.8 484,070 6,051,103 2,111,710
1.91x - 2.00x................. 12 36,521,172 1.9 577,257 5,235,130 3,043,431
2.01x - 2.25x................. 17 32,869,668 1.7 322,139 11,064,866 1,933,510
2.26x - 2.50x................. 8 28,872,758 1.5 300,000 10,350,000 3,609,095
2.51x - 3.00x................. 10 9,083,715 0.5 167,719 1,787,876 908,372
Greater than 3.00x............ 14 18,403,093 0.9 453,230 2,644,114 1,314,507
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd
Avg. .................. 564 $1,953,745,229 100.0% $125,131 $33,613,520 $3,464,087
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
Weighted Average.............. 1.33x
Minimum.................. 0.77x
Maximum.................. 8.18x
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
DEBT AVERAGE
SERVICE MORTGAGE
RANGE OF COVERAGE INTEREST
DEBT SERVICE COVERAGE RATIOS RATIO RATE
- ------------------------------ -------- --------
<S> <C> <C>
0.75x - 1.00x................. 0.94x 8.942%
1.01x - 1.10x................. 1.05 9.163
1.11x - 1.20x................. 1.16 9.289
1.21x - 1.30x................. 1.25 9.268
1.31x - 1.40x................. 1.35 9.109
1.41x - 1.50x................. 1.45 8.967
1.51x - 1.60x................. 1.54 8.941
1.61x - 1.70x................. 1.63 8.850
1.71x - 1.80x................. 1.75 8.805
1.81x - 1.90x................. 1.85 9.077
1.91x - 2.00x................. 1.95 8.611
2.01x - 2.25x................. 2.13 9.526
2.26x - 2.50x................. 2.33 9.404
2.51x - 3.00x................. 2.75 8.657
Greater than 3.00x............ 3.68 9.038
---- -----
Total/Min/Max/Avg./Wtd
Avg. .................. 1.33x 9.117%
---- -----
---- -----
</TABLE>
S-88
<PAGE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL --------------------------------------
STATE/DISTRICT LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------ --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
California................................ 172 $ 453,286,369 23.2% $ 273,813 $19,135,822 $2,635,386
New Jersey................................ 58 245,383,608 12.6 371,721 20,233,222 4,230,752
Georgia................................... 42 153,802,816 7.9 340,003 24,837,212 3,661,972
Florida................................... 30 147,004,732 7.5 582,180 27,473,835 4,900,158
Illinois.................................. 36 113,820,514 5.8 312,856 18,935,601 3,161,681
Maryland.................................. 38 97,617,987 5.0 664,649 7,574,690 2,568,894
Pennsylvania.............................. 18 90,930,303 4.7 666,087 18,974,628 5,051,684
Minnesota................................. 10 80,231,994 4.1 1,644,222 33,613,520 8,023,199
District of Columbia...................... 9 71,799,795 3.7 625,763 28,636,401 7,977,755
Washington................................ 22 71,387,231 3.7 379,373 12,112,003 3,244,874
Texas..................................... 41 61,348,381 3.1 125,131 7,569,518 1,496,302
Colorado.................................. 21 59,335,796 3.0 249,075 15,265,491 2,825,514
Virginia.................................. 10 55,941,061 2.9 1,118,878 22,090,506 5,594,106
Delaware.................................. 6 49,947,227 2.6 1,147,298 22,752,831 8,324,538
North Carolina............................ 12 49,186,624 2.5 1,213,992 10,531,223 4,098,885
Arizona................................... 8 46,355,544 2.4 1,914,233 10,733,808 5,794,443
Other..................................... 31 106,365,249 5.4 570,294 9,696,017 3,431,137
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ......... 564 $1,953,745,229 100.0% $ 125,131 $33,613,520 $3,464,087
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
STATE/DISTRICT MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------ ------- ------- -------- --------
<S> <C> <C> <C> <C>
California................................ 0.82x 5.33x 1.33x 9.208%
New Jersey................................ 0.77 3.11 1.31 9.084
Georgia................................... 0.87 2.57 1.41 8.816
Florida................................... 1.01 1.87 1.22 9.309
Illinois.................................. 0.82 2.16 1.38 8.964
Maryland.................................. 0.96 4.53 1.45 9.100
Pennsylvania.............................. 0.78 2.27 1.17 8.956
Minnesota................................. 0.94 2.14 1.34 9.493
District of Columbia...................... 1.05 2.14 1.31 9.111
Washington................................ 0.87 3.34 1.33 9.257
Texas..................................... 1.07 8.18 1.53 9.309
Colorado.................................. 1.00 3.94 1.55 9.199
Virginia.................................. 0.90 3.05 1.31 8.281
Delaware.................................. 1.15 1.51 1.21 8.577
North Carolina............................ 1.15 1.61 1.32 9.232
Arizona................................... 1.00 1.63 1.17 9.199
Other..................................... 0.90 1.81 1.29 9.374
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ......... 0.77x 8.18x 1.33x 9.117%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
S-89
<PAGE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES LOCATED IN CALIFORNIA
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
GEOGRAPHIC LOCATION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ----------------------------------------------- --------- ------------ ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Northern California............................ 68 $212,545,866 46.9% $317,711 $19,135,822 $3,125,674
Southern California............................ 104 240,740,503 53.1 273,813 15,950,840 2,314,813
--- ------------ ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .............. 172 $453,286,369 100.0% $273,813 $19,135,822 $2,635,386
--- ------------ ------ -------- ----------- ----------
--- ------------ ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
GEOGRAPHIC LOCATION MINIMUM MAXIMUM AVERAGE RATE
- ----------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Northern California............................ 0.83x 5.33x 1.37x 9.174%
Southern California............................ 0.82 3.26 1.30 9.237
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. .............. 0.82x 5.33x 1.33x 9.208%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
S-90
<PAGE>
<PAGE>
COUNTY DISTRIBUTION OF MORTGAGED PROPERTIES LOCATED IN CALIFORNIA
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
CALIFORNIA COUNTIES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
NORTHERN CALIFORNIA
Alameda...................................... 14 $ 57,853,416 27.2% $ 861,870 $19,135,822 $4,132,387
Santa Clara.................................. 16 47,602,139 22.4 1,033,457 7,046,957 2,975,134
Contra Costa................................. 13 37,321,964 17.6 779,209 8,372,514 2,870,920
San Mateo.................................... 3 17,749,630 8.4 3,534,829 8,410,060 5,916,543
San Francisco................................ 3 11,125,639 5.2 892,346 5,150,847 3,708,546
San Joaquin.................................. 4 10,059,876 4.7 892,475 5,137,982 2,514,969
Sonoma....................................... 6 9,777,028 4.6 317,711 3,943,971 1,629,505
Sacramento................................... 4 9,171,578 4.3 911,885 3,425,605 2,292,895
Marin........................................ 3 6,702,307 3.2 1,508,382 2,632,277 2,234,102
Monterey..................................... 2 5,182,289 2.4 1,247,376 3,934,913 2,591,144
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 68 $212,545,866 100.0% $ 317,711 $19,135,822 $3,125,674
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
SOUTHERN CALIFORNIA
Los Angeles.................................. 44 $ 93,207,148 38.7% $ 273,813 $12,153,338 $2,118,344
San Diego.................................... 19 42,633,808 17.7 453,230 11,064,866 2,243,885
Orange....................................... 20 41,381,642 17.2 522,696 5,243,936 2,069,082
Riverside.................................... 4 27,766,804 11.5 687,133 15,950,840 6,941,701
Ventura...................................... 7 18,067,281 7.5 782,300 4,467,998 2,581,040
San Bernardino............................... 6 13,969,391 5.8 573,571 4,776,431 2,328,232
Santa Barbara................................ 3 2,872,101 1.2 604,119 1,273,134 957,367
Kern......................................... 1 842,327 0.3 842,327 842,327 842,327
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 104 $240,740,503 100.0% $ 273,813 $15,950,840 $2,314,813
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
CALIFORNIA COUNTIES MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
NORTHERN CALIFORNIA
Alameda...................................... 1.00x 2.02x 1.21x 9.327%
Santa Clara.................................. 1.01 5.33 1.54 8.678
Contra Costa................................. 0.90 2.14 1.21 9.359
San Mateo.................................... 1.05 1.35 1.15 8.749
San Francisco................................ 1.21 2.39 2.06 10.049
San Joaquin.................................. 1.20 1.54 1.36 9.347
Sonoma....................................... 0.90 1.95 1.25 9.036
Sacramento................................... 0.83 1.38 1.11 9.470
Marin........................................ 1.55 1.98 1.82 9.194
Monterey..................................... 1.50 2.39 2.18 9.639
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ............ 0.83x 5.33x 1.37x 9.174%
---- ---- ---- -----
---- ---- ---- -----
SOUTHERN CALIFORNIA
Los Angeles.................................. 0.82x 2.82x 1.23x 9.213%
San Diego.................................... 0.97 3.26 1.48 9.527
Orange....................................... 0.85 2.55 1.33 9.398
Riverside.................................... 1.01 1.40 1.10 8.571
Ventura...................................... 0.87 2.12 1.31 8.713
San Bernardino............................... 1.09 2.32 1.46 10.080
Santa Barbara................................ 1.19 1.74 1.41 9.130
Kern......................................... 2.59 2.59 2.59 9.000
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ............ 0.82x 3.26x 1.30x 9.237%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
S-91
<PAGE>
<PAGE>
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
REMAINING TERMS TO MATURITY LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ----------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
0 - 6 months............................... 28 $ 89,778,742 5.4% $ 720,360 $16,254,479 $3,206,384
7 - 12 months............................... 24 62,466,649 3.8 522,696 8,882,593 2,602,777
13 - 24 months............................... 45 134,531,901 8.1 249,075 15,265,491 2,989,598
25 - 48 months............................... 128 427,503,052 25.8 582,180 22,090,506 3,339,868
49 - 60 months............................... 54 258,056,026 15.6 167,719 28,636,401 4,778,815
61 - 84 months............................... 93 265,791,537 16.0 312,856 26,498,948 2,857,974
85 - 120 months............................... 61 243,740,921 14.7 125,131 24,837,212 3,995,753
121 - 180 months............................... 39 161,504,133 9.7 331,163 33,613,520 4,141,132
181 - 240 months............................... 4 14,701,783 0.9 2,754,653 4,516,543 3,675,446
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .............. 476 $1,658,074,743 100.0% $ 125,131 $33,613,520 $3,483,350
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Weighted Average............................... 64 months
FULLY AMORTIZING MORTGAGE LOANS
13 - 24 months............................... 1 $ 126,897 0.0% $ 126,897 $ 126,897 $ 126,897
25 - 60 months............................... 5 3,800,783 1.3 453,230 1,087,408 760,157
61 - 120 months............................... 12 14,285,716 4.8 322,139 3,934,913 1,190,476
121 - 180 months............................... 35 100,088,876 33.9 340,003 20,233,222 2,859,682
181 - 240 months............................... 17 68,872,956 23.3 522,477 10,330,542 4,051,350
241 - 300 months............................... 17 106,606,481 36.1 2,687,209 27,473,835 6,270,969
301 - 360 months............................... 1 1,888,776 0.6 1,888,776 1,888,776 1,888,776
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .............. 88 $ 295,670,486 100.0% $ 126,897 $27,473,835 $3,359,892
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Weighted Average............................... 206 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
REMAINING TERMS TO MATURITY MINIMUM MAXIMUM AVERAGE RATE
- ----------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
0 - 6 months............................... 0.91x 2.14x 1.28x 9.311%
7 - 12 months............................... 1.00 2.05 1.45 9.529
13 - 24 months............................... 0.82 8.18 1.36 9.025
25 - 48 months............................... 0.77 3.73 1.30 8.692
49 - 60 months............................... 0.82 2.82 1.20 9.307
61 - 84 months............................... 0.85 3.11 1.38 8.771
85 - 120 months............................... 0.78 5.33 1.36 8.890
121 - 180 months............................... 0.95 2.31 1.44 9.389
181 - 240 months............................... 1.20 2.09 1.53 9.527
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. .............. 0.77x 8.18x 1.33x 8.997%
---- ---- ---- ------
---- ---- ---- ------
FULLY AMORTIZING MORTGAGE LOANS
13 - 24 months............................... 1.50x 1.50x 1.50x 9.750%
25 - 60 months............................... 1.23 3.26 1.67 10.742
61 - 120 months............................... 1.02 2.39 1.71 9.540
121 - 180 months............................... 1.05 4.53 1.49 9.498
181 - 240 months............................... 0.83 3.41 1.27 10.076
241 - 300 months............................... 0.92 1.37 1.14 9.882
301 - 360 months............................... 1.16 1.16 1.16 10.125
------- ------- -------- --------
Total/Min/Max/Avg./Wtd Avg. .............. 0.83x 4.53x 1.32x 9.794%
------- ------- -------- --------
------- ------- -------- --------
</TABLE>
S-92
<PAGE>
<PAGE>
DISTRIBUTION OF REMAINING AMORTIZATION TERMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF REMAINING MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
AMORTIZATION TERMS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Interest only(1)........................... 27 $ 150,293,697 7.7% $331,163 $22,752,831 $5,566,433
1 - 60 months........................... 6 3,927,681 0.2 126,897 1,087,408 654,613
61 - 120 months........................... 14 19,948,921 1.0 322,139 4,770,859 1,424,923
121 - 180 months........................... 53 133,117,894 6.8 317,711 20,233,222 2,511,658
181 - 240 months........................... 124 312,002,300 16.0 273,813 10,330,542 2,516,148
241 - 300 months........................... 299 1,043,907,060 53.4 125,131 33,613,520 3,491,328
301 - 360 months........................... 41 290,547,675 14.9 300,000 28,636,401 7,086,529
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .......... 564 $1,953,745,229 100.0% $125,131 $33,613,520 $3,464,087
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
Weighted Average........................... 242 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF REMAINING WEIGHTED INTEREST
AMORTIZATION TERMS MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
Interest only(1)........................... 0.90x 3.94x 1.51x 8.155%
1 - 60 months........................... 1.23 3.26 1.66 10.710
61 - 120 months........................... 1.01 2.39 1.52 9.592
121 - 180 months........................... 1.05 8.18 1.55 9.368
181 - 240 months........................... 0.78 3.41 1.33 9.491
241 - 300 months........................... 0.77 5.33 1.30 9.171
301 - 360 months........................... 0.97 2.48 1.24 8.852
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. .......... 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
(1) Includes four Mortgage Loans with an aggregate Scheduled Principal Balance
of $12,750,095 which are Interest Only then Amortizing.
DISTRIBUTION OF SEASONING OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
RANGE OF SEASONING(1) LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
0 - 24 months............................. 39 $ 72,041,213 3.7% $125,131 $10,350,000 $1,847,211
25 - 60 months............................. 79 351,745,021 18.0 167,719 27,473,835 4,452,469
61 - 84 months............................. 168 826,357,108 42.3 340,003 33,613,520 4,918,792
85 - 120 months............................. 235 640,882,826 32.8 126,897 22,752,831 2,727,161
121 - 180 months............................. 34 55,640,324 2.8 273,813 5,513,876 1,636,480
181 - 240 months............................. 5 3,545,815 0.2 485,063 1,038,056 709,163
241 - 300 months............................. 4 3,532,922 0.2 564,895 1,233,546 883,230
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 564 $1,953,745,229 100.0% $125,131 $33,613,520 $3,464,087
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
Weighted Average............................. 77 months
Minimum................................. 0 months
Maximum................................. 277 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
RANGE OF SEASONING(1) MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
0 - 24 months............................. 1.03x 2.48x 1.62x 8.466%
25 - 60 months............................. 0.83 8.18 1.33 9.252
61 - 84 months............................. 0.78 5.33 1.31 9.143
85 - 120 months............................. 0.77 3.73 1.32 9.046
121 - 180 months............................. 0.87 2.82 1.28 9.554
181 - 240 months............................. 1.09 2.01 1.28 9.533
241 - 300 months............................. 1.59 2.17 1.78 8.834
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
(1) Calculated as the number of months between the first payment date on the
Mortgage Loan and the Cut-Off Date.
S-93
<PAGE>
<PAGE>
DISTRIBUTION OF ORIGINAL LOAN TO VALUE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
ORIGINAL LOAN TO VALUE RATIOS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- -------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Not Applicable(1).......................... 5 $ 19,308,420 1.0% $3,532,093 $ 4,187,257 $3,861,684
0.01% - 50.00%........................... 50 82,515,641 4.2 126,897 11,064,866 1,650,313
50.01% - 60.00%........................... 45 153,454,418 7.9 312,856 24,837,212 3,410,098
60.01% - 65.00%........................... 37 163,217,815 8.4 460,483 33,613,520 4,411,292
65.01% - 70.00%........................... 122 481,058,573 24.6 167,719 20,233,222 3,943,103
70.01% - 75.00%........................... 290 999,825,167 51.2 317,711 27,473,835 3,447,673
75.01% - 80.00%(2)........................ 5 18,300,183 0.9 873,856 6,750,000 3,660,037
80.01% - 100.00%(2)........................ 8 28,173,988 1.4 125,131 18,091,780 3,521,748
Greater than 100%(2)....................... 2 7,891,025 0.4 2,716,025 5,175,000 3,945,512
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ........... 564 $1,953,745,229 100.0% $ 125,131 $33,613,520 $3,464,087
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Non-zero Weighted Average.............. 69.2%
Non-zero Minimum....................... 22.0%
Maximum................................ 125.0%
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
ORIGINAL LOAN TO VALUE RATIOS MINIMUM MAXIMUM AVERAGE RATE
- -------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Not Applicable(1).......................... 1.14x 1.21x 1.17x 9.567%
0.01% - 50.00%........................... 1.00 4.53 2.01 9.444
50.01% - 60.00%........................... 0.90 3.05 1.57 9.047
60.01% - 65.00%........................... 0.83 5.33 1.36 9.654
65.01% - 70.00%........................... 0.78 8.18 1.31 9.128
70.01% - 75.00%........................... 0.77 3.73 1.24 9.041
75.01% - 80.00%(2)........................ 1.17 1.72 1.50 8.198
80.01% - 100.00%(2)........................ 1.02 2.70 1.18 8.653
Greater than 100%(2)....................... 1.03 1.91 1.61 7.664
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ........... 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
(1) Refers to 5 Mortgage Loans secured by triple net leased retail stores for
which a property valuation was not performed as part of the original
Mortgage Loan underwriting process.
(2) Includes 11 purchase money Mortgage Loans with an aggregate Scheduled
Principal Balance of approximately $26,414,410; one triple net leased retail
property with a Scheduled Principal Balance of approximately $4,545,178; two
Mortgage Loans with an aggregate Scheduled Principal Balance of
approximately $5,313,827 (which had original loan-to-value ratios of
approximately 76%); and one Mortgage Loan secured by a retail property with
a Scheduled Principal Balance of approximately $18,091,780 and a
loan-to-value ratio of approximately 82%, resulting from the placement of
senior debt on two outparcels of such Mortgaged Property.
S-94
<PAGE>
<PAGE>
DISTRIBUTION OF YEARS OF ORIGINATION OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
YEAR OF MORTGAGE PRINCIPAL PRINCIPAL --------------------------------------
ORIGINATION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
1974 or Earlier.............................. 3 $ 2,299,376 0.1% $ 564,895 $ 1,157,223 $ 766,459
1975 - 1985.................................. 40 60,419,686 3.1 273,813 5,513,876 1,510,492
1986 - 1987.................................. 146 309,247,241 15.8 126,897 12,112,003 2,118,132
1988......................................... 91 335,579,548 17.2 522,477 22,752,831 3,687,687
1989......................................... 106 494,568,905 25.3 340,003 26,498,948 4,665,744
1990......................................... 60 327,844,239 16.8 453,230 33,613,520 5,464,071
1991......................................... 45 258,457,102 13.2 1,057,283 27,473,835 5,743,491
1992......................................... 23 62,231,868 3.2 249,075 15,265,491 2,705,733
1993......................................... 11 31,056,050 1.6 167,719 6,750,000 2,823,277
1994......................................... 12 18,308,014 0.9 125,131 5,362,500 1,525,668
1995......................................... 1 10,350,000 0.5 10,350,000 10,350,000 10,350,000
1996......................................... 26 43,383,199 2.2 312,856 5,527,426 1,668,585
--- -------------- ------ ----------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 564 $1,953,745,229 100.0% $ 125,131 $33,613,520 $3,464,087
--- -------------- ------ ----------- ----------- ----------
--- -------------- ------ ----------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
YEAR OF WEIGHTED INTEREST
ORIGINATION MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
1974 or Earlier.............................. 1.71x 2.17x 1.88x 8.813%
1975 - 1985.................................. 0.87 2.82 1.29 9.539
1986 - 1987.................................. 0.82 3.73 1.37 9.244
1988......................................... 0.77 3.04 1.28 8.845
1989......................................... 0.91 5.33 1.31 8.883
1990......................................... 0.78 4.53 1.31 9.554
1991......................................... 0.83 2.55 1.23 9.368
1992......................................... 1.04 8.18 1.63 9.157
1993......................................... 1.16 3.41 1.58 8.474
1994......................................... 1.03 2.48 1.46 8.365
1995......................................... 2.30 2.30 2.30 8.500
1996......................................... 1.24 2.20 1.53 8.500
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
PREPAYMENT PROVISIONS AS OF THE CUT-OFF DATE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
PREPAYMENT PROVISION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ---------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Locked-Out.................................... 38 $ 78,330,948 4.0% $312,856 $12,112,003 $2,061,341
Yield Maintenance............................. 492 1,733,136,497 88.7 125,131 33,613,520 3,522,635
Declining Percentage.......................... 16 55,241,197 2.8 485,063 15,000,000 3,452,575
Open Then Yield Maintenance(1)................ 5 48,508,985 2.5 2,149,863 22,752,831 9,701,797
Open.......................................... 13 38,527,601 2.0 167,719 10,350,000 2,963,662
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............. 564 $1,953,745,229 100.0% $125,131 $33,613,520 $3,464,087
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
PREPAYMENT PROVISION MINIMUM MAXIMUM AVERAGE RATE
- ---------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Locked-Out.................................... 0.87x 2.20x 1.32x 8.757%
Yield Maintenance............................. 0.77 8.18 1.33 9.173
Declining Percentage.......................... 1.09 2.17 1.37 8.566
Open Then Yield Maintenance(1)................ 1.15 1.85 1.28 8.267
Open.......................................... 1.00 3.44 1.62 9.215
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............. 0.77x 8.18x 1.33x 9.117%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
(1) These Mortgage Loans will become subject to a yield maintenance Prepayment
Charge at various times between the Cut-Off Date and September 1996.
S-95
<PAGE>
<PAGE>
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL ---------------------------------------
RANGE OF SCHEDULED PRINCIPAL BALANCES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less............................ 19 $ 6,447,673 0.4% $ 125,131 $ 485,063 $ 339,351
$ 500,001 - $ 1,000,000...................... 71 53,016,789 3.3 504,764 992,213 746,715
$ 1,000,001 - $ 1,500,000.................... 76 93,976,383 5.8 1,000,636 1,496,547 1,236,531
$ 1,500,001 - $ 2,000,000.................... 55 97,515,971 6.1 1,501,316 1,996,424 1,773,018
$ 2,000,001 - $ 2,500,000.................... 48 107,781,042 6.7 2,000,000 2,498,037 2,245,438
$ 2,500,001 - $ 3,000,000.................... 31 84,494,459 5.3 2,505,657 2,959,508 2,725,628
$ 3,000,001 - $ 4,000,000.................... 40 141,403,164 8.8 3,005,445 3,948,569 3,535,079
$ 4,000,001 - $ 5,000,000.................... 35 156,240,722 9.7 4,027,802 4,917,609 4,464,021
$ 5,000,001 - $ 6,000,000.................... 20 108,456,945 6.7 5,048,224 5,994,006 5,422,847
$ 6,000,001 - $ 7,000,000.................... 11 68,435,544 4.3 6,024,875 6,750,000 6,221,413
$ 7,000,001 - $ 8,000,000.................... 9 67,851,289 4.2 7,018,249 7,951,858 7,539,032
$ 8,000,001 - $ 9,000,000.................... 8 69,147,642 4.3 8,301,036 8,882,593 8,643,455
$ 9,000,001 - $10,000,000.................... 8 76,313,993 4.7 9,102,132 9,987,841 9,539,249
$10,000,001 - $12,500,000.................... 6 64,702,859 4.0 10,330,542 12,112,003 10,783,810
$12,500,001 - $15,000,000.................... 4 56,700,532 3.5 12,767,027 15,000,000 14,175,133
$15,000,001 - $17,500,000.................... 5 80,116,351 5.0 15,265,491 16,915,266 16,023,270
$17,500,001 - $20,000,000.................... 5 92,969,810 5.8 17,940,368 19,135,822 18,593,962
Greater than $20,000,000..................... 7 181,299,261 11.3 20,233,222 33,613,520 25,899,894
--- -------------- ------ ----------- ----------- -----------
Total/Min/Max/Avg./Wtd Avg. ............ 458 $1,606,870,428 100.0% $ 125,131 $33,613,520 $ 3,508,451
--- -------------- ------ ----------- ----------- -----------
--- -------------- ------ ----------- ----------- -----------
Average...................................... $ 3,508,451
Minimum................................. $ 125,131
Maximum................................. $ 33,613,520
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
RANGE OF SCHEDULED PRINCIPAL BALANCES MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
$ 500,000 or less............................ 1.02x 3.26x 1.93x 9.200%
$ 500,001 - $ 1,000,000...................... 0.97 8.18 1.59 9.387
$ 1,000,001 - $ 1,500,000.................... 0.77 3.34 1.43 9.381
$ 1,500,001 - $ 2,000,000.................... 0.85 3.41 1.42 9.152
$ 2,000,001 - $ 2,500,000.................... 0.82 3.94 1.37 9.266
$ 2,500,001 - $ 3,000,000.................... 0.90 3.05 1.41 9.252
$ 3,000,001 - $ 4,000,000.................... 0.90 2.39 1.39 9.449
$ 4,000,001 - $ 5,000,000.................... 0.89 1.97 1.29 9.086
$ 5,000,001 - $ 6,000,000.................... 0.94 2.39 1.44 9.080
$ 6,000,001 - $ 7,000,000.................... 1.02 1.82 1.36 8.878
$ 7,000,001 - $ 8,000,000.................... 0.94 1.35 1.15 9.475
$ 8,000,001 - $ 9,000,000.................... 1.02 1.55 1.23 9.242
$ 9,000,001 - $10,000,000.................... 0.94 1.33 1.19 9.175
$10,000,001 - $12,500,000.................... 0.87 2.30 1.26 9.118
$12,500,001 - $15,000,000.................... 1.10 1.27 1.20 8.999
$15,000,001 - $17,500,000.................... 1.01 1.63 1.30 8.546
$17,500,001 - $20,000,000.................... 0.98 1.63 1.22 8.800
Greater than $20,000,000..................... 1.02 1.45 1.21 8.934
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.32x 9.126%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
S-96
<PAGE>
<PAGE>
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
MORTGAGE INTEREST RATES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
5.000% - 6.000%.......................... 1 $ 3,732,573 0.2% $3,732,573 $ 3,732,573 $3,732,573
6.001% - 6.500%.......................... 5 10,224,623 0.6 625,763 3,586,875 2,044,925
6.501% - 7.000%.......................... 1 6,750,000 0.4 6,750,000 6,750,000 6,750,000
7.001% - 7.500%.......................... 5 13,000,121 0.8 1,854,817 4,216,401 2,600,024
7.501% - 8.000%.......................... 23 135,082,884 8.4 300,000 22,090,506 5,873,169
8.001% - 8.500%.......................... 73 279,264,297 17.4 125,131 26,498,948 3,825,538
8.501% - 9.000%.......................... 79 291,939,525 18.2 504,764 19,135,822 3,695,437
9.001% - 9.500%.......................... 99 347,169,547 21.6 437,412 16,254,479 3,506,763
9.501% - 10.000%.......................... 104 326,110,461 20.3 126,897 33,613,520 3,135,678
10.001% - 10.500%.......................... 60 177,023,034 11.0 273,813 28,636,401 2,950,384
10.501% - 11.000%.......................... 6 14,672,680 0.9 1,111,804 5,082,445 2,445,447
11.000% - 15.000%.......................... 2 1,900,682 0.1 813,275 1,087,408 950,341
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .......... 458 $1,606,870,428 100.0% $ 125,131 $33,613,520 $3,508,451
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Weighted Average........................... 9.126%
Minimum............................... 5.000%
Maximum............................... 14.750%
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
MORTGAGE INTEREST RATES MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
5.000% - 6.000%.......................... 0.90x 0.90x 0.90x 5.000%
6.001% - 6.500%.......................... 1.29 3.73 2.23 6.434
6.501% - 7.000%.......................... 1.72 1.72 1.72 7.000
7.001% - 7.500%.......................... 1.22 1.88 1.56 7.329
7.501% - 8.000%.......................... 0.85 2.87 1.29 7.849
8.001% - 8.500%.......................... 0.97 3.44 1.36 8.447
8.501% - 9.000%.......................... 0.87 8.18 1.30 8.830
9.001% - 9.500%.......................... 0.82 3.41 1.31 9.345
9.501% - 10.000%.......................... 0.77 3.94 1.30 9.795
10.001% - 10.500%.......................... 0.83 3.04 1.30 10.278
10.501% - 11.000%.......................... 1.04 2.39 1.67 10.705
11.000% - 15.000%.......................... 1.20 1.39 1.31 13.463
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. .......... 0.77x 8.18x 1.32x 9.126%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
DISTRIBUTION OF TYPES OF MORTGAGED PROPERTIES IN MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
PROPERTY TYPE(1) LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Office....................................... 112 $ 479,911,482 29.9% $322,139 $33,613,520 $4,284,924
Retail....................................... 150 434,252,562 27.0 273,813 17,940,368 2,895,017
Multifamily.................................. 80 409,779,971 25.5 460,483 22,090,506 5,122,250
Warehouse.................................... 74 177,378,085 11.0 125,131 27,473,835 2,397,001
Industrial................................... 35 90,993,832 5.7 249,075 6,750,000 2,599,824
Other........................................ 7 14,554,496 0.9 126,897 3,934,913 2,079,214
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 458 $1,606,870,428 100.0% $125,131 $33,613,520 $3,508,451
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
PROPERTY TYPE(1) MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Office....................................... 0.77x 3.41x 1.32x 9.128%
Retail....................................... 0.85 3.73 1.31 9.158
Multifamily.................................. 0.82 3.34 1.28 8.952
Warehouse.................................... 0.87 8.18 1.29 9.476
Industrial................................... 0.90 2.98 1.47 8.892
Other........................................ 1.20 2.39 2.01 10.206
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.32x 9.126%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
- ------------
(1) Property Type for each Mortgage Loan has been determined on the basis of the
most substantial use to which the related Mortgaged Property is being put
(based on square footage).
S-97
<PAGE>
<PAGE>
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
DEBT SERVICE COVERAGE RATIOS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------ --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
0.75x - 1.00x................. 34 $ 134,103,271 8.3% $913,821 $18,974,628 $3,944,214
1.01x - 1.10x................. 62 271,939,234 16.9 362,376 27,473,835 4,386,117
1.11x - 1.20x................. 61 289,288,895 18.0 582,180 28,636,401 4,742,441
1.21x - 1.30x................. 75 286,792,738 17.8 312,856 17,983,392 3,823,903
1.31x - 1.40x................. 50 155,640,227 9.7 331,163 15,730,274 3,112,805
1.41x - 1.50x................. 35 149,239,116 9.3 126,897 33,613,520 4,263,975
1.51x - 1.60x................. 35 80,336,565 5.0 567,835 8,882,593 2,295,330
1.61x - 1.70x................. 28 82,317,863 5.1 125,131 18,935,601 2,939,924
1.71x - 1.80x................. 15 31,813,892 2.0 615,391 6,750,000 2,120,926
1.81x - 1.90x................. 14 26,135,761 1.6 484,070 6,051,103 1,866,840
1.91x - 2.00x................. 9 31,467,409 2.0 577,257 5,235,130 3,496,379
2.01x - 2.25x................. 14 18,105,731 1.1 322,139 3,577,697 1,293,266
2.26x - 2.50x................. 8 28,872,758 1.8 300,000 10,350,000 3,609,095
2.51x - 3.00x................. 8 7,039,468 0.4 167,719 1,787,876 879,934
Greater than 3.00x............ 10 13,777,502 0.9 453,230 2,644,114 1,377,750
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd
Avg. .................. 458 $1,606,870,428 100.0% $125,131 $33,613,520 $3,508,451
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
Weighted Average.............. 1.32x
Minimum.................. 0.77x
Maximum.................. 8.18x
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
DEBT AVERAGE
SERVICE MORTGAGE
RANGE OF COVERAGE INTEREST
DEBT SERVICE COVERAGE RATIOS RATIO RATE
- ------------------------------ -------- --------
<S> <C> <C>
0.75x - 1.00x................. 0.94x 8.860%
1.01x - 1.10x................. 1.05 9.213
1.11x - 1.20x................. 1.15 9.290
1.21x - 1.30x................. 1.25 9.249
1.31x - 1.40x................. 1.35 9.088
1.41x - 1.50x................. 1.44 8.941
1.51x - 1.60x................. 1.54 9.283
1.61x - 1.70x................. 1.63 8.847
1.71x - 1.80x................. 1.74 8.631
1.81x - 1.90x................. 1.85 9.304
1.91x - 2.00x................. 1.94 8.477
2.01x - 2.25x................. 2.12 9.310
2.26x - 2.50x................. 2.33 9.404
2.51x - 3.00x................. 2.80 8.436
Greater than 3.00x............ 3.57 8.998
---- -----
Total/Min/Max/Avg./Wtd
Avg. .................. 1.32x 9.126%
---- -----
---- -----
</TABLE>
S-98
<PAGE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES IN MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
STATE/DISTRICT LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- -------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
California.................................. 116 $ 298,163,009 18.6% $ 273,813 $19,135,822 $2,570,371
New Jersey.................................. 53 226,952,071 14.1 371,721 20,233,222 4,282,115
Georgia..................................... 33 109,162,688 6.8 362,376 15,000,000 3,307,960
Florida..................................... 22 101,901,786 6.3 582,180 27,473,835 4,631,899
Illinois.................................... 29 97,644,641 6.1 312,856 18,935,601 3,367,057
Maryland.................................... 35 93,828,261 5.8 878,544 7,574,690 2,680,807
Pennsylvania................................ 14 80,372,932 5.0 666,087 18,974,628 5,740,924
District of Columbia........................ 9 71,799,795 4.5 625,763 28,636,401 7,977,755
Minnesota................................... 8 70,871,006 4.4 1,802,976 33,613,520 8,858,876
Washington.................................. 20 63,469,973 3.9 379,373 12,112,003 3,173,499
Colorado.................................... 18 53,301,017 3.3 249,075 15,265,491 2,961,168
Virginia.................................... 8 52,836,132 3.3 1,215,841 22,090,506 6,604,516
Delaware.................................... 6 49,947,227 3.1 1,147,298 22,752,831 8,324,538
Texas....................................... 39 48,264,987 3.0 125,131 7,094,480 1,237,564
Arizona..................................... 8 46,355,544 2.9 1,914,233 10,733,808 5,794,443
Massachusetts............................... 10 46,213,409 2.9 1,854,817 6,364,453 4,621,341
North Carolina.............................. 10 45,330,128 2.8 1,213,992 10,531,223 4,533,013
Other....................................... 20 50,455,823 3.1 570,294 5,994,006 2,522,791
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ........... 458 $1,606,870,428 100.0% $ 125,131 $33,613,520 $3,508,451
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
STATE/DISTRICT MINIMUM MAXIMUM AVERAGE RATE
- -------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
California.................................. 0.82x 3.26x 1.31x 9.217%
New Jersey.................................. 0.77 3.04 1.29 9.039
Georgia..................................... 0.91 2.30 1.39 9.065
Florida..................................... 1.01 1.87 1.22 9.593
Illinois.................................... 1.04 2.16 1.41 8.949
Maryland.................................... 0.96 3.73 1.41 9.076
Pennsylvania................................ 0.94 2.27 1.19 8.770
District of Columbia........................ 1.05 2.14 1.31 9.111
Minnesota................................... 0.94 2.14 1.37 9.468
Washington.................................. 0.87 3.34 1.36 9.254
Colorado.................................... 1.00 3.94 1.54 9.195
Virginia.................................... 0.90 3.05 1.29 8.200
Delaware.................................... 1.15 1.51 1.21 8.577
Texas....................................... 1.07 8.18 1.53 9.351
Arizona..................................... 1.00 1.63 1.17 9.199
Massachusetts............................... 0.90 1.79 1.28 9.068
North Carolina.............................. 1.15 1.61 1.31 9.245
Other....................................... 1.04 1.81 1.29 9.655
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ........... 0.77x 8.18x 1.32x 9.126%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
S-99
<PAGE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES LOCATED IN CALIFORNIA IN
MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
GEOGRAPHIC LOCATION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------------ --------- ------------ ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Northern California............................. 34 $118,732,174 39.8% $779,209 $19,135,822 $3,492,123
Southern California............................. 82 179,430,835 60.2 273,813 15,950,840 2,188,181
--- ------------ ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............... 116 $298,163,009 100.0% $273,813 $19,135,822 $2,570,371
--- ------------ ------ -------- ----------- ----------
--- ------------ ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
GEOGRAPHIC LOCATION MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------------ ------- ------- -------- -----------
<S> <C> <C> <C> <C>
Northern California............................. 0.83x 2.39x 1.39x 9.163%
Southern California............................. 0.82 3.26 1.25 9.253
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ............... 0.82x 3.26x 1.31x 9.217%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
COUNTY DISTRIBUTION OF MORTGAGED PROPERTIES LOCATED IN CALIFORNIA IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
CALIFORNIA COUNTIES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ----------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
NORTHERN CALIFORNIA
Alameda........................................ 8 $ 39,329,784 33.1% $ 861,870 $19,135,822 $4,916,223
Santa Clara.................................... 8 29,985,698 25.3 1,456,346 6,750,000 3,748,212
Contra Costa................................... 5 11,281,531 9.5 779,209 7,316,744 2,256,306
San Francisco.................................. 3 11,125,639 9.4 892,346 5,150,847 3,708,546
San Mateo...................................... 2 9,339,570 7.9 3,534,829 5,804,741 4,669,785
Sacramento..................................... 2 5,543,669 4.7 2,118,064 3,425,605 2,771,834
Monterey....................................... 2 5,182,289 4.4 1,247,376 3,934,913 2,591,144
Sonoma......................................... 2 5,025,169 4.2 1,081,198 3,943,971 2,512,585
San Joaquin.................................... 2 1,918,826 1.6 892,475 1,026,351 959,413
-- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .............. 34 $118,732,174 100.0% $ 779,209 $19,135,822 $3,492,123
-- ------------ ------ ---------- ----------- ----------
-- ------------ ------ ---------- ----------- ----------
SOUTHERN CALIFORNIA
Los Angeles.................................... 33 $ 61,784,112 34.4% $ 273,813 $ 4,761,545 $1,872,246
Orange......................................... 16 33,792,827 18.8 522,696 5,243,936 2,112,052
Riverside...................................... 4 27,766,804 15.5 687,133 15,950,840 6,941,701
San Diego...................................... 17 27,620,381 15.4 453,230 3,298,073 1,624,728
Ventura........................................ 6 14,261,307 7.9 782,300 4,467,998 2,376,884
San Bernardino................................. 4 12,089,943 6.7 1,888,776 4,776,431 3,022,486
Santa Barbara.................................. 1 1,273,134 0.7 1,273,134 1,273,134 1,273,134
Kern........................................... 1 842,327 0.5 842,327 842,327 842,327
-- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .............. 82 $179,430,835 100.0% $ 273,813 $15,950,840 $2,188,181
-- ------------ ------ ---------- ----------- ----------
-- ------------ ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
CALIFORNIA COUNTIES MINIMUM MAXIMUM AVERAGE RATE
- ----------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
NORTHERN CALIFORNIA
Alameda........................................ 1.00x 1.89x 1.16x 9.131%
Santa Clara.................................... 1.01 1.97 1.53 8.368
Contra Costa................................... 0.97 2.14 1.16 9.895
San Francisco.................................. 1.21 2.39 2.06 10.049
San Mateo...................................... 1.05 1.35 1.24 8.973
Sacramento..................................... 0.83 1.38 1.17 10.327
Monterey....................................... 1.50 2.39 2.18 9.639
Sonoma......................................... 0.90 1.20 1.14 9.384
San Joaquin.................................... 1.20 1.35 1.28 8.500
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. .............. 0.83x 2.39x 1.39x 9.163%
---- ---- ---- -----
---- ---- ---- -----
SOUTHERN CALIFORNIA
Los Angeles.................................... 0.82x 2.82x 1.22x 9.329%
Orange......................................... 0.85 1.92 1.27 9.313
Riverside...................................... 1.01 1.40 1.10 8.571
San Diego...................................... 0.97 3.26 1.27 9.457
Ventura........................................ 0.87 2.12 1.34 8.903
San Bernardino................................. 1.09 2.32 1.47 10.182
Santa Barbara.................................. 1.19 1.19 1.19 9.625
Kern........................................... 2.59 2.59 2.59 9.000
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. .............. 0.82x 3.26x 1.25x 9.253%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
S-100
<PAGE>
<PAGE>
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
REMAINING TERMS TO MATURITY LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
0 - 6 months............................. 28 $ 89,778,742 6.7% $ 720,360 $16,254,479 $3,206,384
7 - 12 months............................. 24 62,466,649 4.7 522,696 8,882,593 2,602,777
13 - 24 months............................. 45 134,531,901 10.1 249,075 15,265,491 2,989,598
25 - 48 months............................. 127 426,148,168 32.0 582,180 22,090,506 3,355,497
49 - 60 months............................. 50 245,027,100 18.4 167,719 28,636,401 4,900,542
61 - 84 months............................. 53 180,007,850 13.5 312,856 26,498,948 3,396,375
85 - 120 months............................. 20 68,146,818 5.1 125,131 16,915,266 3,407,341
121 - 180 months............................. 27 109,406,418 8.2 331,163 33,613,520 4,052,090
181 - 240 months............................. 4 14,701,783 1.1 2,754,653 4,516,543 3,675,446
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 378 $1,330,215,427 100.0% $ 125,131 $33,613,520 $3,519,088
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Weighted Average............................. 55 months
FULLY AMORTIZING MORTGAGE LOANS
13 - 24 months............................. 1 $ 126,897 0.0% $ 126,897 $ 126,897 $ 126,897
25 - 60 months............................. 5 3,800,783 1.4 453,230 1,087,408 760,157
61 - 120 months............................. 12 14,285,716 5.2 322,139 3,934,913 1,190,476
121 - 180 months............................. 30 94,631,287 34.2 379,373 20,233,222 3,154,376
181 - 240 months............................. 15 58,290,251 21.1 522,477 10,330,542 3,886,017
241 - 300 months............................. 16 103,631,289 37.5 2,687,209 27,473,835 6,476,956
301 - 360 months............................. 1 1,888,776 0.7 1,888,776 1,888,776 1,888,776
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 80 $ 276,655,001 100.0% $ 126,897 $27,473,835 $3,458,188
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Weighted Average............................. 205 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
REMAINING TERMS TO MATURITY MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
0 - 6 months............................. 0.91x 2.14x 1.28x 9.311%
7 - 12 months............................. 1.00 2.05 1.45 9.529
13 - 24 months............................. 0.82 8.18 1.36 9.025
25 - 48 months............................. 0.77 3.73 1.30 8.696
49 - 60 months............................. 0.90 2.82 1.21 9.356
61 - 84 months............................. 0.85 2.59 1.38 8.491
85 - 120 months............................. 1.05 2.48 1.56 8.544
121 - 180 months............................. 1.04 2.31 1.38 9.684
181 - 240 months............................. 1.20 2.09 1.53 9.527
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.33x 8.986%
---- ---- ---- -----
---- ---- ---- -----
FULLY AMORTIZING MORTGAGE LOANS
13 - 24 months............................. 1.50x 1.50x 1.50x 9.750%
25 - 60 months............................. 1.23 3.26 1.67 10.742
61 - 120 months............................. 1.02 2.39 1.71 9.540
121 - 180 months............................. 1.05 3.05 1.44 9.480
181 - 240 months............................. 0.83 3.41 1.23 10.160
241 - 300 months............................. 0.92 1.30 1.13 9.879
301 - 360 months............................. 1.16 1.16 1.16 10.125
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............ 0.83x 3.41x 1.29x 9.798%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
S-101
<PAGE>
<PAGE>
DISTRIBUTION OF REMAINING AMORTIZATION TERMS OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
REMAINING AMORTIZATION TERMS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ---------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Interest Only(1).............................. 23 $ 139,093,398 8.7% $331,163 $22,752,831 $6,047,539
1 - 60 months.............................. 6 3,927,681 0.2 126,897 1,087,408 654,613
61 - 120 months.............................. 14 19,948,921 1.2 322,139 4,770,859 1,424,923
121 - 180 months.............................. 42 114,086,287 7.1 379,373 20,233,222 2,716,340
181 - 240 months.............................. 98 249,739,571 15.5 273,813 10,330,542 2,548,363
241 - 300 months.............................. 245 870,039,917 54.1 125,131 33,613,520 3,551,183
301 - 360 months.............................. 30 210,034,653 13.1 300,000 28,636,401 7,001,155
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............. 458 $1,606,870,428 100.0% $125,131 $33,613,520 $3,508,451
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
Weighted Average.............................. 238 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
REMAINING AMORTIZATION TERMS MINIMUM MAXIMUM AVERAGE RATE
- ---------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Interest Only(1).............................. 0.90x 3.94x 1.52x 8.150%
1 - 60 months.............................. 1.23 3.26 1.66 10.710
61 - 120 months.............................. 1.01 2.39 1.52 9.592
121 - 180 months.............................. 1.05 8.18 1.44 9.391
181 - 240 months.............................. 0.83 3.41 1.33 9.504
241 - 300 months.............................. 0.77 3.44 1.29 9.166
301 - 360 months.............................. 0.97 2.48 1.22 8.942
---- ---- ---- ------
Total/Min/Max/Avg./Wtd Avg. ............. 0.77x 8.18x 1.32x 9.126%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
(1) Includes three Mortgage Loans with an aggregate Scheduled Principal
Balance of $11,745,073 that are Interest Only then Amortizing.
DISTRIBUTION OF SEASONING OF THE MORTGAGE LOANS IN MORTGAGE LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
RANGE OF SEASONING(1) LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- -------------- ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
0 - 24 months............................. 37 $ 67,352,102 4.2% $125,131 $10,350,000 $1,820,327
25 - 60 months............................. 68 313,187,949 19.5 167,719 27,473,835 4,605,705
61 - 84 months............................. 132 665,653,905 41.4 453,230 33,613,520 5,042,833
85 - 120 months............................. 183 510,674,240 31.8 126,897 22,752,831 2,790,570
121 - 180 months............................. 29 42,923,494 2.7 273,813 4,770,859 1,480,120
181 - 240 months............................. 5 3,545,815 0.2 485,063 1,038,056 709,163
241 - 300 months............................. 4 3,532,922 0.2 564,895 1,233,546 883,230
--- -------------- ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. ............ 458 $1,606,870,428 100.0% $125,131 $33,613,520 $3,508,451
--- -------------- ------ -------- ----------- ----------
--- -------------- ------ -------- ----------- ----------
Weighted Average............................. 76 months
Minimum................................. 0 months
Maximum................................. 277 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
RANGE OF SEASONING(1) MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
0 - 24 months............................. 1.15x 2.48x 1.65x 8.474%
25 - 60 months............................. 0.83 8.18 1.32 9.240
61 - 84 months............................. 0.90 3.94 1.28 9.170
85 - 120 months............................. 0.77 3.73 1.33 9.042
121 - 180 months............................. 0.87 2.82 1.29 9.622
181 - 240 months............................. 1.09 2.01 1.28 9.533
241 - 300 months............................. 1.59 2.17 1.78 8.834
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. ............ 0.77x 8.18x 1.32x 9.126%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
(1) Calculated as the number of months between the first payment date of the
Mortgage Loan and the Cut-Off Date.
S-102
<PAGE>
<PAGE>
DISTRIBUTION OF ORIGINAL LOAN TO VALUE RATIOS OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
LOAN TO VALUE RATIOS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Not Applicable(1).......................... 5 $ 19,308,420 1.2% $3,532,093 $ 4,187,257 $3,861,684
0.01% - 50.00%........................... 41 61,608,030 3.8 126,897 6,221,552 1,502,635
50.01% - 60.00%........................... 37 112,503,984 7.0 312,856 15,730,274 3,040,648
60.01% - 65.00%........................... 32 145,745,516 9.1 460,483 33,613,520 4,554,547
65.01% - 70.00%........................... 102 409,856,970 25.5 167,719 20,233,222 4,018,206
70.01% - 75.00%........................... 228 824,290,117 51.3 331,163 27,473,835 3,615,308
75.01% - 80.00%(2)........................ 5 18,300,183 1.1 873,856 6,750,000 3,660,037
80.01% - 100.00%(2)........................ 7 10,082,208 0.6 125,131 4,545,178 1,440,315
Greater than 100%(2)....................... 1 5,175,000 0.3 5,175,000 5,175,000 5,175,000
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd Avg. .......... 458 $1,606,870,428 100.0% $ 125,131 $33,613,520 $3,508,451
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
Non-zero Weighted Average.................. 69.3%
Non-zero Minimum........................... 22.0%
Maximum.................................... 125.0%
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF ORIGINAL WEIGHTED INTEREST
LOAN TO VALUE RATIOS MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Not Applicable(1).......................... 1.14x 1.21x 1.17x 9.567%
0.01% - 50.00%........................... 1.00 3.94 1.89 9.366
50.01% - 60.00%........................... 0.90 3.05 1.55 9.400
60.01% - 65.00%........................... 0.83 1.75 1.33 9.709
65.01% - 70.00%........................... 0.82 8.18 1.32 9.096
70.01% - 75.00%........................... 0.77 3.73 1.24 9.009
75.01% - 80.00%(2)........................ 1.17 1.72 1.50 8.198
80.01% - 100.00%(2)........................ 1.18 2.70 1.48 8.480
Greater than 100%(2)....................... 1.91 1.91 1.91 7.750
---- ---- ---- -----
Total/Min/Max/Avg./Wtd Avg. .......... 0.77x 8.18x 1.32x 9.126%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
(1) Refers to 5 Mortgage Loans secured by triple net leased retail stores for
which a property valuation was not performed as part of the original
Mortgage Loan underwriting process.
(2) Includes 10 purchase money Mortgage Loans with an aggregate Scheduled
Principal Balance of approximately $23,698,385; one triple net leased retail
property with a Scheduled Principal Balance of approximately $4,545,178; and
two Mortgage Loans with an aggregate Scheduled Principal Balance of
approximately $5,313,827 (which had original loan-to-value ratios of
approximately 76%).
S-103
<PAGE>
<PAGE>
DISTRIBUTION OF YEARS OF ORIGINATION OF THE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE SCHEDULED PRINCIPAL BALANCE
NUMBER OF SCHEDULED SCHEDULED --------------------------------------
YEAR OF MORTGAGE PRINCIPAL PRINCIPAL
ORIGINATION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ---------------------------------------------- --------- -------------- ------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
1974 or Earlier............................... 3 $ 2,299,376 0.1% $ 564,895 $ 1,157,223 $ 766,459
1975 - 1985................................... 35 47,702,856 3.0 273,813 4,770,859 1,362,939
1986 - 1987................................... 115 253,287,512 15.8 126,897 12,112,003 2,202,500
1988.......................................... 70 261,330,691 16.3 522,477 22,752,831 3,733,296
1989.......................................... 87 393,193,544 24.5 636,946 26,498,948 4,519,466
1990.......................................... 43 268,516,398 16.7 453,230 33,613,520 6,244,567
1991.......................................... 37 232,009,472 14.4 1,057,283 27,473,835 6,270,526
1992.......................................... 21 55,434,896 3.4 249,075 15,265,491 2,639,757
1993.......................................... 10 25,743,581 1.6 167,719 6,750,000 2,574,358
1994.......................................... 10 13,618,903 0.8 125,131 5,362,500 1,361,890
1995.......................................... 1 10,350,000 0.6 10,350,000 10,350,000 10,350,000
1996.......................................... 26 43,383,199 2.7 312,856 5,527,426 1,668,585
--- -------------- ------ ----------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ............ 458 $1,606,870,428 100.0% $ 125,131 $33,613,520 $3,508,451
--- -------------- ------ ----------- ----------- ----------
--- -------------- ------ ----------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
YEAR OF WEIGHTED INTEREST
ORIGINATION MINIMUM MAXIMUM AVERAGE RATE
- ---------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
1974 or Earlier............................... 1.71x 2.17x 1.88x 8.813%
1975 - 1985................................... 0.87 2.82 1.29 9.596
1986 - 1987................................... 0.82 3.73 1.37 9.244
1988.......................................... 0.77 3.04 1.30 8.824
1989.......................................... 0.91 3.34 1.29 8.934
1990.......................................... 0.90 3.94 1.26 9.540
1991.......................................... 0.83 2.27 1.23 9.352
1992.......................................... 1.04 8.18 1.61 9.105
1993.......................................... 1.16 3.41 1.52 8.520
1994.......................................... 1.15 2.48 1.57 8.373
1995.......................................... 2.30 2.30 2.30 8.500
1996.......................................... 1.24 2.20 1.53 8.500
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ............ 0.77x 8.18x 1.32x 9.126%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
PREPAYMENT PROVISIONS AS OF THE CUT-OFF DATE OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 1
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE SCHEDULED PRINCIPAL BALANCE
NUMBER OF SCHEDULED SCHEDULED -------------------------------------
MORTGAGE PRINCIPAL PRINCIPAL
PREPAYMENT PROVISION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- -------------------------------------------- --------- -------------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Locked-Out.................................. 37 $ 73,362,423 4.6% $ 312,856 $12,112,003 $1,982,768
Yield Maintenance........................... 388 1,393,380,084 86.7 125,131 33,613,520 3,591,186
Declining Percentage........................ 16 55,241,197 3.4 485,063 15,000,000 3,452,575
Open then Yield Maintenance(1).............. 4 46,359,122 2.9 2,693,386 22,752,831 11,589,781
Open........................................ 13 38,527,601 2.4 167,719 10,350,000 2,963,662
--- -------------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. .......... 458 $1,606,870,428 100.0% $ 125,131 $33,613,520 $3,508,451
--- -------------- ------ ---------- ----------- ----------
--- -------------- ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
PREPAYMENT PROVISION MINIMUM MAXIMUM AVERAGE RATE
- -------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
Locked-Out.................................. 0.87x 2.20x 1.34x 8.741%
Yield Maintenance........................... 0.77 8.18 1.31 9.196
Declining Percentage........................ 1.09 2.17 1.37 8.566
Open then Yield Maintenance(1).............. 1.15 1.43 1.25 8.221
Open........................................ 1.00 3.44 1.62 9.215
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. .......... 0.77x 8.18x 1.32x 9.126%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
(1) These Mortgage Loans will become subject to a yield maintenance Prepayment
Charge at various times between the Cut-Off Date and September 1996.
S-104
<PAGE>
<PAGE>
DISTRIBUTION OF SCHEDULED PRINCIPAL BALANCES OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL --------------------------------------
SCHEDULED PRINCIPAL BALANCES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- ------------ ------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
$ 500,000 or less.......................... 2 $ 657,714 0.2% $ 317,711 $ 340,003 $ 328,857
$ 500,001 - $1,000,000.................... 11 8,544,280 2.5 573,571 994,848 776,753
$ 1,000,001 - $1,500,000.................... 15 17,949,759 5.2 1,004,833 1,396,893 1,196,651
$ 1,500,001 - $2,000,000.................... 19 32,445,073 9.4 1,502,778 1,986,052 1,707,635
$ 2,000,001 - $2,500,000.................... 12 26,502,576 7.6 2,000,805 2,413,173 2,208,548
$ 2,500,001 - $3,000,000.................... 12 32,320,101 9.3 2,557,918 2,975,192 2,693,342
$ 3,000,001 - $4,000,000.................... 10 35,101,765 10.1 3,003,068 3,948,560 3,510,176
$ 4,000,001 - $5,000,000.................... 8 36,555,097 10.5 4,090,582 4,968,525 4,569,387
$ 5,000,001 - $6,000,000.................... 5 26,658,414 7.7 5,068,828 5,625,257 5,331,683
$ 6,000,001 - $7,000,000.................... 1 6,635,354 1.9 6,635,354 6,635,354 6,635,354
$ 7,000,001 - $8,000,000.................... 3 22,333,240 6.4 7,046,957 7,716,766 7,444,413
$ 8,000,001 - $9,000,000.................... 3 25,328,216 7.3 8,372,514 8,545,641 8,442,739
$ 9,000,001 - $10,000,000.................... 1 9,696,017 2.8 9,696,017 9,696,017 9,696,017
$10,000,001 - $12,500,000.................... 2 23,218,205 6.7 11,064,866 12,153,338 11,609,102
$17,500,001 - $20,000,000.................... 1 18,091,780 5.2 18,091,780 18,091,780 18,091,780
Greater than $20,000,000..................... 1 24,837,212 7.2 24,837,212 24,837,212 24,837,212
--- ------------ ------ ----------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........... 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ----------- ----------- ----------
--- ------------ ------ ----------- ----------- ----------
Average...................................... $ 3,272,404
Minimum................................. $ 317,711
Maximum................................. $ 24,837,212
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
SCHEDULED PRINCIPAL BALANCES MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
$ 500,000 or less.......................... 1.27x 2.57x 1.94 8.776%
$ 500,001 - $1,000,000.................... 0.82 3.46 1.57 9.113
$ 1,000,001 - $1,500,000.................... 0.87 5.33 1.76 9.182
$ 1,500,001 - $2,000,000.................... 0.78 3.11 1.47 9.459
$ 2,000,001 - $2,500,000.................... 0.93 1.85 1.37 9.323
$ 2,500,001 - $3,000,000.................... 0.96 2.02 1.41 9.217
$ 3,000,001 - $4,000,000.................... 0.98 1.54 1.20 8.871
$ 4,000,001 - $5,000,000.................... 0.95 1.79 1.33 9.451
$ 5,000,001 - $6,000,000.................... 1.01 1.87 1.42 9.191
$ 6,000,001 - $7,000,000.................... 1.19 1.19 1.19 9.750
$ 7,000,001 - $8,000,000.................... 1.17 1.49 1.28 9.377
$ 8,000,001 - $9,000,000.................... 1.05 1.36 1.16 8.422
$ 9,000,001 - $10,000,000.................... 1.34 1.34 1.34 9.375
$10,000,001 - $12,500,000.................... 0.93 2.17 1.52 9.447
$17,500,001 - $20,000,000.................... 1.02 1.02 1.02 8.750
Greater than $20,000,000..................... 1.55 1.55 1.55 7.670
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ........... 0.78x 5.33x 1.37x 9.077%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
S-105
<PAGE>
<PAGE>
DISTRIBUTION OF MORTGAGE INTEREST RATES OF THE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
MORTGAGE INTEREST RATES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ---------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
7.000% - 7.500%............................. 3 $ 6,088,130 1.8% $1,354,884 $ 2,716,025 $2,029,377
7.501% - 8.000%............................. 7 44,189,792 12.7 340,003 24,837,212 6,312,827
8.001% - 8.500%............................. 12 37,847,349 10.9 827,554 8,410,060 3,153,946
8.501% - 9.000%............................. 15 65,401,028 18.9 913,104 18,091,780 4,360,069
9.001% - 9.500%............................. 33 93,380,891 26.9 573,571 12,153,338 2,829,724
9.501% - 10.000%............................. 27 73,010,961 21.0 317,711 11,064,866 2,704,110
10.001% - 10.500%............................. 9 26,956,650 7.8 911,885 4,868,313 2,995,183
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ............ 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
Weighted Average.............................. 9.077%
Minimum.................................. 7.500%
Maximum.................................. 10.375%
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF WEIGHTED INTEREST
MORTGAGE INTEREST RATES MINIMUM MAXIMUM AVERAGE RATE
- ---------------------------------------------- ------- ------- -------- -----------
<S> <C> <C> <C> <C>
7.000% - 7.500%............................. 1.03x 1.14x 1.09x 7.500%
7.501% - 8.000%............................. 0.82 2.57 1.41 7.773
8.001% - 8.500%............................. 0.98 5.33 1.52 8.386
8.501% - 9.000%............................. 1.01 3.11 1.29 8.880
9.001% - 9.500%............................. 0.87 2.18 1.28 9.320
9.501% - 10.000%............................. 0.90 4.53 1.56 9.792
10.001% - 10.500%............................. 0.78 1.42 1.12 10.246
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ............ 0.78x 5.33x 1.37x 9.077%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
DISTRIBUTION OF TYPES OF MORTGAGED PROPERTIES IN MORTGAGE LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
PROPERTY TYPE(1) LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------ --------- ------------ ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Retail.................................... 27 $116,904,360 33.7% $573,571 $18,091,780 $4,329,791
Warehouse................................. 30 80,571,655 23.2 317,711 11,064,866 2,685,722
Office.................................... 22 64,586,328 18.6 604,119 12,153,338 2,935,742
Multifamily............................... 13 50,007,258 14.4 648,226 24,837,212 3,846,712
Industrial................................ 14 34,805,201 10.0 340,003 8,410,060 2,486,086
--- ------------ ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........ 106 $346,874,801 100.0% $317,711 $24,837,212 $3,272,404
--- ------------ ------ -------- ----------- ----------
--- ------------ ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
PROPERTY TYPE(1) MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------ ------- ------- -------- --------
<S> <C> <C> <C> <C>
Retail.................................... 0.82x 3.11x 1.29x 9.007%
Warehouse................................. 0.87 2.18 1.45 9.279
Office.................................... 0.93 1.98 1.26 9.318
Multifamily............................... 1.08 4.53 1.55 8.496
Industrial................................ 0.78 5.33 1.41 9.233
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ........ 0.78x 5.33x 1.37x 9.077%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
- ------------
(1) Property Type for each Mortgage Loan has been determined on the basis of the
most substantial use to which the related Mortgaged Property is being put
(based on square footage).
S-106
<PAGE>
<PAGE>
DISTRIBUTION OF DEBT SERVICE COVERAGE RATIOS OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF DEBT MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
SERVICE COVERAGE RATIOS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------ --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
0.75x - 1.00x................. 13 $ 36,890,241 10.6% $ 911,885 $12,153,338 $2,837,711
1.01x - 1.10x................. 12 65,257,589 18.8 1,644,222 18,091,780 5,438,132
1.11x - 1.20x................. 13 42,818,136 12.3 648,226 7,716,766 3,293,703
1.21x - 1.30x................. 13 33,186,251 9.6 317,711 5,137,982 2,552,789
1.31x - 1.40x................. 16 51,437,337 14.8 604,119 9,696,017 3,214,834
1.41x - 1.50x................. 8 20,666,345 6.0 573,571 7,569,518 2,583,293
1.51x - 1.60x................. 6 39,562,788 11.4 1,630,656 24,837,212 6,593,798
1.61x - 1.70x................. 3 6,947,637 2.0 1,105,745 4,133,695 2,315,879
1.71x - 1.80x................. 7 13,857,624 4.0 648,226 4,779,466 1,979,661
1.81x - 1.90x................. 3 9,763,313 2.8 2,149,863 5,312,470 3,254,438
1.91x - 2.00x................. 3 5,053,763 1.5 913,104 2,632,277 1,684,588
2.01x - 2.25x................. 3 14,763,937 4.3 1,118,878 11,064,866 4,921,312
2.51x - 3.00x................. 2 2,044,247 0.6 340,003 1,704,245 1,022,124
Greater than 3.00x............ 4 4,625,592 1.3 664,649 1,728,144 1,156,398
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd.
Avg. .................. 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
Weighted Average.............. 1.37x
Minimum.................. 0.78x
Maximum.................. 5.33x
<CAPTION>
WEIGHTED
AVERAGE WEIGHTED
DEBT AVERAGE
SERVICE MORTGAGE
RANGE OF DEBT COVERAGE INTEREST
SERVICE COVERAGE RATIOS RATIO RATE
- ------------------------------ -------- ---------
<S> <C> <C>
0.75x - 1.00x................. 0.93x 9.239%
1.01x - 1.10x................. 1.04 8.955
1.11x - 1.20x................. 1.16 9.282
1.21x - 1.30x................. 1.26 9.430
1.31x - 1.40x................. 1.35 9.171
1.41x - 1.50x................. 1.47 9.155
1.51x - 1.60x................. 1.55 8.245
1.61x - 1.70x................. 1.66 8.894
1.71x - 1.80x................. 1.76 9.206
1.81x - 1.90x................. 1.85 8.470
1.91x - 2.00x................. 1.98 9.447
2.01x - 2.25x................. 2.15 9.790
2.51x - 3.00x................. 2.56 9.417
Greater than 3.00x............ 4.03 9.155
---- -----
Total/Min/Max/Avg./Wtd.
Avg. .................. 1.37x 9.077%
---- -----
---- -----
</TABLE>
S-107
<PAGE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES IN MORTGAGE LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
STATE/DISTRICT LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
California................................... 56 $155,123,360 44.7% $ 317,711 $12,153,338 $2,770,060
Florida...................................... 8 45,102,946 13.0 827,554 18,091,780 5,637,868
Georgia...................................... 9 44,640,128 12.9 340,003 24,837,212 4,960,014
New Jersey................................... 5 18,431,537 5.3 1,728,144 5,068,828 3,686,307
Illinois..................................... 7 16,175,873 4.7 925,449 4,954,820 2,310,839
Texas........................................ 2 13,083,394 3.8 5,513,876 7,569,518 6,541,697
Pennsylvania................................. 4 10,557,372 3.0 1,588,374 4,229,545 2,639,343
Hawaii....................................... 1 9,696,017 2.8 9,696,017 9,696,017 9,696,017
Minnesota.................................... 2 9,360,988 2.7 1,644,222 7,716,766 4,680,494
Other........................................ 12 24,703,188 7.1 664,649 4,968,525 2,058,599
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........... 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
STATE/DISTRICT MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
California................................... 0.90x 5.33x 1.39x 9.189%
Florida...................................... 1.01 1.66 1.21 8.665
Georgia...................................... 0.87 2.57 1.46 8.207
New Jersey................................... 1.30 3.11 1.51 9.639
Illinois..................................... 0.82 1.39 1.19 9.052
Texas........................................ 1.49 1.57 1.53 9.158
Pennsylvania................................. 0.78 1.42 1.02 10.375
Hawaii....................................... 1.34 1.34 1.34 9.375
Minnesota.................................... 1.04 1.17 1.15 9.684
Other........................................ 1.06 4.53 1.57 9.351
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ........... 0.78x 5.33x 1.37x 9.077%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
S-108
<PAGE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES LOCATED IN CALIFORNIA IN
MORTGAGE LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -----------------------------------
GEOGRAPHIC LOCATION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ----------------------------------------------- --------- ------------ ------------- -------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Northern California............................ 34 $ 93,813,692 60.5% $317,711 $ 8,410,060 $2,759,226
Southern California............................ 22 61,309,668 39.5 573,571 12,153,338 2,786,803
-- ------------ ------ -------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ............. 56 $155,123,360 100.0% $317,711 $12,153,338 $2,770,060
-- ------------ ------ -------- ----------- ----------
-- ------------ ------ -------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
GEOGRAPHIC LOCATION MINIMUM MAXIMUM AVERAGE RATE
- ----------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Northern California............................ 0.90x 5.33x 1.35x 9.188%
Southern California............................ 0.93 2.55 1.44 9.192
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ............. 0.90x 5.33x 1.39x 9.189%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
COUNTY DISTRIBUTION OF MORTGAGED PROPERTIES LOCATED IN CALIFORNIA IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
CALIFORNIA COUNTIES LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------ --------- ----------- ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
NORTHERN CALIFORNIA
Contra Costa.............................. 8 $26,040,433 27.8% $1,004,833 $ 8,372,514 $3,255,054
Alameda................................... 6 18,523,632 19.7 1,105,745 6,635,354 3,087,272
Santa Clara............................... 8 17,616,441 18.8 1,033,457 7,046,957 2,202,055
San Mateo................................. 1 8,410,060 9.0 8,410,060 8,410,060 8,410,060
San Joaquin............................... 2 8,141,050 8.7 3,003,068 5,137,982 4,070,525
Marin..................................... 3 6,702,307 7.1 1,508,382 2,632,277 2,234,102
Sonoma.................................... 4 4,751,858 5.1 317,711 2,688,395 1,187,965
Sacramento................................ 2 3,627,910 3.9 911,885 2,716,025 1,813,955
-- ----------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........ 34 $93,813,692 100.0% $ 317,711 $ 8,410,060 $2,759,226
-- ----------- ------ ---------- ----------- ----------
-- ----------- ------ ---------- ----------- ----------
SOUTHERN CALIFORNIA
Los Angeles............................... 11 $31,423,036 51.3% $ 648,226 $12,153,338 $2,856,640
San Diego................................. 2 15,013,427 24.5 3,948,560 11,064,866 7,506,713
Orange.................................... 4 7,588,816 12.4 1,704,245 2,153,517 1,897,204
Ventura................................... 1 3,805,974 6.2 3,805,974 3,805,974 3,805,974
San Bernardino............................ 2 1,879,448 3.1 573,571 1,305,877 939,724
Santa Barbara............................. 2 1,598,967 2.6 604,119 994,848 799,484
-- ----------- ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........ 22 $61,309,668 100.0% $ 573,571 $12,153,338 $2,786,803
-- ----------- ------ ---------- ----------- ----------
-- ----------- ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
CALIFORNIA COUNTIES MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------ ------- ------- -------- --------
<S> <C> <C> <C> <C>
NORTHERN CALIFORNIA
Contra Costa.............................. 0.90x 1.79x 1.23x 9.127%
Alameda................................... 1.07 2.02 1.32 9.744
Santa Clara............................... 1.05 5.33 1.56 9.204
San Mateo................................. 1.05 1.05 1.05 8.500
San Joaquin............................... 1.29 1.54 1.38 9.546
Marin..................................... 1.55 1.98 1.82 9.194
Sonoma.................................... 1.15 1.95 1.37 8.668
Sacramento................................ 1.00 1.03 1.02 8.160
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ........ 0.90x 5.33x 1.35x 9.188%
---- ---- ---- ------
---- ---- ---- ------
SOUTHERN CALIFORNIA
Los Angeles............................... 0.93x 1.85x 1.23x 8.984%
San Diego................................. 1.02 2.17 1.87 9.655
Orange.................................... 1.11 2.55 1.59 9.776
Ventura................................... 1.21 1.21 1.21 8.000
San Bernardino............................ 1.36 1.42 1.38 9.424
Santa Barbara............................. 1.33 1.74 1.59 8.736
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ........ 0.93x 2.55x 1.44x 9.192%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
S-109
<PAGE>
<PAGE>
DISTRIBUTION OF REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF REMAINING MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
TERMS TO MATURITY LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
25 - 48 months........................... 1 $ 1,354,884 0.4% $1,354,884 $ 1,354,884 $1,354,884
49 - 60 months........................... 4 13,028,926 4.0 925,449 8,410,060 3,257,231
61 - 84 months........................... 40 85,783,687 26.2 573,571 7,716,766 2,144,592
85 - 120 months........................... 41 175,594,104 53.6 317,711 24,837,212 4,282,783
121 - 180 months........................... 12 52,097,715 15.9 1,332,559 11,064,866 4,341,476
-- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ......... 98 $327,859,316 100.0% $ 317,711 $24,837,212 $3,345,503
-- ------------ ------ ---------- ----------- ----------
-- ------------ ------ ---------- ----------- ----------
Weighted Average........................... 101 months
FULLY AMORTIZING MORTGAGE LOANS
121 - 180 months........................... 5 $ 5,457,589 28.7% $ 340,003 $ 2,000,805 $1,091,518
181 - 240 months........................... 2 10,582,704 55.7 5,068,828 5,513,876 5,291,352
241 - 360 months........................... 1 2,975,192 15.6 2,975,192 2,975,192 2,975,192
-- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ......... 8 $ 19,015,485 100.0% $ 340,003 $ 5,513,876 $2,376,936
-- ------------ ------ ---------- ----------- ----------
-- ------------ ------ ---------- ----------- ----------
Weighted Average........................... 213 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF REMAINING WEIGHTED INTEREST
TERMS TO MATURITY MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
BALLOON MORTGAGE LOANS
25 - 48 months........................... 1.14x 1.14x 1.14x 7.500%
49 - 60 months........................... 0.82 1.24 1.07 8.381
61 - 84 months........................... 0.87 3.11 1.40 9.358
85 - 120 months........................... 0.78 5.33 1.29 9.024
121 - 180 months........................... 0.95 2.17 1.55 8.770
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ......... 0.78x 5.33x 1.35x 9.039%
---- ---- ---- ------
---- ---- ---- ------
FULLY AMORTIZING MORTGAGE LOANS
121 - 180 months........................... 1.21x 4.53x 2.46x 9.807%
181 - 240 months........................... 1.38 1.57 1.48 9.614
241 - 360 months........................... 1.37 1.37 1.37 10.000
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ......... 1.21x 4.53x 1.74x 9.730%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
DISTRIBUTION OF REMAINING AMORTIZATION TERMS OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF REMAINING MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
AMORTIZATION TERMS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Interest Only(1)................................. 4 $ 11,200,299 3.2% $1,005,022 $ 4,133,695 $2,800,075
121 - 180 months................................. 11 19,031,608 5.5 317,711 5,312,470 1,730,146
181 - 240 months................................. 26 62,262,729 17.9 604,119 5,625,257 2,394,720
241 - 300 months................................. 54 173,867,143 50.1 573,571 12,153,338 3,219,762
301 - 360 months................................. 11 80,513,022 23.2 1,973,086 24,837,212 7,319,366
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ............... 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
Weighted Average................................. 260 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF REMAINING WEIGHTED INTEREST
AMORTIZATION TERMS MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Interest Only(1)................................. 0.98x 1.66x 1.26x 8.216%
121 - 180 months................................. 1.21 4.53 2.16 9.229
181 - 240 months................................. 0.78 2.18 1.36 9.440
241 - 300 months................................. 0.82 5.33 1.33 9.198
301 - 360 months................................. 1.02 1.55 1.28 8.619
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ............... 0.78x 5.33x 1.37x 9.077%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
- ------------
(1) Includes one Mortgage Loan, with an aggregate Scheduled Principal Balance of
$1,005,022, which is Interest Only then Amortizing.
S-110
<PAGE>
<PAGE>
DISTRIBUTION OF SEASONING OF THE MORTGAGE LOANS IN MORTGAGE LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
RANGE OF SEASONING(1) LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
0 - 24 months............................. 2 $ 4,689,111 1.4 $1,973,086 $ 2,716,025 $2,344,555
25 - 60 months............................. 11 38,557,072 11.1 1,704,245 7,716,766 3,505,188
61 - 84 months............................. 36 160,703,203 46.3 340,003 24,837,212 4,463,978
85 - 120 months............................. 52 130,208,586 37.5 573,571 18,091,780 2,504,011
121 - 180 months............................. 5 12,716,829 3.7 317,711 5,513,876 2,543,366
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........... 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
Weighted Average............................. 81 months
Minimum................................. 14 months
Maximum................................. 136 months
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
RANGE OF SEASONING(1) MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
0 - 24 months............................. 1.03x 1.34x 1.16x 8.342%
25 - 60 months............................. 1.02 3.11 1.47 9.348
61 - 84 months............................. 0.78 5.33 1.44 9.028
85 - 120 months............................. 0.82 2.18 1.27 9.060
121 - 180 months............................. 0.90 1.57 1.27 9.324
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ........... 0.78x 5.33x 1.37x 9.077%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
- ------------
(1) Calculated as the number of months between the first payment date of the
Mortgage Loan and the Cut-Off Date.
DISTRIBUTION OF ORIGINAL LOAN TO VALUE RATIOS OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
RANGE OF ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL ---------------------------------------
LOAN TO VALUE RATIOS LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- ------------------------------------------ --------- ------------ ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
0.01% - 50.00%......................... 9 $ 20,907,611 6.0% $ 648,226 $11,064,866 $ 2,323,068
50.01% - 60.00%......................... 8 40,950,434 11.8 994,848 24,837,212 5,118,804
60.01% - 65.00%......................... 5 17,472,299 5.0 1,080,808 9,696,017 3,494,460
65.01% - 70.00%......................... 20 71,201,603 20.5 913,104 12,153,338 3,560,080
70.01% - 75.00%......................... 62 175,535,050 50.6 317,711 8,545,641 2,831,210
80.01% - 100.00%(1)...................... 1 18,091,780 5.2 18,091,780 18,091,780 18,091,780
100.01% or greater(1)..................... 1 2,716,025 0.8 2,716,025 2,716,025 2,716,025
--- ------------ ------ ----------- ----------- -----------
Total/Min/Max/Avg./Wtd. Avg. ........ 106 $346,874,801 100.0% $ 317,711 $24,837,212 $ 3,272,404
--- ------------ ------ ----------- ----------- -----------
--- ------------ ------ ----------- ----------- -----------
Weighted Average.......................... 68.8%
Minimum.............................. 23.0%
Maximum.............................. 114.0%
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
RANGE OF ORIGINAL WEIGHTED INTEREST
LOAN TO VALUE RATIOS MINIMUM MAXIMUM AVERAGE RATE
- ------------------------------------------ ------- ------- -------- --------
<S> <C> <C> <C> <C>
0.01% - 50.00%......................... 1.15x 4.53x 2.34x 9.671%
50.01% - 60.00%......................... 1.14 1.98 1.60 8.076
60.01% - 65.00%......................... 1.24 5.33 1.62 9.197
65.01% - 70.00%......................... 0.78 1.95 1.25 9.315
70.01% - 75.00%......................... 0.82 2.57 1.27 9.190
80.01% - 100.00%(1)...................... 1.02 1.02 1.02 8.750
100.01% or greater(1)..................... 1.03 1.03 1.03 7.500
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ........ 0.78x 5.33x 1.37x 9.077%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
- ------------
(1) Includes one purchase money Mortgage Loan with a Scheduled Principal Balance
of approximately $2,716,025 and one Mortgage Loan secured by a retail
property with a Scheduled Principal Balance of approximately $18,091,780 and
an original loan-to-value ratio of approximately 82%, resulting from the
placement of senior debt on two outparcels of such Mortgaged Property.
S-111
<PAGE>
<PAGE>
DISTRIBUTION OF YEARS OF ORIGINATION OF THE MORTGAGE LOANS IN MORTGAGE LOAN
GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
YEAR OF MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
ORIGINATION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
1975 - 1985.................................. 5 $ 12,716,829 3.7% $ 317,711 $ 5,513,876 $2,543,366
1986 - 1987.................................. 31 55,959,729 16.1 573,571 5,625,257 1,805,153
1988......................................... 21 74,248,857 21.4 827,554 18,091,780 3,535,660
1989......................................... 19 101,375,361 29.2 340,003 24,837,212 5,335,545
1990......................................... 17 59,327,842 17.1 664,649 11,064,866 3,489,873
1991......................................... 8 26,447,630 7.6 1,704,245 7,716,766 3,305,954
1992......................................... 2 6,796,972 2.0 1,728,144 5,068,828 3,398,486
1993......................................... 1 5,312,470 1.5 5,312,470 5,312,470 5,312,470
1994......................................... 2 4,689,111 1.4 1,973,086 2,716,025 2,344,555
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........... 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
YEAR OF WEIGHTED INTEREST
ORIGINATION MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
1975 - 1985.................................. 0.90x 1.57x 1.27x 9.324%
1986 - 1987.................................. 0.87 2.18 1.38 9.247
1988......................................... 0.82 2.02 1.19 8.919
1989......................................... 0.93 5.33 1.38 8.685
1990......................................... 0.78 4.53 1.54 9.615
1991......................................... 1.02 2.55 1.30 9.507
1992......................................... 1.38 3.11 1.82 9.589
1993......................................... 1.87 1.87 1.87 8.250
1994......................................... 1.03 1.34 1.16 8.342
---- ---- ---- ------
Total/Min/Max/Avg./Wtd. Avg. ........... 0.78x 5.33x 1.37x 9.077%
---- ---- ---- ------
---- ---- ---- ------
</TABLE>
PREPAYMENT PROVISIONS AS OF THE CUT-OFF DATE OF THE MORTGAGE LOANS IN MORTGAGE
LOAN GROUP 2
<TABLE>
<CAPTION>
PERCENTAGE OF
AGGREGATE
NUMBER OF SCHEDULED SCHEDULED SCHEDULED PRINCIPAL BALANCE
MORTGAGE PRINCIPAL PRINCIPAL -------------------------------------
PREPAYMENT PROVISION LOANS BALANCE BALANCE MINIMUM MAXIMUM AVERAGE
- --------------------------------------------- --------- ------------ ------------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Locked-Out................................... 1 $ 4,968,525 1.4% $4,968,525 $ 4,968,525 $4,968,525
Yield Maintenance............................ 104 339,756,413 97.9 317,711 24,837,212 3,266,889
Open Then Yield Maintenance(1)............... 1 2,149,863 0.6 2,149,863 2,149,863 2,149,863
--- ------------ ------ ---------- ----------- ----------
Total/Min/Max/Avg./Wtd. Avg. ........... 106 $346,874,801 100.0% $ 317,711 $24,837,212 $3,272,404
--- ------------ ------ ---------- ----------- ----------
--- ------------ ------ ---------- ----------- ----------
<CAPTION>
WEIGHTED
DEBT SERVICE COVERAGE RATIO AVERAGE
---------------------------- MORTGAGE
WEIGHTED INTEREST
PREPAYMENT PROVISION MINIMUM MAXIMUM AVERAGE RATE
- --------------------------------------------- ------- ------- -------- --------
<S> <C> <C> <C> <C>
Locked-Out................................... 1.06x 1.06x 1.06x 9.000%
Yield Maintenance............................ 0.78 5.33 1.37 9.077
Open Then Yield Maintenance(1)............... 1.85 1.85 1.85 9.250
---- ---- ---- -----
Total/Min/Max/Avg./Wtd. Avg. ........... 0.78x 5.33x 1.37x 9.077%
---- ---- ---- -----
---- ---- ---- -----
</TABLE>
(1) This Mortgage Loan will become subject to a yield maintenance Prepayment
Charge in May 1996.
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PERCENTAGE OF MORTGAGE LOANS OPEN TO PREPAYMENT IN MORTGAGE LOAN GROUP 2(1)
<TABLE>
<CAPTION>
YEAR JANUARY FEBRUARY MARCH APRIL MAY JUNE JULY AUGUST
- ------------------------------------------ ------- -------- ----- ----- ---- ---- ---- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1996...................................... 0.00% 0.00% 3.10 % 4.29 % 3.38% 4.43% 2.34% 0.88%
1997...................................... 1.60% 0.86% 0.54 % 1.59 % 4.06% 1.21% 3.91% 3.30%
1998...................................... 1.36% 1.33% 5.67 % 5.16 % 4.08% 3.79% 3.90% 0.29%
1999...................................... 1.88% 2.56% 0.88 % 1.59 % 0.00% 1.58% 1.97% 1.72%
2000...................................... 3.31% 0.49% 3.52 % 6.78 % 3.09% 0.47% 3.19% 0.00%
2001...................................... 0.78% 0.00% 0.00 % 1.59 % 1.38% 2.42% 0.39% 0.00%
2002...................................... 0.78% 2.00% 0.54 % 1.59 % 0.00% 0.00% 0.39% 0.00%
2003...................................... 0.78% 0.00% 1.53 % 1.59 % 0.00% 0.00% 1.24% 0.00%
2004...................................... 0.78% 2.56% 0.88 % 1.59 % 0.00% 1.19% 1.58% 0.00%
2005...................................... 0.78% 0.00% 1.65 % 4.68 % 0.47% 0.47% 0.39% 0.00%
<CAPTION>
YEAR SEPTEMBER OCTOBER NOVEMBER DECEMBER
- ------------------------------------------ --------- ------- -------- --------
<S> <C> <C> <C> <C>
1996...................................... 0.00% 2.72% 0.62% 1.31%
1997...................................... 0.00% 1.56% 1.72% 0.43%
1998...................................... 0.00% 1.56% 1.54% 5.22%
1999...................................... 2.94% 13.65% 9.72% 10.35%
2000...................................... 4.14% 0.58% 4.15% 0.00%
2001...................................... 0.00% 0.00% 0.00% 0.57%
2002...................................... 0.00% 0.00% 0.00% 0.00%
2003...................................... 0.00% 0.00% 0.00% 0.00%
2004...................................... 0.00% 0.74% 2.18% 0.00%
2005...................................... 0.52% 0.00% 3.19% 0.00%
</TABLE>
- ------------
(1) The above table presents the percentage of the Group 2 Mortgage Loans
which have an Option Period occurring in the indicated month and year.
Such percentages are based on the aggregate Scheduled Principal Balance of
the Group 2 Mortgage Loans as of the Cut-Off Date and do not reflect
scheduled amortization or the repayment of Mortgage Loans having stated
maturity dates during the months and years presented.
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SECONDARY FINANCING
The Mortgage Loans include certain Mortgage Loans as to which the related
Mortgagors entered into other subordinated indebtedness secured by the related
Mortgaged Properties. With respect to 7 of the Mortgage Loans (representing
approximately 4.8% of the Mortgage Loans by aggregate Scheduled Principal
Balance), such subordinated indebtedness (with an aggregate principal balance of
approximately $20,663,781) was entered into in connection with a recent
modification of the related Mortgage Loans entered into by CLIC (U.S.).
Subordinated mortgage indebtedness held by CLIC (U.S.) will initially continue
to be held by CLIC (U.S.) or the Liquidating Entities. In Intercreditor
Agreements (the 'Intercreditor Agreements') between CLIC (U.S.) and the
Depositor and its assignees, including the Trust, CLIC (U.S.) will agree not to
exercise its right to foreclose under its subordinate mortgage loan unless CLIC
(U.S.), 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.
Substantially all of the Mortgage Loan documents either permit or do not
prohibit the Mortgagor from entering into subordinate indebtedness. Where
subordinate indebtedness is permitted, the subordinate lender is not required to
enter into an intercreditor agreement, however, in many cases there are
preconditions (such as minimum combined debt service coverage ratios) which must
be satisfied prior to the Mortgagor being permitted to incur such subordinate
indebtedness. See 'RISK FACTORS -- The Mortgage Loans -- Subordinate
Indebtedness' in this Prospectus Supplement.
MODIFICATIONS OF CERTAIN MORTGAGE LOANS
Since January 1, 1993, approximately 30.8% of the Mortgage Loans were
modified through negotiations with the respective Mortgagors. Approximately
21.6% of such modifications occurred in 1993; approximately 35.0% of such
modifications occurred in 1994; approximately 42.3% of such modifications
occurred in 1995; and approximately 1.1% of such modifications occurred in 1996.
These 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, (vi) conversion of a portion of the
principal balance of a first-lien mortgage loan into a second-lien mortgage loan
retained by CLIC (U.S.) (subject to Intercreditor Agreements) and (vii)
modification of prepayment restrictions. In certain cases, CLIC (U.S.) may have
received subordinate mortgages in connection with the modifications of the
original mortgage loans which will be retained by CLIC (U.S.). See
' -- Secondary Financing' above. None of CLIC (U.S.), the Depositor, the
Underwriters or any other person or entity makes any representation that the
underwriting of the modified Mortgage Loans would conform in all respects to
procedures employed by federally insured financial institutions. Mortgage Loans
that have been assumed, that have changed monthly due dates, or with respect to
which the interest rate has changed pursuant to Rate Reset Options set forth in
Rate Reset Mortgage Loans are not included with the modified Mortgage Loans
described above.
The majority of the modifications performed in 1995 were either modified in
order to improve their debt service coverage ratios or refinanced due to the
nearness (generally 18 months or less) of their scheduled maturity date, in each
case in anticipation of this offering.
PREPAYMENT PROVISIONS
The Mortgage Loans contain provisions which restrict prepayments in one of
the following ways: (i) a prepayment premium which decreases over time, (ii)
payment of a fee based upon a yield maintenance formula, (iii) payment of a fee
equal to an amount based upon a yield maintenance formula plus 1% of the
outstanding principal balance of the related Mortgage Loan, (iv) payment of a
fee calculated as a percentage of the outstanding principal balance, (v) a
prohibition on prepayments in whole or in part during a specified period, and
(vi) a combination of the above. Such prepayment premiums and lockout periods
can, but do not necessarily, provide a material deterrent to prepayments.
The Group 2 Mortgage Loans may be prepaid without penalty during an Option
Period. See 'RISK FACTORS -- The Mortgage Loans -- Prepayment Restrictions.' In
addition, in certain states, the
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enforceability of provisions in mortgage loans prohibiting prepayment or
providing for the payment of prepayment premiums has been questioned as
described under 'CERTAIN LEGAL ASPECTS OF THE MORTGAGE LOANS -- Enforceability
of Prepayment and Late Payment Fees' in the Prospectus. No representation is
made as to the collectibility of any prepayment premium or fee. For more
information regarding the types of prepayment provisions, see Appendix A hereto.
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
mortgaged 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. See 'RISK FACTORS -- The Mortgage
Loans -- Environmental Law Considerations' herein and 'CERTAIN LEGAL ASPECTS OF
MORTGAGE LOANS -- Environmental Matters' in the Prospectus.
It was generally the policy of the U.S. Branch to avoid acquiring an
interest in any mortgage loan thought to have environmental concerns which could
have a material adverse impact on the economic viability of the related
mortgaged property. In connection with the sale of the Mortgage Loans to the
Depositor, a Phase I environmental site assessment was performed on Mortgaged
Properties securing approximately 95.5% of the Mortgage Loans (by Scheduled
Principal Balance). Depending on the result of the Phase I environmental site
assessments, Phase II environmental site assessments and/or regulatory file
reviews were performed. Phase II environmental site assessments were performed
on 10 Mortgaged Properties securing approximately 2.6% of the Mortgage Loans (by
Scheduled Principal Balance) and a regulatory file review was performed on 87
Mortgaged Properties securing approximately 15.6% of the Mortgage Loans (by
Scheduled Principal Balance). All environmental site assessments and regulatory
file reviews were performed after June 26, 1995 and were reviewed by
Environmental Management Group, Inc. ('EMG').
The results of the environmental site assessments (including regulatory
file reviews) do not constitute an assurance or guarantee by CLIC (U.S.), the
Depositor, the Underwriters or any other person or entity as to the absence of
the existence of any environmental condition on or around the related Mortgaged
Property. Given the limited scope of environmental site assessments, an
environmental condition that may affect or exist on or around a particular
Mortgaged Property may not have been discovered during the course of such
environmental site assessment (including regulatory file reviews). Moreover, the
severity of an environmental condition discovered during an environmental site
assessment may not have been revealed fully because of the limited nature of the
investigation. In
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addition, environmental conditions may develop after completion of the
environmental site assessments, by operation of the property or otherwise.
Certain of the Mortgaged Properties (i) are or were used for industrial or
commercial operations including manufacturing, dry cleaning or gasoline service
stations that involve the presence of hazardous materials and substances on such
Mortgaged Property, (ii) are located in or near areas of known groundwater
contamination not believed by EMG to be attributed to the Mortgaged Properties,
and/or (iii) have interior staining and/or limited exterior staining, not known
or believed to have caused any material environmental impact by EMG. With
respect to several Mortgaged Properties, investigation or remediation by the
owner, tenant or occupant is presently underway or conditions are being
monitored or supervised by a state environmental agency to the satisfaction of
such agency. In some cases, representing approximately 14.6% of the Mortgage
Loans (by Scheduled Principal Balance), Phase II environmental site assessments
or other subsurface investigations were recommended by EMG but were not
performed where it was determined, after consultation with EMG, that
environmental liabilities to the Trust were not likely to be material. There can
be no assurance that there are no material environmental issues concerning such
Mortgaged Properties. At Mortgaged Properties where the presence of
contamination is possible but not confirmed, the necessity and costs of
remediation are uncertain; as a result no assurance can be given as to whether
cleanup would be required, what costs would be incurred if cleanup were required
and whether any such costs would be material.
The Pooling Agreement requires that the Special Servicer obtain an
environmental site assessment prior to acquiring title to any Mortgaged Property
or assuming its operation. However, there can be no assurance that the
requirements of the Pooling Agreement will effectively insulate the Trust Fund
from potential liability for a materially adverse environmental condition at any
Mortgaged Property. See 'RISK FACTORS -- Environmental Risks' and 'CERTAIN LEGAL
ASPECTS OF MORTGAGE LOANS -- Environmental Matters' in the Prospectus.
It should be noted that none of CLIC (U.S.), the Depositor, the
Underwriters or any other person or entity 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.
SERVICING OF MORTGAGE LOANS
GENERAL
The servicing of the Mortgage Loans and any REO Properties will be governed
by the Pooling Agreement. The following summaries describe certain provisions of
the Pooling Agreement relating to the servicing and administration of the
Mortgage Loans and any REO Properties. The summaries do not purport to be
complete and are subject, and qualified in their entirety by reference, to the
provisions of the Pooling Agreement. Reference is made to the Prospectus for
additional information regarding the terms of the Pooling Agreement relating to
the servicing and administration of the Mortgage Loans and any REO Properties,
provided that the information herein supersedes any contrary information set
forth in the Prospectus. 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 Pooling Agreement, the respective Mortgage Loans and, to the extent
consistent with the foregoing, in accordance with the applicable Accepted
Servicing Practices (as described below for each of the Servicer and the Special
Servicer under ' -- The Servicer' and ' -- The Special Servicer,' respectively).
SERVICING TRANSFERS
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 the acceleration
of amounts due under the related Mortgage Note or commencement of any
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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 prepare certain reports
with respect to such Mortgage Loan and to make Servicing Advances and/or to
reimburse the Special Servicer for any reimbursable property or lien priority
protection and servicing expenses incurred thereby with respect to such Mortgage
Loan. If any Mortgaged Property (upon acquisition, an 'REO 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. The Servicer will have no responsibility for
the Special Servicer's performance of its duties under the Pooling Agreement and
the Special Servicer will have no responsibility for the Servicer's performance
of its duties under the Pooling Agreement.
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 original
maturity date and the Servicer does not extend the maturity of such Mortgage
Loan within 31 days following its original maturity date or a payment default
occurs on such Mortgage Loan at its extended maturity date; (ii) any Scheduled
Payment (other than a Balloon Payment) becomes more than 60 days delinquent;
(iii) a payment default, in the judgment of the Servicer, is imminent and is not
likely to be cured by the related Mortgagor within 60 days of such occurrence
(and in the case of a Balloon Payment, the maturity of such Mortgage Loan is not
likely to be extended by the Servicer within 31 days following such Mortgage
Loan's original maturity date); (iv) any other default occurs that, in the good
faith reasonable judgment of the Servicer, materially impairs, or could
materially impair, the use or marketability of any related Mortgaged Property or
the value thereof as security for such Mortgage Loan; (v) the Servicer receives
notice that the related Mortgagor enters into or consents to bankruptcy, the
appointment of a receiver or conservator, or a similar insolvency or similar
proceeding, or the related Mortgagor becomes the subject of a decree or order
for such a proceeding that remains in full force undischarged or unstayed for a
period of 60 days; (vi) the Servicer receives notice that the related 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; (vii) the Servicer receives
notice of the foreclosure or proposed foreclosure of any lien on any related
Mortgaged Property; or (viii) the Servicer receives notice that the related
Mortgagor violates any 'due-on-sale' or 'due-on-encumbrance' clause in the
related Mortgage.
If any Specially Serviced Mortgage Loan as to which a Servicing Transfer
Event specified in clause (i), (ii) or (iii) of the preceding paragraph has
occurred becomes a performing Mortgage Loan for at least three consecutive
Scheduled Payments, in accordance with its original terms or as modified, and
all prior payment defaults have been cured, or if, in the case of any Specially
Serviced Mortgage Loan as to which a Servicing Transfer Event specified in
clause (iv), (v), (vi), (vii) or (viii) has occurred, such event has been
remedied, cured or otherwise satisfactorily resolved (whereupon, in either case,
such Specially Serviced Mortgage Loan shall become a 'Rehabilitated Mortgage
Loan'), the Special Servicer will transfer back all servicing responsibilities
therefor to the Servicer, and the Servicer will be required to resume servicing
such Mortgage Loan pursuant to the terms of the Pooling Agreement.
THE SERVICER
Midland Loan Services, L.P. ('Midland', or the 'Servicer') was organized
under the laws of Missouri in 1992 as a limited partnership. Midland is a real
estate financial services company which provides loan servicing and asset
management for large pools of commercial and multifamily real estate assets and
which originates commercial real estate loans. Midland's address is 2001 Shawnee
Mission Parkway, Shawnee Mission, Kansas 66205.
As of December 31, 1995, Midland and its affiliates were responsible for
the servicing of approximately 11,460 commercial and multifamily loans with an
aggregate principal balance of approximately $9.0 billion, the collateral for
which is located in 50 states. With respect to such loans, approximately 9,920
loans with an aggregate principal balance of approximately $5.9 billion pertain
to
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commercial and multifamily mortgage-backed securities. Property type
concentrations within the portfolio include multifamily, office, retail,
hotel/motel and other types of income producing properties. Midland also
provides commercial loan servicing for newly-originated loans and loans acquired
in the secondary market on behalf of issuers of commercial and multifamily
mortgage-backed securities, financial institutions and private investors.
Midland has been approved as a master and special servicer for investment
grade commercial and multifamily mortgage-backed securities rated by Fitch and
S&P. Midland is ranked 'Above Average' as a commercial mortgage servicer and
asset manager by S&P. Midland is ranked 'Acceptable' as a master servicer and
'Above Average' as a special servicer by Fitch. S&P ranks commercial mortgage
servicers and special servicers in one of five rating categories, Strong, Above
Average, Average, Below Average and Weak. Fitch rates special servicers in one
of five categories: Superior, Above Average, Average, Below Average and
Unacceptable. Fitch rates master servicers as Acceptable or Unacceptable. Such
ratings are subject to change and there is no assurance that Midland will
maintain its current ratings.
The information set forth herein concerning the Servicer has been provided
by it. Accordingly, none of CLIC (U.S.), the Depositor, the Underwriters or any
other person or entity makes any representation or warranty as to the accuracy
or completeness of such information.
Accepted Servicing Practices of the Servicer
'Accepted Servicing Practices' means in the case of the Servicer, the
higher of the following standards of care: (1) the same manner in which, and
with the same care, skill, prudence and diligence with which, the Servicer
services and administers similar mortgage loans for other third-party
portfolios, giving due consideration to the customary and usual standards of
practice of prudent institutional commercial and multifamily mortgage lenders
servicing their own mortgage loans and (2) the same care, skill, prudence and
diligence with which the Servicer services and administers mortgage loans owned
by the Servicer, in either case exercising reasonable business judgment and
acting in accordance with applicable law, the terms of the Pooling Agreement and
the terms of the respective Mortgage Loans 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 Certificateholders, as determined by the Servicer
in its reasonable judgment, but without regard to: (i) any relationship that the
Servicer or any affiliate of the Servicer may have with the related Mortgagor,
the Depositor or other parties to the transaction; (ii) the ownership of any
Certificate by the Servicer or any affiliate of the Servicer; (iii) the
ownership by the Servicer or any affiliate of the Servicer of any indebtedness
secured by a junior lien on the Mortgaged Property securing any Mortgage Loan;
(iv) the ownership by the Servicer or any affiliate of the Servicer of any
subordinate participation interest in a Mortgage Loan; (v) the Servicer's
obligation to make Advances as specified in the Pooling Agreement; (vi) the
Servicer's right to receive compensation for its services under the Pooling
Agreement or with respect to any particular transaction; (vii) the servicing of
Specially Serviced Mortgage Loans by the Special Servicer; and (viii) the
ownership, servicing or management for others of any other mortgage loans or
mortgaged properties.
Collection of Taxes, Assessments and Similar Items
If required by the related Mortgage or Mortgage Note, the Servicer shall
maintain an escrow account for the collection of hazard insurance premiums, real
estate taxes and assessments and similar items with respect to the related
Mortgage Loan including the Specially Serviced Mortgage Loans.
Servicer Compensation and Payment of Expenses
The Servicer will be paid a monthly fee (the 'Servicing Fee') in an amount
equal to 0.023% per annum (the 'Servicing Fee Rate') on the Scheduled Principal
Balance of each Mortgage Loan (including Mortgage Loans as to which the related
Mortgaged Property has become an REO Property) as of the first day of the
related Mortgage Loan Due Period.
The Pooling Agreement permits the Servicer to extend the term of a Balloon
Mortgage Loan for a period not to exceed one year past its original maturity
date upon the satisfaction of certain conditions stated in the Pooling
Agreement. In connection with such an extension, and, in connection with any
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Mortgage Loan modification which the Servicer is entitled to perform under the
Pooling Agreement, the Servicer will be entitled to collect an extension or
modification fee (to the extent provided for in the Mortgage Loan and collected
by the Servicer from the related Mortgagor) of $5,000 for each Mortgage Loan.
In addition, the Servicer will be entitled to receive, as additional
compensation, (i) interest on its Advances at the Advance Rate; (ii) late fees
(other than interest accrued at the default rate as specified in the Mortgage
Note) earned from Mortgagors which are collected by the Servicer, less interest
accrued on Advances then outstanding to the Servicer, Trustee and Fiscal Agent;
(iii) to the extent provided in the related Mortgage Loan documents, a fee paid
by the related Mortgagor in connection with the assumption of any Mortgage Loan,
such fee being limited to the lesser of (a) 1.0% of the portion of the
outstanding principal balance of such Mortgage Loan which is less than
$2,000,000, and 0.5% of the portion of the outstanding principal balance of such
Mortgage Loan which is greater than or equal to $2,000,000, or, (b) $50,000;
(iv) any interest on funds on deposit in escrow accounts relating to the
Mortgage Loans and not otherwise payable to the related Mortgagor; and (v) any
interest or other income earned on any investment of the funds in the Collection
Account and Distribution Accounts.
With respect to any Mortgage Loan as of any date of determination, the
Servicing Fee Rate, the Trustee Fee Rate and the Retained Servicing Interest
Rate will collectively constitute the 'Administrative Cost Rate.' It is expected
that the Administrative Cost Rate will equal 0.07325% per annum.
In the event that the Servicer is terminated or resigns and no qualified
successor is willing to be compensated as successor servicer at the Servicing
Fee Rate of 0.023% per annum, the Trustee will be authorized to negotiate such
higher Servicing Fee (the 'Modified Servicing Fee') as is reasonably necessary
to locate a qualified successor servicer; provided that in no event shall the
Modified Servicing Fee with respect to any Mortgage Loan exceed 0.06% per annum
(the sum of (a) the Servicing Fee Rate of 0.023% per annum, and (b) the Retained
Servicing Interest Rate). Pursuant to the terms of the Pooling Agreement, the
Retained Servicing Interest will be made available to compensate a successor
servicer in such event.
Adjustment to Servicer's Fee in Connection with Prepaid Mortgage Loans
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 Prepayment Interest
Shortfall will result. In any other case in which a Principal Prepayment or a
Balloon Payment is made during any Prepayment Period after the Due Date for such
Mortgage Loan, Excess Prepayment Interest will arise. See 'DESCRIPTION OF THE
CERTIFICATES -- Prepayment Interest Shortfalls and Excess Prepayment Interest'
herein. In order to mitigate any Prepayment Interest Shortfall (not including
any Prepayment Interest Shortfalls due to casualty, condemnation or default) in
full or in part on the Mortgage Loans, the amount of the Servicing Fee (but not
the fees payable to the Special Servicer or the Trustee) as to which the
Servicer would be entitled with respect to such Distribution Date will be
reduced to the extent of the amount by which the aggregate of all Prepayment
Interest Shortfalls for all Mortgage Loans exceeds the aggregate of all Excess
Prepayment Interest for all Mortgage Loans. Any such Prepayment Interest
Shortfall in excess of the sum of the Excess Prepayment Interest and the
Servicing Fee, will be allocated as set forth under 'DESCRIPTION OF THE
CERTIFICATES -- Prepayment Interest Shortfalls and Excess Prepayment Interest'
herein. To the extent aggregate Excess Prepayment Interest for all Mortgage
Loans exceeds aggregate Prepayment Interest Shortfalls for all Mortgage Loans,
with respect to a Distribution Date, such excess amount will be payable to the
Servicer as additional servicing compensation.
THE SPECIAL SERVICER
J.E. Robert Company, Inc., a Virginia corporation (the 'Special Servicer'),
will serve as the Special Servicer to the Mortgage Pool and in such capacity
will be responsible for servicing and administering the Specially Serviced
Mortgage Loans and REO Properties.
The Special Servicer is a privately owned company whose principal executive
offices are located at 1650 Tysons Boulevard, Suite 1600, McLean, Virginia
22102.
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The principal business of the Special Servicer is the management and
capital recovery of distressed and underperforming real estate mortgage loans,
foreclosed real estate and related assets. The Special Servicer and its
affiliates have capabilities in a variety of disciplines including asset
management, crisis management of troubled financial institutions and
subsidiaries, marketing and sales, bulk portfolio acquisitions and litigation
support. The Special Servicer has regional offices in Irving, Dallas and
Houston, Texas; Milford and Stamford, Connecticut; and Los Angeles, California,
and field offices in Fort Lauderdale, Florida and Paris, France.
As of November 30, 1995, the Special Servicer was managing portfolios
including 2,280 loan assets with a book value of approximately $4.494 billion,
538 real estate owned assets with a book value of $2.525 billion and 8 other
assets with a book value of $3 million. Of these assets, approximately $6.419
billion, or 91%, comprise commercial real estate assets. Commercial real estate
assets include 629 multifamily mortgage loans totaling approximately $1.218
billion and 108 owned multifamily properties totaling approximately $697
million. The Special Servicer's managed assets are located in 47 states.
The Special Servicer and its affiliates own and are in the business of
acquiring assets similar in type to the assets of the Trust Fund. 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 of the Trust Fund, such assets
might, depending upon the particular circumstances (including for example, the
nature and location of such assets), compete with the Mortgaged Properties for
tenants, purchasers, financing and the like.
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 Trust through foreclosure or deed in lieu of
foreclosure, maintain insurance with respect to REO Properties and provide
monthly reports to the Servicer. The Special Servicer will be required, as and
to the extent described herein, to seek advice and approval and take direction
from the Operating Adviser and/or the Extension Adviser. Pursuant to the Pooling
Agreement, the Special Servicer is not permitted to use sub-servicers unless
such sub-servicer is an affiliate of the Special Servicer.
J.E. Robert Company, Inc. has been evaluated as a special servicer for
investment grade commercial and multifamily mortgage-backed securities rated by
Fitch and S&P. J.E. Robert Company, Inc. is ranked 'Above Average' as an asset
manager by S&P and 'Superior' as a special servicer by Fitch. S&P ranks asset
managers in one of five categories: Strong, Above Average, Average, Below
Average, and Weak. Fitch rates special servicers in one of five categories:
Superior, Above Average, Average, Below Average and Unacceptable. Such ratings
are subject to change and there is no assurance that J.E. Robert Company, Inc.
will maintain its current ratings.
The information set forth herein concerning the Special Servicer has been
provided by it. Accordingly, none of CLIC (U.S.), the Depositor, the
Underwriters or any other person or entity makes any representation or warranty
as to the accuracy or completeness of such information.
Accepted Servicing Practices of the Special Servicer
'Accepted Servicing Practices' means, in the case of the Special Servicer,
the higher of the following standards of care: (a) the same manner in which, and
with the same care, skill, prudence and diligence with which, the Special
Servicer services and administers similar mortgage loans and manages similar REO
properties for other third-party portfolios, giving due consideration to the
customary and usual servicing standards and practices and asset management
standards and practices for performing and nonperforming commercial and
multifamily mortgage loans (and their related properties) and REO properties, as
the case may be, that are customarily employed by prudent institutional
commercial and multifamily mortgage lenders servicing their own mortgage loans
and prudent institutional asset managers managing their own REO properties, and
(b) the same care, skill, prudence and diligence with which the Special Servicer
services and administers mortgage loans and manages REO properties owned by the
Special Servicer, in either case exercising reasonable business judgment and
acting in accordance with applicable law, the terms of the Pooling Agreement and
the terms of the respective Mortgage Loans and with a view to the maximization
of timely recovery of principal and interest on the Mortgage Loans and REO
Properties and the best interests of the Trust and the Certificateholders, but
without regard to: (i) any relationship that the Special Servicer or any
affiliate of the Special Servicer
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may have with the related Mortgagor, the Depositor or other parties to the
transaction; (ii) the ownership of any Certificate by the Special Servicer or
any affiliate of the Special Servicer; (iii) the ownership by the Special
Servicer or any affiliate of the Special Servicer of any indebtedness secured by
a junior lien on the Mortgaged Property securing any Mortgage Loan; (iv) the
ownership by the Special Servicer or any affiliate of the Special Servicer of
any subordinate participation interest in a Mortgage Loan; (v) the Special
Servicer's right to receive compensation for its services under the Pooling
Agreement or with respect to any particular transaction; (vi) the servicing by
the Servicer of the Mortgage Loans that are not Specially Serviced Mortgaged
Loans; and (vii) the ownership, servicing or management for others of any other
mortgage loans or mortgaged properties.
Special Servicer Compensation and Payment of Expenses
The Pooling Agreement will provide that the Special Servicer will be
entitled to certain fees, including (a) a monthly administrative fee (the
'Special Servicing Fee'), payable out of collections and advances of interest on
or in respect of the Specially Serviced Mortgage Loans and the Mortgage Loans as
to which the related Mortgaged Properties have become an REO Property, equal to
one month's interest at a rate of 0.25% per annum on the aggregate Scheduled
Principal Balance as of the first day of each Due Period of such Mortgage Loans,
such Special Servicing Fee for any Due Period to be allocated among all the
Specially Serviced Mortgage Loans and Mortgage Loans as to which the related
Mortgaged Properties have become REO Properties, in accordance with their
respective Scheduled Principal Balances outstanding as of the commencement of
such Due Period, and (b) with respect to each Specially Serviced Mortgage Loan
and REO Property, a fee (the 'Workout Fee') calculated upon such Specially
Serviced Mortgage Loan becoming a Rehabilitated Mortgage Loan or such Specially
Serviced Mortgage Loan or REO Property being sold or liquidated and equal to the
product of (i) the applicable Workout Fee Rate (as defined below) and (ii) Net
Collections (as defined below) received with respect to such Mortgage Loan, and
(c) an extension fee of $1,000 for each Mortgage Loan that is a Balloon Mortgage
Loan (and is not either a Specially Serviced Mortgage Loan or a Mortgage Loan
with respect to which the related Mortgaged Property has become an REO Property)
and has had its maturity date extended by the Servicer with the consent of the
Special Servicer, such extension fee being payable (to the extent permitted
under the Mortgage Loan) from such amount collected from the related Mortgagor.
Notwithstanding the foregoing, the Workout Fee payable in connection with the
Final Recovery Determination on an REO Property or any Specially Serviced
Mortgage Loan will equal the product of (i) the applicable Workout Fee Rate,
(ii) a fraction, the numerator of which is equal to the related Net Collections
received during the Prepayment Period of sale or liquidation, and the
denominator of which is equal to the unpaid principal balance of the related
Mortgage Loan plus accrued and unpaid interest thereon calculated at the
Mortgage Interest Rate, and (iii) the related Net Collections received during
the Prepayment Period of sale or liquidation. If a Specially Serviced Mortgage
Loan becomes a Rehabilitated Mortgage Loan and then again becomes a Specially
Serviced Mortgage Loan, any right to the Workout Fee with respect to such
Mortgage Loan earned in connection with the initial rehabilitation thereof shall
terminate and a new Workout Fee for such Specially Serviced Mortgage Loan shall
be calculated upon resolution of the subsequent Servicing Transfer Event or the
sale or liquidation of such Specially Serviced Mortgage Loan or related REO
Property. Under no circumstances may any one Mortgage Loan be subject to more
than one Workout Fee at any one time, even if such Mortgage Loan becomes a
Specially Serviced Mortgage Loan on more than one occasion.
'Net Collections' will generally consist of (a) with respect to any
Specially Serviced Mortgage Loan (or a Mortgage Loan that previously was a
Specially Serviced Mortgage Loan) or REO Property any payment of principal or
interest, net of related expenses, including but not limited to, the Special
Servicing Fee and expenses of enforcing the terms of such Specially Serviced
Mortgage Loan, (b) with respect to any REO Property, net operating income, (c)
with respect to any Specially Serviced Mortgage Loan or REO Property, net
Liquidation Proceeds, Insurance Proceeds and Condemnation Proceeds (which are
net of any liquidation expenses, any outstanding Servicing Advances, accrued but
unpaid interest on Advances, and the Servicing Fee and Special Servicing Fee
payable for such Mortgage Loan or REO Property), and (d) any Prepayment Charges.
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The 'Workout Fee Rate' will be one of the following percentages, as
applicable to a Specially Serviced Mortgage Loan (or a Mortgage Loan that
previously was a Specially Serviced Mortgage Loan):
(a) If the Specially Serviced Mortgage Loan becomes a Rehabilitated
Mortgage Loan or such Specially Serviced Mortgage Loan or the related REO
Property is sold or liquidated, in each case within 18 months after the
date on which such Mortgage Loan became a Specially Serviced Mortgage Loan,
one of the following amounts:
(i) if the Scheduled Principal Balance of such Mortgage Loan as of
the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was less than $1,000,000, 0.95%;
(ii) if the Scheduled Principal Balance of such Mortgage Loan as of
the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was equal to or greater than $1,000,000 but less than
$5,000,000, 0.70%;
(iii) if the Scheduled Principal Balance of such Mortgage Loan as
of the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was equal to or greater than $5,000,000 but less than
$10,000,000, 0.55%; or
(iv) if the Scheduled Principal Balance of such Mortgage Loan as of
the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was equal to or greater than $10,000,000, 0.40%.
(b) If the Specially Serviced Mortgage Loan becomes a Rehabilitated
Mortgage Loan or such Specially Serviced Mortgage Loan or the related REO
Property is sold or liquidated, in each case, on a date that is later than
18 months after the date on which such Mortgage Loan became a Specially
Serviced Mortgage Loan, one of the following amounts:
(i) if the Scheduled Principal Balance of such Mortgage Loan as of
the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was less than $1,000,000, 0.81%;
(ii) if the Scheduled Principal Balance of such Mortgage Loan as of
the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was equal to or greater than $1,000,000 but less than
$5,000,000, 0.60%;
(iii) if the Scheduled Principal Balance of such Mortgage Loan as
of the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was equal to or greater than $5,000,000 but less than
$10,000,000, 0.47%; or
(iv) if the Scheduled Principal Balance of such Mortgage Loan as of
the date on which such Mortgage Loan became a Specially Serviced
Mortgage Loan was equal to or greater than $10,000,000, 0.34%.
THE OPERATING ADVISER
Election of the Operating Adviser
On the Closing Date and as otherwise provided, the Holder or Holders of
Regular Certificates (other than the Class P and Class X Certificates) with an
aggregate Certificate Principal Amount equal to more than 50% of the aggregate
Certificate Principal Amount of the Controlling Class will be entitled to elect
a representative (the 'Operating Adviser') from whom the Special Servicer will
seek advice and approval and take direction as described below. Upon (i) the
receipt by the Trustee of written requests for an election of an Operating
Adviser from the Holders of Certificates representing more than 50% of the
aggregate Certificate Principal Amount of the then Controlling Class, (ii) the
resignation or removal of the person acting as Operating Adviser or (iii) a
determination by the Trustee that the Controlling Class has changed, an election
of a successor Operating Adviser will be held commencing as soon as practicable
thereafter. The Operating Adviser may be removed at any time by the written vote
of Holders of Certificates representing more than 50% of the aggregate
Certificate Principal Amount of the then Controlling Class. In the event that
after the Closing Date an Operating Adviser shall have resigned or been removed
and a successor Operating Adviser shall not have been elected, there shall be no
Operating 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
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obtain approval or direction from an Operating Adviser, and the provisions of
the Pooling Agreement relating thereto shall be of no effect, during any such
period that there is no Operating Adviser.
The initial Operating Adviser will be CLIC (U.S.), or an affiliate or
designee of CLIC (U.S.).
The 'Controlling Class' will be, as of any date of determination, the Class
of Regular Certificates (other than the Class P and Class X Certificates) with
the latest alphabetical Class designation that has a then aggregate Certificate
Principal Amount (net of any Appraisal Reduction Amount) at least equal to the
lesser of (i) 25% of the initial aggregate Certificate Principal Amount of such
Class of Regular Certificates as of the Closing Date and (ii) 2% of the
aggregate Certificate Principal Amount (net of any Appraisal Reduction Amount)
of all the Regular Certificates (other than the Class P and Class X
Certificates) as of such date of determination. As of the Closing Date, the
Controlling Class will be the Class J Certificates.
Duties of the Operating Adviser
The Operating Adviser will be entitled to advise the Special Servicer with
respect to certain actions of the Special Servicer. Except as otherwise provided
below, the Special Servicer will not be permitted to take any of the following
actions unless the Operating Adviser has approved such action in writing within
ten days after receiving from the Special Servicer written notice thereof and
sufficient information to make an informed decision (provided that if a written
objection to such action from the Operating Adviser has not been received by the
Special Servicer within said ten day period, then the Operating Adviser's
approval will be deemed to have been given):
(i) the initiation or consummation of foreclosure upon or comparable
conversion (which may include acquisition of an REO Property) of the
ownership of any Mortgaged Property securing any Specially Serviced
Mortgage Loan that comes into and continues in default, provided that if
immediate initiation of foreclosure proceedings is necessary to preserve or
protect the Mortgaged Property or income therefrom, the Special Servicer
may initiate such proceedings and notify the Operating Adviser thereof
within 72 hours thereafter; provided further that, with respect to any
Mortgage Loan which has been the subject of an OA Extension (as defined
below), the Operating Adviser will no longer be entitled to approve the
actions set forth in this clause (i) with respect to such Mortgage Loan
after the termination of the related OA Extension Period;
(ii) any modification, amendment or waiver of, or with respect to, any
Mortgage Loan other than a modification consisting of the extension of the
original maturity date of a Balloon Mortgage Loan for twelve months or
less; provided that, with respect to any Mortgage Loan which has been the
subject of an OA Extension, the Operating Adviser will no longer be
entitled to approve the actions set forth in this clause (ii) with respect
to such Mortgage Loan after the termination of the related OA Extension
Period;
(iii) any acceptance of a discounted payoff of a Specially Serviced
Mortgage Loan; and
(iv) any proposed sale of a Specially Serviced Mortgage Loan or REO
Property (other than in connection with the termination of the Trust Fund
as described under 'DESCRIPTION OF THE CERTIFICATES -- Optional
Termination' herein); provided that, with respect to any Mortgage Loan
which has been the subject of an OA Extension, the Operating Adviser will
no longer be entitled to approve the actions set forth in this clause (iv)
with respect to such Mortgage Loan after the termination of the related OA
Extension Period.
Notwithstanding the foregoing, if the Operating Adviser rejects the
recommendations of the Special Servicer with respect to clause (iii) above, an
independent third party arbitrator will be selected by the Trustee (at the
expense of the Trust Fund) within four Business Days of receipt by the Trustee
of a written request from the Special Servicer. The Trustee shall deliver the
present value analysis and other information provided by the Special Servicer to
such arbitrator within three Business Days of the selection of such arbitrator
by the Trustee. The arbitrator will determine whether the proposed action of the
Special Servicer is in the best economic interests of the Trust Fund based upon
the maximization of net present value. The independent arbitrator will (i)
select a course of action based solely upon the recommendations provided by the
Operating Adviser and the Special Servicer (rather than on an alternative
recommendation provided by itself), and (ii) provide a decision within five
business days of
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receipt of the analyses. Pending a decision of the independent abitrator, the
Special Servicer may not take the action in question.
As used herein, 'OA Extension' means an extension of the maturity date of a
Mortgage Loan, where, but for the direction of the Operating Adviser, the
Special Servicer would not have agreed to such extension. With respect to any OA
Extension, the 'OA Extension Period' is the three year period of time from and
after the date of such OA Extension.
In addition, the Operating Adviser may direct the Special Servicer to take,
or to refrain from taking, certain other actions provided that no such direction
shall (a) require or cause the Special Servicer to violate the terms of any
Mortgage Loan, applicable law or any provision of the Pooling Agreement,
including the Special Servicer's obligation to act in accordance with Accepted
Servicing Practices and to maintain the REMIC status of each pool of assets
designated as a REMIC pursuant to the Pooling Agreement, or (b) result in the
imposition of a 'prohibited transaction' or 'prohibited contribution' tax under
the REMIC Provisions, or (c) expose the Servicer, the Special Servicer, the
Depositor, CLIC (U.S.), the Fiscal Agent, the Trust or the Trustee or their
officers, directors, employees or agents to claim, suit or liability, or (d)
materially expand the scope of the Special Servicer's responsibilities under the
Pooling Agreement.
Limitation on Liability of Operating Adviser
The Operating Adviser will be acting solely as a representative of the
interests of the Class of Certificateholders that has elected the Operating
Adviser, and will have no responsibility or liability to the Trust or any other
Certificateholder for any action taken, or for refraining from the taking of any
action, in good faith pursuant to the Pooling Agreement, or for errors in
judgment; provided that the Operating 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 Operating Adviser may take
actions that favor the interests of one or more Classes of the Certificates over
other Classes of the Certificates, and that the Operating 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,
negligence or reckless disregard of obligations or duties on the part of the
Operating Adviser, agrees to take no action against the Operating Adviser or any
of its officers, directors, employees, principals or agents as a result of such
special relationship or conflict.
THE EXTENSION ADVISER
Election of the Extension Adviser
On the Closing Date, and as otherwise provided herein, the Holder or
Holders of Regular Certificates (other than the Class X Certificates) with an
aggregate Certificate Principal Amount greater than 50% of the aggregate
Certificate Principal Amount of all of the Regular Certificates (exclusive of
the Class X Certificates, the Controlling Class and any Class or Classes of
Regular Certificates subordinate to the Controlling Class) will be entitled to
elect a representative (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 50% of the aggregate Certificate Principal
Amount of all of the Regular Certificates (exclusive of the Class X
Certificates, the Controlling Class and any Class or Classes of Regular
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 50% of the aggregate Certificate Principal
Amount of all of the Regular Certificates (exclusive of the Class X
Certificates, the Controlling Class and any Class or Classes of Regular
Certificates subordinate to the Controlling Class). In the event that after the
Closing Date 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
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Extension Adviser (and, if there is no Operating Adviser to serve in such
capacity, there shall be no Extension Adviser); provided, notwithstanding
anything to the contrary described herein, the provisions of the Pooling
Agreement relating to the Special Servicer's right or obligation to consult with
or seek and/or obtain approval from an Extension Adviser shall be of no effect
during any such period that there is no Extension Adviser.
The initial Extension Adviser shall be CLIC (U.S.), or an affiliate or
designee of CLIC (U.S.).
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 Mortgage Loan's then stated maturity date, unless the Extension Adviser has
approved such action in writing within ten days after receiving from the Special
Servicer written notice thereof and sufficient information to make an informed
decision (provided that if a written objection to such extension from the
Extension Adviser has not been received by the Special Servicer within said ten
day period, 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 set
forth in the Pooling Agreement have been satisfied, as described under
' -- Mortgage Loan Modifications' below.
Limitation on Liability of Extension Adviser
The Extension Adviser will be acting solely as a representative of the
interests of the Certificateholders that elected the Extension Adviser, and will
have no liability to the Trust or any Certificateholders for any action taken,
or for refraining from the taking of any action, in good faith pursuant to the
Pooling 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, negligence or reckless
disregard of obligations or duties 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.
MORTGAGE LOAN MODIFICATIONS
The Servicer may agree to extend the maturity date of a Balloon Mortgage
Loan for twelve months or less from or after the original maturity date of such
Balloon Mortgage Loan if: (i) the Servicer determines that such extension is in
the best interests of the Trust; (ii) a payment default has occurred at maturity
of such Balloon Mortgage Loan or, in the judgment of the Servicer, is imminent
at maturity of the Mortgage Loan and will not be cured within sixty days from
the maturity date; (iii) the Servicer has received operating statements from the
related Mortgagor for the related Mortgaged Property for the most recent full
calendar year for which operating statements are available and for the current
year to date and, based on such operating statements, the debt service coverage
ratio of such Mortgage Loan has been and, in the reasonable judgment of the
Servicer, will continue to be during the ensuing twelve months greater than or
equal to 1.25x; (iv) except as contemplated in clause (ii) above, no payment due
from the related Mortgagor on such Mortgage Loan has been 30 or more days
delinquent within the past twelve months; (v) the Servicer has performed an
inspection of the related Mortgaged Property within the last three months or
performs a new inspection of the related Mortgaged Property prior to the
contemplated extension; (vi) the Servicer has received from the related
Mortgagor the last annual rent roll for the related Mortgaged Property and a
current rent roll for the related Mortgaged Property, both certified by the
Mortgagor as being true and correct; (vii) the Servicer expressly notifies the
related Mortgagor in writing that such extension is a one time option and
diligently discusses exit strategies with
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the Mortgagor; and (viii) the Special Servicer consents to such extension, which
consent the Special Servicer is required to use its best reasonable efforts to
provide or withhold within ten days after the Special Servicer is notified in
writing by the Servicer of such request for extension and has received
sufficient information from the Servicer to make an informed decision. The
Special Servicer will be entitled to rely, absent manifest error, on the
information provided to it by the Servicer without independent verification.
However, no extension entered into by the Servicer may be for a period of more
than twelve months from the original maturity date of such Mortgage Loan or
shall extend the maturity date beyond the earlier of (i) two years prior to the
Rated Final Distribution Date and (ii) in the case of a Mortgage Loan secured by
a leasehold estate, the date ten years prior to the termination of such
leasehold estate. No more than one such extension may be granted by the Servicer
with respect to any particular Mortgage Loan. Except as otherwise set forth in
this paragraph, the Servicer may not waive, modify or amend any provision of a
Mortgage Loan except for (i) the waiver of any due-on-sale clause or
due-on-encumbrance clause to the extent permitted in the Pooling Agreement, and
(ii) any waiver, modification or amendment that arises in the ordinary course of
servicing that is non-material and as to which the Servicer has provided the
Trustee with an opinion of counsel that such waiver, modification or amendment
will not constitute a 'deemed exchange' under Section 1001 of the Code.
If, but only if, the Special Servicer determines, after consultation with
the Operating Adviser to the extent described herein, that a modification,
waiver or amendment (including the substitution or release of collateral or the
pledge of additional collateral) of the terms of a Specially Serviced Mortgage
Loan with respect to which a payment default or other material default has
occurred or a payment default is, in the Special Servicer's judgment, reasonably
foreseeable, is reasonably likely to produce a greater recovery of Net
Collections on a present value basis (the relevant discounting to be performed
at the related Mortgage Interest Rate) than liquidation of such Specially
Serviced Mortgage Loan, then the Special Servicer, may, but is not required to,
with the approval or deemed approval of the Operating Adviser to the extent
described herein and, in the case of an extension of the maturity of a Specially
Serviced Mortgage Loan beyond the third anniversary of such Mortgage Loan's
stated maturity date, the Extension Adviser, agree to a modification, waiver or
amendment of such Specially Serviced Mortgage Loan, subject to the restrictions
and limitations described below.
The Special Servicer may not agree to a modification, waiver or amendment
of any term of any Specially Serviced Mortgage Loan if such modification, waiver
or amendment would:
(i) extend the maturity date of any such Specially Serviced Mortgage
Loan to a date occurring later than the earlier of (A) two years prior to
the Rated Final Distribution Date and (B) if such Specially Serviced
Mortgage Loan is secured by a leasehold estate, the date ten years prior to
the termination of such leasehold;
(ii) reduce the Net Mortgage Interest Rate to less than 7.750% (or,
with respect to the Discount Mortgage Loans, less than the Net Mortgage
Interest Rate as of the Cut-Off Date); or
(iii) provide for the deferral of interest unless (A) interest accrues
thereon, generally, at the related Mortgage Interest Rate and (B) the
aggregate amount of such deferred interest does not exceed 5% of the unpaid
principal balance of the Specially Serviced Mortgage Loan.
In the event of a modification which creates a deferral of interest, the
Pooling Agreement will provide that the amount of deferred interest will be
allocated to reduce the Distributable Certificate Interest of the Class or
Classes with the latest alphabetical designation then outstanding, and to the
extent so allocated, shall be added to the Certificate Principal Amount of such
Class or Classes.
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.
SALE OF DEFAULTED MORTGAGE LOANS AND REO PROPERTIES
The Special Servicer may, with the approval or deemed approval of the
Operating Adviser to the extent described herein, and is required to, at the
direction of the Operating Adviser to the extent described herein, sell, in
accordance with the terms of the Pooling Agreement, any defaulted Mortgage Loan
or any REO Property, without recourse, to any person (including, subject to
certain limitations,
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the Servicer, the Special Servicer or any Certificateholder, but excluding the
Trustee and its affiliates) for cash, but in any event shall so offer to sell
any REO Property no later than the time determined by the Special Servicer to be
sufficient to result in the sale of such REO Property on or before the date
specified under ' -- Foreclosures' herein. Subject to the approval or deemed
approval of the Operating Adviser to the extent described herein, the Special
Servicer will accept the highest cash bid received from any person (including
the Holder(s) of the Controlling Class) in an amount at least equal to the
Purchase Price (as defined herein) for such Mortgage Loan or REO Property.
In the absence of any such bid, the Special Servicer will, subject to the
approval or deemed approval of the Operating Adviser, accept the highest cash
bid received from any person, so long as such bid is a fair price and, subject
to the objection of the Operating Adviser, the Special Servicer determines that
accepting a lower bid would not, in the judgment of the Special Servicer, be in
the best interests of the Certificateholders. Notwithstanding anything to the
contrary contained herein: (i) neither the Trustee, in its individual capacity,
nor any of its affiliates may bid for or purchase any defaulted Mortgage Loan or
REO Property; (ii) in connection with the sale of any defaulted Mortgage Loan,
unless such bid is a price equal to or greater than the Purchase Price, neither
the Servicer, the Special Servicer, the Holder of more than 50% (by Certificate
Principal Amount) of the Controlling Class, any holder of any subordinate lien
on the related Mortgaged Property nor any affiliate of any thereof or any other
interested person designated in the Pooling Agreement may purchase such
defaulted Mortgage Loan; and (iii) in connection with the sale of any REO
Property (A) unless such bid is a price equal to or greater than the Purchase
Price, neither the Servicer, the Special Servicer, any Holder of more than 50%
(by Certificate Principal Amount) of the Controlling Class, any holder of any
subordinate lien on such REO Property nor any affiliate of any thereof or any
other interested person designated in the Pooling Agreement may purchase such
REO Property, and (B) unless such bid is a price equal to or greater than the
lesser of (1) the Purchase Price for such REO Property, and (2) the greater of
(x) the fair market value of such REO Property as determined by an appraisal of
such REO Property performed by an independent appraiser in accordance with MAI
standards and methodologies within the past twelve months, and (y) a price such
that any Realized Loss resulting from the sale of such REO Property at such
price, when combined with all other Realized Losses not yet allocated to the
Certificates as of such date of sale, would (other than the PO Percentage of any
such Realized Losses) only be allocable to the most subordinated Class of
Regular Certificates (other than the Class X Certificates) then outstanding, to
the Controlling Class and to Classes of Regular Certificates (other than the
Class X and Class P Certificates) senior to the Controlling Class that are
wholly-owned by the purchaser of such REO Property or any affiliate thereof,
neither the Holder of more than 50% (by Certificate Principal Amount) of the
Controlling Class nor any affiliate thereof may purchase such REO Property.
If the Trustee or the Special Servicer receives any bid or bids to purchase
a Mortgage Loan as to which a default has occurred and is continuing for a price
at least equal to the Purchase Price, the Special Servicer, on behalf of the
Trust, is to sell such Mortgage Loan to the highest cash bidder, subject to
certain limitations set forth in the Pooling Agreement. The Trustee is under no
obligation to solicit any such bid. The Depositor, its affiliates or any other
person (other than the Trustee and its affiliates) may make any such bid for a
defaulted Mortgage Loan.
MAINTENANCE OF INSURANCE
To the extent permitted by the related Mortgage Loan and required by the
servicing standards set forth in the Pooling Agreement, the Servicer will use
its reasonable best efforts to cause each Mortgagor to maintain, and if the
Mortgagor does not so maintain, shall itself maintain to the extent available at
commercially reasonable rates (as determined by the Servicer in accordance with
Accepted Servicing Practices), a fire and hazard insurance policy with extended
coverage. The coverage of each such 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 noted in the related Mortgage Loan
documents. During all such times as the Mortgaged Property is located in an area
identified as a federally designated special flood hazard area
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(and such flood insurance has been made available), the Servicer will use its
reasonable best efforts to cause each Mortgagor to maintain, and if the
Mortgagor does not so maintain, shall itself maintain to the extent available at
commercially reasonable rates (as determined by the Servicer in accordance with
Accepted Servicing Practices), a flood insurance policy in an amount
representing coverage not less than the lesser of (i) the outstanding principal
balance of the related Mortgage Loan, and (ii) the maximum amount of insurance
which is available under the Flood Disaster Protection Act of 1973, as amended,
but only to the extent that the related Mortgage Loan permits the lender to
require such coverage and maintaining such coverage is consistent with the
servicing standards set forth in the Pooling Agreement. The Special Servicer
will also be required to maintain (or cause to be maintained) fire and hazard
insurance on each REO Property in an amount which is at least equal to the
lesser of (x) an amount necessary to avoid the application of any co-insurance
clause and (y) the full replacement cost of the improvements on such REO
Property. In addition, during all such times as the REO Property is located in
an area identified as a federally designated special flood hazard area, the
Special Servicer will cause to be maintained, to the extent available at
commercially reasonable rates (as determined by the Servicer in accordance with
Accepted Servicing Practices), a flood insurance policy meeting the requirements
of the current guidelines of the Federal Insurance Administration in an amount
representing coverage not less than the maximum amount of insurance which is
available under the Flood Disaster Protection Act of 1973, as amended. 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. In originating the Mortgage Loans, neither the U.S. Branch nor CLIC
(U.S.) required the related Mortgagors to maintain earthquake insurance on the
Mortgaged Properties.
Such costs may be recovered by the Servicer or the Special Servicer, as
applicable, from reimbursements received from the Mortgagor or, if the Mortgagor
does not pay such amounts, as Servicing Advances as set forth in the Pooling
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.
FORECLOSURES
The Special Servicer, on behalf of the Trust, is required, in accordance
with applicable Accepted Servicing Practices but subject to the approval or
deemed approval of the Operating Advisor, to use its best reasonable efforts to
foreclose upon or otherwise comparably convert the ownership of Mortgaged
Properties securing such of the Specially Serviced Mortgage Loans as come into
and continue in default and as to which no satisfactory arrangements can be made
for collection of delinquent payments thereon; provided that the Special
Servicer may not, on behalf of the Trust, obtain title to a Mortgaged Property
as a result of or in lieu of foreclosure or otherwise, and may not otherwise
acquire possession of, or take any other action with respect to, any Mortgaged
Property, if, as a result of any such action, the Trust or the Trustee would be
considered to hold title to, to be a 'mortgagee-in-possession' of, or to be an
'owner' or 'operator' of such Mortgaged Property within the meaning of CERCLA,
or any applicable comparable federal, state or local law, or a 'discharger' or
'responsible party' thereunder, unless the Special Servicer has previously
determined in accordance with applicable Accepted Servicing Practices, based on
a report (the cost of which will generally be an expense of the Trust) prepared
by a person (who may be an employee or affiliate of the Servicer or the Special
Servicer) who regularly conducts environmental site assessments in accordance
with the standards of FNMA, in the case of Specially Serviced Mortgage Loans
that are multifamily mortgage loans, and applicable Accepted Servicing
Practices, in the case of Specially Serviced Mortgage Loans that are not
multi-family mortgage loans, for environmental assessments, that:
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(i) such Mortgaged Property is in compliance with applicable
environmental laws 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 of Net Collections on a present value basis
(the relevant discounting to be performed at the related Mortgage
Interest Rate) than not taking such actions; and
(ii) there are no circumstances or conditions, present or threatened,
at such Mortgaged Property relating to the use, management, disposal or
release of any hazardous substances, hazardous materials, hazardous wastes,
or petroleum-based materials for which investigation, testing, monitoring,
removal, clean-up or remediation could be required under any federal, state
or local law or regulation, or that, if any such circumstances or
conditions are present for which any such actions could be required, taking
such actions with respect to the Mortgaged Property is reasonably likely to
produce a greater recovery of Net Collections on a present value basis (the
relevant discounting to be performed at the related Mortgage Interest Rate)
than not taking such actions.
The cost of any such compliance or other action contemplated by clauses (i)
and/or (ii) above shall be paid, or reimbursed to the Special Servicer, by a
Servicing Advance reimbursable to the Servicer or other appropriate person as
described herein, subject to the limitations on Advances described under
'DESCRIPTION OF THE CERTIFICATES -- Advances' herein.
If the Special Servicer determines that taking such actions as are
necessary to bring any Mortgaged Property into compliance with applicable
environmental laws, or taking such actions with respect to the containment,
removal, cleanup or remediation of hazardous substances, hazardous materials,
hazardous wastes, or petroleum-based materials affecting such Mortgaged Property
is not reasonably likely to produce a greater recovery of Net Collections on a
present value basis than not taking such actions, then the Special Servicer
shall take such action as it deems to be in the best economic interests of the
Trust, including, without limitation, releasing the lien of the related
Mortgage. If the Special Servicer determines that a material possibility exists
that liquidation expenses with respect to a Mortgaged Property (taking into
account the cost of bringing it into compliance with applicable environmental
laws) would exceed the unpaid principal balance of the related Mortgage Loan,
the Special Servicer is not to attempt to bring such Mortgaged Property into
compliance and is not to acquire title to such Mortgaged Property unless it has
received the written consent of the Trustee.
Subject to any required approval or deemed approval of the Operating
Adviser as discussed under ' -- The Operating Adviser -- Duties of the Operating
Adviser' above, the Special Servicer may maintain any action with respect to any
Specially Serviced Mortgage Loan, including, without limitation, any action to
obtain a deficiency judgment with respect to any Specially Serviced Mortgage
Loan, if it determines that such action is likely to produce a greater recovery
of Net Collections on a present value basis (the relevant discounting to be
performed at the related Mortgage Interest Rate) than not taking such action.
If any Mortgaged Property is acquired as described in the preceding
paragraph, the Special Servicer will use its best reasonable efforts to sell the
REO Property within two years of acquisition or any applicable extension period
granted by the Internal Revenue Service, unless the Special Servicer has
previously delivered to the Trustee an opinion of counsel 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 imposition of taxes on
prohibited transactions of either REMIC under the REMIC provisions of the Code
at any time that any Certificate is outstanding. If the Trust acquires a REO
Property, the Special Servicer has full power and authority, in consultation
with the Operating Adviser (to the extent described herein), and subject to the
specific requirements and prohibitions of the Pooling Agreement, to do any and
all things in connection therewith as are consistent with Accepted Servicing
Practices, subject to the REMIC provisions of the Code, and in such manner as
the Special Servicer deems to be in the best interests of the Trust and the
Holders of the Certificates.
In general, each of the Special Servicer, the Servicer and the Trustee must
act in accordance with the Pooling Agreement and the provisions of the Code
relating to REMICs in order to create or maintain the status of the Lower-Tier
REMIC and the Upper-Tier REMIC as REMICs under the Code or, as appropriate,
adopt a plan of complete liquidation. None of the Special Servicer, the Servicer
or
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the Trustee may take any action or cause either REMIC to take any action that
could (i) endanger the status of either the Lower-Tier REMIC or the Upper-Tier
REMIC as a REMIC under the Code or (ii) result in the imposition of a tax upon
either REMIC (including, but not limited to, the tax on 'prohibited
transactions' as defined in Section 860F(a)(2) of the Code or on 'prohibited
contributions' pursuant to Section 860G(d) of the Code) unless the Special
Servicer, the Servicer and the Trustee have received an Opinion of Counsel (at
the expense of the party seeking to take such action) to the effect that the
contemplated action will not endanger such status or result in the imposition of
such tax. Notwithstanding the foregoing, if the Special Servicer determines that
directly operating a Mortgaged Property as an REO Property could result in the
imposition of a 100 percent 'prohibited transaction' tax, then, if the Special
Servicer determines in its good faith and reasonable judgment that it is
commercially feasible to acquire such Mortgaged Property as an REO Property and
lease or operate such REO Property, the Special Servicer shall so acquire such
Mortgaged Property as an REO Property and either: (i) lease such REO Property to
another party to operate such property or (ii) if the after-tax recovery to the
Trust would be greater than leasing such REO Property to another party pursuant
to the preceding clause (i), operate such REO Property through an independent
contractor, or another method of operating such property, which would not result
in income subject to such 100 percent tax but which may instead be subject to a
tax on 'net income from foreclosure property.'
CERTAIN MATTERS REGARDING THE SERVICER AND THE SPECIAL SERVICER
Fidelity Bond and Errors and Omissions Insurance Policy
The Servicer and the Special Servicer will each be required to maintain a
fidelity bond and errors and omissions insurance policy or their equivalent that
provides coverage against losses that may be sustained as a result of an
officer's or employee's misappropriation of funds or errors or omissions,
subject to certain limitations as to amount of coverage, deductible amounts,
conditions, exclusions and exceptions permitted under the Pooling Agreement.
Limitation on Liability
None of the Servicer (or the Servicer's general partner and its officers
and directors), the Special Servicer or any of the directors, officers,
employees or agents of the Servicer or the Special Servicer will be under any
liability to each other or the Certificateholders, the Depositor, the Fiscal
Agent or the Trustee, and, in the case of the Special Servicer, to the Operating
Adviser or the Extension Adviser, for any action taken or for refraining from
the taking of any action in good faith pursuant to the Pooling Agreement, or for
errors in judgment; provided that the Servicer, the Special Servicer and such
other persons will not be protected against any breach of a representation,
warranty or covenant contained in the Pooling Agreement or any liability which
would otherwise be imposed by reason of willful misfeasance, bad faith or
negligence in its performance of duties or by reason of reckless disregard for
its obligations and duties under the Pooling Agreement. The Servicer (and the
Servicer's general partner and its officers and directors), the Special Servicer
and any director, officer, employee or agent of the Servicer or the Special
Servicer may rely in good faith on any document of any kind prima facie properly
executed and submitted by any person respecting any matters arising under the
Pooling Agreement. Neither the Servicer nor the Special Servicer will be under
any obligation to appear in, prosecute or defend any legal action which is not
incidental to its duties to service the Mortgage Loans serviced by it in
accordance with the Pooling Agreement; provided that the Servicer or the Special
Servicer in its sole discretion may undertake any such action which it may
reasonably deem necessary or desirable in order to protect the interests of the
Certificateholders and the Trustee in the Mortgage Loans serviced by it, and is
required to undertake any such action if instructed to do so by the Depositor or
the Trustee (unless it reasonably believes such action would result in a
material unreimbursed liability of it). All legal expenses and costs of such
action will be expenses and costs of the Trust.
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Indemnification of the Servicer and Special Servicer
The Servicer (and its general partner and its officers and directors), the
Special Servicer and any director, officer, employee or agent of the Servicer or
the Special Servicer shall be indemnified and held harmless by the Trust against
any and all claims, losses, penalties, fines, forfeitures, legal fees and
related costs, judgments and any other costs, liabilities, fees and expenses
incurred in connection with any pending or threatened legal action relating to
(i) the Pooling Agreement, the Mortgage Loans, or REO Property if such legal
action is incidental to, or arises from, the Servicer or the Special Servicer,
as the case may be, serving in such capacity under the Pooling Agreement, (ii)
any action taken by the Servicer or the Special Servicer, as the case may be, in
accordance with instructions delivered in writing to the Servicer or the Special
Servicer, as the case may be, by the Trustee or, in the case of the Special
Servicer, by the Servicer, the Operating Adviser or the Extension Adviser,
pursuant to any provision of the Pooling Agreement, (iii) any defect in any
Mortgage Loan and related documents as of the Cut-Off Date and (iv) in the case
of the Servicer, any action taken based on information provided by the Special
Servicer, in each case, other than any loss, liability or expense incurred by
reason of the Servicer's or the Special Servicer's, as the case may be, breach
of any representation or warranty in the Pooling Agreement, by reason of the
Servicer's or the Special Servicer's, as the case may be, willful misfeasance,
bad faith or negligence in the performance of duties under the Pooling Agreement
or by reason of the Servicer's or the Special Servicer's, as the case may be,
reckless disregard of obligations and duties under the Pooling Agreement. The
Servicer or the Special Servicer, as the case may be, is to immediately notify
the Trustee if a claim is made by a third party with respect to the Pooling
Agreement, the Mortgage Loans or REO Properties entitling the Servicer or the
Special Servicer, as the case may be, to indemnification, whereupon the Trustee
on behalf of the Trust is to assume the defense of any such claim and, subject
to reimbursement out of the Collection Account, to pay all expenses in
connection therewith, including counsel fees, and promptly pay, discharge and
satisfy any judgment or decree that may be entered against it or them in respect
of such claim.
EVENTS OF DEFAULT
The Servicer
An 'Event of Default' in respect of the Servicer will include:
(i) any failure by the Servicer to deposit in the Collection Account
when required any amount required to be so deposited under the terms of the
Pooling Agreement;
(ii) any failure by the Servicer to remit to the Trustee any amount
required to be so remitted or deposited on such date as is required under
the terms of the Pooling Agreement, including, without limitation, any P&I
Advance, or any failure by the Servicer to make any Servicing Advance when
it is required to be made under the terms of the Pooling Agreement;
(iii) any failure on the part of the Servicer to duly observe or
perform in any material respect any other of the covenants or agreements on
the part of the Servicer contained in the Pooling Agreement, or any breach
of the representations and warranties of the Servicer contained in the
Pooling Agreement that could materially and adversely affect the interests
of the Holders of any Class of Certificates, which failure or other breach
continues unremedied for a period of 60 days after the date on which
written notice of such failure or other breach, requiring the same to be
remedied, shall have been given to the Servicer by the Depositor or the
Trustee, except that if the Servicer is in good faith attempting to remedy
such failure, the Certificateholders will not be materially and adversely
affected thereby, and the Servicer delivers an officer's certificate to the
Trustee and the Depositor prior to the expiration of the aforesaid 60-day
period outlining the actions to be taken by the Servicer to remedy such
failure or other breach and setting forth an anticipated date by which such
remedy shall be completed, then such cure period may be extended for an
additional period not to exceed 90 days unless otherwise agreed to in
writing by the Rating Agencies;
(iv) certain events of insolvency, readjustment of debt, marshaling of
assets and liabilities or similar proceedings in respect of the Servicer or
its assets, and certain actions on the part of the Servicer to indicate its
insolvency or inability to pay its obligations; and
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(v) a change in the status of the Servicer that would result in and of
itself in a qualification, downgrading or withdrawal of the ratings on the
Certificates that are rated by a Rating Agency if the Servicer is not
replaced.
The Special Servicer
An 'Event of Default' in respect of the Special Servicer will include:
(i) any failure by the Special Servicer to remit to the Servicer or
the Trustee or to deposit in the Collection Account or any account
maintained with respect to an REO Property when due any amount required to
be so remitted or deposited under the terms of the Pooling Agreement;
(ii) any failure on the part of the Special Servicer to duly observe
or perform in any material respect any other of the covenants or agreements
on the part of the Special Servicer contained in the Pooling Agreement, or
any breach of the representations and warranties contained in the Pooling
Agreement that could materially and adversely affect the interest of the
Holders of any Class of Certificates, which failure or other breach
continues unremedied for a period of 60 days after the date on which
written notice of such failure or other breach, requiring the same to be
remedied, shall have been given to the Special Servicer by the Operating
Adviser, the Trustee, the Depositor or the Servicer, except that if the
Special Servicer is in good faith attempting to remedy such failure, the
Certificateholders will not be materially and adversely affected thereby,
and the Special Servicer delivers an officer's certificate to the Trustee
and the Depositor prior to the expiration of the aforesaid 60-day period
outlining the actions to be taken by the Special Servicer to remedy such
failure or other breach and setting forth an anticipated date by which such
remedy shall be completed, then such cure period may be extended for an
additional period not to exceed 90 days unless otherwise agreed to in
writing by the Rating Agencies;
(iii) certain events of insolvency, readjustment of debt, marshaling
of assets and liabilities, or similar proceedings in respect of or relating
to the Special Servicer or its assets, and certain actions by or on behalf
of the Special Servicer indicating its insolvency or inability to pay its
obligations; and
(iv) a change in the status of the Special Servicer that would result
in and of itself in a qualification, downgrading or withdrawal of the
ratings on the Certificates that are rated by a Rating Agency if the
Special Servicer is not replaced.
TERMINATION OF THE SERVICER OR SPECIAL SERVICER
If an Event of Default in respect of the Servicer or the Special Servicer
occurs and is continuing, then either the Trustee or the Depositor may, and at
the direction of the Holders of Certificates entitled to at least 25% of the
voting rights (as specified in the Pooling Agreement), the Trustee shall be
required to, terminate all authority, power and rights of the defaulting party
as Servicer or Special Servicer, as the case may be, under the Pooling
Agreement.
The Trustee will be required to terminate the services of the Servicer (at
any time after the first anniversary date of the Closing Date) under the Pooling
Agreement, without cause, if (i) it receives from the Depositor written notice
that it wishes to appoint a successor Servicer, (ii) such successor will, among
other things, meet the requirements set forth in the Pooling Agreement and be
reasonably acceptable to the Trustee and (iii) such successor servicer will
execute and deliver to the Trustee an agreement, in form and substance
satisfactory to the Trustee, whereby the successor servicer agrees to assume and
perform punctually the duties of the Servicer specified in the Pooling
Agreement; provided that (x) (as confirmed in writing by the Rating Agencies)
the succession of such proposed Servicer will not result in a downgrade,
withdrawal or qualification of the then current ratings on the Certificates, and
(y) the Servicer is paid or reimbursed by the Depositor or such successor
servicer on or prior to the date of such termination for any unreimbursed
Advances (together with interest thereon at the Advance Rate), any accrued and
unpaid Servicing Fees, and the reasonable out-of-pocket expenses of the Servicer
in transferring the servicing to such successor servicer.
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The Trustee will be required to terminate the services of the Special
Servicer (at any time) under the Pooling Agreement, without cause, if (i) it
receives from the Operating Adviser written notice that the Operating Adviser
wishes to appoint a successor Special Servicer, (ii) such successor will, among
other things, meet the requirements set forth in the Pooling Agreement and be
reasonably acceptable to the Trustee and the Depositor and (iii) such successor
will execute and deliver to the Trustee an agreement, in form and substance
satisfactory to the Trustee, whereby the successor special servicer agrees to
assume and perform punctually the duties of the Special Servicer specified in
the Pooling Agreement; provided that (as confirmed in writing by the Rating
Agencies) the succession of such proposed Special Servicer will not result in a
downgrade, withdrawal or qualification of the then current ratings on the
Certificates.
In the event that the Special Servicer is terminated without cause pursuant
to the Pooling Agreement, the Special Servicer shall be entitled to payment by
the successor special servicer of any accrued but unpaid special servicing
compensation as and when applicable amounts on the Mortgage Loans or REO
Properties are collected, which shall include, without limitation, the
following: (i) any Workout Fee being paid to the Special Servicer based on Net
Collections from a Rehabilitated Mortgage Loan prior to the effective date of
termination, which Workout Fee shall continue to be paid by the successor
special servicer to the terminated Special Servicer after the effective date of
termination until such date, if any, as such Mortgage Loan again becomes a
Specially Serviced Mortgage Loan, at the time and in the amounts provided herein
as if the terminated Special Servicer had continued in its capacity as Special
Servicer hereunder; and (ii) with respect to any Specially Serviced Mortgage
Loan or REO Property for which, as of the effective date of termination, a
Workout Fee had not yet been earned by or paid to the terminated Special
Servicer, the successor special servicer shall pay to the terminated Special
Servicer a fraction of any Workout Fee earned or paid on such Specially Serviced
Mortgage Loan or REO Property after the effective date of termination, the
numerator of which is the number of days such Specially Serviced Mortgage Loan
or REO Property was specially serviced by the terminated Special Servicer and
the denominator of which is the total number of days such Specially Serviced
Mortgage Loan or REO Property was specially serviced prior to becoming a
Rehabilitated Mortgage Loan or being liquidated.
In addition, if J.E. Robert Company, Inc. is terminated as Special Servicer
without cause within two years after the Closing Date, upon the appointment of
the successor special servicer, J.E. Robert Company, Inc., will be entitled to
receive a termination fee. The obligation to pay such termination fee will be
borne by the Holders of the Controlling Class and not by the Trust Fund.
RESIGNATION BY THE SERVICER OR SPECIAL SERVICER
Neither the Servicer nor the Special Servicer may resign from the
respective obligations and duties imposed on it under the Pooling Agreement,
unless it determines that its duties under the Pooling Agreement are no longer
permissible under applicable law or are in material conflict by reason of
applicable law with other activities carried on by the Servicer or the Special
Servicer, as the case may be. Any such determination must be evidenced by an
opinion of counsel to such effect.
No such resignation by either the Servicer or the Special Servicer will
become effective unless and until a successor thereto assumes the obligations
and responsibilities thereto under the Pooling Agreement and all other
conditions set forth in the Pooling Agreement are satisfied.
APPOINTMENT OF A SUCCESSOR SERVICER OR SPECIAL SERVICER
On or after the time the Servicer or the Special Servicer is terminated
with cause or resigns as such, and provided that, no acceptable successor has
been appointed, the Trustee will be the successor to the Servicer or the Special
Servicer, as the case may be, in all respects; provided that if the Trustee is
unwilling or unable to so act, the Trustee will appoint, or petition a court of
competent jurisdiction to appoint, a loan servicing institution meeting the
standards for such a successor as are set forth in the Pooling Agreement and the
appointment of which, as confirmed in writing by the Rating Agencies, will not
result in and of itself in a downgrade, withdrawal or qualification of the then
current ratings on the Certificates, and provided further that the Trustee shall
be required within 60 days of assuming the duties of the Servicer or the Special
Servicer, as the case may be, to use its best efforts either to satisfy
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the standards for such a successor as are set forth in the Pooling Agreement or
to transfer the duties of the Servicer or the Special Servicer, as the case may
be, to a successor who can satisfy such standards. The Trustee shall have no
obligation to act as a successor servicer or successor special servicer in the
event that the Servicer or the Special Servicer, as the case may be, is
terminated without cause as described above.
YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS
GENERAL
The yield to maturity on any Class of Offered Certificates will be affected
by the price paid by the Holder thereof, 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, casualty, defaults and
repurchases due to breaches of representations and warranties contained in the
Mortgage Loan Purchase Agreement) and the extent to which such principal
payments are applied in reduction of the Certificate Principal Amount or
Notional Amount of such Offered Class. In addition, the yield to maturity on any
Class of the Offered Certificates will be affected by the allocation of Realized
Losses, Additional Expense Losses, Appraisal Reduction Amounts and Interest
Shortfalls to such Class.
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 the application of Appraisal Reduction
Amounts will tend to shorten the weighted average lives 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 lives of the Offered Certificates. Any changes in such weighted
average lives may adversely affect the yield to Holders of Offered Certificates.
Prepayments resulting in a shortening of such weighted average lives may be made
at a time of low interest rates when Holders of affected Certificates may be
unable to reinvest such prepayments at interest rates equal to the Certificate
Interest Rates payable on their Offered Certificates, while delays and
extensions resulting in lengthening of such weighted average lives may occur at
a time of high interest rates when Certificateholders may have been able to
reinvest payments received by them at higher rates. In general, the Class X-1
and Class X-2 Certificates will be extremely sensitive to the rate of Principal
Prepayments, principal losses and interest rate reductions due to modifications
on Group 1 and Group 2 Mortgage Loans, respectively. The Class X-1A Certificates
will be extremely sensitive to the rate of Principal Prepayments and principal
losses on the Group 1 Mortgage Loans and, to a lesser degree, on the Group 2
Mortgage Loans. Similarly, the Class X-2A Certificates will be extremely
sensitive to the rate of Principal Prepayments and principal losses on the Group
2 Mortgage Loans and, to a lesser degree, on the Group 1 Mortgage Loans.
Principal Prepayments may be influenced by a variety of economic,
geographic, demographic, tax, legal and other factors. Although a substantial
percentage of the Mortgage Loans contain lockout periods, prepayment premiums
and/or yield maintenance requirements which might tend to prevent or discourage
prepayment of the Mortgage Loans, in general, where such restrictions do not
discourage prepayment, with respect to the Option Period relating to a Rate
Reset Mortgage Loan or with respect to Mortgage Loans that do not contain such
restrictions, if prevailing interest rates fall significantly below the interest
rates on the Mortgage Loans, 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,
provisions imposing lockout periods and Prepayment Charges), the quality of
management of the Mortgaged Properties and the availability of other
opportunities for investment.
S-134
<PAGE>
<PAGE>
The risk of Principal Prepayment is relatively higher with respect to the
Group 2 Mortgage Loans than the Group 1 Mortgage Loans because Mortgagors are
not restricted from prepaying Group 2 Mortgage Loans during Option Periods and,
in addition, are not required to pay Prepayment Charges with respect to such
Principal Prepayments.
None of CLIC (U.S.), the Depositor, the Underwriters or any other person or
entity makes any 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, the Certificate
Principal Amount or Notional Amount, as the case may be, of one or more Classes
of the Certificates may be reduced to zero prior to their respective Assumed
Final Distribution Date. In addition, delinquencies could result in
distributions after their respective Assumed Final 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 Assumed Final 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 effective yield to holders of the Offered 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 Certificate 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 occurs, 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.
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 not purport to be either a historical description of the
prepayment experience of any pool of mortgage loans or a prediction of the
anticipated rate of prepayment of any pool of mortgage loans, including the
Mortgage Loans. None of CLIC (U.S.), the Depositor, the Underwriters, or any
other person or entity makes any representations about the appropriateness of
the CPR model.
EFFECTS OF LOSSES ON THE MORTGAGE LOANS, ADDITIONAL TRUST FUND EXPENSES AND
OTHER MATTERS
The yield to maturity of any Class of Offered Certificates will be
sensitive to the loss experience on the Mortgage Loans as well as the extent to
which Additional Expense Losses (including shortfalls due to certain additional
compensation being required to be paid to the Special Servicer as a result of
Mortgage Loans becoming Specially Serviced Mortgage Loans and interest on
Advances not being fully
S-135
<PAGE>
<PAGE>
compensated by default interest and late payment charges) may be incurred from
time to time. Because of the priority of payments on the Certificates and the
allocation of Realized Losses and Additional Expense Losses, any shortfalls and
losses realized at any time generally will be borne as described above in
'DESCRIPTION OF THE CERTIFICATES -- Subordination; Allocation of Losses and
Certain Expenses' and will, through the diminished cash distributions from the
Mortgage Loans to be made in respect of the affected Class of Certificates,
negatively impact the yield to maturity of any Certificateholder of such Class.
Because the aggregate principal balances of the Group 1 Mortgage Loans and Group
2 Mortgage Loans are used to calculate interest distributions on the Class X-1
and Class X-2 Certificates, respectively, amounts otherwise distributable on
those Certificates will be affected to the extent Realized Losses are borne by
Mortgage Loans in the related Mortgage Loan Group. In addition, because the
aggregate Notional Amount used to calculate interest distributions on the Class
X-1A and Class X-2A Certificates will be equal to the aggregate Certificate
Principal Amount of certain other Classes of Offered Certificates, amounts
otherwise distributable on the Class X-1A and Class X-2A Certificates will be
affected by Realized Losses and Additional Expense Losses allocated to reduce
the aggregate Certificate Principal Amount of such other Classes of Offered
Certificates.
In addition to the extent that the Holders of any Class of Offered
Certificates experience an Interest Shortfall, such Interest Shortfall will be
payable on subsequent Distribution Dates, but will not bear interest and would
therefore adversely affect the yield to maturity of such Class of Certificates
for as long as such Interest Shortfall is outstanding.
YIELD SENSITIVITY OF THE CLASS X CERTIFICATES
The yield to maturity on the Class X-1 Certificates and Class X-2
Certificates will be extremely sensitive to the rate and timing of principal
payments (including prepayments), principal losses and interest rate reductions
due to modifications on the Group 1 and Group 2 Mortgage Loans, respectively,
which, in either case, may fluctuate significantly from time to time, and to
other factors set forth herein. The yield to maturity on the Class X-1A
Certificates will be extremely sensitive to the rate and timing of principal
payments (including prepayments) and principal losses on the Group 1 Mortgage
Loans, and, to a lesser degree, on the Group 2 Mortgage Loans, which may
fluctuate significantly from time to time, and to other factors set forth
herein. Similarly, the yield to maturity on the Class X-2A Certificates will be
extremely sensitive to principal payments (including prepayments) and principal
losses on the Group 2 Mortgage Loans and, to a lesser degree, on the Group 1
Mortgage Loans, which also may fluctuate significantly from time to time.
Investors should fully consider the associated risks, including the risk that a
rapid rate of principal payments or principal losses on a related Mortgage Loan
Group or on the Mortgage Pool in general, as the case may be, could result in
the failure by investors in the Class X Certificates to fully recoup their
initial investments.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of the Class X Certificates at various prices and
constant prepayment rates. The yields set forth in the table were calculated by
determining the monthly discount rates that, when applied to the assumed stream
of cash flows to be paid on the Class X Certificates, would cause the discounted
present value of such assumed stream of cash flows to equal the assumed purchase
prices plus accrued interest of such Classes of Certificates and converting such
monthly rates to corporate bond equivalent rates. Such calculations do not take
into account variations that may occur in the interest rates at which investors
may be able to reinvest funds received by them as distributions on the Class X
Certificates and consequently do not purport to reflect the return on any
investment in such Classes of Certificates when such reinvestment rates are
considered.
S-136
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<PAGE>
The tables below have been prepared under Scenario 3 (and in accordance
with the Modeling Assumptions) described on page D-1 and with the assumed
respective purchase prices (as a percentage of the respective Notional Amounts)
of the Class X Certificates set forth in the tables, plus accrued interest
thereon from February 1, 1996.
SENSITIVITY TO PRINCIPAL PREPAYMENTS OF THE PRE-TAX YIELDS TO MATURITY
OF THE CLASS X-1 CERTIFICATES
<TABLE>
<CAPTION>
ASSUMED PURCHASE PRICE 0% CPR 2% CPR 4% CPR 8% CPR
- ------------------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
4.44% 15.005% 12.917% 10.806% 6.517%
4.90 11.953 9.888 7.801 3.561
5.33 9.392 7.347 5.281 1.081
<CAPTION>
ASSUMED PURCHASE PRICE 12% CPR 15% CPR
- ------------------------- ------------------ ------------------
<S> <C> <C>
4.44% 2.131% (1.227)%
4.90 (0.776) (4.095)
5.33 (3.213) (6.499)
</TABLE>
SENSITIVITY TO PRINCIPAL PREPAYMENTS OF THE PRE-TAX YIELDS TO MATURITY
OF THE CLASS X-1A CERTIFICATES
<TABLE>
<CAPTION>
ASSUMED PURCHASE PRICE 0% CPR 2% CPR 4% CPR 8% CPR
- ------------------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
3.00% 24.787% 20.148% 15.443% 6.014%
3.47 14.903 10.300 5.654 (3.601)
3.94 7.354 2.767 (1.839) (10.967)
<CAPTION>
ASSUMED PURCHASE PRICE 12% CPR 15% CPR
- ------------------------- ------------------ ------------------
<S> <C> <C>
3.00% (3.793)% (11.160)%
3.47 (13.215) (20.444)
3.94 (20.437) (27.564)
</TABLE>
SENSITIVITY TO PRINCIPAL PREPAYMENTS OF THE PRE-TAX YIELDS TO MATURITY
OF THE CLASS X-2 CERTIFICATES
<TABLE>
<CAPTION>
ASSUMED PURCHASE PRICE 0% CPR 2% CPR 4% CPR 8% CPR
- ------------------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
2.31% 21.730% 19.658% 17.563% 13.302%
2.78 9.922 7.946 5.949 1.888
3.25 1.244 (0.660) (2.584) (6.496)
<CAPTION>
ASSUMED PURCHASE PRICE 12% CPR 15% CPR
- ------------------------- ------------------ ------------------
<S> <C> <C>
2.31% 8.942% 5.602%
2.78 (2.268) (5.451)
3.25 (10.498) (13.564)
</TABLE>
SENSITIVITY TO PRINCIPAL PREPAYMENTS OF THE PRE-TAX YIELDS TO MATURITY
OF THE CLASS X-2A CERTIFICATES
<TABLE>
<CAPTION>
ASSUMED PURCHASE PRICE 0% CPR 2% CPR 4% CPR 8% CPR
- ------------------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
1.28% 20.757% 18.932% 16.947% 11.588%
1.46 12.882 10.941 8.855 3.213
1.66 5.817 3.768 1.590 (4.310)
<CAPTION>
ASSUMED PURCHASE PRICE 12% CPR 15% CPR
- ------------------------- ------------------ ------------------
<S> <C> <C>
1.28% 5.258% (1.432)%
1.46 (3.417) (10.359)
1.66 (11.213) (18.380)
</TABLE>
There can be no assurance that the Group 1 Mortgage Loans, with respect to
the Class X-1 and Class X-1A Certificates, and to a lesser extent with respect
to the Class X-2A Certificates, or the Group 2 Mortgage Loans, with respect to
the Class X-2 and Class X-2A Certificates, and to a lesser extent with respect
to the Class X-1A Certificates, will prepay at any of the rates shown in the
table or at any other particular rate, that the cash flows on any of the Class X
Certificates will correspond to the cash flows shown herein or that the
aggregate purchase price of any Class of Class X Certificates will be as
assumed. In addition, it is unlikely that the Group 1 Mortgage Loans, with
respect to the Class X-1 and Class X-1A Certificates, and to a lesser extent
with respect to the Class X-2A Certificates, or the Group 2 Mortgage Loans, with
respect to the Class X-2 and Class X-2A Certificates, and to a lesser extent
with respect to the Class X-1A Certificates, will prepay at any of the specified
percentages of CPR until maturity or that all the Mortgage Loans in such
Mortgage Loan Groups will so prepay at the same rate. Timing of changes in the
rate of prepayments may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments is consistent with
the expectations of investors. Investors must make their own decisions as to the
appropriate prepayment assumption to be used in deciding whether to purchase any
Class X Certificates.
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<PAGE>
LEGAL INVESTMENT CONSIDERATIONS
The Certificates will not constitute 'mortgage related securities' for
purposes of the Secondary Mortgage Market Enhancement Act of 1984. As a result,
the appropriate characterization of the Offered Certificates under various legal
investment restrictions, and thus the ability of investors subject to these
restrictions to purchase the Offered Certificates of any Class may be subject to
significant interpretative uncertainties. In addition, institutions whose
investment activities are subject to review by federal or state regulatory
authorities may be or may become subject to restrictions on the investment by
such institutions in certain forms of mortgage related securities.
None of CLIC (U.S.), the Depositor, the Underwriters, or any other person
or entity makes any representation as to the ability of particular investors to
purchase the Offered Certificates under applicable legal investment or other
restrictions. All institutions whose investment activities are subject to legal
investment laws and regulations, regulatory capital requirements or review by
regulatory authorities should consult with their own legal advisors in
determining whether and to what extent the Offered Certificates constitute legal
investments for them or are subject to investment, capital or other
restrictions. See 'LEGAL INVESTMENT' in the Prospectus.
CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS
LOCATED IN CALIFORNIA, NEW JERSEY, GEORGIA, FLORIDA,
ILLINOIS, AND MARYLAND
The following discussion contains summaries of certain legal aspects of
mortgage loans in California (approximately 23.2% of the Mortgage Loans by
Scheduled Principal Balance), New Jersey (approximately 12.6% of the Mortgage
Loans by Scheduled Principal Balance), Georgia (approximately 7.9% of the
Mortgage Loans by Scheduled Principal Balance), Florida (approximately 7.5% of
the Mortgage Loans by Scheduled Principal Balance), Illinois (approximately 5.8%
of the Mortgage Loans by Scheduled Principal Balance) and Maryland
(approximately 5.0% of the Mortgage Loans by Scheduled Principal Balance) 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. The one form of action rule effectively limits the lender's
remedy to foreclosure. 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, and the
borrower is precluded from redeeming the property.
NEW JERSEY
Mortgage Loans in New Jersey are generally secured by mortgages on the
related real estate. Foreclosure of a mortgage is accomplished by foreclosure in
judicial proceedings. It is 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 trustee 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. An action
for redemption of the property must be commenced within six months after the
entry of judgment for the balance of the debt and an action for a deficiency
judgment must be commenced within three months from the date of the foreclosure
sale.
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<PAGE>
GEORGIA
Mortgage Loans in Georgia are generally secured by deeds to secure debt on
the related real estate. Foreclosure of a deed to secure debt is, in most cases,
accomplished by power of sale granted in the deed to secure debt (although
judicial foreclosure is available). Public notice of the sale is given for a
statutory period of time after which the subject property may be sold by the
grantee. A non-judicial foreclosure sale may, where appropriate, be enjoined or
set aside. There is no statutory right of redemption with respect to either
judicial or power of sale foreclosure.
FLORIDA
Mortgage Loans in Florida are generally secured by mortgages on the related
real estate. Under Florida law, a lender can foreclose a Florida real estate
mortgage only by judicial proceedings in a court of equity; there is no private
power of sale under Florida law. Consequently, Florida mortgage foreclosure
proceedings are subject to the equitable discretion of the court and are subject
to the same possibility of delay and expense as any other lawsuit. Generally, a
lender may recover a deficiency judgment for the excess of the mortgage debt
over the value of the mortgaged property, either in the mortgage foreclosure
suit or in a separate court proceeding. In either case, the lender has the
burden of proving the value of the mortgaged property and the amount of the
deficiency. Judicial intervention is also necessary if a lender seeks to enforce
its rights against assigned rental income from a Florida mortgaged property,
whether collected by a court-appointed receiver or paid by the borrower into the
court registry. Real estate tax liens take priority over previously recorded
mortgagees, as do certain utility charges and certain assessment liens.
ILLINOIS
Mortgage Loans in Illinois are generally secured by mortgages on the
related real estate. Foreclosure of a mortgage is accomplished only by judicial
proceedings; there is no private power of sale under Illinois law. Common law
remedy of strict foreclosure is still available in Illinois. Foreclosure is
regulated by statute and is subject to the court's equitable powers. Generally,
a mortgagee may obtain, where applicable, and seek to recover, a deficiency
judgment. A mortgagor has a statutory right of redemption which, as to
mortgagors of non-residential real estate, may be waived. A mortgagor also has a
statutory right of reinstatement which may be granted only once in any given
five year period. The right of reinstatement allows a mortgagor, whose loan has
been accelerated due to a default, to cure said default (by paying principal
amount due, including costs, expenses, attorneys' fees and other fees, but
excluding the portion of principal which would not have been due in absence of
acceleration) within ninety days from the date the court obtains jurisdiction
over mortgagor.
MARYLAND
Mortgage Loans in Maryland are generally secured by deeds of trust on the
related real estate. Maryland is a quasi-judicial foreclosure state. As such,
foreclosures in Maryland are usually accomplished by foreclosure through
expedited judicial proceedings by the filing of an action in the Circuit Court
of the County in which the related real estate is situate. Notwithstanding the
quasi-judicial nature of Maryland foreclosure proceedings, a foreclosure sale
can be usually be completed within 30 to 45 days after the commencement of the
foreclosure action, absent special circumstances. The proceeds received by the
trustee from the foreclosure sale are applied first to the cost and expenses of
the sale, second to repayment of the indebtedness secured by the deed of trust,
third to any liens or claims which are inferior to the lien of the deed of trust
and fourth, the surplus, if any, is generally payable to the mortgagor, unless
otherwise directed by the court having jurisdiction over the foreclosure sale.
Any action for a deficiency judgment must be commenced within 3 years from the
date the auditor's accounting of the foreclosure has been ratified by the court.
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<PAGE>
USE OF PROCEEDS
All of the net proceeds from the sale of the Offered Certificates will be
used by the Depositor to purchase the Mortgage Loans from CLIC (U.S.) and to pay
certain expenses in connection with the issuance of the Offered Certificates.
ERISA CONSIDERATIONS
A fiduciary of any employee benefit plan or other retirement plan or
arrangement (including individual retirement accounts and annuities, and Keogh
plans) and any collective investment fund and insurance company general or
separate accounts in which such plans, accounts or arrangements are invested
that is subject to the Employee Retirement Income Security Act of 1974, as
amended ('ERISA'), or Section 4975 of the Code (each, a 'Plan') should carefully
review with its legal advisors whether the purchase or holding of Offered
Certificates could give rise to a transaction that is prohibited or is not
otherwise permitted either under ERISA or Section 4975 of the Code or whether
there exists any statutory or administrative exemption applicable thereto.
The U.S. Department of Labor issued to the Underwriters individual
prohibited transaction exemptions PTE 89-88, 54 Fed. Reg. 42,582 (Oct. 17,
1989), PTE 91-14, 56 Fed. Reg. SS 414 (Feb. 22, 1991) (the 'Exemptions'), which
generally exempt from the application of the prohibited transaction provisions
of Section 406 of ERISA, and the excise taxes imposed on such prohibited
transactions pursuant to Sections 4975(a) and (b) of the Code, certain
transactions, among others, relating to the servicing and operation of mortgage
pools, such as the Mortgage Pool, and the purchase, sale and holding of mortgage
pass-through certificates, such as the Senior Certificates, underwritten by an
'underwriter,' provided that certain conditions set forth in the Exemptions are
satisfied. For purposes of this discussion, the term 'underwriter' shall include
(a) the Underwriters, (b) any person directly or indirectly, through one or more
intermediaries, controlling, controlled by or under common control with either
of the Underwriters and (c) any member of the underwriting syndicate or selling
group of which a person described in (a) or (b) is a manager or co-manager with
respect to the Senior Certificates.
The Exemptions set forth six general conditions which must be satisfied for
a transaction involving the purchase, sale and holding of the Senior
Certificates to be eligible for exemptive relief thereunder. First, the
acquisition of the Senior Certificates by a Plan must be on terms that are at
least as favorable to the Plan as they would be in an arm's-length transaction
with an unrelated party. Second, the rights and interests evidenced by the
Senior Certificates must not be subordinated to the rights and interests
evidenced by the other Certificates of the Trust. Third, the Senior Certificates
at the time of acquisition by the Plan must be rated in one of the three highest
generic rating categories by S&P, Duff & Phelps Inc. ('Duff & Phelps'), Moody's
Investors Service, Inc. ('Moody's'), or Fitch. Fourth, the Trustee cannot be an
affiliate of any other member of the 'restricted group,' which (in addition to
the Trustee) consists of any Underwriter, the Depositor, the Servicer, the
Special Servicer, any sub-servicer, and any borrower with respect to Mortgage
Loans constituting more than 5% of the aggregate unamortized principal balance
of the Mortgage Loans as of the date of initial issuance of the Senior
Certificates. The Operating Adviser and Extension Adviser should also be
considered members of the 'restricted group.' Fifth, the sum of all payments
made to and retained by the Underwriter must represent not more than reasonable
compensation for underwriting the Senior Certificates; the sum of all payments
made to and retained by the Depositor pursuant to the assignment of the Mortgage
Loans to the Trust Fund must represent not more than the fair market value of
such obligations; and the sum of all payments made to and retained by the
Servicer, the Special Servicer and any sub-servicer must represent not more than
reasonable compensation for such person's services under the relevant servicing
agreement and reimbursement of such person's reasonable expenses in connection
therewith. Sixth, the investing Plan must be an accredited investor as defined
in Rule 501(a)(1) of Regulation D of the Securities and Exchange Commission
under the Securities Act.
Because the Senior Certificates are not subordinated to any other Class of
Certificates, the second general condition set forth above is satisfied with
respect to such Certificates. It is a condition of the issuance of the Class A
Certificates that they be rated not lower than 'AAA' by S&P and Fitch, and it is
a condition of the issuance of the Class X Certificates that they be rated not
lower than 'AAA' by Fitch; thus, the third general condition set forth above is
satisfied with respect to the Senior Certificates
S-140
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<PAGE>
as of the Closing Date. In addition, the fourth general condition set forth
above is also satisfied as of the Closing Date. A fiduciary of a Plan
contemplating purchasing the Senior Certificate in the secondary market must
make its own determination that, at the time of such purchase, the Senior
Certificates continue to satisfy the third and fourth general conditions set
forth above. A fiduciary of a Plan contemplating purchasing any Senior
Certificate must make its own determination that the first, fifth and sixth
general conditions set forth above will be satisfied with respect to such Senior
Certificate as of the date of such purchase.
The Exemptions also require that the Trust Fund meet the following
requirements: (i) the Trust Fund must consist solely of assets of the type that
have been included in other investment pools; (ii) certificates in such other
investment pools must have been rated in one of the three highest categories of
S&P, Duff & Phelps, Moody's or Fitch for at least one year prior to the Plan's
acquisition of Senior Certificates; and (iii) certificates 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 Senior Certificates. The
Depositor has confirmed to its satisfaction that such requirements have been
satisfied as of the date hereof.
If the general conditions of the Exemptions are satisfied, the Exemptions
may provide an exemption from the restrictions imposed by Sections 406(a) and
407(a) of ERISA (as well as the excise taxes imposed by Sections 4975(a) and (b)
of the Code by reason of Sections 4974(c)(1)(A) through (D) of the Code) in
connection with (i) the direct or indirect sale, exchange or transfer of Senior
Certificates in the initial issuance of Certificates between the Depositor or an
Underwriter and a Plan when the Depositor, any Underwriter, the Trustee, the
Servicer, the Special Servicer, the Operating Adviser, the Extension Adviser,
any sub-servicer or any mortgagor is a 'Party in Interest,' as defined in the
Prospectus, with respect to the investing Plan, (ii) the direct or indirect
acquisition or disposition in the secondary market of Senior Certificates by a
Plan and (iii) the holding of Senior Certificates by a Plan. However, no
exemption is provided from the restrictions of Sections 406(a)(1)(E), 406(a)(2)
and 407 of ERISA for the acquisition or holding of a Senior Certificate on
behalf of an 'Excluded Plan' by any person who has discretionary authority or
renders investment advice with respect to the assets of such Excluded Plan. For
purposes hereof, an Excluded Plan is a Plan sponsored by any member of the
'restricted group.'
If certain specific conditions of the Exemptions are also satisfied, the
Exemptions may provide an exemption from the restrictions imposed by Sections
406(b)(1) and (b)(2) of ERISA and the taxes imposed by Section 4975(c)(1)(E) of
the Code in connection with (1) the direct or indirect sale, exchange or
transfer of Senior Certificates in the initial issuance of Senior Certificates
between the Depositor or an Underwriter and a Plan when the person who has
discretionary authority or renders investment advice with respect to the
investment of Plan assets in such Senior Certificates is (a) a mortgagor with
respect to 5% or less of the fair market value of the Mortgage Loans or (b) an
affiliate of such a person, (2) the direct or indirect acquisition or
disposition in the secondary market of Senior Certificates by a Plan and (3) the
holding of Senior Certificates by a Plan.
Further, if certain specific conditions of the Exemptions are satisfied,
the Exemptions may provide an exemption from the restrictions imposed by
Sections 406(a), 406(b) and 407(a) of ERISA, and the taxes imposed by Sections
4975(a) and (b) of the Code by reason of Section 4975(c) of the Code for
transactions in connection with the servicing, management and operation of the
Mortgage Pool. The Depositor expects that the specific conditions of the
Exemptions required for this purpose will be satisfied with respect to the
Senior Certificates.
The Exemptions also may provide an exemption from the restrictions imposed
by Sections 406(a) and 407(a) of ERISA, and the taxes imposed by Section 4975(a)
and (b) of the Code by reason of Sections 4975(c)(1)(A) through (D) of the Code
if such restrictions are deemed to otherwise apply merely because a person is
deemed to be a Party in Interest with respect to an investing Plan by virtue of
providing services to the Plan (or by virtue of having certain specified
relationships to such a person) solely as a result of the Plan's ownership of
Senior Certificates. A purchaser of a Senior Certificate should be aware,
however, that even if the conditions specified in one or more exemptions are
satisfied, the scope of relief provided by an exemption may not cover all acts
that may be considered prohibited transactions.
S-141
<PAGE>
<PAGE>
Before purchasing a Senior Certificate, a fiduciary of a Plan should itself
confirm that the specific and general conditions of the Exemption and the other
requirements set forth in the Exemption would be satisfied. In addition to
making its own determination as to the availability of the exemptive relief
provided in the Exemption, the Plan should consider the availability of any
other prohibited transaction exemptions. See 'ERISA CONSIDERATIONS' in the
Prospectus.
BECAUSE THE CHARACTERISTICS OF THE CLASS B, CLASS C, CLASS D AND CLASS E
CERTIFICATES DO NOT MEET THE REQUIREMENTS OF THE EXEMPTIONS, THE PURCHASE OR
HOLDING OF SUCH CERTIFICATES BY A PLAN MAY RESULT IN PROHIBITED TRANSACTIONS OR
THE IMPOSITION OF EXCISE TAXES OR CIVIL PENALTIES. IN NO EVENT MAY ANY TRANSFER
CLASS B, CLASS C, CLASS D OR CLASS E CERTIFICATE OR ANY INTEREST THEREIN BE MADE
TO A PLAN OR TO ANY PERSON WHO IS DIRECTLY OR INDIRECTLY PURCHASING SUCH
CERTIFICATE OR INTEREST THEREIN ON BEHALF OF, AS NAMED FIDUCIARY OF, AS TRUSTEE
OF, OR WITH ASSETS OF A PLAN, UNLESS THE PURCHASE AND HOLDING OF SUCH
CERTIFICATE OR INTEREST THEREIN IS EXEMPT FROM THE PROHIBITED TRANSACTION
PROVISIONS OF SECTION 406 OF ERISA AND SECTION 4975 OF THE CODE UNDER SECTION
III OF PROHIBITED TRANSACTION CLASS EXEMPTION 95-60, WHICH PROVIDES EXEMPTIVE
RELIEF FOR CERTAIN TRANSACTIONS INVOLVING AN INSURANCE COMPANY GENERAL ACCOUNT.
ANY PLAN OR PERSON PURCHASING A CLASS B, CLASS C, CLASS D OR CLASS E CERTIFICATE
OR 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 CLIC (U.S.), THE
DEPOSITOR, THE UNDERWRITERS, THE SERVICER, THE SPECIAL SERVICER, THE TRUSTEE,
THE OPERATING ADVISER, THE EXTENSION ADVISER, ANY SUB-SERVICER AND ANY MORTGAGOR
WITH RESPECT TO THE MORTGAGE LOANS THAT THE PURCHASE AND HOLDING OF SUCH
CERTIFICATE OR INTEREST THEREIN IS SO EXEMPT ON THE BASIS OF SECTION III OF
PROHIBITED TRANSACTION CLASS EXEMPTION 95-60.
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 Pooling Agreement, elections are required to be made to treat the
segregated pool of assets that comprise the Trust as two separate REMICs, the
Upper-Tier REMIC and the Lower-Tier REMIC. On the Closing Date, Cadwalader,
Wickersham & Taft, special counsel to the Depositor, will deliver its opinion
generally to the effect that on the Closing Date under then current law, based
on certain representations of the Depositor and CLIC (U.S.) and assuming
compliance with the Pooling Agreement, the Trust will be characterized as two
separate REMICs. Each Class of Certificates, other than the Class R and Class LR
Certificates, will represent a regular interest in the Upper-Tier REMIC. The
Class R and Class LR Certificates will represent the residual interests in the
Upper-Tier REMIC and the Lower-Tier REMIC, respectively.
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. 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 to the Certificates. In addition,
recently proposed Treasury regulations (the 'Proposed Contingent Regulations')
related to contingent payment debt instruments, although technically not
applicable to
S-142
<PAGE>
<PAGE>
the Certificates, may represent a possible method to be applied in calculating
OID on certain Classes of Certificates. The OID Regulations and the Proposed
Contingent Regulations, however, do not 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.
Offered Certificates Other than Class X Certificates
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 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 Offered Certificates, other than the
Class X 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, other than the Class X
Certificates, would be includible in the stated redemption price of such
Certificates and would be taxable as OID, rather than as 'qualified stated
interest.' Because default remedies exist under all of the Mortgage Loans,
however, the Trustee intends to take the position that the interest paid on the
Offered Certificates (other than the Class X Certificates) is 'qualified stated
interest.'
Accordingly, it is anticipated that the Class A-1A, Class A-1B, Class A-1C,
Class A-2A, Class A-2B, Class B, Class C and Class D Certificates will be issued
at a premium and that the Class E Certificates will be issued with de minimis
OID for federal income tax purposes.
The prepayment assumption that will be used in determining the rate of
accrual of OID for federal income tax purposes or whether such OID is de
minimis, and that may be used to amortize premium is 0% CPR and assumes an
extension of the maturity date of each Balloon Mortgage Loan in Group 1 one year
beyond its stated maturity date (the 'Prepayment Assumption'). NO REPRESENTATION
IS MADE THAT THE MORTGAGE LOANS WILL PREPAY AT THAT OR ANY OTHER RATE. It is not
clear whether the use of a maturity extension assumption for purposes of
accruing OID is permitted. If such assumption were not permitted, the yield to
maturity of Classes issued with OID would be greater and OID would be accrued
more rapidly.
Class X Certificates
Because the Class X Certificates have no principal amounts, none of the
amounts received thereon will be treated as 'qualified stated interest.'
Accordingly, all of the income of a holder of Class X Certificates will be
treated as OID, and unless the Class X Certificates are treated as contingent
payment debt obligations, such OID will be computed in accordance with the rules
described in the Prospectus for Prepayable Securities.
Although unclear for federal income tax purposes, it is anticipated that
the Class X Certificates will be treated as issued with OID in an amount equal
to the excess of all respective distributions of interest expected to be
received thereon over their respective issue prices (including accrued
interest). This will be done in the case of the Class X-1 and Class X-2
Certificates by projecting payments based on the Prepayment Assumption and Net
Mortgage Interest Rates based on the resulting Mortgage Loan maturity dates, and
in the case of the Class X-1A and Class X-2A Certificates by projecting payments
based on the Prepayment Assumption and the weighted average of the Component
Rates based on the resulting Component maturity dates. OID for an accrual period
will be adjusted to reflect actual interest rates applicable to such accrual
period. Any 'negative' amounts of OID on the Class X Certificates attributable
to rapid prepayments with respect to the Mortgage Loans will not be deductible
currently,
S-143
<PAGE>
<PAGE>
but may be offset against future positive accruals of OID, if any. Finally, a
holder of a Class X Certificate may, although no authority exists on the issue,
be entitled to a loss deduction to the extent it becomes certain that such
holder will not recover a portion of its basis in such Certificate, assuming no
further prepayments. In the alternative, it is possible that rules similar to
the 'noncontingent bond method' of the Proposed Contingent Regulations may be
promulgated with respect to the Certificates. See 'FEDERAL INCOME TAX
CONSIDERATIONS -- Taxation of Regular Interest Securities -- Interest and
Acquisition Discount' and ' -- Variable Rate Regular Securities' in the
Prospectus. Under the noncontingent bond method, 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 of
relevant Code provisions indicate, 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 would be
recognized currently or be carried forward until disposition or retirement of
the debt obligation.
Prepayment Charges actually collected, will be distributed among the
holders of the respective Classes of Certificates as described herein under
'DESCRIPTION OF THE CERTIFICATES -- Distributions of Principal -- Distribution
of Prepayment Charges' herein. It is not entirely clear under the Code when the
amount of Prepayment Charge should be taxed to the Holder of an Offered
Certificate, but it is not expected, for federal income tax reporting purposes,
that Prepayment Charges will be treated as giving rise to any income to the
Holders of an Offered Certificate prior to the Servicer's actual receipt of a
Prepayment Charge. It appears that Prepayment Charges, if any, will be treated
as ordinary income rather than capital gain. However, that is not entirely clear
and Certificateholders should consult their own tax advisers concerning the
treatment of Prepayment Charges.
UNDERWRITING
Subject to the terms and conditions set forth in the underwriting agreement
dated the date hereof (the 'Underwriting Agreement') between the Depositor and
the Underwriters named below (the 'Underwriters'), the Depositor has agreed to
sell to the Underwriters, and the Underwriters have severally but not jointly
agreed to purchase from the Depositor, the respective Certificate Principal
Amounts (subject to a permitted variance of plus or minus 5%), of each Class of
the Offered Certificates (other than the Class X Certificates) set forth
opposite their names below:
<TABLE>
<CAPTION>
CLASS LEHMAN BROTHERS INC. GOLDMAN, SACHS & CO.
- -------------------------------------- -------------------- --------------------
<S> <C> <C>
A-1A.................................. $ 122,256,038 $ 30,564,009
A-1B.................................. 160,000,000 40,000,000
A-1C.................................. 360,000,000 90,000,000
A-2A.................................. 136,878,174 34,219,543
A-2B.................................. 140,000,000 35,000,000
B..................................... 77,892,730 19,473,182
C..................................... 109,049,822 27,262,455
D..................................... 109,049,822 27,262,455
E..................................... 77,892,730 19,473,182
-------------------- --------------------
Total............................ $1,293,019,316 $323,254,826
-------------------- --------------------
-------------------- --------------------
</TABLE>
In the Underwriting Agreement, the Underwriters have severally agreed,
subject to the terms and conditions set forth therein, to purchase all the
Offered Certificates if any Offered Certificates are purchased. In the event of
a default by any Underwriter, the Underwriting Agreement provides that, in
certain circumstances, purchase commitments of the nondefaulting Underwriter may
be increased or the Underwriting Agreement may be terminated.
S-144
<PAGE>
<PAGE>
The Issuer has been advised by the Underwriters that they propose initially
to offer the Offered Certificates to the public at the public offering prices
set forth on the cover page of this Prospectus Supplement. After the initial
public offering, the public offering prices may be changed.
Subject to the reduction in the underwriting compensation described below,
the compensation paid to the Underwriters varies by Class as set forth below:
<TABLE>
<CAPTION>
DISCOUNT
CLASS OF OFFERED (PERCENT OF
CERTIFICATES CERTIFICATE PRINCIPAL AMOUNT)
- -------------------------------------------------- -----------------------------
<S> <C>
Class A........................................... 0.325%
Class B........................................... 0.350%
Class C........................................... 0.500%
Class D........................................... 0.550%
Class E........................................... 0.750%
</TABLE>
In the Underwriting Agreement, the aggregate compensation paid to the
Underwriters will be reduced by the amount of approximately $987,000,
representing a portion of the fees previously paid by CLIC (U.S.) to Lehman in
Lehman's capacity as financial advisor to CLIC (U.S.) in connection with the
securitization of the Mortgage Loans. As a result, the compensation paid to the
Underwriters will aggregate approximately 0.325% of the Certificate Principal
Amount of the Offered Certificates (excluding the Class X Certificates).
The Underwriting Agreement provides that the Depositor will indemnify the
Underwriters against certain civil liabilities, including liabilities under the
Act.
Lehman Brothers Inc. is an affiliate of the Depositor.
Pursuant to the Mortgage Loan Purchase Agreement, the Depositor will sell
the Class X Certificates to CLIC (U.S.) as part of the purchase price paid by
the Depositor for the Mortgage Loans. CLIC (U.S.) (or its successors in interest
or assigns) may in the future offer and sell some or all of the Class X
Certificates pursuant to this Prospectus Supplement and the Prospectus, as it
may be further supplemented to describe the terms of such offering and other
matters relevant to such offering.
For further information regarding any offer or sale of the Certificates
pursuant to this Prospectus Supplement and the Prospectus, see 'PLAN OF
DISTRIBUTION' in the Prospectus.
LEGAL MATTERS
Certain legal matters with respect to the Certificates will be passed upon
for the Depositor by Skadden, Arps, Slate, Meagher & Flom, New York, New York
('Skadden'), and for the Underwriters by Cadwalader, Wickersham & Taft, New
York, New York ('Cadwalader'). Cadwalader will also act as special counsel to
the Depositor with respect to certain federal income tax matters, and Skadden
will also act as special counsel to Goldman as to certain legal matters.
Cadwalader has represented CLIC (U.S.) in connection with the sale of the
Mortgage Loans to the Depositor.
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:
<TABLE>
<CAPTION>
CERTIFICATE CLASS FITCH S&P
- ----------------- ----------------- -----------------
<S> <C> <C>
Class A AAA AAA
Class X AAA *
Class B AAA AA
Class C AA A
Class D A BBB
Class E BBB BB+
</TABLE>
- ------------
* Not rated by S&P
The ratings on the Offered Certificates address the likelihood of the
receipt by Holders thereof of distributions to which they are entitled,
including, in the case of the Class A, Class B, Class C, Class D
S-145
<PAGE>
<PAGE>
and Class E Certificates, distribution of all principal thereof by the Rated
Final Distribution Date. The ratings take into consideration the credit quality
of the Mortgage Loans, structural and legal aspects associated with the Offered
Certificates, and the extent to which the payment stream from the Mortgage Loans
is adequate to make payments required under the Offered Certificates. The
ratings on the Offered Certificates do not, however, represent any assessment of
(i) the likelihood or frequency of prepayments on the Mortgage Loans, (ii) the
degree to which the frequency of prepayments might differ from that originally
anticipated, (iii) whether or to what extent Prepayment Charges may be received,
or (iv) in the case of the Class X Certificates, that a Holder thereof might not
fully recover its investment in the event of a rapid rate of prepayments
(including both voluntary and involuntary prepayments) of or principal losses on
the Mortgage Loans.
There can be no assurance that any rating agency not requested to rate the
Offered Certificates will not nonetheless issue a rating to any or all Classes
thereof and, if so, what such rating or ratings would be. A rating assigned to
any Class of Offered Certificates by a rating agency that has not been requested
to do so may be lower than the rating assigned thereto by either or both of the
Rating Agencies.
The ratings on the Offered Certificates should be evaluated independently
from similar ratings on other types of securities. A security rating is not a
recommendation to buy, sell or hold securities and may be subject to revision or
withdrawal at any time by the assigning rating agency.
INCORPORATION OF CERTAIN INFORMATION BY REFERENCE
All reports subsequently filed by the Depositor pursuant to Section 13(a)
and (c) of the Exchange Act, any definitive proxy or information statements
filed pursuant to Section 14 of the Exchange Act in connection with any
stockholders' meeting and any reports filed pursuant to Section 15(d) of the
Exchange Act prior to the termination of the offering of the Offered
Certificates shall be deemed to be incorporated by reference into this
Prospectus Supplement and Prospectus and to be a part hereof.
S-146
<PAGE>
<PAGE>
INDEX OF PRINCIPAL TERMS
<TABLE>
<CAPTION>
PAGE
---------------------
<S> <C>
Accepted Servicing Practices............................................................. S-118, S-120
Act...................................................................................... S-18
Actual Knowledge......................................................................... S-81
Additional Expense Loss.................................................................. S-32, S-65
Additional Trust Fund Expenses........................................................... S-32, S-65
Administrative Cost Rate................................................................. S-36, S-119
Advance Rate............................................................................. S-68
Advances................................................................................. S-11, S-67
Affiliate Mortgage Loan.................................................................. S-45
Affiliate Property....................................................................... S-45
Appraisal Reduction Amount............................................................... S-58
Appraisal Reduction...................................................................... S-57
Appraised Value.......................................................................... S-81
Assumed Final Distribution Date.......................................................... S-72
Assumed Scheduled Payment................................................................ S-54
Available Distribution Amount............................................................ S-22, S-53
Balloon Mortgage Loan.................................................................... S-55
Balloon Payment.......................................................................... S-55
Book Entry Certificates.................................................................. S-51
Cadwalader............................................................................... S-145
CERCLA................................................................................... S-44, S-115
Certificate Owner........................................................................ S-52
Certificate Principal Amount............................................................. S-22
Certificate Registrar.................................................................... S-52
Certificates............................................................................. S-1, S-17
Class A Certificates..................................................................... S-1, S-17, S-49
Class X-1 Notional Amount................................................................ S-26, S-51
Class X-1 Rate........................................................................... S-26, S-55
Class X Certificates..................................................................... S-1, S-17, S-49
Class X-1A Notional Amount............................................................... S-27, S-51
Class X-1A Rate.......................................................................... S-27, S-56
Class X-2 Notional Amount................................................................ S-28, S-51
Class X-2 Rate........................................................................... S-28, S-56
Class X-2A Notional Amount............................................................... S-28, S-51
Class X-2A Rate.......................................................................... S-28, S-56
CLIC (U.S.).............................................................................. S-3, S-19
Closing Date............................................................................. S-20
Collection Account....................................................................... S-75
Comparative Financial Status Report...................................................... S-70
Component Rate........................................................................... S-61
Components............................................................................... S-29, S-51
Component A-1A........................................................................... S-27, S-51
Component A-1A Rate...................................................................... S-27
Component A-1B........................................................................... S-27, S-51
Component A-1C........................................................................... S-27, S-51
Component A-2A........................................................................... S-29, S-51
Component A-2B........................................................................... S-29, S-51
Component B.............................................................................. S-27, S-51
Component C.............................................................................. S-27, S-51
Component D.............................................................................. S-27
Confederation Life....................................................................... S-3, S-77
Confederation Real Estate................................................................ S-45
Contingent Interest...................................................................... S-82
Controlling Class........................................................................ S-123
</TABLE>
S-147
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
PAGE
---------------------
<S> <C>
Corporate Trust Office................................................................... S-74
CPR...................................................................................... S-135
Custodian................................................................................ S-78
Cut-Off Date............................................................................. S-3
Definitive Certificate................................................................... S-52
Delinquent Loan Status Report............................................................ S-69
Depositor................................................................................ S-1, S-17
Determination Date....................................................................... S-21, S-52
Discount Mortgage Loan................................................................... S-10, S-35, S-50
Distributable Certificate Interest....................................................... S-29, S-57
Distribution Accounts.................................................................... S-76
Distribution Date........................................................................ S-3, S-52
Distribution Date Statement.............................................................. S-68
DOJ...................................................................................... S-44
DSCR..................................................................................... S-14
DTC...................................................................................... S-9, S-51
Due Period............................................................................... S-21, S-52
Duff & Phelps............................................................................ S-140
Eligible Account......................................................................... S-75
EMG...................................................................................... S-44, S-115
EPA...................................................................................... S-44
ERISA.................................................................................... S-39, S-140
Event of Default......................................................................... S-131, S-132
Excess Prepayment Interest............................................................... S-34, S-66
Excess Prepayment Interest Shortfall..................................................... S-34, S-66
Exemptions............................................................................... S-39, S-140
Extension Advisor........................................................................ S-20, S-124
Final Recovery Determination............................................................. S-69
Fiscal Agent............................................................................. S-1, S-19
Fitch.................................................................................... S-1, S-38
Form 8-K................................................................................. S-85
Goldman Sachs............................................................................ S-1
Group 1 Certificates..................................................................... S-9
Group 1 Mortgage Loans................................................................... S-3
Group 1 Principal Distribution Amount.................................................... S-24, S-53
Group 2 Certificates..................................................................... S-9, S-17, S-49
Group 2 Mortgage Loans................................................................... S-3
Group 2 Principal Distribution Amount.................................................... S-24, S-53
Historical Loan Modification Report...................................................... S-70
Historical Loss Estimate Report.......................................................... S-70
Intercreditor Agreements................................................................. S-46, S-114
Interest Accrual Period.................................................................. S-3, S-21, S-55
Interest Distribution Amount............................................................. S-22, S-53
Interest Payment Adjustment.............................................................. S-60, S-61
Interest Shortfall....................................................................... S-29, S-57
IO Interest Payment Adjustment........................................................... S-60
IO Reinvestment Yield.................................................................... S-62
Lehman Brothers.......................................................................... S-1
Liquidating Entities..................................................................... S-43
Lower-Tier Distribution Account.......................................................... S-76
Lower-Tier Interests..................................................................... S-21
Lower-Tier REMIC......................................................................... S-3, S-21, S-37
Michigan Court........................................................................... S-77
Midland.................................................................................. S-117
Modeling Assumptions..................................................................... D-2
Modified Mortgage Loan................................................................... S-58
</TABLE>
S-148
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
PAGE
---------------------
<S> <C>
Modified Servicing Fee................................................................... S-119
Moody's.................................................................................. S-140
Mortgage File............................................................................ S-78
Mortgage Interest Rate................................................................... S-27
Mortgage Loan Due Period................................................................. S-27, S-51
Mortgage Loan Group...................................................................... S-3
Mortgage Loan Purchase Agreement......................................................... S-40
Mortgage Loan Schedule................................................................... S-78
Mortgage Loans........................................................................... S-3, S-76
Mortgage Pool............................................................................ S-3
Mortgaged Properties..................................................................... S-82
Negative Adjustment...................................................................... S-144
Net Collections.......................................................................... S-121
Net Excess Prepayment Interest........................................................... S-66
Net Mortgage Interest Rate............................................................... S-26
Net Prepayment Interest Shortfall........................................................ S-34, S-66
1993 NOI................................................................................. S-85
1994 NOI................................................................................. S-85
NOI Adjustment Worksheet................................................................. S-70
Non-Offered Certificates................................................................. S-18, S-49
Non-PO Percentage........................................................................ S-31, S-50
Notional Amount.......................................................................... S-51
OA Extension............................................................................. S-124
OA Extension Period...................................................................... S-124
Offered Certificates..................................................................... S-1, S-17, S-49
OID...................................................................................... S-37, S-142
OID Regulations.......................................................................... S-142
Operating Adviser........................................................................ S-20, S-122
Operating Statement Analysis............................................................. S-70
Option Period............................................................................ S-36, S-48, S-83
P&I Advances............................................................................. S-67
PaineWebber.............................................................................. S-77
Participants............................................................................. S-52
Payment Differential..................................................................... S-62
Permitted Exceptions..................................................................... S-80
Plan..................................................................................... S-140
PO Percentage............................................................................ S-31, S-50
Pooling Agreement........................................................................ S-1, S-17, S-49
Prepayable Securities.................................................................... S-143
Prepayment Assumption.................................................................... S-143
Prepayment Charges....................................................................... S-41
Prepayment Interest Shortfall............................................................ S-34, S-66
Prepayment Period........................................................................ S-22, S-52
Prime Rate............................................................................... S-68
Principal Aggregation Date............................................................... S-30, S-59
Principal Distribution Amount............................................................ S-24, S-54
Principal Prepayments.................................................................... S-21
Pro Forma NOI............................................................................ S-85
Proposed Contingent Regulations.......................................................... S-142
Purchase Price........................................................................... S-78
PV Yield Loss Amount..................................................................... S-60, S-61
Rate Reset Mortgage Loans................................................................ S-36, S-48, S-82
Rate Reset Option........................................................................ S-36, S-48, S-83
Rated Final Distribution Date............................................................ S-73
Realized Losses.......................................................................... S-31, S-65
Record Date.............................................................................. S-20, S-52
</TABLE>
S-149
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
PAGE
---------------------
<S> <C>
Regular Certificates..................................................................... S-37, S-50
Rehabilitated Mortgage Loan.............................................................. S-117
Rehabilitation Order..................................................................... S-77
Rehabilitator............................................................................ S-3, S-19
Reinvestment Yield....................................................................... S-62
REMIC.................................................................................... S-3, S-9, S-21, S-37
REMIC Pool............................................................................... S-3
REO Property............................................................................. S-49, S-117
REO Status Report........................................................................ S-70
Residual Certificates.................................................................... S-1, S-17, S-49
Retained Interest........................................................................ S-82
Retained Servicing Interests............................................................. S-82
Retained Servicing Interest Rate......................................................... S-82
S & P.................................................................................... S-1, S-38
Scheduled Payments....................................................................... S-21
Scheduled Principal Balance.............................................................. S-83
Senior Certificates...................................................................... S-1, S-17, S-49
Senior Group 1 Certificates.............................................................. S-9, S-17, S-49
Servicer................................................................................. S-1, S-19, S-117
Servicer Advance Limitation.............................................................. S-11, S-36, S-67
Servicing Advances....................................................................... S-36, S-67
Servicing Fee............................................................................ S-118
Servicing Fee Rate....................................................................... S-118
Servicing Transfer Event................................................................. S-117
Skadden.................................................................................. S-145
Special Servicer......................................................................... S-1, S-19, S-119
Special Servicing Fee.................................................................... S-121
Specially Serviced Mortgage Loan......................................................... S-19, S-117
Static NOI............................................................................... S-85
Step Rate Mortgage Loans................................................................. S-82
Subordinate Certificates................................................................. S-1, S-17, S-49, S-63
Termination Price........................................................................ S-73
Top 100 Comparative Financial Status Report.............................................. S-69
Treasury Yield........................................................................... S-62
Trust.................................................................................... S-1, S-17
Trust Fund............................................................................... S-3, S-49
Trustee.................................................................................. S-1, S-19
Trustee Fee.............................................................................. S-74
Trustee Fee Rate......................................................................... S-74
U.S. Branch.............................................................................. S-77
Underwriters............................................................................. S-1, S-144
Underwriting Agreement................................................................... S-144
Upper-Tier Distribution Account.......................................................... S-76
Upper-Tier REMIC......................................................................... S-3, S-21, S-37
Watch List............................................................................... S-70
Workout Fee.............................................................................. S-121
Workout Fee Rate......................................................................... S-122
X-1A Component........................................................................... S-26, S-51
X-2A Component........................................................................... S-29, S-51
</TABLE>
S-150
<PAGE>
<PAGE>
APPENDIX A
A-1
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- ------------ ------------------------------------ --------------------------------- --------------- ---------
<S> <C> <C> <C> <C> <C>
1 Office First Trust Center 180 East Fifth Street St. Paul MN
2 Office The CPAS Building 777 North Capitol Street, NE Washington DC
3 Warehouse Kmart Distribution Center 736 SW 52nd Avenue Ocala FL
4 Office Chevy Chase Plaza 5301 Wisconsin Avenue NW Washington DC
5 Multifamily Bridgewater Apartments 4375 Satellite Blvd. Duluth GA
6 Office One and Two Little Falls Ctr. 2711 & 2752 Centerville Road New Castle DE
7 Multifamily Oakton Gable 3200-3252 Arrowhead Circle Oakton VA
8 Multifamily North Brunswick Manor 615 Bishop Boulevard North Brunswick NJ
9 Multifamily Various (9a - 9b) Various Various Vr
9a Multifamily Gateway Apartments 902 Davis Street San Leandro CA
9b Multifamily Austin Commons Apartments 50 Austin Avenue Hayward CA
10 Office Various (10a - 10d) Various Various Vr
10a Office 5 Neshaminy Interplex 5 Neshaminy Interplex Trevose PA
10b Office 6 Neshaminy Interplex 6 Neshaminy Interplex Trevose PA
10c Office 7 Neshimany Interplex 7 Neshimany Interplex Trevose PA
10d Office Neshaminy Kor-Center 2577, 2607, 2585 Interplex Drive Trevose PA
11 Office 640 North La Salle Street 640 North La Salle Street Chicago IL
12 Retail Center of Bonita Springs 3300 Bonita Beach Road Bonita Springs FL
13 Office Second Street Office Building 1800 Second Street Sarasota FL
14 Retail Oak Tree Center 1655 Oaktree Rd. Edison NJ
15 Multifamily Mt. Pleasant Villas E. Main & Finderne Ave. Bridgewater NJ
16 Retail The Village at Bedminster East Hills Dr. @ Rte. 202/206 Bedminster NJ
17 Multifamily Deerwood Apartments 2215 East Lakeside Park Corona CA
18 Office Stevens Building 17-25 North State Street Chicago IL
19 Office Denver Corp Ctr. Towers I & II 7800 & 7900 E. Union Avenue Denver CO
20 Multifamily The Grandview 3481 Lakeside Drive, NE Atlanta GA
21 Multifamily Old Centreville Gable 13801-13849 Braddock Spring Rd. Centreville VA
22 Multifamily Greenville Place Apartments Kennett Pike & Barley Mill Rd. Greenville DE
23 Office Household Finance Building 941-961 Weigel Drive Elmhurst IL
24 Office Wolcott Business Center 5000, 5010, 5016 Calabasas Pkwy. Calabasas CA
25 Warehouse Park 90-5 Office Park 2203 Aiport Way South Seattle WA
26 Warehouse Various (26a - 26c) Various Various Vr
26a Warehouse Stadium Park 4570-4698 Alvarado Cyn. Rd. San Diego CA
26b Warehouse A-1 Self Storage 4680 Alvarado Canyon Road San Diego CA
26c Retail Village Square 6602-6628 Mission Gorge Road San Diego CA
27 Retail Fountain Square Shopping Ctr. NWC 7th Street & Bell Road Phoenix AZ
28 Retail Ahwatukee Palms Retail Center SEC South Warner Rd/ 48th St Phoenix AZ
29 Retail Oxford Commons 3500 Roxboro Road Durham NC
30 Retail Northlake Tower Festival 3983-4043 & 4073 Lavista Road Atlanta GA
31 Multifamily Netcong Heights P.O. Box 476 / Basenese Drive Netcong NJ
32 Multifamily Los Alamos Apartments 24850 Hancock Ave. Murrieta CA
33 Office Young Quinlan Building 81 South 9th St. Minneapolis MN
34 Multifamily Kings Village Apartments 1-360 Kings Arrow Road Mt. Olive NJ
35 Retail Waipahu Shopping Plaza 94-300 Farrington Highway Waipahu HI
36 Retail Lanier Crossing Shopping Ctr. 655 Atlanta Road Cumming GA
</TABLE>
A-2
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- ----------------- --------- ------------ --------------- ----------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
55101 1 1 $33,613,520 Amortizing 9.550% $3,546,924 $5,145,695 1.45x 1
20002 1 1 28,636,401 Amortizing 10.070 3,040,188 3,601,300 1.18 2
32670 1 1 27,473,835 Amortizing 9.830 3,093,360 3,163,196 1.02 3
20201 1 1 26,498,948 Amortizing 8.350 2,438,724 3,442,862 1.41 4
30136 2 1 24,837,212 Amortizing 7.670 2,141,208 3,311,897 1.55 5
19720 1 1 22,752,831 Interest Only 8.250 1,877,109 2,153,255 1.15 6
22030 1 1 22,090,506 Amortizing 8.000 2,112,418 2,197,293 1.04 7
08902 1 1 20,233,222 Amortizing 7.640 2,432,640 2,666,444 1.10 8
Vrs 1 1 19,135,822 Amortizing 8.750 2,020,044 2,230,846 1.10 9
94577 - - - - 9a
94544 - - - - 9b
Vrs 1 1,2 18,974,628 Amortizing 7.750 1,661,580 2,510,000 0.98 10
19047 - - - - 10a
19047 - - - - 10b
19047 - - - - 10c
19047 - - - - 10d
60610 1 1 18,935,601 Amortizing 8.500 1,866,348 3,042,377 1.63 11
33923 2 1,2 18,091,780 Amortizing 8.750 1,718,160 1,945,801 1.02 12
34236 1 1 17,983,392 Amortizing 10.375 2,064,336 2,517,529 1.22 13
08820 1 1 17,940,368 Amortizing 8.700 1,802,808 2,123,825 1.18 14
08807 1 1 16,915,266 Amortizing 8.000 1,612,632 2,381,475 1.48 15
07921 1 1 16,254,479 Amortizing 9.500 1,694,748 1,831,289 1.08 16
91719 1 1 15,950,840 Amortizing 8.500 1,476,324 1,489,774 1.01 17
60601 1 1 15,730,274 Interest Only 7.875 1,238,759 1,641,810 1.33 18
80111 1 1 15,265,491 Amortizing 8.875 1,594,860 2,596,203 1.63 19
30326 1 1 15,000,000 Interest Only 8.500 1,275,000 1,620,197 1.27 20
22050 1 1 14,866,741 Amortizing 8.500 1,384,056 1,528,456 1.10 21
19807 1 1 14,066,764 Amortizing 9.375 1,818,408 2,168,702 1.19 22
60126 1 1 12,767,027 Amortizing 9.750 1,367,424 1,684,344 1.23 23
91302 2 1 12,153,338 Amortizing 9.125 1,287,240 1,194,037 0.93 24
98134 1 1 12,112,003 Amortizing 8.875 1,258,920 1,098,577 0.87 25
Vrs 2 1 11,064,866 Amortizing 9.800 1,190,712 2,588,787 2.17 26
92100 - - - - 26a
92100 - - - - 26b
92120 - - - - 26c
85014 1 1 10,733,808 Amortizing 8.875 1,122,888 1,120,850 1.00 27
85025 1 1 10,645,283 Amortizing 9.375 1,112,688 1,259,174 1.13 28
27705 1 1 10,531,223 Interest Only 9.125 960,974 1,223,502 1.27 29
30324 1 1 10,350,000 Interest Only 8.500 879,750 2,025,746 2.30 30
07857 1 1 10,330,542 Amortizing 10.000 1,199,496 1,286,957 1.07 31
92362 1 1 9,987,841 Amortizing 8.500 922,696 1,124,728 1.22 32
55402 1 1 9,980,553 Amortizing 8.500 966,273 1,254,928 1.30 33
07828 1 1 9,781,282 Amortizing 9.250 1,089,324 1,326,906 1.22 34
96797 2 1 9,696,017 Amortizing 9.375 1,036,824 1,386,858 1.34 35
30130 1 1 9,530,669 Amortizing 9.500 987,816 1,180,683 1.20 36
</TABLE>
A-3
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ----------------------------- ---------- ------------ -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 First Trust Center '94 10/05/90 10/10/10 177 360
2 The CPAS Building '94 08/09/90 08/15/00 55 360
3 Kmart Distribution Center '94 01/08/91 02/05/17 253 312
4 Chevy Chase Plaza '94 08/31/89 09/01/01 67 360
5 Bridgewater Apartments '94 10/19/89 11/15/99 11/15/04 106 360
6 One and Two Little Falls Ctr. Static 10/28/88 08/01/02 08/01/02 78 0
7 Oakton Gable '94 01/21/88 02/05/98 25 360
8 North Brunswick Manor '94 03/16/89 04/15/09 159 180
9 Various (9a - 9b) '94 03/26/91 04/15/01 63 263
9a Gateway Apartments
9b Austin Commons Apartments
10 Various (10a - 10d) '94 12/06/89 01/01/00 47 339
10a 5 Neshaminy Interplex
10b 6 Neshaminy Interplex
10c 7 Neshimany Interplex
10d Neshaminy Kor-Center
11 640 North La Salle Street Static 05/05/89 06/05/99 41 303
12 Center of Bonita Springs '94 11/28/88 12/15/98 12/15/03 95 360
13 Second Street Office Building Static 08/29/88 09/15/18 272 360
14 Oak Tree Center '94 03/15/89 03/20/99 38 360
15 Mt. Pleasant Villas '93 11/16/88 12/18/03 95 300
16 The Village at Bedminster '94 08/01/91 07/06/96 6 348
17 Deerwood Apartments '94 06/17/91 08/15/00 55 360
18 Stevens Building '94 07/28/89 08/15/99 08/15/99 43 0
19 Denver Corp Ctr. Towers I & II '94 06/02/92 06/10/97 17 300
20 The Grandview '94 09/04/90 09/15/00 09/15/00 56 0
21 Old Centreville Gable '94 07/11/88 08/15/00 55 360
22 Greenville Place Apartments '94 11/02/89 11/10/09 166 240
23 Household Finance Building Static 10/23/90 11/05/00 58 336
24 Wolcott Business Center Static 09/01/89 10/15/99 10/15/04 105 336
25 Park 90-5 Office Park Static 10/26/87 11/01/97 21 300
26 Various (26a - 26c) Static 10/01/90 11/01/00 11/01/10 177 360
26a Stadium Park
26b A-1 Self Storage
26c Village Square
27 Fountain Square Shopping Ctr. Static 05/11/87 06/01/97 16 304
28 Ahwatukee Palms Retail Center '94 05/08/90 05/15/00 52 300
29 Oxford Commons '94 05/24/91 06/10/96 06/10/96 5 0
30 Northlake Tower Festival Static 09/28/95 07/01/05 07/01/05 114 0
31 Netcong Heights '94 11/17/90 11/15/15 238 300
32 Los Alamos Apartments '94 03/01/91 04/01/01 62 360
33 Young Quinlan Building '94 11/03/89 12/31/05 119 300
34 Kings Village Apartments '94 04/06/90 03/18/00 50 233
35 Waipahu Shopping Plaza '94 05/03/90 07/15/00 06/15/05 113 336
36 Lanier Crossing Shopping Ctr. '94 04/03/90 04/15/00 51 324
</TABLE>
A-4
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- ---------- ---------- ----------- -------------- ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 10/10 1915 87.0% 07/10/95 617,798 54 63.0 1
Yield Maintenance 08/00 1990 100.0 06/15/95 212,164 135 63.0 2
Yield Maintenance 02/17 1990 100.0 06/23/95 1,550,000 18 75.0 3
Yield Maintenance 06/01 1989 97.0 05/31/95 158,888 167 71.0 4
Yield Maintenance 10/99 1992 100.0 06/22/95 532 46,686 52.0 5
Open Until 9/28/96 1988 88.0 09/14/95 190,895 119 75.0 6
Yield Maintenance 01/98 1987 94.0 06/13/95 313 70,577 75.0 7
Yield Maintenance 04/09 1979 97.0 06/01/95 644 31,418 67.0 8
Yield Maintenance 04/01 Vrs - 444 43,099 69.0 9
1988 95.0 06/15/95 236 - - 9a
1986 94.0 06/14/95 208 - - 9b
Yield Maintenance 01/00 Vrs - 273,448 69 73.0 10
1985 83.0 03/31/95 53,412 - - 10a
1985 95.0 03/31/95 112,381 - - 10b
1987 95.0 03/31/95 61,508 - - 10c
1977 97.0 03/31/95 46,147 - - 10d
Yield Maintenance 06/99 1969 90.0 06/15/95 340,145 56 69.0 11
Yield Maintenance 12/98 1989 98.0 06/01/95 274,227 66 82.0 12
Yield Maintenance 09/18 1986 100.0 11/08/95 223,455 80 70.0 13
Yield Maintenance 03/99 1986 98.0 06/01/95 178,615 100 70.0 14
Yield Maintenance 12/03 1988 100.0 06/24/95 380 44,514 69.0 15
Yield Maintenance 06/96 1989 99.0 06/07/95 111,299 146 71.0 16
Yield Maintenance 08/00 1992 92.0 06/11/95 316 50,477 68.0 17
Open Until 8/15/96 1914 58.0 07/20/95 404,830 39 54.0 18
Yield Maintenance 05/97 1982 100.0 12/19/94 358,357 43 67.0 19
Declining 08/00 1990 99.0 06/14/95 226 66,372 69.0 20
Yield Maintenance 05/00 1988 98.0 06/23/95 268 55,473 73.0 21
Yield Maintenance 10/09 1950 98.0 06/15/95 519 27,104 71.0 22
Yield Maintenance 11/00 1988 100.0 06/13/95 123,077 104 75.0 23
Yield Maintenance 10/99 1985 96.0 12/06/95 116,445 104 69.0 24
Locked 11/97 1950 86.0 07/05/95 284,057 43 73.0 25
Yield Maintenance 11/00 Vrs - 348,840 32 47.0 26
1977 91.0 07/31/95 233,847 - - 26a
1984 96.0 05/31/95 90,093 - - 26b
1977 91.0 07/31/95 24,900 - - 26c
Yield Maintenance 06/97 1986 94.0 06/14/95 120,627 89 75.0 27
Yield Maintenance 05/00 1988 100.0 06/14/95 125,332 85 75.0 28
Yield Maintenance 06/96 1990 99.0 03/30/95 206,827 51 75.0 29
Open 1984 98.0 07/28/95 304,082 34 66.0 30
Yield Maintenance 11/15 1971 96.0 12/01/94 424 24,364 59.0 31
Declining 04/01 1990 95.0 06/14/95 420 23,781 73.0 32
Declining 06/05 1926 97.0 12/31/94 145,938 68 74.0 33
Yield Maintenance 03/00 1978 99.0 07/17/95 372 26,294 72.0 34
Yield Maintenance 07/00 1962 99.0 06/01/95 109,744 88 65.0 35
Yield Maintenance 04/00 1974 97.0 06/13/95 114,186 83 74.0 36
</TABLE>
A-5
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- ------------ --------------------------------------------- --------------------------------- --------------------- ---------
<S> <C> <C> <C> <C> <C>
37 Office Mountain View Office Park 820,830 Bear Tavern Road Ewing Township NJ
38 Office Pennsylvania Medical Society 777 East Park Drive Harrisburg PA
39 Retail Calhoun Village Shopping Ctr. 3220 W Lake Street Minneapolis MN
40 Multifamily Park Ridge Apartments 810 Park Ridge Road Durham NC
41 Multifamily River Oaks Apartments 4400 Pleasant Hill Road Duluth GA
42 Multifamily River Edge Apartments 1603 County Lane Ewing Township NJ
43 Office Papago Medical Park 1331 N. 7th Street Phoenix AZ
44 Retail Various (44a - 44e) Various Various Vr
44a Retail Atco Plaza 233 White Horse Pike Waterford Township NJ
44b Retail Plaza 70 Route 70 East Evesham Township NJ
44c Retail Pitman Center Sec Woodbury Ave. & Elwood Pitman Borough NJ
44d Retail Blackwood Center Sec Blackhorse Pike & Asyla Gloucester Township NJ
44e Retail Center Square Hurffville - Cross Keys Road Washington Township NJ
45 Multifamily Georgetown Court 3251 Prospect Street, NW Washington DC
46 Retail Centre At University Parkway 8324 Lockwood Ridge Road Sarasota FL
47 Multifamily St. Regis Apartments 2201-2301 Tremont Street Philadelphia PA
48 Industrial Willow Park 1350, 1360 Willow Road Menlo Park CA
49 Retail Muir Station Shopping Center S W C Muir Station Rd. & Center Martinez CA
50 Office Holgate Center 1737 & 1751 Airport Way South Seattle WA
51 Multifamily Briarbrook Village 1001-1295 Briarbrook Drive, Et Wheaton IL
52 Office 300 Oxford Drive 300 Oxford Drive Monroeville PA
53 Office Meadowbrook Medical Building 6490 Excelsior Building St. Louis Park MN
54 Retail Rampart Village Center North Union And Briargate Blvd Colorado Springs CO
55 Retail Oxboro Square Shopping Center 401 West 98th Street Bloomington MN
56 Office Westfield Southview Plaza 600 South Avenue Westfield NJ
57 Multifamily Tiffany Oaks Apartments 351 S Northlake Boulevard Altamonte Springs FL
58 Office Gateway East & West 6188 & 6192 Oxon Hill Road Oxon Hill MD
59 Retail Sunset Ridge 6400 N. New Braunfels Drive San Antonio TX
60 Office Various (60a - 60b) Various Various Vr
60a Warehouse Aquatic Park Center - Phase I 890 Heinz Avenue Berkeley CA
60b Office 2910 7th Street 2910 7th Street Berkeley CA
61 Warehouse 1717 West Airfield Drive 1717 West Airfield Drive Grapevine TX
62 Multifamily Charles Ave. Ctr. / Cezanne Apts 440 - 470 E. El Camino Real Sunnyvale CA
63 Multifamily Kelsey Ridge Apartments 1680 134th Avenue, SE Bellevue WA
64 Industrial Moffett Business Park 1399 Moffett Park Drive Sunnyvale CA
65 Warehouse Old Warm Springs B 44348, 68, 88 Old Warm Springs B Fremont CA
66 Retail Perimeter Place Shop. Center Hwy 441 & State Road 353 Douglas GA
67 Multifamily Weymouth Commons East Assoc. 28-170 Audubon Road Weymouth MA
68 Retail Mariner Square Shopping Center 13050 Cortez Blvd. Springhill FL
69 Office The Ames Building One Court Street Boston MA
70 Retail Home Depot Plaza 1725-1977 34th Street North St. Petersburg FL
71 Multifamily Highland House Apartments 43-49 Highland & 9-11 Highland Randolph MA
72 Multifamily Wynfield Trace Apartments 1700 Wynfield Trace Norcross GA
73 Multifamily Habitat Apartments on the Lake 2504 South Conway Road Orlando FL
74 Warehouse Angelo Bros. Headquarters Bldg. 12401 Mcnulty Philadelphia PA
</TABLE>
A-6
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- ----------------- --------- ------------ --------------- ----------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
08648 1 1 9,435,723 Amortizing 8.500 942,144 1,248,984 1.33 37
17111 1 1 9,375,825 Amortizing 10.250 1,111,668 1,111,879 1.00 38
55408 1 1 9,119,968 Amortizing 9.250 951,960 895,456 0.94 39
27713 1 1 9,102,132 Amortizing 9.750 1,005,204 1,304,034 1.30 40
30136 1 1 8,882,593 Amortizing 9.375 904,284 1,398,350 1.55 41
08648 1 1 8,873,346 Amortizing 10.000 1,035,924 1,204,931 1.16 42
85016 1 1 8,872,349 Amortizing 9.375 933,372 1,009,330 1.08 43
Vrs 1 1 8,840,494 Amortizing 8.500 953,184 1,152,309 1.21 44
08004 - - - - 44a
08053 - - - - 44b
08071 - - - - 44c
08012 - - - - 44d
08080 - - - - 44e
20007 1 1 8,628,658 Amortizing 8.625 860,004 1,084,712 1.26 45
34206 2 1 8,545,641 Amortizing 7.900 758,796 1,032,054 1.36 46
19401 1 1 8,446,115 Amortizing 9.375 1,025,628 1,042,358 1.02 47
94025 2 1 8,410,060 Amortizing 8.500 866,412 908,458 1.05 48
94553 2 1 8,372,514 Amortizing 8.875 861,804 924,948 1.07 49
98134 1 1 8,303,051 Amortizing 9.310 863,424 1,118,199 1.30 50
60187 1 1 8,301,036 Amortizing 9.375 934,236 1,164,921 1.25 51
15146 1 1 7,951,858 Amortizing 8.875 805,104 754,508 0.9 52
55426 1 1 7,810,950 Amortizing 10.500 963,072 1,304,183 1.35 53
80920 1 1 7,724,432 Amortizing 8.750 731,364 807,511 1.10 54
55420 2 1 7,716,766 Amortizing 9.750 819,636 960,384 1.17 55
07091 1 1 7,694,045 Amortizing 9.500 809,364 1,068,801 1.32 56
32701 1 1 7,665,840 Amortizing 8.750 789,264 1,023,125 1.30 57
20745 1 1 7,574,690 Interest Only 9.250 700,668 789,570 1.13 58
78201 2 1 7,569,518 Amortizing 9.000 773,184 1,152,956 1.49 59
Vrs 1 1 7,316,744 Amortizing 9.875 812,100 788,100 0.97 60
94704 - - - - 60a
94596 - - - - 60b
76051 1 1 7,094,480 Amortizing 9.750 933,348 1,002,329 1.07 61
94086 2 1 7,046,957 Amortizing 9.375 758,652 894,193 1.18 62
98006 1 1 7,018,249 Amortizing 10.125 776,868 898,251 1.16 63
94089 1 1 6,750,000 Interest Only 7.000 472,500 812,396 1.72 64
94539 2 1 6,635,354 Amortizing 9.750 732,000 873,878 1.19 65
31533 1 1 6,452,260 Amortizing 10.000 741,504 956,372 1.29 66
02188 1 1 6,364,453 Amortizing 9.500 702,456 1,070,121 1.52 67
33579 1 1 6,272,214 Amortizing 9.750 680,460 753,320 1.11 68
02108 1 1 6,221,552 Interest Only 8.375 521,055 528,885 1.02 69
33714 1 1 6,114,657 Amortizing 8.250 691,224 856,761 1.24 70
02368 1 1 6,089,667 Amortizing 9.000 616,044 727,364 1.18 71
30092 1 1 6,067,299 Amortizing 9.250 621,948 820,343 1.32 72
32812 1 1 6,051,103 Interest Only 9.625 582,419 1,057,702 1.82 73
19154 1 1 6,027,463 Amortizing 8.000 739,212 1,013,868 1.37 74
</TABLE>
A-7
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ----------------------------- ---------- ------------ -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
37 Mountain View Office Park Static 07/13/88 08/01/98 30 300
38 Pennsylvania Medical Society '94 08/06/90 09/01/15 235 238
39 Calhoun Village Shopping Ctr. '94 07/31/89 08/05/99 43 300
40 Park Ridge Apartments '94 01/29/88 03/01/98 25 300
41 River Oaks Apartments '94 10/31/91 11/15/96 10 342
42 River Edge Apartments '94 07/02/90 07/15/15 234 300
43 Papago Medical Park '94 10/10/89 11/01/99 45 303
44 Various (44a - 44e) '94 05/15/89 06/01/99 40 300
44a Atco Plaza
44b Plaza 70
44c Pitman Center
44d Blackwood Center
44e Center Square
45 Georgetown Court '94 04/05/89 05/16/99 40 300
46 Centre At University Parkway '94 01/31/89 02/01/99 02/01/09 156 360
47 St. Regis Apartments '94 11/20/91 11/22/96 10 240
48 Willow Park '94 07/27/89 08/05/97 08/05/00 55 276
49 Muir Station Shopping Center '94 05/24/88 06/10/98 06/10/03 89 300
50 Holgate Center '94 05/16/90 06/01/00 52 360
51 Briarbrook Village '94 02/15/90 03/10/00 50 300
52 300 Oxford Drive Static 04/10/91 04/15/99 39 300
53 Meadowbrook Medical Building Static 04/12/89 05/01/14 219 286
54 Rampart Village Center '94 10/24/86 11/20/01 70 360
55 Oxboro Square Shopping Center '94 10/01/91 10/15/96 10/15/01 69 360
56 Westfield Southview Plaza '94 08/27/90 09/05/10 176 300
57 Tiffany Oaks Apartments '94 10/05/87 11/01/97 21 300
58 Gateway East & West Static 06/26/90 07/16/00 07/16/00 54 0
59 Sunset Ridge Static 10/23/89 11/01/99 11/01/09 165 306
60 Various (60a - 60b) '94 06/14/90 06/15/00 53 336
60a Aquatic Park Center - Phase I
60b 2910 7th Street
61 1717 West Airfield Drive '94 12/12/89 01/01/10 167 240
62 Charles Ave. Ctr./Cezanne Apts '94 12/05/89 01/01/00 01/01/05 107 336
63 Kelsey Ridge Apartments '94 05/30/90 06/10/00 53 360
64 Moffett Business Park Static 10/14/93 08/01/01 08/01/01 66 0
65 Old Warm Springs B '94 02/23/88 03/15/98 03/15/03 86 360
66 Perimeter Place Shop. Center '94 06/27/91 07/20/16 246 300
67 Weymouth Commons East Assoc. '94 11/13/91 12/01/96 10 300
68 Mariner Square Shopping Center '94 08/02/89 09/01/19 283 360
69 The Ames Building '94 05/30/90 06/01/00 06/01/00 52 0
70 Home Depot Plaza '94 01/29/90 02/10/05 109 216
71 Highland House Apartments '94 01/29/91 08/31/00 55 300
72 Wynfield Trace Apartments '94 04/15/91 04/15/96 3 312
73 Habitat Apartments on the Lake '94 10/31/91 11/05/96 11/05/96 10 0
74 Angelo Bros. Headquarters Bldg. '94 08/19/88 09/01/98 31 180
</TABLE>
A-8
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- ---------- ---------- ----------- -------------- ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 08/98 1987 100.0 03/01/95 108,277 87 68.0 37
Open 1989 100.0 05/18/95 131,488 71 67.0 38
Yield Maintenance 08/99 1988 95.0 05/15/95 88,861 103 74.0 39
Yield Maintenance 02/98 1986 93.0 04/24/95 308 29,552 73.0 40
Yield Maintenance 10/96 1991 100.0 06/20/95 216 41,123 65.0 41
Yield Maintenance 07/15 1976 95.0 06/22/95 306 28,998 61.0 42
Yield Maintenance 11/99 1990 90.0 05/25/95 79,601 111 75.0 43
Yield Maintenance 06/99 Vrs - 183,000 48 75.0 44
1988 100.0 06/01/95 48,800 - - 44a
1973 100.0 06/01/95 25,200 - - 44b
1973 100.0 06/01/95 25,000 - - 44c
1963 93.0 06/01/95 49,000 - - 44d
1988 100.0 06/01/95 35,000 - - 44e
Yield Maintenance 04/99 1980 100.0 10/19/94 35 246,533 69.0 45
Yield Maintenance 02/99 1989 100.0 03/31/95 115,967 74 75.0 46
Yield Maintenance 11/96 1968 92.0 06/17/95 279 30,273 67.0 47
Yield Maintenance 08/97 1986 100.0 06/27/95 100,231 84 70.0 48
Yield Maintenance 05/98 1987 94.0 06/07/95 85,980 97 75.0 49
Yield Maintenance 06/00 1952 100.0 02/07/95 132,456 63 75.0 50
Yield Maintenance 03/00 1972 97.0 06/19/95 342 24,272 71.0 51
Yield Maintenance 03/99 1991 90.0 06/19/95 90,725 88 75.0 52
Yield Maintenance 05/14 1972 97.0 06/21/95 133,472 59 68.0 53
Yield Maintenance 11/01 1986 99.0 06/19/95 96,144 80 74.0 54
Yield Maintenance 10/96 1986 98.0 12/01/94 93,742 82 75.0 55
Yield Maintenance 08/10 1980 100.0 07/15/95 69,250 111 74.0 56
Yield Maintenance 11/97 1985 96.0 06/16/95 288 26,617 73.0 57
Locked 07/97 07/16/97 1972 86.0 04/01/95 113,928 66 70.0 58
Yield Maintenance 11/99 1951 97.0 06/12/95 102,031 74 75.0 59
Yield Maintenance 06/00 Vrs - 68,034 108 75.0 60
1970 100.0 06/01/95 24,275 - - 60a
1984 100.0 06/14/95 43,759 - - 60b
Yield Maintenance 01/10 1989 100.0 07/20/95 498,800 14 75.0 61
Yield Maintenance 12/99 1987 94.0 06/20/95 57 123,631 70.0 62
Yield Maintenance 06/00 1988 92.0 06/23/95 184 38,143 69.0 63
Declining 08/00 1981 100.0 03/14/95 91,868 73 80.0 64
Yield Maintenance 03/98 1985 100.0 06/15/95 171,360 39 75.0 65
Yield Maintenance 07/16 1991 100.0 06/22/95 175,281 37 70.0 66
Yield Maintenance 11/96 1977 88.0 07/12/95 198 32,144 65.0 67
Yield Maintenance 09/19 1989 98.0 03/24/95 99,112 63 75.0 68
Yield Maintenance 06/00 1891 91.0 06/19/95 69,940 89 50.0 69
Yield Maintenance 02/05 1984 100.0 03/01/95 120,966 51 75.0 70
Yield Maintenance 08/00 1969 98.0 07/01/95 172 35,405 73.0 71
Yield Maintenance 04/96 1989 97.0 06/15/95 146 41,557 68.0 72
Yield Maintenance 10/96 1972 96.0 08/22/95 344 17,590 60.0 73
Yield Maintenance 09/98 1988 100.0 07/01/95 229,755 26 75.0 74
</TABLE>
A-9
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ------ ------------ ---------------------------------------- --------------------------------- --------------------- ---------
<S> <C> <C> <C> <C> <C>
75 Industrial Centennial Valley Business Pk. 1315 Century Drive Louisville CO
76 Retail Sunnyside Plaza 205 9895 Se Sunnyside Road Clackamas OR
77 Multifamily Woods Edge Apartments 14001 Cove Lane #201 Rockville MD
78 Retail Shops at Commerce Place 2201-2241 Route 1 South N. Brunswick NJ
79 Industrial 400-438 Littlefield Avenue 400-438 Littlefield Avenue So. San Francisco CA
80 Industrial A G F A / Compugraphics 80 Industrial Way Wilmington MA
81 Multifamily Timberlake Apartments II 780 Jamestown Boulevard Altamonte Springs FL
82 Multifamily Quail Hill Apartments 20800 Lake Chabot Road Castro Valley CA
83 Retail Eustis Square Shopping Center 100-332 Ardice Avenue Eustis FL
84 Retail Terrace at Windy Hill 3000 Windy Hill Road Atlanta GA
85 Retail Randall's Ctr./ Keegan's Meadow 11753 West Bellfort Stafford TX
86 Retail Alpharetta Crossing Shpg. Ctr. 175 Haynes Bridge Road Alpharetta GA
87 Warehouse Tri - Center South I 2516 Old Cornwallis Road Durham NC
88 Warehouse Various (88a - 88h) Various Various Vr
88a Warehouse Oakcliff Industrial Center 3400-3406 Oakcliff Road Atlanta GA
88b Warehouse Transcontinental Warehouse 3793 North Peachtree Road Atlanta GA
88c Warehouse 4215 Wendell Drive 4215 Wendell Drive Atlanta GA
88d Warehouse 4705-4725 Bakers Ferry Road 4705-4725 Bakers Ferry Road Atlanta GA
88e Warehouse 2080-2086 General Truman St. 2080-2086 General Truman St. Atlanta GA
88f Warehouse 1730 Macarthur Blvd. 1730 Macarthur Blvd. Atlanta GA
88g Warehouse 1660 Chattahoochee Ave. 1660 Chattahoochee Ave. Atlanta GA
88h Warehouse 1785 Macarthur Boulevard 1785 Macarthur Boulevard Atlanta GA
89 Industrial 1382 Bell Avenue 1382 Bell Avenue Tustin CA
90 Office Carol Stream Tech Center 191 South Gary Avenue Carol Stream IL
91 Retail Spring Center 8603-8653 16th Street Silver Springs MD
92 Office Freeport Office Park 8505 Freeport Parkway Irving TX
93 Industrial Read - Rite 31 South Milpitas Blvd Milpitas CA
94 Office One Beach Street One Beach Street San Francisco CA
95 Retail Cherokee Shopping Center 320 - 580 Cherokee Lane Lodi CA
96 Multifamily 3120 Mission Street 3120 Mission St./3425-35 Army San Francisco CA
97 Office Volvo Building (Montvale IV) 25 Phillips Parkway Montvale NJ
98 Warehouse 4900 Prospectus Drive 4900 Prospectus Drive Durham NC
99 Retail Emporium Plaza 3501 Capital Boulevard Raleigh NC
100 Office Wood Street Office Building 2033 & 2055 Wood Street Sarasota FL
101 Office Lincoln Building West 818 Riverside Drive Spokane WA
102 Warehouse A. W. Mendenhall 2301 Lunt Avenue Elk Grove Village IL
103 Retail Penrose Plaza Shopping Center 3000 Island Avenue Philadelphia PA
104 Multifamily Fox Run Apartments II 1200 Fox Run Circle Bear DE
105 Office 53 Cardinal Drive 53 Cardinal Drive Westfield NJ
106 Office Various (106a - 106b) Various Various Vr
106a Office Murray Hill Inn & Office Park 219 South Street New Providence NJ
106b Hospitality Murray Hill Inn 219 South Street New Providence NJ
107 Multifamily Fresh Ponds Village 650 Dayton - Jamesburg Road Dayton NJ
108 Retail Palm Court S W C California Blvd. Walnut Creek CA
109 Warehouse Longs Drugs Distribution Ctr. 900-960 Dupont Ave. Ontario CA
</TABLE>
A-10
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- --------------------- --------- ------------ --------------- ----------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
80027 1 1 6,024,875 Amortizing 9.000 627,612 858,733 1.37 75
97015 1 1 5,994,006 Amortizing 9.375 628,812 818,911 1.30 76
20851 1 1 5,917,589 Amortizing 8.500 635,640 767,025 1.21 77
08902 1 1 5,848,034 Amortizing 9.125 602,688 568,997 0.94 78
94080 1 1 5,804,741 Amortizing 8.500 581,040 784,804 1.35 79
01887 1 1 5,784,978 Amortizing 9.500 659,724 1,058,022 1.60 80
32714 1 1 5,749,380 Amortizing 8.750 591,948 817,826 1.38 81
94546 1 1 5,691,462 Amortizing 9.250 582,456 583,638 1.00 82
32726 2 1 5,625,257 Amortizing 9.000 657,048 661,057 1.01 83
30339 1 1 5,527,426 Amortizing 8.500 534,100 667,527 1.25 84
77477 2 1 5,513,876 Amortizing 9.375 619,584 974,117 1.57 85
30201 1 1 5,362,500 IO then Amortizing 8.750 469,219 650,262 1.39 86
27705 1 1 5,334,841 Amortizing 9.500 554,964 691,730 1.25 87
Vrs 2 1 5,312,470 Amortizing 8.250 662,796 1,238,628 1.87 88
30340 - - - - 88a
30318 - - - - 88b
30336 - - - - 88c
30336 - - - - 88d
30318 - - - - 88e
30318 - - - - 88f
30318 - - - - 88g
30318 - - - - 88h
92680 1 1 5,243,936 Amortizing 8.750 495,624 595,918 1.20 89
60188 1 1 5,235,130 Amortizing 9.625 561,000 1,093,949 1.95 90
20910 1 1 5,203,029 Amortizing 9.000 545,256 858,786 1.58 91
75063 1 1 5,182,631 Amortizing 9.000 502,092 716,565 1.43 92
95035 1 1 5,175,000 Interest Only 7.750 401,063 765,980 1.91 93
94133 1 1 5,150,847 Amortizing 9.750 567,048 1,070,679 1.89 94
95240 2 1 5,137,982 Amortizing 9.500 556,416 718,822 1.29 95
94104 1 1 5,082,445 Amortizing 10.625 724,896 1,733,353 2.39 96
07645 2 1 5,068,828 Amortizing 9.875 631,464 868,563 1.38 97
27713 1 1 5,067,111 Amortizing 8.625 510,936 820,988 1.61 98
27604 1 1 5,053,635 Amortizing 8.875 517,200 617,866 1.19 99
34230 1 1 5,048,224 Amortizing 10.000 558,144 632,480 1.13 100
99201 2 1 4,968,525 Amortizing 9.000 544,884 575,719 1.06 101
60007 2 1 4,954,820 Amortizing 9.250 514,224 700,992 1.36 102
19153 1 1 4,917,609 Amortizing 8.750 493,968 696,966 1.41 103
19720 1 1 4,875,198 Amortizing 8.375 479,052 566,065 1.18 104
07090 2 1 4,868,313 Amortizing 10.250 548,424 710,219 1.30 105
Vrs 1 1 4,866,439 Amortizing 8.900 571,416 1,027,332 1.80 106
07974 - - - - 106a
07974 - - - - 106b
08810 1 1 4,848,491 Amortizing 9.250 499,116 663,713 1.33 107
94596 2 1 4,779,466 Amortizing 9.000 490,728 880,843 1.79 108
91761 1 1 4,776,431 Amortizing 10.375 544,440 591,161 1.09 109
</TABLE>
A-11
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ----------------------------- ---------- ------------ -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
75 Centennial Valley Business Pk. '94 03/29/88 04/15/98 27 360
76 Sunnyside Plaza 205 '94 12/07/89 01/15/00 48 360
77 Woods Edge Apartments '94 06/11/86 07/05/96 6 252
78 Shops at Commerce Place '94 11/06/89 11/15/99 46 343
79 400-438 Littlefield Avenue Static 01/01/96 05/15/06 124 270
80 A G F A / Compugraphics '94 12/11/89 01/01/00 47 247
81 Timberlake Apartments II '94 10/05/87 11/01/97 21 300
82 Quail Hill Apartments '94 05/21/91 06/05/96 5 360
83 Eustis Square Shopping Center Static 06/29/87 07/01/97 07/01/02 77 225
84 Terrace at Windy Hill Static 01/01/96 12/31/02 84 300
85 Randall's Ctr./ Keegan's Meadow '94 03/15/85 04/10/96 04/10/15 231 288
86 Alpharetta Crossing Shpg. Ctr. Static 09/26/94 10/01/96 10/01/04 104 300
87 Tri - Center South I '94 11/12/91 11/15/96 10 360
88 Various (88a - 88h) Static 02/11/93 03/10/98 03/10/08 146 192
88a Oakcliff Industrial Center
88b Transcontinental Warehouse
88c 4215 Wendell Drive
88d 4705-4725 Bakers Ferry Road
88e 2080-2086 General Truman St.
88f 1730 Macarthur Blvd.
88g 1660 Chattahoochee Ave.
88h 1785 Macarthur Boulevard
89 1382 Bell Avenue Pro Forma 11/10/95 08/10/02 79 360
90 Carol Stream Tech Center '94 11/17/89 12/01/99 46 360
91 Spring Center '94 10/09/87 11/15/97 22 300
92 Freeport Office Park Static 07/13/90 08/01/00 54 360
93 Read - Rite Static 11/03/92 12/01/02 12/01/02 82 0
94 One Beach Street '94 04/19/88 05/10/98 28 360
95 Cherokee Shopping Center '94 03/02/88 04/01/98 04/01/03 86 300
96 3120 Mission Street '94 11/29/88 12/15/08 155 240
97 Volvo Building (Montvale IV) '94 01/07/92 02/10/02 01/10/12 192 240
98 4900 Prospectus Drive '94 06/27/90 07/15/96 6 300
99 Emporium Plaza '94 10/31/88 11/10/98 34 300
100 Wood Street Office Building Static 08/09/89 08/15/19 283 360
101 Lincoln Building Static 03/28/85 04/01/00 04/01/10 170 252
102 A. W. Mendenhall '94 02/26/90 03/01/00 03/01/05 109 348
103 Penrose Plaza Shopping Center Pro Forma 07/18/89 08/01/99 42 299
104 Fox Run Apartments II '94 09/11/89 12/15/98 35 300
105 53 Cardinal Drive '94 07/19/89 09/05/99 08/05/04 103 360
106 Various (106a - 106b) '94 01/05/89 02/01/04 96 216
106a Murray Hill Inn & Office Park
106b Murray Hill Inn
107 Fresh Ponds Village '94 03/20/89 03/20/09 158 300
108 Palm Court '94 05/10/89 06/01/98 06/01/04 100 336
109 Longs Drugs Distribution Ctr. '93 05/01/89 06/01/99 40 324
</TABLE>
A-12
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- ---------- ---------- ----------- -------------- ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 04/98 1988 100.0 06/08/95 106,750 56 75.0 75
Yield Maintenance 01/00 1987 100.0 03/10/95 53,279 113 74.0 76
Yield Maintenance 07/96 1965 97.0 06/13/95 162 36,528 75.0 77
Yield Maintenance 11/99 1989 96.0 06/16/95 42,208 139 75.0 78
Yield Maintenance 05/06 1972 100.0 06/21/95 166,640 35 71.0 79
Yield Maintenance 01/00 1969 100.0 06/01/95 230,807 25 60.0 80
Yield Maintenance 11/97 1984 96.0 06/21/95 236 24,362 71.0 81
Yield Maintenance 05/96 1990 97.0 06/12/95 96 59,286 69.0 82
Yield Maintenance 07/97 1984 93.0 06/10/95 125,191 45 75.0 83
Locked 07/02 01/01/98 1985 85.0 11/08/95 76,463 72 75.0 84
Yield Maintenance 04/96 1983 83.0 03/15/95 124,100 44 69.0 85
Yield Maintenance 06/04 1989 100.0 06/13/95 95,504 56 77.0 86
Yield Maintenance 10/96 1991 100.0 06/07/95 170,000 31 66.0 87
Yield Maintenance 03/98 Vrs - 570,734 9 52.0 88
1974 88.0 05/15/95 174,860 - - 88a
1975 100.0 05/15/95 93,557 - - 88b
1974 100.0 05/15/95 77,089 - - 88c
1973 92.0 05/15/95 79,068 - - 88d
1973 100.0 05/15/95 52,983 - - 88e
1971 100.0 05/15/95 33,437 - - 88f
1971 100.0 05/15/95 33,340 - - 88g
1973 100.0 05/15/95 26,400 - - 88h
Yield Maintenance 08/02 1985 100.0 06/08/95 121,443 43 67.0 89
Yield Maintenance 12/99 1988 100.0 06/13/95 69,132 76 74.0 90
Yield Maintenance 11/97 1986 97.0 01/25/95 49,851 104 70.0 91
Open Until 7/31/96 1985 98.0 06/07/95 121,052 43 75.0 92
Yield Maintenance 12/02 1982 100.0 06/05/95 95,685 54 125.0 93
Yield Maintenance 05/98 1924 100.0 06/21/95 104,241 49 53.0 94
Yield Maintenance 03/98 1981 97.0 06/08/95 123,736 42 75.0 95
Yield Maintenance 12/08 1929 100.0 02/14/95 74 68,682 51.0 96
Yield Maintenance 02/02 1991 100.0 06/20/95 51,155 99 71.0 97
Yield Maintenance 06/96 1987 100.0 09/25/95 114,071 44 71.0 98
Yield Maintenance 10/98 1988 91.0 05/01/95 80,781 63 71.0 99
Yield Maintenance 08/19 1984 96.0 08/31/95 51,862 97 75.0 100
Locked 04/00 1963 66.0 02/01/95 116,322 43 72.0 101
Yield Maintenance 03/00 1988 100.0 06/01/95 171,565 29 74.0 102
Yield Maintenance 08/99 1986 91.0 06/15/95 58,700 84 73.0 103
Yield Maintenance 12/98 1989 94.0 06/21/95 132 36,933 75.0 104
Yield Maintenance 08/99 1989 100.0 12/31/94 48,114 101 69.0 105
Yield Maintenance 02/04 Vrs - 31,983 152 53.0 106
1983 86.0 03/24/95 31,983 - - 106a
1983 90.0 09/09/94 54,540 - - 106b
Declining 03/08 1979 97.0 08/18/95 120 40,404 72.0 107
Yield Maintenance 05/98 1965 98.0 06/01/95 42,936 111 67.0 108
Yield Maintenance 06/99 1987 100.0 06/16/95 175,240 27 69.0 109
</TABLE>
A-13
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- ----------- -------------------------------- ------------------------------- ---------------- -----
<S> <C> <C> <C> <C> <C>
110 Industrial 80, 90 Rose Orchd & 3190 N. 1st 80, 90 Rose Orchd & 3190 N. 1st San Jose CA
111 Multifamily Encino Palms Apartments 17600 Burbank Boulevard Encino CA
112 Office Various (112a - 112b) Various Various Vr
112a Office Main Street Center 1001 East Main St. Charles IL
112b Office North Avenue Office Park 1650, 1652, 1750 East Main St. St. Charles IL
113 Retail Nahatan Place 111 Lenox Street Norwood MA
114 Retail Various (114a - 114b) Various Various Vr
114a Retail Fairyland 1 Shopping Center 275 Route 22, East Springfield NJ
114b Retail Blockbuster Video Center 579-599 Route 22 East North Plainfield NJ
115 Office 400 Oxford Drive 400 Oxford Drive Monroeville PA
116 Retail Mercado Fiesta Shopping Center SEC Southern Ave. & Longmore St. Mesa AZ
117 Retail Adobe Shopping Center 2960 - 3096 Castro Valley Blvd. Castro Valley CA
118 Retail Kmart Store No. 7533 157 Craft Drive Alamosa CO
119 Warehouse Centennial Industrial Park #21-31 Colonial Dr. Piscataway Twp. NJ
120 Retail Harbor - Edinger Plaza 11940 Edinger Ave. Fountain Valley CA
121 Warehouse Teagarden Street 2953,3041,3073 Teagarden St. San Leandro CA
122 Industrial 630-640 Dowd Avenue 630-640 Dowd Avenue Elizabeth NJ
123 Warehouse Central Avenue Associates 558 Central Avenue New Providence NJ
124 Office One Needham Place Realty Trust 50 Cabot Street Needham MA
125 Office Thousand Oaks Financial Plaza 195-325 East Hillcrest Drive Thousand Oaks CA
126 Multifamily Nutwood East Apartments 2436-2458 E. Nutwood Ave. Fullerton CA
127 Multifamily Fox Run Apartments SWC Route 72 & Route 40 Bear DE
128 Multifamily Savannah Oaks Apartments 1029 Franklin Road Marietta GA
129 Industrial Huntington Valley Ind. Center 3971 Mann Rd./1448 County Line Lower Moreland Towns PA
130 Retail Arnold Station Shopping Center 1450-1460 Ritchie Highway Arnold MD
131 Multifamily Autumn Ridge Apartments 100 Autumn Ridge Trail Atlanta GA
132 Multifamily Southgate Apartments 10A-20G Fairview Avenue Perkasie Borough PA
133 Retail Kmart Store No. 3969 1020 Stratford Rd. Moses Lake WA
134 Retail Kmart Store No. 7536 808 25th Ave. Brookings SD
135 Multifamily Coopers Pond Apts. Phase I 6225 N. Dale Mabry Highway Tampa FL
136 Industrial Net Frame Building 1545 Barber Lane Milpitas CA
137 Office Mountain View Office Park 850 Bear Tavern Road Ewing Township NJ
138 Retail Briggs Chaney Center 13820 Old Columbia Pike Silver Spring MD
139 Retail Sherman Square 12643 Sherman Way North Hollywood CA
140 Warehouse Federal Express - Pacheco 115 Center Avenue Pacheco CA
141 Warehouse Parkway Industrial Ctr., Lot 9 7225 Standard Drive Hanover MD
142 Retail Star Market Plus 535 Trapelo Road Belmont MA
143 Office Boeing Aerospace, Bldg. 14 800 SW 39th Street Renton WA
144 Multifamily Tareyton Apartments Flowers Mill Road Middletown Township PA
145 Industrial Rancho San Diego Business Park 2701-50-09 Via Orange Way San Diego CA
146 Multifamily Meadowrock Apartments 1600 Becky Court Santa Rosa CA
147 Golf Course Poppy Hills Golf Course 3200 Lopez Road Pebble Beach CA
148 Office Berkeley Center Building 2000 Center Street Berkeley CA
149 Office Alex Brown Bldg., Allegheney Plz. 102 W Pennsylvania Avenue Towson MD
150 Warehouse Ambassador I Building Tinicum Island Road & 4th Ave. Tinicum Township PA
</TABLE>
A-14
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ------- ----- ------ ---------- ------------ --------- ------- ------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
95134 1 1 4,770,859 Amortizing 9.950 780,000 784,898 1.01 110
91316 1 1 4,761,545 Amortizing 9.375 499,056 472,287 0.95 111
Vrs 1 1 4,736,943 Amortizing 9.125 488,184 627,796 1.29 112
60174 - - - - 112a
60174 - - - - 112b
02062 1 1 4,731,047 Amortizing 8.375 461,628 487,297 1.06 113
Vrs 1 1 4,706,555 Amortizing 9.750 619,200 676,744 1.09 114
07081 - - - - 114a
07060 - - - - 114b
15146 1 1 4,656,723 Amortizing 8.875 472,152 573,190 1.21 115
85201 1 1 4,651,353 Amortizing 9.000 492,429 709,345 1.44 116
94546 1 1 4,602,517 Amortizing 9.400 485,148 517,225 1.07 117
81101 1 1 4,545,178 Amortizing 9.000 474,586 560,738 1.18 118
08854 2 1 4,530,151 Amortizing 9.250 463,992 612,177 1.32 119
92728 1 1 4,520,422 Amortizing 9.000 474,900 423,318 0.89 120
94577 1 1 4,520,005 Amortizing 9.250 493,284 693,668 1.41 121
07201 1 1 4,516,543 Amortizing 10.000 519,060 623,508 1.20 122
07974 1 1 4,505,966 Amortizing 10.250 555,840 847,941 1.53 123
02192 1 1 4,478,770 Amortizing 8.750 443,964 653,379 1.47 124
91360 1 1 4,467,998 Amortizing 8.500 431,730 692,760 1.60 125
92631 1 1 4,426,120 Amortizing 9.500 515,028 989,392 1.92 126
19701 1 1 4,411,751 Amortizing 7.750 412,080 623,445 1.51 127
30067 1 1 4,340,414 Amortizing 9.250 448,404 584,066 1.30 128
19040 2 1 4,229,545 Amortizing 10.375 505,056 478,828 0.95 129
21012 1 1 4,219,432 Amortizing 8.500 425,076 432,510 1.02 130
30357 1 1 4,216,401 Amortizing 7.500 388,476 551,272 1.42 131
18944 1 1 4,215,119 Amortizing 7.625 388,644 627,869 1.62 132
98837 1 1 4,187,257 Amortizing 9.000 442,140 521,312 1.18 133
57006 1 1 4,176,265 Amortizing 9.000 433,025 500,284 1.16 134
33614 2 1 4,133,695 Interest Only 8.500 351,364 581,528 1.66 135
95035 1 1 4,125,000 Interest Only 7.750 319,688 629,183 1.97 136
08648 1 1 4,114,180 Amortizing 9.875 453,516 565,819 1.25 137
20904 1 1 4,107,632 Amortizing 9.750 453,636 488,746 1.08 138
91605 1 1 4,096,561 Amortizing 9.750 454,404 420,033 0.92 139
94553 2 1 4,090,582 Amortizing 10.050 446,808 517,007 1.16 140
21076 1 1 4,073,880 Amortizing 9.625 447,780 464,004 1.04 141
02178 1 1 4,046,315 Amortizing 9.875 505,176 606,417 1.20 142
98055 1 1 4,027,802 Amortizing 8.875 422,496 624,085 1.48 143
19047 1 1 3,948,569 Amortizing 9.375 435,972 640,551 1.47 144
92078 2 1 3,948,560 Amortizing 9.250 404,760 411,597 1.02 145
95403 1 1 3,943,971 Amortizing 9.250 431,628 519,383 1.20 146
93953 1 1 3,934,913 Amortizing 10.000 857,544 2,051,525 2.39 147
94704 2 1 3,917,003 Amortizing 10.125 467,844 498,381 1.07 148
21204 1 1 3,897,512 Amortizing 9.250 549,528 601,270 1.09 149
19153 1 1 3,892,708 Amortizing 9.250 404,760 531,779 1.31 150
</TABLE>
A-15
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ---- -------------------------------- --------- ---------- ------------- -------- --------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
110 80, 90 Rose Orchd & 3190 N. 1st Static 08/19/85 09/01/99 43 146
111 Encino Palms Apartments '94 01/01/90 02/01/00 49 300
112 Various (112a - 112b) Static 10/23/89 11/12/99 46 360
112a Main Street Center
112b North Avenue Office Park
113 Nahatan Place '94 09/08/89 09/20/99 44 301
114 Various (114a - 114b) Pro Forma 12/05/89 12/25/09 167 240
114a Fairyland 1 Shopping Center
114b Blockbuster Video Center
115 400 Oxford Drive '94 04/10/91 04/15/99 39 300
116 Mercado Fiesta Shopping Center '94 03/03/87 04/01/97 14 360
117 Adobe Shopping Center '94 10/25/89 11/01/09 165 360
118 Kmart Store No. 7533 Pro Forma 05/10/93 02/01/18 264 297
119 Centennial Industrial Park '94 04/22/91 05/05/96 05/05/01 64 360
120 Harbor - Edinger Plaza '94 09/01/87 09/30/97 20 300
121 Teagarden Street Static 06/03/91 06/10/96 5 300
122 630-640 Dowd Avenue '94 07/26/91 08/01/11 186 300
123 Central Avenue Associates Static 06/10/88 07/01/08 149 300
124 One Needham Place Realty Trust '94 03/06/91 03/25/01 62 300
125 Thousand Oaks Financial Plaza Static 01/01/96 12/31/02 84 300
126 Nutwood East Apartments '94 11/01/86 01/01/97 11 324
127 Fox Run Apartments '94 11/30/88 12/15/98 35 300
128 Savannah Oaks Apartments '94 02/10/87 02/15/00 49 300
129 Huntington Valley Ind. Center Static 08/27/90 09/15/00 09/15/05 116 300
130 Arnold Station Shopping Center Static 12/01/88 01/01/99 35 288
131 Autumn Ridge Apartments '94 06/23/88 07/15/98 30 279
132 Southgate Apartments '94 01/17/89 02/20/99 37 300
133 Kmart Store No. 3969 Pro Forma 03/18/93 06/01/17 256 290
134 Kmart Store No. 7536 Pro Forma 07/23/93 08/10/18 271 300
135 Coopers Pond Apts. Phase I '94 06/28/90 07/01/05 07/01/99 07/01/05 113 0
136 Net Frame Building '94 11/03/92 12/01/02 12/01/02 82 0
137 Mountain View Office Park '94 01/17/89 02/01/01 60 336
138 Briggs Chaney Center Static 02/03/88 03/01/98 25 301
139 Sherman Square '93 10/01/87 11/01/17 261 300
140 Federal Express - Pacheco '94 09/13/90 04/15/00 05/15/05 112 360
141 Parkway Industrial Ctr., Lot 9 '94 10/27/87 11/01/07 141 360
142 Star Market Plus '94 11/20/91 12/15/11 191 240
143 Boeing Aerospace, Bldg. 14 '94 03/24/87 04/01/97 14 300
144 Tareyton Apartments '94 04/16/91 04/20/96 3 300
145 Rancho San Diego Business Park Static 03/01/91 04/15/96 04/15/01 63 360
146 Meadowrock Apartments '94 03/19/91 04/15/96 3 300
147 Poppy Hills Golf Course '94 03/09/87 04/01/02 74 180
148 Berkeley Center Building '94 08/22/89 09/15/99 09/15/04 104 300
149 Alex Brown Bldg., Allegheney Plz. Static 08/27/87 09/01/97 19 182
150 Ambassador I Building '94 11/08/89 12/10/99 47 360
</TABLE>
A-16
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date(1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ----------------- ---------- ---------- ----- --------- --------- ---------- ------------ -------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 09/99 1985 100.0 06/15/95 96,230 50 61.0 110
Yield Maintenance 02/00 1989 100.0 06/16/95 57 83,536 72.0 111
Yield Maintenance 11/99 Vrs - 70,554 67 73.0 112
1988 100.0 06/01/95 14,231 - - 112a
1986 98.0 06/01/95 56,323 - - 112b
Open 1989 70.0 12/31/95 46,582 102 73.0 113
Yield Maintenance 11/09 Vrs - 48,050 98 66.0 114
1984 95.0 06/23/95 34,050 - - 114a
1988 100.0 08/09/95 14,000 - - 114b
Yield Maintenance 03/99 1991 95.0 05/01/95 51,951 90 74.0 115
Yield Maintenance 04/97 1980 81.0 05/31/95 71,338 65 67.0 116
Yield Maintenance 11/09 1989 97.0 06/19/95 36,847 125 73.0 117
Yield Maintenance 02/18 1993 100.0 11/20/95 91,266 50 82.0 118
Yield Maintenance 05/96 1980 100.0 12/31/94 143,690 32 72.0 119
Yield Maintenance 09/97 1986 84.0 06/10/95 41,376 109 73.0 120
Yield Maintenance 05/96 1971 94.0 06/05/95 151,049 30 65.0 121
Yield Maintenance 07/11 1970 100.0 03/29/95 203,225 22 71.0 122
Yield Maintenance 07/08 1973 100.0 06/30/95 91,819 49 72.0 123
Yield Maintenance 03/01 1989 100.0 06/17/95 41,922 107 74.0 124
Locked 07/02 01/01/98 1983 82.0 08/01/95 106,073 42 65.0 125
Open 1974 92.0 06/26/95 248 17,847 56.0 126
Yield Maintenance 11/98 1989 90.0 06/14/95 138 31,969 73.0 127
Yield Maintenance 02/00 1975 98.0 05/17/95 200 21,702 67.0 128
Yield Maintenance 09/00 1974 100.0 05/30/95 163,540 26 69.0 129
Yield Maintenance 01/99 1987 80.0 02/28/95 55,170 76 55.0 130
Yield Maintenance 07/98 1987 99.0 06/20/95 113 37,313 67.0 131
Yield Maintenance 02/99 1980 97.0 06/15/95 160 26,344 75.0 132
Yield Maintenance 06/17 1992 100.0 11/20/95 91,266 46 - 133
Yield Maintenance 08/18 1993 100.0 11/18/95 91,266 46 - 134
Yield Maintenance 06/99 1979 92.0 06/15/95 249 16,601 68.0 135
Yield Maintenance 12/02 1982 100.0 06/21/95 85,040 49 75.0 136
Yield Maintenance 02/01 1984 100.0 06/20/95 50,259 82 73.0 137
Yield Maintenance 03/98 1987 86.0 08/01/95 40,784 101 61.0 138
Yield Maintenance 11/17 1987 87.0 06/15/95 32,497 126 70.0 139
Yield Maintenance 03/00 1984 100.0 06/28/95 70,610 58 72.0 140
Yield Maintenance 11/07 1976 100.0 06/14/95 61,645 66 75.0 141
Yield Maintenance 11/11 1991 100.0 06/15/95 58,562 69 71.0 142
Yield Maintenance 03/97 1986 100.0 02/13/95 59,850 67 75.0 143
Yield Maintenance 04/96 1978 100.0 06/16/95 112 35,255 68.0 144
Yield Maintenance 03/96 1989 100.0 04/01/95 82,509 48 72.0 145
Yield Maintenance 04/96 1987 98.0 07/03/95 104 37,923 71.0 146
Yield Maintenance 04/02 1986 100.0 12/31/94 32,888 120 45.0 147
Yield Maintenance 09/99 1970 98.0 05/30/95 45,063 87 75.0 148
Yield Maintenance 09/97 1968 58.0 06/17/95 69,121 56 58.0 149
Yield Maintenance 12/99 1988 100.0 04/27/95 60,000 65 75.0 150
</TABLE>
A-17
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- ----------- --------------------------------- ------------------------------- -------------- -----
<S> <C> <C> <C> <C> <C>
151 Multifamily Colony Apartments 1750 First Street Simi Valley CA
152 Retail South Macon Plaza 1410-26 & 1502-60 Rocky Creek Macon GA
153 Warehouse Marfred Industries 12450 Foothill Blvd. Pacoima CA
154 Retail Burke Plaza 6030 Burke Center Parkway Burke VA
155 Multifamily Twin Oaks Village Apartments 149 Oakland Street Mansfield MA
156 Retail Bellevue Village Shopping Center 10116 NE Eighth Street Bellevue WA
157 Retail Holland - Groves Plaza 5225-75 Cochran St. Simi Valley CA
158 Retail Kmart Store No. 4895 2948 S. State Road Ionia MI
159 Retail Lee Jackson Station 14005-14033 Lee Jackson Hwy Chantilly VA
160 Garage-Parking Lot Sixth & Penn Garage 526 Penn Avenue Pittsburgh PA
161 Retail Colmar Manor Shopping Center 3311-3831 Bladenburg Road Bladenburg MD
162 Office Monroe Medical Center 14755 179Th Avenue SE Monroe WA
163 Industrial 2225 South 43rd Avenue 2225 South 43rd Avenue Phoenix AZ
164 Retail Kmart Store No. 4735 1313 S. Burr St. Mitchell SD
165 Industrial Interstate Business Park 251 Benigno Boulevard Bellmawr NJ
166 Retail Providence Square Center 1903-1949 W. Brandon Boulevard Brandon FL
167 Retail Capital Corner Shopping Ctr. 6507-39 Annapolis Road Landover MD
168 Retail Cipriano Square Shopping Center 8819-27/8831-65 Greenbelt Rd. Greenbelt MD
169 Multifamily The Avalon Apartments 300 Murchison Drive Millbrae CA
170 Retail Kmart Store No. 4704 701 5th Avenue South Devils Lake ND
171 Retail Orange Tree Plaza 23512 El Toro Rd. El Toro CA
172 Warehouse 115 Main Road 115 Main Road Montville NJ
173 Retail Center Stage at Oak Ridge I 3750-3850 S. Illinois Avenue Oak Ridge TN
174 Industrial Patapsco Central Ltd. Ptshp. 815 Central Avenue Linthicum MD
175 Retail Canyon Town Center 11909 Canyon Road Beaverton OR
176 Retail Lyon Village 2580 Fair Oaks Boulevard Sacramento CA
177 Office Sunnyside Plaza 10001-10117 SE Sunnyside Clackamas OR
178 Office 1500 Hamburg Pike 1501 Hamburg Pike Wayne Township NJ
179 Retail Tower Plaza 505 Bankhead Highway Carrollton GA
180 Retail Park Plaza Center State Hwy. 5 At Stewart Pkwy. Douglasville GA
181 Retail Alpine Creek Shopping Center 1347 Tavern Road Alpine CA
182 Industrial Various (182a - 182b) Various Various Vr
182a Industrial C H Westside Associates 2940 W. Willetta & 1430 N. 29th Phoenix AZ
182b Industrial C H Central Associates 2246 S. Central / 102 W. Watkins Phoenix AZ
183 Office 5801 Peachtree Dunwoody Road 5801 Peachtree Dunwoody Road Atlanta GA
184 Retail Kmart Store No. 4796 205 S. Greenville Dr. Greenville MI
185 Warehouse Charles County Associates 10700-11099 De Marr Road White Plains MD
186 Retail Kmart Store No. 3950 15303 West Broadway Three Rivers MI
187 Office University Park I 985 University Avenue Los Gatos CA
188 Multifamily Various (188a - 188b) Various Various Vr
188a Multifamily Labor Retreat 124 Fourth Street SE Minneapolis MN
188b Multifamily Labor Plaza Apartments 500 Tedesco Street Minneapolis MN
189 Warehouse 75 East Union Avenue Associate 75 East Union Ave. East Rutherford NJ
190 Retail Lincoln Heights Plaza East 2502 - 30 29th Avenue Spokane WA
191 Office Hawthorn Business Park 935 Lakeview Parkway Vernon Hills IL
</TABLE>
A-18
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- -------- ----- ------ ------------- ------------ -------- -------- ---------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
93065 1 1 3,866,307 Amortizing 8.625 399,708 546,812 1.37 151
31298 1 1 3,864,606 Amortizing 10.250 535,920 635,840 1.19 152
91331 2 1 3,861,872 Amortizing 8.500 376,548 484,259 1.29 153
22015 1 1 3,852,890 Amortizing 9.250 406,872 564,009 1.39 154
02048 1 1 3,850,111 Amortizing 9.750 448,620 524,428 1.17 155
98004 1 1 3,834,547 Amortizing 8.625 440,532 862,616 1.96 156
93063 2 1 3,805,974 Amortizing 8.000 362,844 438,872 1.21 157
48846 1 1 3,785,249 Amortizing 10.000 427,998 517,807 1.21 158
22021 1 1 3,732,573 IO then Amortizing 5.000 186,629 168,795 0.90 159
15222 1 1 3,701,191 Amortizing 10.125 584,424 1,325,745 2.27 160
20710 1 1 3,700,557 Amortizing 10.500 433,596 602,609 1.39 161
98272 1 1 3,670,480 Amortizing 9.500 388,476 592,808 1.53 162
85009 1 1 3,642,972 Amortizing 9.500 386,263 587,989 1.52 163
57301 1 1 3,627,555 Amortizing 10.000 414,368 476,628 1.15 164
08099 1 1 3,605,925 Amortizing 8.875 417,894 664,239 1.59 165
33511 2 1 3,603,685 Amortizing 8.250 356,520 531,970 1.49 166
20815 1 1 3,586,875 Interest Only 6.500 233,147 457,138 1.96 167
20770 1 1 3,577,697 Amortizing 9.250 377,808 789,832 2.09 168
94030 1 1 3,534,829 Amortizing 9.750 572,064 600,648 1.05 169
58301 1 1 3,532,093 Amortizing 10.000 403,463 460,760 1.14 170
92630 1 1 3,490,358 Amortizing 10.125 407,148 494,412 1.21 171
07005 1 1 3,478,013 Amortizing 9.750 373,740 448,630 1.20 172
37830 1 1 3,476,537 Amortizing 10.000 395,292 411,747 1.04 173
21090 1 1 3,460,734 Amortizing 9.250 370,884 448,966 1.21 174
97005 1 1 3,427,398 Amortizing 9.750 371,160 638,578 1.72 175
95825 1 1 3,425,605 Amortizing 10.375 391,140 538,520 1.38 176
97315 1 1 3,386,064 Amortizing 8.750 345,600 483,845 1.40 177
07470 1 1 3,377,876 Amortizing 10.000 380,316 429,655 1.13 178
30117 2 1 3,375,610 Amortizing 9.875 375,444 389,087 1.04 179
30135 2 1 3,345,557 Interest Only 8.250 276,009 270,189 0.98 180
91901 1 1 3,298,073 Amortizing 10.375 404,040 499,799 1.24 181
Vrs 1 1 3,272,515 Amortizing 8.625 329,196 349,338 1.06 182
85009 - - - - 182a
85003 - - - - 182b
30328 2 1 3,193,316 Amortizing 9.000 337,188 468,189 1.39 183
48838 1 1 3,176,001 Amortizing 10.250 367,959 421,429 1.15 184
20695 1 1 3,173,759 Amortizing 10.750 375,264 470,457 1.25 185
49093 1 1 3,111,459 Amortizing 10.250 361,290 413,535 1.14 186
95030 1 1 3,084,100 Amortizing 8.875 322,632 415,211 1.29 187
Vrs 1 1 3,068,410 Amortizing 10.250 391,680 561,515 1.43 188
55401 - - - - 188a
55401 - - - - 188b
07073 1 1 3,054,663 Amortizing 10.375 364,764 492,537 1.35 189
99200 1 1 3,052,022 Amortizing 9.750 329,916 393,903 1.19 190
60061 2 1 3,047,119 Amortizing 7.750 283,512 282,149 1.00 191
</TABLE>
A-19
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ---- -------------------------------- --------- ----------- ------------- --------- -------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
151 Colony Apartments '94 12/01/86 01/01/98 23 285
152 South Macon Plaza '94 03/01/89 03/20/09 158 221
153 Marfred Industries '94 03/01/90 04/15/00 04/15/05 111 311
154 Burke Plaza Static 02/09/87 11/01/13 213 300
155 Twin Oaks Village Apartments '94 09/25/89 10/01/99 44 244
156 Bellevue Village Shopping Center Static 03/30/87 04/01/97 14 244
157 Holland - Groves Plaza '94 12/01/88 01/01/99 01/01/04 95 303
158 Kmart Store No. 4895 Pro Forma 09/17/92 10/01/17 260 280
159 Lee Jackson Station Static 05/04/88 04/01/96 05/01/98 27 202
160 Sixth & Penn Garage '94 02/20/91 03/15/06 122 180
161 Colmar Manor Shopping Center '94 09/14/87 10/01/07 140 360
162 Monroe Medical Center '94 01/11/90 02/15/00 49 360
163 2225 South 43rd Avenue Static 12/14/89 01/01/10 167 324
164 Kmart Store No. 4735 Pro Forma 12/31/91 01/01/17 251 300
165 Interstate Business Park '94 06/12/92 07/01/97 17 216
166 Providence Square Center Static 06/13/88 06/15/96 06/15/03 89 300
167 Capital Corner Shopping Ctr. '94 11/06/87 05/25/99 05/25/99 40 0
168 Cipriano Square Shopping Center '94 02/09/87 11/01/13 213 299
169 The Avalon Apartments '94 06/19/90 07/15/05 114 180
170 Kmart Store No. 4704 Pro Forma 12/31/91 01/01/17 251 300
171 Orange Tree Plaza '94 02/01/86 03/01/99 37 306
172 115 Main Road '94 06/12/90 07/12/00 54 360
173 Center Stage at Oak Ridge I '94 04/09/92 04/15/17 255 300
174 Patapsco Central Ltd. Ptshp. '94 08/19/87 09/01/97 19 303
175 Canyon Town Center '94 10/24/89 11/01/99 45 360
176 Lyon Village '94 03/30/89 04/01/09 158 360
177 Sunnyside Plaza '94 04/05/88 06/01/98 28 300
178 1500 Hamburg Pike '94 01/25/88 02/01/98 24 300
179 Tower Plaza '94 03/15/88 04/10/98 04/10/03 87 300
180 Park Plaza Center Static 08/06/87 09/10/01 11/10/97 09/10/01 68 0
181 Alpine Creek Shopping Center '94 01/01/89 03/10/09 158 300
182 Various (182a - 182b) Static 09/16/88 10/01/98 32 303
182a C H Westside Associates
182b C H Central Associates
183 5801 Peachtree Dunwoody Road Static 04/21/86 05/15/97 05/15/01 64 300
184 Kmart Store No. 4796 Pro Forma 03/05/92 04/01/17 254 300
185 Charles County Associates '94 06/20/88 07/01/08 149 347
186 Kmart Store No. 3950 Pro Forma 01/31/92 02/01/17 252 276
187 University Park I Static 05/12/87 06/01/99 40 286
188 Various (188a - 188b) '94 11/15/91 12/10/11 191 240
188a Labor Retreat
188b Labor Plaza Apartments
189 75 East Union Avenue Associate '94 08/13/90 09/10/00 56 300
190 Lincoln Heights Plaza Static 12/06/89 01/01/00 47 360
191 Hawthorn Business Park '94 03/06/89 03/08/99 03/08/09 158 302
</TABLE>
A-20
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq.Ft. or Principal LTV Loan
Status Date(1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ----------------- ---------- ---------- ---- --------- -------- ---------- ------------ -------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 01/98 1986 98.0 07/17/95 88 43,935 74.0 151
Yield Maintenance 03/09 1985 89.0 06/06/95 101,255 38 63.0 152
Yield Maintenance 04/00 1985 100.0 12/31/94 100,000 39 62.0 153
Yield Maintenance 11/13 1983 90.0 06/20/95 38,463 100 74.0 154
Open 1975 99.0 06/01/95 140 27,501 67.0 155
Yield Maintenance 04/97 1966 99.0 03/09/95 83,908 46 50.0 156
Yield Maintenance 01/99 1987 87.0 06/01/95 34,985 109 73.0 157
Yield Maintenance 10/17 1992 100.0 11/15/95 91,266 41 - 158
Yield Maintenance 05/98 1986 63.0 12/19/95 28,330 132 72.0 159
Yield Maintenance 03/06 1966 100.0 06/19/95 44,516 83 57.0 160
Yield Maintenance 10/07 1987 100.0 05/01/95 51,091 72 75.0 161
Yield Maintenance 02/00 1981 100.0 06/16/95 32,905 112 75.0 162
Yield Maintenance 01/10 1989 100.0 06/15/95 264,117 14 63.0 163
Yield Maintenance 01/17 1991 100.0 11/22/95 91,266 40 - 164
Yield Maintenance 06/97 1966 100.0 07/01/95 264,460 14 64.0 165
Yield Maintenance 06/96 1984 88.0 07/01/95 62,105 58 72.0 166
Yield Maintenance 05/99 1987 96.0 06/01/95 39,044 92 75.0 167
Yield Maintenance 11/13 1983 92.0 04/13/95 35,793 100 74.0 168
Yield Maintenance 07/05 1989 99.0 06/20/95 72 49,095 58.0 169
Yield Maintenance 01/17 1991 100.0 11/15/95 86,479 41 - 170
Yield Maintenance 03/99 1979 95.0 05/08/95 59,907 58 70.0 171
Yield Maintenance 07/00 1982 100.0 12/31/94 76,160 46 74.0 172
Yield Maintenance 04/17 1992 100.0 06/26/95 107,806 32 75.0 173
Yield Maintenance 09/97 1987 86.0 04/03/95 140,267 25 75.0 174
Yield Maintenance 11/99 1989 100.0 06/20/95 25,695 133 70.0 175
Yield Maintenance 04/09 1989 88.0 02/06/95 29,742 115 66.0 176
Yield Maintenance 06/98 1987 100.0 06/22/95 40,883 83 76.0 177
Yield Maintenance 02/98 1988 99.0 07/18/95 32,200 105 69.0 178
Yield Maintenance 04/98 1988 96.0 07/17/95 87,990 38 75.0 179
Yield Maintenance 11/97 1987 81.0 06/27/95 46,494 72 75.0 180
Yield Maintenance 03/09 1979 99.0 03/01/95 71,405 46 64.0 181
Yield Maintenance 10/98 Vrs - 147,682 22 75.0 182
1980 100.0 06/19/95 42,342 - - 182a
1980 100.0 04/05/95 105,340 - - 182b
Yield Maintenance 05/97 1974 100.0 04/12/95 44,241 72 72.0 183
Yield Maintenance 04/17 1991 100.0 11/15/95 91,266 35 75.0 184
Yield Maintenance 07/08 1988 100.0 05/08/95 89,120 36 65.0 185
Yield Maintenance 02/17 1991 100.0 11/16/95 91,264 34 75.0 186
Yield Maintenance 06/99 1977 95.0 06/01/95 35,091 88 74.0 187
Yield Maintenance 12/11 Vrs - 144 21,308 66.0 188
1975 99.0 06/20/95 77 - - 188a
1979 97.0 02/14/95 67 - - 188b
Yield Maintenance 09/00 1968 100.0 12/31/94 95,000 32 68.0 189
Yield Maintenance 01/00 1986 96.0 02/22/95 57,162 53 72.0 190
Yield Maintenance 03/99 1988 49.0 05/31/95 47,104 65 74.0 191
</TABLE>
A-21
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ----- ------------- ------------------------------- -------------------------------- --------------- -----
<S> <C> <C> <C> <C> <C>
192 Retail Garfield Center Partnership 320-330 Garfield Ave. Alhambra CA
193 Warehouse Cartwright Holding Company 6840 Navone Road Stockton CA
194 Warehouse American Industrial Center 150, 155, 205, 250 & 285 National Longwood FL
195 Multifamily The Cloisters Apartments 125-161 So. Maple Avenue Ridgewood NJ
196 Retail Fairwood Square SE Petrovitsky / 140th Ave N. Renton WA
197 Office West Main Plaza 25 S. Raymond Ave. Alhambra CA
198 Retail Center Stage at Oak Ridge II 3750-3850 S. Illinois Avenue Oak Ridge TN
199 Retail Barry Plaza 3019-3059 North Pulaski Road Chicago IL
200 Warehouse Sunrise Medical 4083 East Airport Drive Ontario CA
201 Retail North River Shopping Center 8800 Roswell Road Atlanta GA
202 Multifamily Apartments of Westgrove 4973 Faber Drive Raleigh NC
203 Auto Dealer Mc Ginnis Cadillac Inc. 12221 Katy Freeway Houston TX
204 Multifamily Chandler Apartments 12512 Chandler Blvd. North Hollywood CA
205 Office Naperville Office Court 1801-1813 Mill Street Naperville IL
206 Warehouse M D G Realty Trust 35 Industrial Parkway Woburn MA
207 Office 200 Webster Street 200 Webster Street Oakland CA
208 Office Allstate Insurance Building 215 Birchwood Avenue Cranford NJ
209 Multifamily Robbins Landing 4300 Robbins Landing Lane Robbinsdale MN
210 Multifamily Plantation Ridge Apartments 1805 Roswell Road Marietta GA
211 Warehouse Westgate Business Center Ph 1 2561-2569 Territorial Road St. Paul MN
212 Warehouse North Point Business Park 300-310-320 Harris Ave. Sacramento CA
213 Office 136 Summit Avenue 136 Summit Avenue Montvale NJ
214 Office 12727 Norwalk Boulevard 12727 Norwalk Blvd. Norwalk CA
215 Warehouse Airport Business Center VI 245 Quigley New Castle DE
216 Warehouse Gateway Professional Center 150-170 Professional Center Dr. Rohnert Park CA
217 Warehouse Batavia Glen Business Park 1030-90 N. Batavia St. Orange CA
218 Office Davco Office Building 1657 Crain Highway Crofton MD
219 Industrial Jaycraft Building 2780 Via Orange Way Spring Valley CA
220 Multifamily Burbank Garden Associates 14614 Burbank Blvd. Van Nuys CA
221 Office 777 North Capitol Street, NE 777 North Capitol Street, NE Washington DC
222 Multifamily Jamestown Village I 1401-1657 N. Van Dorn Street Alexandria VA
223 Office The Albert Building 1010 B Street San Rafael CA
224 Office Fairmount Common 466 Southern Blvd. Chatham Twp. NJ
225 Warehouse Stanley Desjardins 7414 S. Harl Avenue Tempe AZ
226 Office Commerce Place Business Park 5400 Patton Drive Lisle IL
227 Multifamily Terrace Royale Apartments 9627 NE 195th Circle Bothell WA
228 Retail South Beach Place 670 S. Gulfview Boulevard Clearwater FL
229 Warehouse 1716 Fourth Street 1716 Fourth Street Berkeley CA
230 Office Gregory Professional Centre 140 Gregory Lane Pleasant Hill CA
231 Office Robinson Building 227 North First Street San Jose CA
232 Multifamily The Commons Apartments 333 Enterprise Rohnert Park CA
233 Office 5665 Flatiron Parkway, Ltd. 5665 Flatiron Parkway Boulder CO
234 Mobile Home Park Valencia Lea Mobile Home Park 3850 E. Atlantic Ave. Highland CA
235 Retail Princeton N. Shopping Center 1225 State Road, Route 206 Montgomery Twp NJ
236 Office Century Engineering Building 32 West Road Towson MD
</TABLE>
A-22
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off-Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- -------- ----- ------ ------------ ------------ -------- ------- ---------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
91801 1 1 3,005,445 Amortizing 8.500 290,408 475,888 1.64 192
95205 2 1 3,003,068 Amortizing 9.625 380,940 587,145 1.54 193
32750 2 1 2,975,192 Amortizing 10.000 326,460 446,621 1.37 194
07450 1 1 2,959,508 Amortizing 9.750 342,204 459,829 1.34 195
98058 2 1 2,948,733 Amortizing 9.750 319,608 400,614 1.25 196
91801 1 1 2,929,780 Amortizing 10.000 339,288 336,560 0.99 197
37832 1 1 2,917,789 Amortizing 9.250 335,208 440,172 1.31 198
60641 1 1 2,913,868 Amortizing 9.250 303,576 329,496 1.09 199
91761 1 1 2,896,631 Amortizing 9.625 306,000 475,822 1.55 200
30350 1 1 2,855,406 Amortizing 9.125 308,832 526,562 1.71 201
27606 1 1 2,826,096 Amortizing 9.600 317,040 484,974 1.53 202
77079 1 1 2,819,700 Amortizing 10.500 423,816 508,257 1.20 203
91607 1 1 2,816,397 Amortizing 9.875 312,612 357,323 1.14 204
60540 1 1 2,794,260 Amortizing 8.875 288,300 549,321 1.91 205
01801 1 1 2,791,698 Amortizing 9.750 299,988 271,201 0.90 206
94607 2 1 2,782,559 Amortizing 9.250 297,492 351,727 1.18 207
07016 1 1 2,770,988 Amortizing 9.500 314,532 343,533 1.09 208
55425 1 1 2,754,653 Amortizing 9.500 292,620 445,695 1.52 209
30062 1 2 2,750,540 Amortizing 8.875 296,616 1,262,350 0.91 210
55114 1 1 2,719,974 Amortizing 9.500 284,052 607,497 2.14 211
95838 2 1 2,716,025 Interest Only 7.500 203,702 210,307 1.03 212
07645 1 1 2,699,456 Interest Only 6.250 168,709 217,406 1.29 213
90650 2 1 2,696,988 Amortizing 9.625 300,360 445,499 1.48 214
19720 1 1 2,693,386 Amortizing 8.500 249,132 330,531 1.33 215
94928 2 1 2,688,395 Amortizing 8.000 258,672 297,797 1.15 216
92667 1 1 2,687,209 Amortizing 9.750 299,424 387,877 1.30 217
21114 1 1 2,682,827 Amortizing 9.500 300,516 463,142 1.54 218
92078 1 1 2,667,564 Amortizing 9.625 285,600 333,650 1.17 219
91411 1 1 2,665,244 Amortizing 9.125 313,764 330,748 1.05 220
20002 1 2 2,650,000 IO then Amortizing 8.800 233,200 3,601,300 1.15 221
22304 1 1 2,644,114 Amortizing 9.500 380,316 1,159,877 3.05 222
94901 2 1 2,632,277 Amortizing 9.500 314,532 624,026 1.98 223
07928 1 1 2,631,434 Amortizing 8.000 250,236 260,404 1.04 224
85280 1 1 2,623,031 Amortizing 9.000 278,088 324,512 1.17 225
60532 2 1 2,611,495 Amortizing 10.250 295,716 379,871 1.28 226
98011 1 1 2,606,121 Amortizing 8.500 284,868 316,001 1.11 227
34630 1 1 2,597,972 Amortizing 9.625 338,520 354,805 1.05 228
94710 2 1 2,580,193 Amortizing 9.875 313,176 632,232 2.02 229
94523 2 1 2,568,677 Amortizing 9.250 272,712 262,298 0.96 230
95113 1 1 2,568,278 Amortizing 9.750 296,076 367,436 1.24 231
94929 2 1 2,561,648 Amortizing 8.625 292,932 455,446 1.55 232
80301 2 1 2,557,918 Amortizing 8.875 258,696 447,510 1.73 233
92346 1 1 2,528,105 Amortizing 10.500 359,424 832,789 2.32 234
08558 1 1 2,526,774 Amortizing 7.900 262,380 605,388 2.31 235
21204 1 1 2,505,657 Amortizing 9.250 288,948 417,107 1.44 236
</TABLE>
A-23
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
192 Garfield Center Partnership Static 01/01/96 12/31/02 84 300
193 Cartwright Holding Company '94 05/11/88 07/01/96 06/01/02 76 270
194 American Industrial Center Static 04/19/90 05/15/00 05/15/20 292 360
195 The Cloisters Apartments '94 02/01/90 02/20/00 49 300
196 Fairwood Square '94 09/07/89 10/01/99 10/01/04 104 360
197 West Main Plaza '94 01/01/86 02/01/01 60 300
198 Center Stage at Oak Ridge II '94 09/08/93 10/15/13 213 240
199 Barry Plaza '94 10/01/89 11/01/99 45 360
200 Sunrise Medical '94 04/01/91 04/15/96 3 360
201 North River Shopping Center '94 06/18/86 07/01/00 53 279
202 Apartments of Westgrove '94 04/04/91 04/15/98 27 300
203 Mc Ginnis Cadillac Inc. '94 02/14/83 08/01/07 138 180
204 Chandler Apartments '94 05/01/88 06/15/08 149 360
205 Naperville Office Court '94 04/06/88 05/01/98 27 300
206 M D G Realty Trust Static 06/28/90 08/01/00 54 304
207 200 Webster Street '94 09/28/87 10/15/97 10/15/02 81 300
208 Allstate Insurance Building '94 03/20/90 03/01/00 49 300
209 Robbins Landing '94 10/05/89 10/10/14 225 360
210 Plantation Ridge Apartments '94 07/19/88 07/15/96 6 264
211 Westgate Business Center Ph 1 '94 06/21/91 07/01/96 5 360
212 North Point Business Park Static 02/15/94 01/15/07 01/15/97 01/15/07 132 0
213 136 Summit Avenue '94 02/10/88 02/15/99 02/15/99 37 0
214 12727 Norwalk Boulevard '94 11/01/86 12/01/96 12/01/01 70 304
215 Airport Business Center VI Static 05/02/88 05/03/00 52 360
216 Gateway Professional Center '94 05/09/88 06/15/97 06/15/00 53 291
217 Batavia Glen Business Park Static 06/01/92 06/20/17 257 300
218 Davco Office Building '94 12/18/85 01/01/99 35 240
219 Jaycraft Building '94 11/01/89 01/01/10 167 360
220 Burbank Garden Associates '94 05/01/87 06/10/97 17 240
221 777 North Capitol Street, NE '94 08/09/90 08/15/96 08/15/00 55 360
222 Jamestown Village I '94 06/29/87 07/01/07 137 240
223 The Albert Building '94 09/24/87 10/15/97 10/15/02 81 300
224 Fairmount Common Static 12/20/88 02/15/99 37 304
225 Stanley Desjardins Pro Forma 02/09/87 03/01/97 13 360
226 Commerce Place Business Park '94 02/21/89 03/01/96 03/01/03 85 360
227 Terrace Royale Apartments '94 10/03/88 11/01/98 33 243
228 South Beach Place '94 01/11/90 01/15/10 168 240
229 1716 Fourth Street '94 02/01/88 03/01/98 03/01/03 85 360
230 Gregory Professional Centre '94 03/16/88 04/10/98 04/10/03 87 300
231 Robinson Building '94 04/29/85 05/01/00 51 300
232 The Commons Apartments '93 04/29/87 05/15/97 05/15/02 76 300
233 5665 Flatiron Parkway, Ltd. '94 09/27/89 10/15/99 10/15/09 165 316
234 Valencia Lea Mobile Home Park '93 09/01/88 11/10/08 154 240
235 Princeton N. Shopping Center '94 03/02/89 03/15/09 158 240
236 Century Engineering Building '93 06/13/89 07/01/99 41 240
</TABLE>
A-24
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date(1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ----------------- ---------- ---------- ----- -------- -------- ----------- ------------ --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Locked 07/02 01/01/98 1989 78.0 06/02/95 52,685 57 75.0 192
Yield Maintenance 06/96 1985 100.0 06/29/95 201,400 15 75.0 193
Yield Maintenance 05/00 1986 100.0 06/22/95 160,450 19 75.0 194
Yield Maintenance 02/00 1968 100.0 07/18/95 54 54,806 72.0 195
Yield Maintenance 10/99 1987 92.0 02/28/95 32,910 90 75.0 196
Yield Maintenance 02/01 1980 97.0 05/19/95 33,224 88 70.0 197
Yield Maintenance 10/13 1993 100.0 06/05/95 71,440 41 68.0 198
Yield Maintenance 11/99 1987 100.0 06/01/95 35,389 82 75.0 199
Yield Maintenance 04/96 1989 100.0 06/11/95 100,253 29 72.0 200
Yield Maintenance 07/00 1972 93.0 05/01/95 99,050 29 45.0 201
Yield Maintenance 04/98 1987 75.0 06/12/95 97 29,135 71.0 202
Yield Maintenance 08/07 1974 100.0 06/08/95 37,475 75 50.0 203
Yield Maintenance 06/08 1978 95.0 06/23/95 63 44,705 67.0 204
Yield Maintenance 05/98 1980 83.0 06/15/95 66,557 42 57.0 205
Yield Maintenance 08/00 1974 96.0 09/01/95 107,118 26 52.0 206
Yield Maintenance 10/97 1984 100.0 06/14/95 25,300 110 74.0 207
Yield Maintenance 03/00 1974 100.0 06/26/95 38,652 72 70.0 208
Yield Maintenance 10/14 1976 100.0 06/26/95 110 25,042 72.0 209
Yield Maintenance 06/96 1976 96.0 06/09/95 454 6,058 72.0 210
Yield Maintenance 06/96 1991 100.0 06/16/95 78,045 35 71.0 211
Yield Maintenance 01/97 1983 85.0 08/10/95 52,710 52 114.0 212
Yield Maintenance 02/99 1978 94.0 06/30/95 29,366 92 73.0 213
Yield Maintenance 12/96 1975 100.0 05/03/94 40,500 67 75.0 214
Open Until 9/3/96 1986 100.0 06/15/95 71,215 38 75.0 215
Yield Maintenance 05/97 1987 93.0 02/17/95 39,955 67 74.0 216
Yield Maintenance 06/17 1980 100.0 06/01/95 131,401 20 45.0 217
Yield Maintenance 01/99 1985 100.0 02/24/95 30,000 89 75.0 218
Yield Maintenance 01/10 1989 100.0 03/01/95 69,651 38 73.0 219
Yield Maintenance 06/97 1986 100.0 06/11/95 47 56,707 73.0 220
Yield Maintenance 08/00 1990 100.0 06/15/95 211,614 13 69.0 221
Yield Maintenance 07/07 1960 95.0 06/27/95 225 11,752 46.0 222
Yield Maintenance 10/97 1928 100.0 06/01/95 56,581 47 60.0 223
Yield Maintenance 02/99 1986 100.0 06/22/95 29,882 88 70.0 224
Yield Maintenance 03/97 1986 100.0 06/15/95 60,688 43 75.0 225
Yield Maintenance 01/96 1987 100.0 06/14/95 38,832 67 75.0 226
Yield Maintenance 11/98 1988 98.0 12/31/94 80 32,577 67.0 227
Yield Maintenance 01/10 1989 100.0 06/19/95 21,058 123 75.0 228
Yield Maintenance 02/98 1950 51.0 06/29/95 70,000 37 75.0 229
Yield Maintenance 04/98 1987 85 0 12/31/94 30,147 85 72.0 230
Yield Maintenance 05/00 1893 100.0 02/06/95 26,201 98 75.0 231
Yield Maintenance 05/97 1978 94.0 07/24/95 100 25,616 74.0 232
Yield Maintenance 10/99 1988 100.0 06/21/95 41,107 62 71.0 233
Yield Maintenance 11/08 1972 100.0 05/15/95 281 8,997 55.0 234
Yield Maintenance 02/09 1975 98.0 06/15/95 85,106 30 70.0 235
Yield Maintenance 07/99 1969 100.0 06/15/95 30,300 83 69.0 236
</TABLE>
A-25
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ------------- ------------ ----------------------------------------- ----------------------------------- --------------------- -----
<S> <C> <C> <C> <C> <C>
237 Office The Geo Group 6960 Flanders Drive San Diego CA
238 Office 50 West Corporate Ctr. Phase I 3998 Fair Ridge Drive Fairfax VA
239 Multifamily 633 S. Barrington 633 S. Barrington Ave. Los Angeles CA
240 Retail Deerwood Station Plaza 8221 Southside Boulevard Jacksonville FL
241 Retail Cloverly Village Center 15440 New Hampshire Cloverly MD
242 Retail Hurst Federated Shopping Ctr. 1301 West Pipeline Hurst TX
243 Retail Villa Norte 3211 & 3251 Holiday Ct. La Jolla CA
244 Retail Stone Hill Center 900-980 Illinois Route 22 Fox River Grove IL
245 Industrial Hayvenhurst Airport Business 7625 Hayvenhurst Ave. Van Nuys CA
246 Retail Middlesex Shopping Center 700-728 Union Avenue Middlesex NJ
247 Warehouse Hanmar Associates 2910, 2920, 2930 Turnpike Drive Upper Moreland Twnsp PA
248 Multifamily Beardslee Cove Apartments 18804-18632 Beardslee Bothell WA
249 Warehouse Kistler Graphics, Inc. 4000 Dahlia Street/5000 41St. Denver CO
250 Warehouse The Concord Building 701 Ashland Avenue Folcroft Borough PA
251 Office Ventura Commercenter 4567 Telephone Rd/1711 Wood Pl. Ventura CA
252 Warehouse Sunrise Distribution Center 11261-11291 Sunrise Park Drive Rancho Cordova CA
253 Office Ashford III Office Building 901 Threadneedle Houston TX
254 Warehouse Westinghouse Building 7121 Standard Drive Hanover MD
255 Retail Walton's Corner Shopping Ctr. 3626 Walton Way Augusta GA
256 Industrial Hanmar Associates 300, 375 Constance Drive Warminster Township PA
257 Office Lake Falls Professional Bldg. 6115 Falls Road Baltimore MD
258 Warehouse Humbolt Business Park 10521-47 Humbolt Street Los Alamitos CA
259 Multifamily Fulton Garden Associates 4610 Fulton Ave. Sherman Oaks CA
260 Office Inserra Plaza 20 Ridge Road Mahwah Township NJ
261 Industrial J M F Investment & Loan Co. 12323 Sherman Way North Hollywood CA
262 Retail Walnut Gardens Shopping Center 3003-3193 Walnut Street Boulder CO
263 Retail Hilltop Plaza 813 Roosevelt Boulevard Monroe NC
264 Office Pearl East Office Building 4875 Pearl East Circle Boulder CO
265 Warehouse Agoura Oaks Commerce Center 29395, 97 & 99 Agoura Road Agoura Hills CA
266 Industrial Prospect Industrial Park 2619-43 Midpoint Drive Fort Collins CO
267 Warehouse 121 N. England Ave. 121 N. England Ave. Piscataway Twp. NJ
268 Industrial West Marine 10125 Westlake Drive Charlotte NC
269 Multifamily 3969 Adams Street 3969 Adams Street Carlsbad CA
270 Retail Harbor Square 101/123 S. Harbor Blvd. Santa Ana CA
271 Retail Barrington Gateway 2536 Barrington Ave. Los Angeles CA
272 Retail Friendship Mall 2210 Route 9 Howell Twp. NJ
273 Office Wildwood Medical Center 10401 Old Georgetown Road Bethesda MD
274 Multifamily Westlake Village Apartments 955 West 19th Street Costa Mesa CA
275 Warehouse Olympic / Bundy Center 12100 W. Olympic Blvd. Los Angeles CA
276 Retail Beverly Center 362-370 N. Beverly Drive Beverly Hills CA
277 Multifamily Sylmar Garden Associates 6310 Sylmar Avenue Van Nuys CA
278 Multifamily Pine View Gardens 215 & 235 East Main Street Somerville NJ
279 Multifamily A M S Properties 245 Spalding Dr. Beverly Hills CA
280 Multifamily Avondale Apartments 451 Rivergate Way Sacramento CA
281 Office Montpelier Professional Center 9811 Mallard Drive Laurel MD
</TABLE>
A-26
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- --------------- -------- -------- ----------- ----------------- ----------- ------------ --------------- ----------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
92126 1 1 2,498,037 Amortizing 7.125 220,524 268,961 1.22 237
22033 1 1 2,489,318 Amortizing 8.500 240,536 394,598 1.64 238
90049 1 1 2,472,909 Amortizing 9.500 270,600 220,823 0.82 239
32256 1 1 2,461,089 Amortizing 9.875 309,996 378,549 1.22 240
20904 1 1 2,458,116 Amortizing 9.000 290,412 354,898 1.22 241
76053 1 1 2,440,919 Amortizing 9.500 269,412 552,165 2.05 242
92038 1 1 2,440,071 Amortizing 8.625 245,748 244,308 0.99 243
60021 1 1 2,438,437 Amortizing 10.250 311,268 323,990 1.04 244
91388 1 1 2,422,096 Amortizing 9.250 257,148 231,446 0.90 245
08846 1 1 2,421,534 Amortizing 10.500 323,484 687,749 2.13 246
19090 2 1 2,413,173 Amortizing 10.375 271,632 251,967 0.93 247
98012 1 1 2,393,074 Amortizing 9.250 256,164 365,762 1.43 248
80216 1 1 2,382,916 Amortizing 10.500 309,324 327,407 1.06 249
19032 1 1 2,378,664 Amortizing 8.600 261,768 257,021 0.98 250
93003 1 1 2,375,243 Amortizing 9.125 259,128 226,224 0.87 251
94570 2 1 2,345,164 Amortizing 8.250 228,432 271,091 1.19 252
77079 1 1 2,343,750 Interest Only 7.250 169,922 319,966 1.88 253
21076 1 1 2,341,124 Amortizing 9.875 265,716 383,587 1.44 254
30909 1 1 2,333,820 Amortizing 10.250 276,720 339,751 1.23 255
18974 2 1 2,326,280 Amortizing 10.375 277,776 395,551 1.42 256
21209 1 1 2,324,812 Amortizing 9.000 236,076 289,772 1.23 257
90721 1 1 2,320,637 Amortizing 8.625 217,248 210,877 0.97 258
91423 2 1 2,317,304 Amortizing 9.625 244,800 263,286 1.08 259
07430 1 1 2,307,166 Amortizing 10.250 263,460 392,325 1.49 260
91605 2 1 2,300,980 Amortizing 8.250 241,080 440,051 1.83 261
80301 1 1 2,279,336 Amortizing 10.000 250,116 448,454 1.79 262
28110 1 1 2,268,567 Amortizing 9.250 233,748 268,320 1.15 263
80301 1 1 2,246,953 Amortizing 9.750 239,196 305,764 1.28 264
91301 1 1 2,242,298 Amortizing 8.500 207,275 215,121 1.04 265
80525 1 1 2,237,574 Amortizing 9.375 262,128 330,234 1.26 266
08854 2 1 2,236,101 Amortizing 9.250 229,044 328,154 1.43 267
28273 2 1 2,225,839 Amortizing 9.500 232,080 291,957 1.26 268
92008 1 1 2,198,298 Amortizing 9.500 241,716 336,593 1.39 269
92704 1 1 2,197,677 Amortizing 9.500 245,148 208,949 0.85 270
90049 1 1 2,196,552 Amortizing 9.000 238,236 240,445 1.01 271
07731 1 1 2,191,213 Amortizing 9.625 234,600 282,115 1.20 272
20814 1 1 2,170,084 Amortizing 9.250 242,532 250,266 1.03 273
92627 2 1 2,153,517 Amortizing 9.875 252,636 279,447 1.11 274
90064 1 1 2,152,670 Amortizing 9.875 269,352 390,865 1.45 275
90210 2 1 2,149,863 Amortizing 9.250 255,624 473,104 1.85 276
91401 1 1 2,149,398 Amortizing 9.125 253,032 252,094 1.00 277
08876 1 1 2,140,142 Amortizing 10.625 308,088 358,681 1.16 278
90212 1 1 2,134,327 Amortizing 10.375 297,000 362,687 1.22 279
95831 1 1 2,118,064 Amortizing 10.250 270,936 226,141 0.83 280
20708 1 1 2,117,131 Amortizing 9.625 238,260 303,507 1.27 281
</TABLE>
A-27
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ------------------------------- ---------- ------------ -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
237 The Geo Group '94 03/01/89 04/01/99 38 302
238 50 West Corporate Ctr. Phase I Static 01/01/96 12/31/02 84 300
239 633 S. Barrington '94 05/01/87 06/10/97 17 305
240 Deerwood Station Plaza Pro Forma 07/25/91 08/20/01 67 240
241 Cloverly Village Center Static 12/23/86 02/01/97 12 240
242 Hurst Federated Shopping Ctr. '94 11/25/86 12/01/96 10 360
243 Villa Norte '94 01/30/96 08/01/98 31 272
244 Stone Hill Center '94 11/10/86 12/05/11 191 300
245 Hayvenhurst Airport Business '94 03/01/88 05/01/98 27 305
246 Middlesex Shopping Center Static 10/05/90 10/10/10 177 240
247 Hanmar Associates '94 08/27/90 09/15/00 09/15/05 116 360
248 Beardslee Cove Apartments '94 08/24/87 09/05/97 20 304
249 Kistler Graphics, Inc. Pro Forma 11/04/86 11/10/01 70 300
250 The Concord Building '94 10/11/88 11/01/98 33 240
251 Ventura Commercenter Static 12/01/85 01/01/00 47 266
252 Sunrise Distribution Center '94 10/20/88 11/10/98 11/10/03 94 305
253 Ashford I I I Office Building Pro Forma 09/09/94 09/15/01 09/15/01 68 0
254 Westinghouse Building '94 10/23/86 11/01/10 177 360
255 Walton's Corner Shopping Ctr. '94 05/09/85 06/10/00 53 252
256 Hanmar Associates '94 08/27/90 09/15/00 09/15/05 116 300
257 Lake Falls Professional Bldg. '94 05/03/90 06/10/00 53 300
258 Humbolt Business Park '94 10/01/85 11/12/98 34 360
259 Fulton Garden Associates '94 02/01/91 04/10/96 04/10/01 63 360
260 Inserra Plaza '93 04/22/88 05/15/08 148 360
261 J M F Investment & Loan Co. '94 10/01/89 12/01/99 12/01/04 106 247
262 Walnut Gardens Shopping Center Static 04/25/90 05/15/00 52 360
263 Hilltop Plaza '94 10/16/89 11/01/99 45 336
264 Pearl East Office Building '94 06/13/91 07/15/01 66 343
265 Agoura Oaks Commerce Center '94 05/01/88 11/01/01 69 360
266 Prospect Industrial Park '94 03/29/88 04/10/03 87 240
267 121 N. England Ave. Static 04/22/91 05/05/96 04/05/01 63 360
268 West Marine '94 07/15/91 08/15/96 08/15/01 67 360
269 3969 Adams Street '94 01/01/87 03/01/97 13 300
270 Harbor Square Static 03/01/86 04/01/99 38 300
271 Barrington Gateway '94 09/01/85 10/10/00 57 244
272 Friendship Mall '94 12/11/89 01/01/00 47 360
273 Wildwood Medical Center Static 02/08/90 03/01/00 49 300
274 Westlake Village Apartments '93 10/01/86 11/01/96 11/01/01 69 276
275 Olympic / Bundy Center Static 09/11/86 12/01/96 10 243
276 Beverly Center '93 04/01/87 05/20/97 05/20/02 76 244
277 Sylmar Garden Associates '94 05/01/87 06/10/97 17 244
278 Pine View Gardens '94 08/01/88 09/18/08 152 240
279 A M S Properties '94 02/01/89 04/10/09 159 214
280 Avondale Apartments '94 10/09/91 11/15/11 190 240
281 Montpelier Professional Center '94 03/27/86 04/01/99 38 300
</TABLE>
A-28
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- ---------- ---------- ----------- -------------- ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 04/99 1989 100.0 06/05/95 33,144 75 74.0 237
Locked 07/02 01/01/98 1986 91.0 06/13/95 58,293 43 75.0 238
Yield Maintenance 06/97 1986 100.0 06/14/95 27 91,589 70.0 239
Yield Maintenance 08/01 1990 94.0 06/22/95 31,064 79 68.0 240
Yield Maintenance 02/97 1986 100.0 02/22/95 24,092 102 74.0 241
Yield Maintenance 12/96 1973 100.0 05/01/95 55,400 44 60.0 242
Yield Maintenance 08/98 1976 95.0 06/17/95 20,141 121 68.0 243
Yield Maintenance 12/11 1981 100.0 09/01/95 73,013 33 75.0 244
Yield Maintenance 05/98 1987 86.0 06/19/95 50,000 48 71.0 245
Yield Maintenance 10/10 1960 100.0 07/16/95 77,477 31 48.0 246
Yield Maintenance 09/00 1983 100.0 06/16/95 80,800 30 72.0 247
Yield Maintenance 09/97 1986 96.0 03/31/95 90 26,590 66.0 248
Yield Maintenance 11/01 1975 100.0 06/16/95 133,903 18 74.0 249
Yield Maintenance 11/98 1973 87.0 05/04/95 90,000 26 75.0 250
Locked 01/00 1984 90.0 06/30/95 44,258 54 73.0 251
Yield Maintenance 10/98 1988 100.0 06/15/95 88,896 26 70.0 252
Yield Maintenance 09/01 1979 83.0 08/25/95 89,546 26 91.0 253
Yield Maintenance 11/10 1973 100.0 06/12/95 46,752 50 75.0 254
Yield Maintenance 06/00 1984 100.0 06/14/95 54,187 43 72.0 255
Yield Maintenance 09/00 1981 100.0 06/16/95 83,600 28 69.0 256
Yield Maintenance 06/00 1986 100.0 06/14/95 38,088 61 63.0 257
Yield Maintenance 11/98 1984 76.0 05/09/95 64,864 36 74.0 258
Yield Maintenance 04/96 1990 100.0 06/16/95 32 72,416 70.0 259
Yield Maintenance 03/08 1988 100.0 06/26/95 23,500 98 69.0 260
Yield Maintenance 12/99 1974 100.0 06/20/95 49,920 46 71.0 261
Yield Maintenance 05/00 1976 100.0 06/01/95 38,643 59 67.0 262
Yield Maintenance 11/99 1989 95.0 06/06/95 54,220 42 75.0 263
Yield Maintenance 06/01 1991 100.0 06/20/95 30,832 73 73.0 264
Yield Maintenance 11/01 1987 96.0 06/14/95 36,663 61 75.0 265
Yield Maintenance 03/03 1988 100.0 05/01/95 57,600 39 75.0 266
Yield Maintenance 05/96 1981 100.0 12/31/94 83,200 27 75.0 267
Yield Maintenance 08/96 1990 100.0 06/27/95 115,200 19 75.0 268
Yield Maintenance 03/97 1978 93.0 03/01/95 74 29,707 71.0 269
Yield Maintenance 04/99 1985 100.0 05/09/95 16,288 135 75.0 270
Yield Maintenance 10/00 1985 85.0 08/31/95 20,648 106 63.0 271
Yield Maintenance 01/00 1989 76.0 06/19/95 46,065 48 36.0 272
Yield Maintenance 03/00 1965 92.0 06/19/95 33,960 64 70.0 273
Yield Maintenance 11/96 1979 97.0 06/10/95 60 35,892 72.0 274
Yield Maintenance 12/96 1968 99.0 06/14/95 42,516 51 47.0 275
Open Until 5/20/96 1931 38.0 06/01/95 11,830 182 59.0 276
Yield Maintenance 06/97 1986 94.0 06/13/95 54 39,804 74.0 277
Yield Maintenance 09/08 1973 98.0 06/24/95 88 24,320 66.0 278
Yield Maintenance 04/09 1963 100.0 06/17/95 26 82,089 57.0 279
Yield Maintenance 11/11 1986 97.0 06/19/95 76 27,869 62.0 280
Yield Maintenance 04/99 1975 98.0 09/26/95 36,861 57 73.0 281
</TABLE>
A-29
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- ------------ ------------------------------------- --------------------------------- --------------------- ---------
<S> <C> <C> <C> <C> <C>
282 Warehouse Valley Business Center 700 W. Mississippi Street Denver CO
283 Office Townsquare Professional Bldg. 600 Mt. Pleasant Ave. Dover NJ
284 Multifamily Flags West Apartments 490 Six Flags Drive Austell GA
285 Retail Creekside Commons 1101-1165 Weiland Road Buffalo Grove IL
286 Retail Archer - Central Plaza 5889-5915 Archer Avenue Chicago IL
287 Retail Wantage Plaza 1-1450 State Rt. 23 Wantage Township NJ
288 Retail 7126-7140 Wisconsin Avenue 7126-7140 Wisconsin Avenue Bethesda MD
289 Office Corinth Gardens 2211 Corinth Avenue Los Angeles CA
290 Office University Park Associates II 987 University Avenue Los Gatos CA
291 Industrial Boxmaker Building 6412 South 190th Kent WA
292 Industrial Turpanjian Properties 17321 S. Valley View Ave. Cerritos CA
293 Retail Mc Henry Center 2720 Mc Henry Avenue Modesto CA
294 Retail Brice Square U S 280 and Mcnatt Street Vidalia GA
295 Industrial 111 Uranium Road 111 Uranium Road Sunnyvale CA
296 Retail Rosecroft Shopping Center 3201-3297 Brinkley Road Temple Hills MD
297 Multifamily Azalea Park Apartments 2105 Bogarde Street Durham NC
298 Office Rampart Medical Center 7606 & 7608 North Union Blvd. Colorado Springs CO
299 Retail Cooper Center 8723 Cooper Road Alexandria VA
300 Retail 9400 Whittier Blvd. 9400 Whittier Blvd. Pico Rivera CA
301 Warehouse Thorndale Business Center 1230-1300 Mark Street Bensenville IL
302 Retail Route 124 Plaza 18524-18658 Woodfield Road Gaithersburg MD
303 Retail Garrity Square 1855 Deerfield Road Highland Park IL
304 Retail Pineland Plaza 617 Stokes Road Medford Township NJ
305 Multifamily Jamestown Village II 1161-1398 North Van Dorn St. Alexandria VA
306 Warehouse Beltline Center 2640-2660 Yonkers Road Raleigh NC
307 Multifamily Hallwood Apartments 7415-7535 SW Hall Boulevard Beaverton OR
308 Warehouse 9279 Cabot Drive 9279 Cabot Drive San Diego CA
309 Warehouse Ennismore Of Albuquerque 2121 East Magnolia Street Phoenix AZ
310 Office Washington Medical Center 2557 Mowry Avenue Fremont CA
311 Retail Near North Plaza 933-1003 West Diversey Parkway Chicago IL
312 Office West Main Plaza 55 S. Raymond Ave. Alhambra CA
313 Retail Payless Drug Store 949 Kendall Dr. San Bernardino CA
314 Retail Palisades Highlands Plaza 516-544 Palisades Dr. Pacific Palisades CA
315 Retail Ashton Village Center 1-31 Olney - Sandy Spring Road Ashton MD
316 Warehouse Devcon Associates 28 1283-1293 Old Mountain View Sunnyvale CA
317 Office Attorney General Building 4407 Woodview Drive NE Lacey WA
318 Warehouse South Plainfield Fidelco 3 And 5 Century Road So. Plainfield NJ
319 Industrial Alpha Analytical Building 8 Walk-Up Drive Westborough MA
320 Retail Flint Hill Building 11601-11631 Nebel Street Rockville MD
321 Office Pike Place 316, 320 & 324 W. Pike Street Lawrenceville GA
322 Multifamily Casa Balboa 6106 Beadnell Way San Diego CA
323 Retail Woodlawn Specialty Center 1197 & 1199 Johnson Ferry Road Atlanta GA
324 Multifamily Parkside Court Apartments 1470-1480 Parkside Ave. Ewing Township NJ
325 Office The Bill Milburn Building 11911 Burnet Road Austin TX
326 Retail Copeland's Sports Center 11955 S W Canyon Road Beaverton OR
</TABLE>
A-30
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- ----------------- --------- --------- ------------- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
80210 1 1 2,100,000 Interest Only 9.78 205,380 809,215 3.94 282
07801 1 1 2,097,812 Amortizing 9.62 224,400 347,131 1.55 283
30001 1 1 2,087,115 Interest Only 7.50 156,534 263,325 1.68 284
60090 1 1 2,071,922 Amortizing 8.37 205,116 213,375 1.04 285
60638 1 1 2,068,904 Amortizing 8.87 213,468 268,950 1.26 286
07461 1 1 2,063,330 Amortizing 10.00 289,512 443,883 1.53 287
20814 1 1 2,060,965 Amortizing 8.50 213,960 314,364 1.47 288
90064 1 1 2,058,678 Amortizing 8.50 198,924 344,594 1.73 289
95030 1 1 2,056,115 Amortizing 8.87 215,100 239,500 1.11 290
98032 1 1 2,018,528 Amortizing 9.12 215,136 254,219 1.18 291
90701 2 1 2,017,220 Amortizing 7.50 205,920 234,420 1.14 292
92807 2 1 2,016,329 Amortizing 9.50 221,988 353,278 1.59 293
30474 1 1 2,013,655 Amortizing 10.50 284,544 300,983 1.06 294
94086 2 1 2,000,805 Amortizing 10.00 260,556 447,041 1.72 295
20744 1 1 2,000,000 Interest Only 6.50 130,000 484,942 3.73 296
27705 1 1 1,996,424 Amortizing 9.00 214,296 249,555 1.16 297
80920 1 1 1,989,161 Amortizing 9.12 212,268 327,897 1.54 298
22309 2 1 1,986,052 Amortizing 9.75 224,568 251,679 1.12 299
90660 1 1 1,979,092 Amortizing 8.50 215,040 272,322 1.27 300
60106 1 1 1,973,833 Amortizing 8.62 197,856 204,858 1.04 301
20879 2 1 1,973,086 Amortizing 9.50 200,544 267,988 1.34 302
60035 2 1 1,972,839 Amortizing 9.12 206,088 193,262 0.94 303
08055 1 1 1,949,197 Amortizing 9.00 200,556 249,327 1.24 304
22314 1 1 1,944,149 Amortizing 9.50 279,648 851,828 3.05 305
27604 1 1 1,936,108 Amortizing 8.50 187,081 253,543 1.36 306
97005 1 1 1,927,763 Amortizing 9.75 217,152 254,085 1.17 307
92126 1 1 1,926,003 Amortizing 10.37 247,188 271,365 1.10 308
85034 1 1 1,914,233 Amortizing 10.37 217,308 353,282 1.63 309
94538 1 1 1,914,224 Amortizing 10.12 285,720 305,612 1.07 310
60657 1 1 1,906,843 Amortizing 7.87 179,256 197,632 1.10 311
91801 1 1 1,896,327 Amortizing 10.37 217,308 307,879 1.42 312
92407 1 1 1,888,776 Amortizing 10.12 207,528 239,977 1.16 313
90272 1 1 1,883,501 Amortizing 8.50 181,998 240,745 1.32 314
20861 1 1 1,875,962 Amortizing 9.75 210,792 269,117 1.28 315
94086 2 1 1,870,728 Amortizing 9.25 201,984 212,840 1.05 316
98503 1 1 1,867,528 Amortizing 8.87 191,784 259,348 1.35 317
07080 1 1 1,864,447 Amortizing 9.75 227,652 283,563 1.25 318
01581 1 1 1,854,817 Amortizing 7.12 151,992 271,731 1.79 319
20852 1 1 1,845,804 Amortizing 8.87 191,868 205,199 1.07 320
30245 2 1 1,834,046 Amortizing 9.75 205,836 252,152 1.23 321
92117 1 1 1,832,367 Amortizing 9.87 209,556 294,441 1.41 322
30328 1 1 1,831,090 Amortizing 9.00 236,280 248,346 1.05 323
08638 1 1 1,830,126 Amortizing 9.25 205,536 337,939 1.64 324
78766 1 1 1,821,134 Amortizing 9.87 207,480 320,919 1.55 325
97005 1 1 1,811,086 Amortizing 9.25 189,048 341,821 1.81 326
</TABLE>
A-31
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ----------------------------- ---------- ------------ -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
282 Valley Business Center Static 06/29/90 08/15/97 08/15/97 19 0
283 Townsquare Professional Bldg. '94 12/19/89 02/01/10 168 360
284 Flags West Apartments '94 01/17/84 02/01/99 02/01/99 36 0
285 Creekside Commons '94 06/16/88 06/30/98 29 300
286 Archer - Central Plaza '94 04/27/88 05/01/98 27 300
287 Wantage Plaza '94 07/19/88 08/10/08 151 240
288 7126-7140 Wisconsin Avenue '94 03/12/86 04/01/99 38 264
289 Corinth Gardens Static 01/01/96 12/31/02 84 300
290 University Park Associates II Static 05/12/87 06/01/99 40 286
291 Boxmaker Building '94 06/01/87 06/01/97 16 300
292 Turpanjian Properties '94 09/01/88 10/01/98 10/01/03 92 240
293 Mc Henry Center '94 01/21/87 02/01/98 02/01/02 72 360
294 Brice Square '94 01/05/89 01/15/08 144 240
295 111 Uranium Road Static 09/21/90 10/01/00 10/01/10 176 240
296 Rosecroft Shopping Center Static 09/17/86 05/25/99 05/25/99 40 0
297 Azalea Park Apartments '94 07/15/86 08/01/99 42 264
298 Rampart Medical Center '94 03/31/87 04/20/97 15 304
299 Cooper Center Static 06/09/86 07/01/96 07/01/01 65 300
300 9400 Whittier Blvd. '94 01/01/89 02/01/99 36 244
301 Thorndale Business Center '94 11/09/88 12/05/98 35 300
302 Route 124 Plaza '93 11/10/94 12/01/01 12/01/04 106 360
303 Garrity Square '94 10/18/88 11/01/98 11/01/03 93 310
304 Pineland Plaza '94 02/07/89 03/10/99 38 300
305 Jamestown Village II '94 06/29/87 07/01/07 137 240
306 Beltline Center Static 01/01/96 12/31/02 84 300
307 Hallwood Apartments '94 08/28/86 09/10/96 8 304
308 9279 Cabot Drive '94 05/01/89 06/01/99 40 360
309 Ennismore Of Albuquerque Static 10/02/89 11/01/99 45 360
310 Washington Medical Center '94 03/24/92 04/15/07 135 180
311 Near North Plaza '94 03/31/89 04/01/99 38 300
312 West Main Plaza '94 11/01/88 12/01/08 154 360
313 Payless Drug Store Pro Forma 04/01/91 05/01/21 303 360
314 Palisades Highlands Plaza '94 01/01/96 12/31/02 84 300
315 Ashton Village Center '94 11/18/86 12/01/96 10 304
316 Devcon Associates 28 Static 01/29/87 03/01/97 04/01/02 74 292
317 Attorney General Building '94 08/15/88 09/01/98 31 303
318 South Plainfield Fidelco Static 07/28/92 08/01/12 198 240
319 Alpha Analytical Building Static 09/25/89 10/01/99 44 360
320 Flint Hill Building '94 10/22/87 11/01/97 21 300
321 Pike Place '94 11/26/86 12/15/96 12/15/01 71 300
322 Casa Balboa '94 04/01/86 05/01/96 3 300
323 Woodlawn Specialty Center '94 05/27/88 06/01/03 88 192
324 Parkside Court Apartments '94 11/02/89 11/10/99 46 300
325 The Bill Milburn Building '94 06/27/86 07/01/96 6 304
326 Copeland's Sports Center '94 08/08/89 09/01/99 43 288
</TABLE>
A-32
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- ---------- ---------- ----------- -------------- ----------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 08/97 1982 97.0 06/19/95 202,540 10 33.0 282
Yield Maintenance 02/10 1984 100.0 04/05/95 23,668 89 69.0 283
Yield Maintenance 02/99 1971 85.0 06/13/95 156 13,379 58.0 284
Yield Maintenance 06/98 1986 100.0 03/01/95 23,109 90 73.0 285
Yield Maintenance 05/98 1988 100.0 01/16/95 29,171 71 74.0 286
Yield Maintenance 08/08 1968 100.0 07/18/95 111,780 18 53.0 287
Yield Maintenance 04/99 1960 100.0 07/04/95 20,502 101 70.0 288
Locked 07/02 01/01/98 1988 89.0 07/27/95 23,045 89 75.0 289
Yield Maintenance 06/99 1978 100.0 06/14/95 19,880 103 75.0 290
Yield Maintenance 05/97 1987 100.0 03/31/95 64,088 31 74.0 291
Yield Maintenance 10/98 1974 100.0 05/09/95 124,604 16 59.0 292
Yield Maintenance 01/98 1973 92.0 01/01/95 33,400 60 74.0 293
Yield Maintenance 01/07 1988 97.0 06/21/95 61,361 33 61.0 294
Yield Maintenance 09/00 1968 100.0 06/15/95 125,733 16 45.0 295
Yield Maintenance 05/99 1968 87.0 06/26/95 119,010 17 72.0 296
Yield Maintenance 08/99 1966 97.0 06/07/95 108 18,485 70.0 297
Yield Maintenance 04/97 1986 100.0 03/07/95 23,227 86 75.0 298
Yield Maintenance 06/96 1984 80.0 05/22/95 24,701 80 70.0 299
Yield Maintenance 02/99 1988 100.0 06/02/95 17,389 114 74.0 300
Yield Maintenance 11/98 1970 80.0 01/31/95 53,371 37 70.0 301
Yield Maintenance 12/01 1986 90.0 04/24/95 26,300 75 53.0 302
Yield Maintenance 11/98 1988 86.0 09/01/95 18,011 110 74.0 303
Yield Maintenance 03/99 1988 100.0 05/18/95 18,331 106 75.0 304
Yield Maintenance 07/07 1962 99.0 06/18/95 153 12,707 51.0 305
Locked 07/02 01/01/98 1985 69.0 07/06/95 88,227 22 75.0 306
Yield Maintenance 09/96 1985 100.0 11/01/94 76 25,365 76.0 307
Yield Maintenance 06/99 1979 100.0 06/05/95 55,357 35 71.0 308
Yield Maintenance 11/99 1976 100.0 11/01/95 52,000 37 75.0 309
Yield Maintenance 01/07 1977 100.0 06/02/95 24,545 78 54.0 310
Yield Maintenance 04/99 1982 94.0 03/31/94 16,547 115 70.0 311
Yield Maintenance 12/08 1986 93.0 05/19/95 23,519 81 60.0 312
Yield Maintenance 05/21 1991 100.0 06/16/95 23,672 80 71.0 313
Locked 07/02 01/01/98 1987 79.0 05/31/95 25,040 75 75.0 314
Yield Maintenance 12/96 1986 89.0 01/01/95 19,800 95 74.0 315
Yield Maintenance 02/97 1978 100.0 06/29/95 43,681 43 73.0 316
Yield Maintenance 09/98 1988 100.0 10/12/93 32,724 57 73.0 317
Yield Maintenance 08/12 1960 100.0 12/31/94 92,104 20 56.0 318
Yield Maintenance 10/99 1982 100.0 04/22/94 17,522 106 74.0 319
Yield Maintenance 11/97 1983 100.0 04/13/95 19,999 92 75.0 320
Yield Maintenance 12/96 1981 95.0 05/08/95 37,400 49 75.0 321
Yield Maintenance 05/96 1980 95.0 12/31/94 88 20,822 69.0 322
Yield Maintenance 06/03 1987 100.0 06/30/95 13,060 140 75.0 323
Yield Maintenance 11/99 1974 97.0 06/14/95 96 19,064 53.0 324
Yield Maintenance 07/96 1982 100.0 03/06/95 27,000 67 74.0 325
Open 1989 100.0 12/31/94 29,672 61 67.0 326
</TABLE>
A-33
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- ------------ ------------------------------ --------------------------------- --------------------- ---------
<S> <C> <C> <C> <C> <C>
327 Retail Village At Valley Ranch 9400 & 9448 Mcarthur Blvd Irving TX
328 Office Shepard Park Office Center 2177 Youngman Ave. St. Paul MN
329 Retail Harbor Place Shopping Center 415 Egg Harbor Rd. Wash Township NJ
330 Retail Various (330a - 330b) Various Various Vr
330a Other 5420 Butler Road 5420 Butler Road Bethesda MD
330b Retail 5437-5439 Butler Road 5437-5439 Butler Road Bethesda MD
331 Industrial Kirkland Business Center 11800 NE, 112th & 116th Sts. Kirkland WA
332 Warehouse 2555 Midpoint Drive 2555 Midpoint Drive Fort Collins CO
333 Retail Cloverly Center 15507-15537 New Hampshire Ave. Loverly MD
334 Industrial East Collins L P 1089 East Collins Boulevard Richardson TX
335 Multifamily Willowgate Apartments 707-868 Willowgate Circle Lilburn GA
336 Retail Palms Plaza 1155 S Dale Mabry Highway Tampa FL
337 Retail Pilgrim Shopping Center Route 23 & Claridge Dr. Cedar Grove & Verona Twps NJ
338 Retail 1637 P Street, NW 1637 P Street, NW Washington DC
339 Retail Chula Vista Center 362-398 F St. Chula Vista CA
340 Multifamily Abco Crown Villa Ltd. 9909 Hazard Ave. Garden Grove CA
341 Office Wyngate Medical Park 5602-5654 Shields Drive Bethesda MD
342 Industrial Smurfit Flexible Packaging 1228 East Tower Road Schaumburg IL
343 Retail East on Arapahoe 5340-5380 Arapahoe Road Boulder CO
344 Industrial Boyd Enterprises 815-849 W. 18Th St. Costa Mesa CA
345 Office The Olney Building 17904 Georgia Avenue Olney MD
346 Warehouse 1975 Swarthmore Avenue 1975 Swarthmore Avenue Lakewood NJ
347 Retail Cleveland Plaza Shopping Ctr. 1213 Cleveland Street Clearwater FL
348 Multifamily 645 Redondo Avenue 645 Redondo Avenue Long Beach CA
349 Office Aracor Building 425 Lakeside Drive Sunnyvale CA
350 Retail Heritage Walk 861 Holcomb Bridge Road Roswell GA
351 Warehouse Bloomington Business Park 900 And 1000 West 80th Street Bloomington MN
352 Retail Clocktower Square SWC Plainfield Rd. & 75th St. Naperville IL
353 Retail 1390 Ventura Boulevard 13901 Ventura Blvd. Sherman Oaks CA
354 Office Gaskin Eye Clinic 100 Queens Road Charlotte NC
355 Retail Sierra Madre 2361-2393 Colorado Boulevard Pasadena CA
356 Retail Center Square 475 Hurffville - Cross Keys Rd. Washington Township NJ
357 Warehouse 4800 Building 4800 Benson Avenue Baltimore MD
358 Industrial Street Road Industrial Park 340 & 355 Patricia/744 Nina Warminster PA
359 Warehouse Devcon Associates 37 320 S. Milpitas Boulevard Milpitas CA
360 Retail Grove Plaza 2240 Plaza Blvd. National City CA
361 Warehouse 707 Remington Road 707 Remington Road Schaumburg IL
362 Office Craig Corporate Center 500 Craig Road Manalapan NJ
363 Industrial Central Spur Properties 2700 Rydin Road Richmond CA
364 Warehouse 1201-1223 Avenue J 1201-1223 Avenue J Grand Prairie TX
365 Multifamily Tarzana Court Apartments 5544 Yolanda Avenue Tarzana CA
366 Office Pacifica Union Place 141 Union Boulevard Lakewood CO
367 Office Triplex Direct Marketing 20 Leveroni Court Novato CA
368 Retail 15 South Plaza 694 Route 15 South Jefferson Twp. NJ
369 Warehouse Atg Incorporated 47375 Fremont Boulevard Fremont CA
</TABLE>
A-34
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- ------------- --------- --------- ------------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
75063 1 1 1,806,174 Amortizing 8.750 185,724 306,596 1.65 327
55116 1 1 1,802,976 Amortizing 8.500 177,516 172,190 0.97 328
07675 1 1 1,800,883 Amortizing 8.500 174,014 239,806 1.38 329
Vrs 1 1 1,799,727 Amortizing 8.875 187,068 278,342 1.49 330
20814 - - - - 330a
20814 - - - - 330b
98034 1 1 1,787,876 Amortizing 8.125 172,188 513,874 2.98 331
80525 2 1 1,768,664 Amortizing 9.625 220,044 300,246 1.36 332
20904 1 1 1,761,895 Amortizing 8.500 176,376 297,262 1.69 333
75210 1 1 1,761,568 Amortizing 8.500 172,128 229,834 1.34 334
30247 1 1 1,732,191 Amortizing 9.125 205,752 221,591 1.08 335
33629 1 1 1,730,196 Amortizing 8.750 175,968 240,072 1.36 336
07009 2 1 1,728,144 Amortizing 8.750 239,868 745,286 3.11 337
20005 1 1 1,725,615 Amortizing 9.500 192,504 298,681 1.55 338
92010 1 1 1,721,517 Amortizing 10.375 225,720 246,242 1.09 339
92644 2 1 1,714,725 Amortizing 10.000 217,092 269,227 1.24 340
20814 1 1 1,713,220 Amortizing 9.250 205,536 403,717 1.96 341
60195 1 1 1,710,226 Amortizing 11.000 240,552 399,426 1.66 342
80306 2 1 1,708,196 Amortizing 9.375 179,364 296,328 1.65 343
92627 2 1 1,704,245 Amortizing 9.750 254,256 649,200 2.55 344
20832 1 1 1,700,964 Amortizing 9.500 188,724 180,343 0.96 345
08701 1 1 1,698,933 Amortizing 10.250 235,596 256,863 1.09 346
34618 1 1 1,693,932 Amortizing 8.500 163,680 246,242 1.50 347
90814 1 1 1,692,809 Amortizing 10.125 191,556 297,706 1.55 348
94086 2 1 1,648,900 Amortizing 9.000 173,460 234,835 1.35 349
30075 1 1 1,644,586 Amortizing 8.000 156,396 143,073 0.91 350
55420 2 1 1,644,222 Amortizing 9.375 172,176 179,348 1.04 351
60565 1 1 1,643,625 Amortizing 10.500 189,252 260,046 1.37 352
91423 1 1 1,637,037 Amortizing 9.500 185,280 166,922 0.90 353
28204 2 1 1,630,656 Amortizing 8.500 163,032 260,463 1.60 354
91050 1 1 1,622,201 Amortizing 8.500 156,749 194,495 1.24 355
07675 1 1 1,599,284 Amortizing 8.500 154,534 232,879 1.51 356
21227 1 1 1,590,304 Amortizing 8.500 171,804 210,592 1.23 357
18974 2 1 1,588,374 Amortizing 10.375 189,684 148,365 0.78 358
95035 2 1 1,579,903 Amortizing 9.750 179,352 314,828 1.76 359
92050 1 1 1,578,665 Amortizing 9.500 170,772 177,089 1.04 360
60172 2 1 1,554,397 Amortizing 9.250 167,004 213,951 1.28 361
07728 1 1 1,541,521 Amortizing 8.500 148,953 327,185 2.20 362
94804 2 1 1,526,737 Amortizing 9.500 161,448 222,019 1.38 363
75050 1 1 1,521,810 Amortizing 9.875 158,940 181,965 1.14 364
91356 1 1 1,520,755 Amortizing 7.875 147,384 125,121 0.85 365
80215 1 1 1,510,314 Amortizing 9.500 180,108 613,896 3.41 366
94948 2 1 1,508,382 Amortizing 9.625 233,172 460,892 1.98 367
07438 1 1 1,503,854 Amortizing 8.250 145,956 167,211 1.15 368
94538 2 1 1,502,778 Amortizing 9.500 164,832 217,321 1.32 369
</TABLE>
A-35
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ----------------------------- --------- ----------- -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
327 Village At Valley Ranch '94 11/19/92 12/01/02 82 300
328 Shepard Park Office Center '94 06/01/89 07/05/99 42 303
329 Harbor Place Shopping Center Pro Forma 01/01/96 12/31/02 84 300
330 Various (330a - 330b) '93 10/07/87 11/01/97 21 300
330a 5420 Butler Road
330b 5437-5439 Butler Road
331 Kirkland Business Center Static 12/14/88 01/01/99 35 300
332 2555 Midpoint Drive '94 06/13/91 07/15/96 07/15/01 66 240
333 Cloverly Center Static 05/12/88 06/01/98 28 300
334 East Collins L P '94 03/01/94 03/01/04 97 300
335 Willowgate Apartments '94 02/17/87 03/01/97 13 240
336 Palms Plaza '94 08/08/88 08/15/98 31 300
337 Pilgrim Shopping Center '94 06/15/92 07/01/97 07/01/02 77 180
338 1637 P Street, NW '94 03/31/86 04/01/96 2 300
339 Chula Vista Center Static 02/01/91 03/15/11 182 240
340 Abco Crown Villa Ltd. '93 09/01/86 10/01/96 10/01/01 68 244
341 Wyngate Medical Park '94 12/18/86 02/01/97 12 300
342 Smurfit Flexible Packaging '94 11/15/89 12/15/09 167 240
343 East on Arapahoe Static 11/08/89 12/01/99 12/01/09 167 342
344 Boyd Enterprises '93 12/01/91 01/01/97 01/01/02 71 180
345 The Olney Building '94 06/30/86 08/01/96 6 300
346 1975 Swarthmore Avenue '94 03/09/89 04/01/09 158 240
347 Cleveland Plaza Shopping Ctr. Static 01/01/96 12/31/02 84 300
348 645 Redondo Avenue Static 05/01/88 06/01/08 148 360
349 Aracor Building '94 06/29/87 08/05/97 08/05/02 79 300
350 Heritage Walk Static 02/08/89 02/15/99 37 300
351 Bloomington Business Park Static 02/27/90 03/05/00 03/05/10 170 360
352 Clocktower Square '94 03/23/89 04/15/09 159 360
353 1390 Ventura Boulevard Static 05/01/85 06/01/00 52 260
354 Gaskin Eye Clinic '94 06/16/88 07/01/98 07/01/08 149 300
355 Sierra Madre Pro Forma 01/01/96 12/31/02 84 300
356 Center Square '94 01/01/96 12/31/02 84 300
357 4800 Building Static 04/20/89 05/01/99 39 240
358 Street Road Industrial Park '94 08/27/90 09/15/00 09/15/05 116 300
359 Devcon Associates 37 '94 03/12/86 04/01/96 04/01/01 62 302
360 Grove Plaza '93 03/01/88 04/10/97 15 288
361 707 Remington Road '94 06/01/87 07/01/97 07/01/02 77 300
362 Craig Corporate Center Static 01/01/96 12/31/02 84 300
363 Central Spur Properties '94 03/19/90 04/01/00 04/01/05 110 360
364 1201-1223 Avenue J Static 08/12/86 12/31/99 47 360
365 Tarzana Court Apartments '94 04/01/87 05/15/01 64 276
366 Pacifica Union Place Static 06/01/93 10/05/12 201 233
367 Triplex Direct Marketing '94 03/17/86 04/01/96 04/01/01 62 181
368 15 South Plaza '94 01/04/89 02/15/99 37 300
369 Atg Incorporated '93 11/18/86 12/01/97 12/01/01 70 324
</TABLE>
A-36
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- ---------- ---------- ----------- ------------ --------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 11/97 1986 93.0 03/21/95 26,393 68 68.0 327
Yield Maintenance 07/99 1982 100.0 04/27/95 21,836 83 73.0 328
Locked 07/02 01/01/98 1988 61.0 06/05/95 30,130 60 75.0 329
Yield Maintenance 11/97 Vrs - 25,500 71 71.0 330
1986 100.0 03/01/95 19,000 - - 330a
1986 77.0 05/18/94 6,500 - - 330b
Yield Maintenance 01/99 1968 95.0 02/14/95 110,747 16 47.0 331
Yield Maintenance 07/96 1991 100.0 05/01/95 47,500 37 68.0 332
Yield Maintenance 06/98 1974 100.0 01/01/95 28,060 63 75.0 333
Yield Maintenance 03/04 1983 100.0 03/13/95 64,155 27 94.0 334
Yield Maintenance 03/97 1980 95.0 05/18/95 61 28,397 72.0 335
Yield Maintenance 08/98 1983 95.0 07/11/95 33,050 52 64.0 336
Yield Maintenance 07/97 1960 100.0 12/31/94 180,193 10 34.0 337
Yield Maintenance 04/96 1985 100.0 03/03/95 14,800 117 75.0 338
Yield Maintenance 03/11 1960 92.0 01/01/95 48,609 35 41.0 339
Yield Maintenance 10/96 1973 95.0 12/31/93 61 28,110 61.0 340
Yield Maintenance 02/97 1978 96.0 02/01/95 23,640 72 75.0 341
Yield Maintenance 12/09 1968 100.0 11/02/94 75,127 23 61.0 342
Yield Maintenance 12/99 1989 100.0 03/01/95 22,691 75 75.0 343
Yield Maintenance 01/97 1960 100.0 05/09/95 153,761 11 28.0 344
Yield Maintenance 08/96 1978 84.0 12/31/94 27,726 61 75.0 345
Yield Maintenance 04/09 1988 100.0 12/31/94 55,000 31 59.0 346
Locked 07/02 01/01/98 1954 67.0 06/07/95 75,820 22 63.0 347
Yield Maintenance 06/08 1988 90.0 05/09/95 59 28,692 71.0 348
Yield Maintenance 08/97 1977 100.0 06/29/95 25,695 64 72.0 349
Yield Maintenance 02/99 1989 100.0 04/06/95 19,025 86 75.0 350
Yield Maintenance 03/00 1987 90.0 03/01/95 40,200 41 72.0 351
Yield Maintenance 04/09 1988 100.0 03/08/95 15,350 107 75.0 352
Yield Maintenance 06/00 1985 85.0 07/11/95 14,843 110 60.0 353
Yield Maintenance 07/98 1985 100.0 03/31/95 17,838 91 70.0 354
Locked 07/02 01/01/98 1985 76.0 05/30/95 15,955 102 75.0 355
Locked 07/02 01/01/98 1987 74.0 07/11/95 34,125 47 75.0 356
Yield Maintenance 05/99 1976 84.0 12/31/94 66,211 24 64.0 357
Yield Maintenance 09/00 1983 100.0 05/30/95 48,700 33 69.0 358
Yield Maintenance 03/96 1981 100.0 06/05/95 35,460 45 69.0 359
Yield Maintenance 04/97 1988 83.0 06/05/95 16,007 99 74.0 360
Yield Maintenance 07/97 1986 100.0 08/15/95 49,860 31 74.0 361
Locked 07/02 01/01/98 1988 100.0 06/20/95 30,848 50 40.0 362
Yield Maintenance 03/00 1974 100.0 12/01/94 36,699 42 75.0 363
Yield Maintenance 12/99 1981 100.0 10/01/95 60,000 25 75.0 364
Yield Maintenance 05/01 1986 91.0 06/03/94 24 63,365 73.0 365
Yield Maintenance 10/12 1984 100.0 07/01/95 63,419 24 42.0 366
Yield Maintenance 03/96 1985 100.0 02/21/95 29,442 51 75.0 367
Yield Maintenance 02/99 1989 88.0 01/01/95 17,748 85 70.0 368
Yield Maintenance 11/97 1986 100.0 06/05/95 41,000 37 74.0 369
</TABLE>
A-37
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
---- ----------- ------------------------------- ------------------------------ ------------------- -----
<S> <C> <C> <C> <C> <C>
370 Retail La Mesa Center 8372 Center Dr. La Mesa CA
371 Warehouse Crow - Southport Business Park 5921-5937 Loop 610 South Houston TX
372 Warehouse John Crane Warehouse Facility 17080 Mill Forest Road Clear Lake City TX
373 Warehouse American International 1040 Avenida Acaso Camarillo CA
374 Warehouse Sherwin Williams Company 1450 Avenue R Grand Prairie TX
375 Multifamily Timberlawn Apartments 15850 Northeast 40th Street Redmond WA
376 Warehouse Southlawn Buildings 14650 Southlawn Lane Rockville MD
377 Warehouse Voorhees Corporate Park 701 Cooper Road Voorhees Township NJ
378 Warehouse Huntington Commerce Center 15121 Graham St. Huntington Beach CA
379 Warehouse 2629-2649 Terminal Boulevard 2629-2649 Terminal Boulevard Mountain View CA
380 Office Flourney Corporation Headqtrs 900 Brookstone Center Parkway Columbus GA
381 Retail Seneca Park Plaza 13501 Clopper Rd. Germantown MD
382 Retail Von's Supermarket/Grocery 12565 Carson Street Hawaiian Gardens CA
383 Retail Winn Dixie Plaza 2134-2200 S. Atlantic Avenue Daytona Beach Shore FL
384 Retail Whaley's Shopping Center 533 South Howard Avenue Tampa FL
385 Warehouse Gillespi Business Center II 2135 Defoor Hills Road Atlanta GA
386 Industrial Wescoturf Building 2101 Cantu Court Sarasota FL
387 Retail The Market 430 Market Street Elmwood Park NJ
388 Office Bing Hong Mah & Jean B. Mah 636-638 Webster Street Oakland CA
389 Multifamily Country Quarters Apts. 2180-2246 Country Quarters Wal Snellville GA
390 Retail Pablo Village Center 1222 S. 3rd Street Jacksonville Beach FL
391 Multifamily Tamara Colonial Estates 372 SE 194th Avenue Portland OR
392 Retail Irving - Kimball Shopping Cent 3401-3417 West Irving Park Road Chicago IL
393 Warehouse 848 East Gish Road 848 East Gish Road San Jose CA
394 Office 970 Dewing Avenue 970 Dewing Avenue Lafayette CA
395 Industrial 12532 Barringer St. 12532 Barringer St. So. El Monte CA
396 Retail Larchmont Boulevard Building 242-252 N. Larchmont Blvd. Los Angeles CA
397 Retail Clinton Square 6415 Old Alexandria Ferry Rd. Clinton MD
398 Office 1409 Kings Highway, North 1409 Kings Highway, North Cherry Hill Town NJ
399 Warehouse 2101-2144 Hellman Ave. 2101-2144 Hellman Ave. Onterio CA
400 Retail North Beach Village Shpg. Ctr. 1505 3Rd Street North Jacksonville Beach FL
401 Multifamily Chateau Brentana Apartments 11666 Montana Ave. Los Angeles CA
402 Warehouse Loral Building 7235 Standard Drive Hanover MD
403 Office Westlake Office Plaza 2835 Townsgate Rd. Thousand Oaks CA
404 Office 105 South Maple Avenue 105 Morris Avenue Springfield NJ
405 Retail Costa Villa Shopping Center 1155 Coast Village Road Santa Barbara CA
406 Multifamily The Diplomat 2420 16th Street, NW Washington DC
407 Retail Ira Forest Center 15611-19 Ventura Blvd. Encino CA
408 Retail McFarland Court 6Th Avenue & San Carlos Street Carmel-By-The-Sea CA
409 Multifamily Bayfront Villas Apartments 3201 58th Street South Gulfport FL
410 Retail Berwyn Plaza 6901 West Ogden Avenue Berwyn IL
411 Office Townlake Office Building 155 South First Street Austin TX
412 Industrial J K & R Building 33200 Transit Avenue Union City CA
413 Industrial 1415 Gardena Partnership 1415 Gardena Ave. Glendale CA
414 Office Cigna Health Plan Clinic 24902 Moulton Pkwy. Laguna Hills CA
</TABLE>
A-38
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- ----------------- --------- ------------ --------------- ----------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
92042 1 1 1,501,316 Amortizing 8.500 149,184 173,928 1.17 370
77033 1 1 1,496,547 Amortizing 8.500 144,607 221,995 1.54 371
77598 1 1 1,491,335 Amortizing 10.125 164,952 195,471 1.19 372
93010 1 1 1,486,916 Amortizing 10.375 169,500 186,750 1.10 373
75050 1 1 1,477,318 Amortizing 10.250 188,988 207,293 1.10 374
98052 1 1 1,474,358 Amortizing 8.750 161,124 537,735 3.34 375
20850 1 1 1,464,699 Amortizing 9.500 162,516 159,400 0.98 376
08043 1 1 1,462,078 Amortizing 8.000 138,864 139,920 1.01 377
92649 1 1 1,459,630 Amortizing 8.500 141,040 201,123 1.43 378
94043 1 1 1,456,346 Amortizing 9.250 177,192 255,844 1.44 379
31904 1 1 1,454,304 Amortizing 10.625 169,116 175,987 1.04 380
20874 1 1 1,431,105 Amortizing 8.500 138,284 237,484 1.72 381
90716 1 1 1,413,916 Amortizing 10.250 167,652 473,338 2.82 382
32116 1 1 1,413,683 Amortizing 10.375 207,900 228,390 1.10 383
33679 1 1 1,409,771 Amortizing 8.875 158,316 218,332 1.38 384
33038 2 1 1,396,893 Amortizing 9.250 165,012 142,814 0.87 385
34232 1 1 1,382,801 Amortizing 10.000 157,968 253,132 1.60 386
07407 1 1 1,377,669 Amortizing 10.500 169,956 311,690 1.83 387
94607 1 1 1,377,556 Amortizing 10.125 160,896 304,498 1.89 388
30087 1 1 1,367,455 Amortizing 9.125 146,316 140,664 0.96 389
32250 1 1 1,367,250 Amortizing 9.875 172,224 188,932 1.10 390
97233 1 1 1,364,003 Amortizing 9.750 154,656 187,562 1.21 391
60618 1 1 1,363,562 Amortizing 8.875 140,700 184,630 1.31 392
95112 2 1 1,354,884 Amortizing 7.500 129,612 147,758 1.14 393
94549 2 1 1,352,459 Amortizing 8.750 136,008 152,934 1.12 394
91733 1 1 1,351,384 Amortizing 9.875 154,548 200,498 1.30 395
90004 2 1 1,332,559 Amortizing 9.250 154,560 146,767 0.95 396
20815 1 1 1,312,529 Interest Only 6.500 85,314 229,533 2.69 397
08034 1 1 1,309,651 Amortizing 9.750 144,348 111,153 0.77 398
91761 2 1 1,305,877 Amortizing 9.500 141,264 192,555 1.36 399
32250 2 1 1,300,141 Amortizing 9.875 172,224 209,100 1.21 400
90049 2 1 1,296,458 Amortizing 9.250 154,152 274,816 1.78 401
21076 1 1 1,285,311 Amortizing 9.875 145,884 242,859 1.66 402
91361 1 1 1,282,543 Amortizing 9.125 136,692 140,350 1.03 403
07081 1 1 1,279,061 Amortizing 8.750 130,716 148,457 1.14 404
93108 1 1 1,273,134 Amortizing 9.625 145,548 172,683 1.19 405
20009 1 1 1,266,516 Amortizing 8.500 122,380 176,594 1.44 406
91436 1 1 1,259,393 Amortizing 8.875 138,816 191,621 1.38 407
93921 1 1 1,247,376 Amortizing 8.500 120,531 180,988 1.50 408
33707 1 1 1,234,497 Amortizing 9.000 139,512 261,344 1.87 409
60402 1 1 1,234,259 Amortizing 9.250 128,340 168,507 1.31 410
78704 1 1 1,233,546 Amortizing 8.875 191,004 304,043 1.59 411
94587 1 1 1,226,326 Amortizing 9.875 142,380 219,307 1.54 412
91204 1 1 1,224,092 Amortizing 8.750 124,068 144,756 1.17 413
92653 1 1 1,220,751 Amortizing 9.125 134,832 169,164 1.25 414
</TABLE>
A-39
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
- ------- ----------------------------- ---------- ------------ -------------- ---------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
370 La Mesa Center '94 11/01/88 44/44/44 44/44/44 12/01/98 34 300
371 Crow - Southport Business Park Static 01/01/96 12/31/02 84 300
372 John Crane Warehouse Facility '94 07/05/90 08/01/00 54 360
373 American International Pro Forma 04/01/89 05/15/99 40 360
374 Sherwin Williams Company Pro Forma 11/04/86 12/01/03 94 300
375 Timberlawn Apartments '94 07/12/89 08/01/99 42 240
376 Southlawn Buildings Static 07/15/86 07/15/96 6 300
377 Voorhees Corporate Park '94 03/16/89 04/01/99 38 303
378 Huntington Commerce Center Static 01/01/96 12/31/02 84 300
379 2629-2649 Terminal Boulevard '94 07/02/86 08/01/02 78 208
380 Flourney Corporation Headqtrs Pro Forma 03/16/89 04/01/09 158 360
381 Seneca Park Plaza Static 01/01/96 12/31/02 84 300
382 Von's Supermarket/Grocery '94 07/31/85 09/01/00 55 300
383 Winn Dixie Plaza '94 10/29/87 11/10/07 142 240
384 Whaley's Shopping Center '94 03/16/87 04/15/99 39 240
385 Gillespi Business Center II Static 07/28/87 08/15/97 08/01/02 79 300
386 Wescoturf Building '93 11/06/86 12/10/99 47 262
387 The Market '94 04/02/90 03/16/00 50 300
388 Bing Hong Mah & Jean B. Mah '94 01/13/86 02/01/01 60 300
389 Country Quarters Apts. '94 02/05/87 03/01/97 13 360
390 Pablo Village Center '93 07/25/91 08/20/01 67 240
391 Tamara Colonial Estates Pro Forma 04/30/86 05/01/96 3 360
392 Irving - Kimball Shopping Cent '94 04/27/88 05/01/98 27 303
393 848 East Gish Road '94 06/30/86 07/15/96 07/15/99 42 252
394 970 Dewing Avenue Static 06/01/89 07/01/99 07/01/04 101 309
395 12532 Barringer St. Static 04/01/86 05/01/96 3 300
396 Larchmont Boulevard Building Static 05/01/88 07/01/98 07/01/08 149 244
397 Clinton Square Static 12/12/88 05/25/99 05/25/99 40 0
398 1409 Kings Highway, North '94 04/15/88 05/01/98 27 360
399 2101-2144 Hellman Ave. '93 03/01/88 04/10/98 04/10/03 87 360
400 North Beach Village Shpg. Ctr. '93 12/14/89 11/20/99 12/20/09 167 240
401 Chateau Brentana Apartments '94 04/01/87 05/20/97 05/20/02 76 300
402 Loral Building '94 10/23/86 10/01/06 128 360
403 Westlake Office Plaza Static 04/01/87 06/01/97 16 360
404 105 South Maple Avenue '94 03/31/88 05/01/98 27 300
405 Costa Villa Shopping Center '94 04/12/85 04/15/00 51 300
406 The Diplomat Pro Forma 02/01/96 12/31/02 84 300
407 Ira Forest Center '94 07/11/84 08/01/99 42 243
408 McFarland Court '94 02/01/96 12/31/02 84 300
409 Bayfront Villas Apartments '94 05/24/89 06/15/99 41 242
410 Berwyn Plaza '94 12/12/89 01/01/00 47 360
411 Townlake Office Building '94 09/10/75 09/15/05 116 360
412 J K & R Building '94 05/16/85 06/01/05 112 300
413 1415 Gardena Partnership '94 10/10/88 11/10/98 34 303
414 Cigna Health Plan Clinic '94 04/25/85 05/01/00 51 252
A-40
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
</TABLE>
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ----------- ----------- ------- -------- ---------- ----------- -------------- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 12/98 1989 81. 0 04/11/95 14,598 103 73.0 370
Locked 07/02 01/01/98 1981 100.0 12/22/94 110,03 14 75.0 371
Yield Maintenance 08/00 1990 100.0 06/12/95 40,500 37 71.0 372
Yield Maintenance 05/99 1986 100.0 05/06/94 40,335 37 71.0 373
Yield Maintenance 12/03 1979 100.0 07/01/94 73,037 20 71.0 374
Yield Maintenance 07/99 1987 100.0 10/26/94 40 36,859 70.0 375
Yield Maintenance 07/96 1968 78.0 02/28/95 45,212 32 75.0 376
Yield Maintenance 04/99 1987 85.0 05/18/95 32,756 45 73.0 377
Locked 07/02 01/01/98 1986 92.0 06/25/95 67,551 22 75.0 378
Yield Maintenance 08/02 1974 100.0 01/23/95 43,985 33 73.0 379
Yield Maintenance 04/09 1987 100.0 05/23/95 24,694 59 61.0 380
Locked 07/02 01/01/98 1985 58.0 07/17/95 24,752 58 75.0 381
Yield Maintenance 09/00 1979 100.0 06/20/95 35,000 40 68.0 382
Yield Maintenance 11/07 1964 100.0 03/29/95 51,063 28 72.0 383
Yield Maintenance 04/99 1987 100.0 12/31/94 20,464 69 75.0 384
Yield Maintenance 08/97 1968 91.0 05/02/95 47,993 29 71.0 385
Yield Maintenance 12/99 1986 100.0 10/25/94 41,814 33 70.0 386
Yield Maintenance 03/00 1959 100.0 12/31/94 20,104 69 42.0 387
Yield Maintenance 02/01 1985 100.0 05/23/95 18,000 77 75.0 388
Yield Maintenance 03/97 1985 98.0 05/18/95 40 34,186 69.0 389
Yield Maintenance 08/01 1988 92.0 04/30/95 19,910 69 59.0 390
Yield Maintenance 05/96 1974 94.0 12/12/94 70 19,486 71.0 391
Yield Maintenance 05/98 1987 100.0 01/16/95 14,000 97 75.0 392
Yield Maintenance 07/96 1982 100.0 02/06/95 28,668 47 75.0 393
Yield Maintenance 06/99 1985 100.0 06/22/95 10,737 126 72.0 394
Yield Maintenance 05/96 1974 100.0 06/09/95 94,431 14 41.0 395
Yield Maintenance 07/98 1923 100.0 06/22/95 8,485 157 75.0 396
Yield Maintenance 05/99 1980 100.0 01/01/95 18,961 69 72.0 397
Yield Maintenance 05/98 1968 100.0 05/01/95 16,042 82 72.0 398
Yield Maintenance 04/98 1987 93.0 06/01/95 66,122 20 70.0 399
Yield Maintenance 11/99 1989 100.0 04/01/95 20,725 63 67.0 400
Yield Maintenance 05/97 1969 100.0 03/31/95 36 36,013 48.0 401
Yield Maintenance 10/06 1971 100.0 06/29/95 30,000 43 74.0 402
Yield Maintenance 06/97 1986 100.0 01/16/95 10,675 120 74.0 403
Yield Maintenance 05/98 1987 100.0 12/31/94 13,437 95 74.0 404
Locked 04/00 1984 100.0 12/01/94 12,344 103 69.0 405
Locked 07/02 01/01/98 1940 94.0 07/01/95 100 12,665 49.0 406
Locked 08/99 1980 89.0 03/31/95 14,406 87 46.0 407
Locked 07/02 01/01/98 1974 100.0 03/15/95 8,385 149 74.0 408
Yield Maintenance 06/99 1964 91.0 03/24/95 121 10,202 37.0 409
Yield Maintenance 01/00 1983 100.0 12/31/94 18,138 68 74.0 410
Declining 09/05 1975 100.0 06/20/95 65,375 19 74.0 411
Yield Maintenance 06/05 1984 100.0 02/15/95 53,184 23 45.0 412
Yield Maintenance 11/98 1986 90.0 06/02/95 24,462 50 69.0 413
Locked 05/00 1984 100.0 04/14/95 9,775 125 68.0 414
</TABLE>
A-41
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ------ ----------- -------------------------------- ------------------------------- --------------------- -----
<S> <C> <C> <C> <C> <C>
415 Retail Frazer Shopping Center 477 Lancaster Avenue Frazer (E. Whiteland Twnshp) PA
416 Retail International Corner Plaza 2905 International Drive Orlando FL
417 Warehouse Cook Associates 7608 Fullerton Road Springfield VA
418 Office T S & H Office Building 209 Fayetteville Street Mall Raleigh NC
419 Retail Barry Plaza 11651 Santa Monica Blvd. Los Angeles CA
420 Retail G. I. Joe's 700 NW Eastman Parkway Gresham OR
421 Retail Miami Circle Showroom 727-737 Miami Circle Atlanta GA
422 Warehouse 2500-2520 Park Central 2500-2520 Park Central Decatur GA
423 Industrial 2320 Orangethorpe Ave. 2320 Orangethorp Ave. Anaheim CA
424 Retail Cascades at Lake St. George 3382-3392 Tampa Road. Palm Harbor FL
425 Office Shell Ridge Professional Park 108 La Casa Via Walnut Creek CA
426 Retail Oakes Village Retail Center 4704 S. Oakes Street Tacoma WA
427 Office 1321 N. Harbor Blvd. 1321 N. Harbor Blvd. Fullerton CA
428 Retail Kimball Plaza 3214-3224 North Kimball Avenue Chicago IL
429 Warehouse Win Communications 6755 Jimmy Carter Boulevard Norcross GA
430 Multifamily Front Royale Apartments 10107 Westview Drive Houston TX
431 Office Professional Center / Hinsdale 105 East First Street Hinsdale IL
432 Multifamily Quincy Manor Apartments 3603 55Th Avenue Hyattsville MD
433 Multifamily Possum Park Apartments 630 Kirkwood Highway Newark DE
434 Office Lake Avenue Corporate Center 660 South Pointe Court Colorado Springs CO
435 Retail Black Horse Pike Plaza 835-55 North Black Horse Pike Washington Township NJ
436 Office 1725 & 1735 Spruce Street 1725 & 1735 Spruce Street Riverside CA
437 Warehouse Merri - Park Building 8305 Merrifield Fairfax VA
438 Retail Houghton Plaza 935-967 - 180th Avenue NE Kirkland WA
439 Retail Dartmoor Shopping Center 1024 Mc Henry Avenue Crystal Lake IL
440 Warehouse Various (440a - 440b) Various Various Vr
440a Warehouse College West Business Park 1955 University Street Lisle IL
440b Warehouse College West Business Park 1944 University Street Lisle IL
441 Industrial Cyantek Building 3055 Osgood Court Fremont CA
442 Warehouse Segale Business Warehouse 18240-18340 Southcenter Parkwy Seattle WA
443 Office Various (443a - 443b) Various Various Vr
443a Office 2880 Cleveland Avenue 2880 Cleveland Avenue Santa Rosa CA
443b Retail Herrington Square 93-121 Southwest Blvd Rohnert Park CA
444 Industrial Sun Technology Park 805-809 Aldo Avenue Santa Clara CA
445 Warehouse Dowel Associates 35-37 National Road Edison NJ
446 Retail People's Plaza 100 Ryders Lane Milltown NJ
447 Office 9410 Annapolis Road 9410 Annapolis Road Lanham MD
448 Retail Brentwood Square 1231-1233 Brentwood Rd. NE Washington DC
449 Industrial 2042 Corte Del Nogal 2042 Corte Del Nogal Carlsbad CA
450 Retail Anchorage Square Plaza 1747 Hooper Avenue Toms River NJ
451 Retail Best Buy 11219 North Freeway Houston TX
452 Multifamily Envoy Apartments 2336 SW Osage Street Portland OR
453 Office Pollard Medical Center 825 Pollard Road Los Gatos CA
454 Warehouse Federal Express Building 2195 S Raritan Street Englewood CO
455 Warehouse 401 E. Acacia Street 401 E. Acacia Street Tracy CA
</TABLE>
A-42
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ---------- ------- ------- ----------- ------------- --------- --------- ----------- ----- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
19355 1 1 1,220,372 Amortizing 8.500 121,416 189,497 1.56 415
32815 1 1 1,216,986 Amortizing 8.750 115,296 116,102 1.01 416
22153 1 1 1,215,841 Amortizing 9.125 128,316 235,485 1.84 417
27604 1 1 1,213,992 Amortizing 10.250 155,640 192,130 1.23 418
90025 1 1 1,212,599 Amortizing 9.000 117,612 213,839 1.82 419
97030 1 1 1,208,331 Amortizing 9.750 134,028 306,461 1.36 420
30324 1 1 1,201,946 Amortizing 9.625 157,980 203,400 1.29 421
30035 1 1 1,194,876 Amortizing 8.500 115,458 175,589 1.52 422
92807 1 1 1,194,826 Amortizing 9.375 174,492 294,684 1.69 423
34618 1 1 1,193,667 Amortizing 10.000 135,420 184,944 1.37 424
94598 1 1 1,193,160 Amortizing 10.250 134,424 153,827 1.14 425
98409 1 1 1,192,995 Amortizing 9.625 127,500 173,470 1.36 426
92635 1 2 1,178,769 Amortizing 9.875 139,164 261,297 1.09 427
60618 1 1 1,175,483 Amortizing 8.875 121,296 146,844 1.21 428
30071 1 1 1,163,766 Amortizing 10.000 136,272 137,683 1.01 429
77043 1 1 1,157,223 Amortizing 8.750 181,872 310,819 1.71 430
60521 1 1 1,154,025 Amortizing 9.500 126,132 154,637 1.23 431
20784 2 1 1,151,991 Amortizing 9.930 149,832 678,608 4.53 432
19711 1 1 1,147,298 Amortizing 9.500 131,064 191,036 1.46 433
80906 1 1 1,145,208 Amortizing 10.000 131,952 131,773 1.00 434
08012 1 1 1,143,332 Amortizing 8.500 110,477 167,486 1.52 435
92507 1 1 1,140,990 Amortizing 9.625 128,232 179,059 1.40 436
22216 2 1 1,118,878 Amortizing 9.500 136,308 297,728 2.18 437
98033 1 1 1,111,804 Amortizing 10.750 129,948 173,301 1.33 438
60014 2 1 1,109,754 Amortizing 9.500 121,031 168,678 1.39 439
Vrs 1 1 1,107,736 Amortizing 7.750 102,936 141,651 1.38 440
60532 - - - - 440a
60532 - - - - 440b
94538 2 1 1,105,745 Amortizing 9.625 126,792 214,736 1.69 441
98188 1 1 1,087,408 Amortizing 12.500 321,696 446,217 1.39 442
Vrs 1 1 1,081,198 Amortizing 9.875 134,988 121,319 0.90 443
95406 - - - - 443a
94928 - - - - 443b
95054 2 1 1,080,808 Amortizing 8.500 106,296 566,857 5.33 444
91068 1 1 1,057,283 Amortizing 9.500 130,872 192,752 1.47 445
08850 1 1 1,057,209 Amortizing 7.875 112,248 189,854 1.69 446
20706 1 1 1,055,493 Amortizing 9.750 131,376 159,108 1.21 447
20018 1 1 1,050,000 Amortizing 8.500 101,459 190,354 1.88 448
92008 1 1 1,048,743 Amortizing 10.500 120,756 199,987 1.66 449
08534 1 1 1,038,544 Amortizing 8.500 96,888 181,942 1.88 450
77037 1 1 1,038,056 Amortizing 10.375 141,312 162,106 1.15 451
97205 1 1 1,035,277 Amortizing 9.375 123,792 220,396 1.78 452
95030 2 1 1,033,457 Amortizing 8.875 105,888 142,487 1.35 453
80110 1 1 1,032,634 Amortizing 9.875 116,916 128,019 1.09 454
95376 1 1 1,026,351 Amortizing 8.500 110,664 149,935 1.35 455
</TABLE>
A-43
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
INTEREST REMAINING
ONLY NEXT RATE TERM SCHEDULED
LOAN PROPERTY SOURCE OF ORIGINATION END RESET MATURITY TO MATURITY AMORTIZATION
NO. NAME NOI DATE DATE DATE DATE (MO.) (MO.)
- ----- ------------- --------- ----------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
415 Frazer Shopping Center '94 10/17/88 11/01/98 33 300
416 International Corner Plaza '94 11/16/88 08/05/02 79 360
417 Cook Associates '94 01/21/88 02/01/98 24 303
418 T S & H Office Building '94 10/23/86 11/01/03 93 300
419 Barry Plaza '93 02/01/88 03/01/03 85 360
420 G. I. Joe's Pro Forma 10/14/87 11/01/97 21 360
421 Miami Circle Showroom '94 09/21/89 10/15/09 165 240
422 2500-2520 Park Central Static 01/01/96 12/31/02 84 300
423 2320 Orangethorpe Ave. '94 01/01/87 02/01/97 12 180
424 Cascades at Lake St. George '94 11/25/87 12/15/97 23 303
425 Shell Ridge Professional Static 08/17/89 09/01/96 7 360
Park
426 Oakes Village Retail Center '94 01/31/90 02/10/00 49 360
427 1321 N. Harbor Blvd. '93 06/01/89 01/01/00 47 251
428 Kimball Plaza '94 04/27/88 05/01/98 27 300
429 Win Communications '93 05/25/88 06/01/98 28 324
430 Front Royale Apartments '94 12/12/72 06/01/05 112 144
431 Professional Center/ '94 07/02/87 07/30/07 138 360
Hinsdale
432 Quincy Manor Apartments '94 08/13/90 09/01/00 09/01/10 175 240
433 Possum Park Apartments '94 10/26/89 11/10/99 46 300
434 Lake Avenue Corporate Pro Forma 11/21/85 06/01/96 4 300
Center
435 Black Horse Pike Plaza Pro Forma 01/01/96 12/31/02 84 300
436 1725 & 1735 Spruce Street '94 03/01/86 04/15/99 39 300
437 Merri - Park Building '94 12/16/86 02/01/97 02/01/02 72 242
438 Houghton Plaza '94 07/31/89 08/10/99 43 360
439 Dartmoor Shopping Center '94 10/21/87 11/01/97 11/01/02 81 300
440 Various (440a - 440b) '94 04/13/89 05/01/99 39 303
440a College West Business Park
440b College West Business Park
441 Cyantek Building '94 02/03/86 03/01/96 03/01/01 61 300
442 Segale Business Warehouse '94 06/13/85 07/01/00 53 180
443 Various (443a - 443b) '94 12/15/86 01/01/03 83 300
443a 2880 Cleveland Avenue
443b Herrington Square
444 Sun Technology Park '94 08/01/89 09/01/99 09/01/04 103 300
445 Dowel Associates '94 06/19/91 07/01/96 5 240
446 People's Plaza Static 04/13/88 05/01/98 27 240
447 9410 Annapolis Road '94 10/30/86 11/01/96 9 240
448 Brentwood Square Static 01/01/96 12/31/02 84 300
449 2042 Corte Del Nogal '94 05/01/89 06/01/99 40 348
450 Anchorage Square Plaza Pro Forma 08/12/94 09/01/04 103 360
451 Best Buy '94 01/21/80 02/01/10 168 359
452 Envoy Apartments '94 06/08/87 07/01/97 17 243
453 Pollard Medical Center '94 09/27/88 11/01/98 11/01/03 93 304
454 Federal Express Building '94 11/26/86 12/10/96 11 360
455 401 E. Acacia Street Static 04/23/84 05/10/99 40 242
</TABLE>
A-44
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ------------------- ------------ ------------ ------- --------- ---------- ----------- -------------- --------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 11/98 1988 100.0 04/25/95 17,800 69 75.0 415
Yield Maintenance 08/02 1988 87.0 05/31/95 8,900 137 74.0 416
Yield Maintenance 02/98 1987 89.0 04/24/95 28,800 42 69.0 417
Yield Maintenance 11/03 1925 100.0 01/10/95 22,000 55 70.0 418
Yield Maintenance 01/03 1929 100.0 10/01/94 9,860 123 60.0 419
Yield Maintenance 11/97 1987 100.0 10/28/94 55,120 22 58.0 420
Yield Maintenance 10/09 1974 100.0 05/09/95 34,340 35 70.0 421
Locked 07/02 01/01/98 1974 73.0 05/01/95 113,980 10 52.0 422
Yield Maintenance 02/97 1976 100.0 06/15/95 51,583 23 70.0 423
Yield Maintenance 12/97 1986 100.0 04/01/95 13,183 91 74.0 424
Yield Maintenance 09/96 1989 100.0 04/06/95 9,356 128 75.0 425
Yield Maintenance 02/00 1989 100.0 10/11/95 14,700 81 74.0 426
Yield Maintenance 01/00 1978 82.0 06/02/95 27,106 43 66.0 427
Yield Maintenance 04/98 1987 100.0 01/16/95 9,608 122 71.0 428
Yield Maintenance 06/98 1976 100.0 05/02/95 55,860 21 70.0 429
Declining 06/05 1972 95.0 06/01/95 195 5,934 75.0 430
Yield Maintenance 07/07 1986 100.0 03/27/95 11,901 97 73.0 431
Yield Maintenance 09/00 1950 93.0 12/31/94 315 3,657 23.0 432
Yield Maintenance 10/99 1967 98.0 04/30/95 57 20,128 68.0 433
Yield Maintenance 06/96 1985 100.0 04/03/95 14,694 78 71.0 434
Locked 07/02 01/01/98 1986 93.0 06/05/95 22,780 50 75.0 435
Yield Maintenance 04/99 1983 93.0 04/21/95 17,580 65 74.0 436
Yield Maintenance 01/97 1972 100.0 01/31/95 35,855 31 62.0 437
Yield Maintenance 05/99 1988 100.0 06/01/95 13,377 83 70.0 438
Yield Maintenance 11/97 1987 100.0 11/25/94 14,468 77 74.0 439
Yield Maintenance 04/99 Vrs - 37,720 29 73.0 440
1988 100.0 12/31/94 21,039 - - 440a
1988 100.0 12/31/94 16,682 - - 440b
Yield Maintenance 02/96 1985 100.0 06/05/95 15,840 70 75.0 441
Yield Maintenance 07/00 1978 100.0 12/31/94 154,584 7 52.0 442
Yield Maintenance 01/03 Vrs - 21,390 51 74.0 443
1977 100.0 10/16/95 11,020 - - 443a
1970 88.0 10/16/95 10,370 - - 443b
Yield Maintenance 08/99 1985 94.0 06/29/95 69,460 16 61.0 444
Yield Maintenance 07/96 1969 100.0 04/01/95 49,714 21 59.0 445
Yield Maintenance 05/98 1985 100.0 12/01/94 23,810 44 46.0 446
Yield Maintenance 11/96 1986 100.0 03/23/95 20,659 51 73.0 447
Locked 07/02 01/01/98 1987 88.0 06/23/95 34,077 31 75.0 448
Yield Maintenance 06/99 1984 100.0 12/31/94 48,000 22 43.0 449
Yield Maintenance 09/04 1987 82.0 01/08/95 23,233 45 66.0 450
Declining 02/10 1980 100.0 06/01/95 25,258 41 74.0 451
Yield Maintenance 07/97 1930 95.0 03/01/95 42 24,649 66.0 452
Yield Maintenance 10/98 1984 82.0 09/28/95 11,924 87 60.0 453
Yield Maintenance 12/96 1980 100.0 06/01/94 30,332 34 74.0 454
Locked 05/99 1973 100.0 01/11/95 63,487 16 72.0 455
</TABLE>
A-45
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
---- ------------ ------------------------------ -------------------------- ----------------- -----
<S> <C> <C> <C> <C> <C>
456 Office 7257 Lincoln Avenue Building 7257 Lincoln Avenue Lincolnwood IL
457 Multifamily Chalet Robaire 872 Westgate Ave. Los Angeles CA
458 Warehouse 5936-5940 Peachtree Road 5936-5940 Peachtree Road Atlanta GA
459 Warehouse Center Avenue Properties 111 Center Avenue Pacheco CA
460 Office Wilmette Executive Center 444 Skokie Boulevard Wilmette IL
461 Office John Grubb Realtors 1301 Ygnacio Valley Road Walnut Creek CA
462 Office La Cumbre Medical Dental Group 200 North La Cumbre Road Santa Barbara CA
463 Warehouse Milltown Court Associates 2 Milltown Court Union Township NJ
464 Office Alamo Medical Center 1505 St. Alphonsus Way Alamo CA
465 Office American Red Cross 444 Sherman Street Denver CO
466 Warehouse 8745/8747 Magnolia Avenue 8745/8747 Magnolia Avenue Santee CA
467 Office 17440 Dallas Parkway 17440 Dallas Parkway Dallas TX
468 Office William Gammon Insurance Bldg. 1615 Guadalupe Street Austin TX
469 Office Middlebrook Tech Park, Bld. I 12401 Middlebrook Rd. Germantown MD
470 Retail Chapman Center 1317-1343 E. Chapman Fullerton CA
471 Office 22 W. 600 Butterfield Road 22 W. 600 Butterfield Road Glen Ellyn IL
472 Industrial 152 Veterans Drive 152 Veterans Drive Northvale Boro NJ
473 Retail River Bend Plaza 1926-1992 River Road Des Plains IL
474 Warehouse Pacific Western Holding Co. 2515-2525 Pioneer Avenue Vista CA
475 Office Coddington Plaza 1440-1450 Guerneville Road Santa Rosa CA
476 Warehouse 3341 And 3365 Fitzgerald Road 3341 And 3365 Fitzgerald Road Rancho Cordova CA
477 Office 5464 & 5480 Baltimore Drive 5464 & 5480 Baltimore Drive La Mesa CA
478 Retail Big 5 Sporting Goods 235 N. Azusa Ave. West Covina CA
479 Warehouse Peachtree Industrial Center 2080 Peachtree Industrial Ct. Chamblee GA
480 Warehouse 11260 Old Roswell Road 11260 Old Roswell Road Roswell GA
481 Industrial William & Evelyn Harness 377 E. Acacia Street Tracy CA
482 Office 5 Thomas Mellon Circle 5 Thomas Mellon Circle San Francisco CA
483 Warehouse Parkway Center I 7267 Park Circle Drive Hanover MD
484 Multifamily The Pinery Apart. Phase I I 12803 Northborough Drive Houston TX
485 Retail Mc Fadden - Harbor Plaza 3701 W. Mc Fadden Avenue Santa Ana CA
486 Retail Nunes Place 2687 - 2723 Castro Valley Blvd. Castro Valley CA
487 Industrial Encinas Business Park 6100 Avenida Encinas Carlsbad CA
488 Office W Z I Building 4700 Stockdale Hwy. Bakersfield CA
489 Multifamily The Mayette Apartments 3725 Mayette Avenue Santa Rosa CA
490 Warehouse Batavia Park 982 A & B N. Batavia St. Orange CA
491 Warehouse Live Oak Business Center 5957-5975 Cattleman Lane Sarasota FL
492 Bank Bank Of America Building 7700 El Camino Real Carlsbad CA
493 Retail 4367 Woodman Avenue 4367 Woodman Avenue Sherman Oaks CA
494 Retail The Corners 701 University Fort Worth TX
495 Office Pike Place Office Building IV 318 West Pike Street Lawrenceville GA
496 Multifamily Vineyard Apartments 7473 Callaghan Road San Antonio TX
497 Retail Contemporary Plaza 3262 Thousand Oaks Blvd. Thousand Oaks CA
498 Warehouse 2021 Omega Road 2021 Omega Road San Ramon CA
499 Office 221 Building 221 First Avenue West Seattle WA
500 Retail Carpenter Plaza 2912 Legacy Plano TX
</TABLE>
A-46
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- --------- ------- ------ ------------ ------------------ -------- ------- ---------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
60646 1 1 1,025,515 Amortizing 9.375 109,800 185,871 1.69 456
90049 1 1 1,021,659 Amortizing 9.875 128,976 154,895 1.20 457
30343 2 1 1,005,022 IO then Amortizing 8.875 89,196 110,680 1.24 458
94553 2 1 1,004,833 Amortizing 9.750 108,264 97,375 0.90 459
60091 1 1 1,002,482 Amortizing 8.875 105,036 137,377 1.31 460
94598 1 1 1,000,636 Amortizing 9.500 120,576 145,328 1.21 461
93110 2 1 994,848 Amortizing 8.500 109,188 190,313 1.74 462
07083 1 1 992,213 Amortizing 8.000 103,968 298,856 2.87 463
94507 1 1 991,782 Amortizing 10.125 150,480 263,420 1.75 464
80203 1 1 989,538 Amortizing 9.500 113,520 113,672 1.00 465
92071 1 1 964,636 Amortizing 9.250 109,248 183,715 1.68 466
75287 1 1 962,111 Amortizing 9.750 125,508 163,717 1.30 467
78701 1 1 959,310 Amortizing 9.750 108,072 135,898 1.26 468
20874 1 1 958,603 Amortizing 8.500 92,627 161,965 1.75 469
92631 1 1 951,237 Amortizing 9.500 114,612 127,547 1.11 470
60137 1 1 939,609 Amortizing 9.875 107,052 197,863 1.85 471
07647 1 1 927,935 Amortizing 8.875 98,004 122,102 1.25 472
60018 2 1 925,449 Amortizing 7.875 88,164 72,048 0.82 473
92083 1 1 913,821 Amortizing 9.000 93,732 91,140 0.97 474
95401 2 1 913,104 Amortizing 9.000 96,564 188,632 1.95 475
95670 2 1 911,885 Amortizing 10.125 101,100 100,852 1.00 476
92041 1 1 911,742 Amortizing 9.500 101,580 110,546 1.09 477
91791 1 1 908,425 Amortizing 10.250 134,292 171,239 1.28 478
30341 1 1 906,457 Amortizing 10.000 115,812 199,064 1.72 479
30201 1 1 904,396 Amortizing 9.500 98,736 99,850 1.01 480
95376 1 1 892,475 Amortizing 8.500 96,240 115,321 1.20 481
94100 1 2 892,346 Amortizing 8.500 142,200 1,027,120 1.21 482
21076 1 1 878,544 Amortizing 10.375 109,992 136,411 1.24 483
77067 1 1 873,856 Amortizing 8.500 88,622 137,014 1.55 484
92704 1 1 868,285 Amortizing 9.625 97,452 124,695 1.28 485
94546 1 1 861,870 Amortizing 9.875 114,816 153,991 1.34 486
92009 1 1 848,589 Amortizing 9.750 217,944 397,488 1.82 487
93309 1 1 842,327 Amortizing 9.000 88,608 229,067 2.59 488
95405 2 1 832,649 Amortizing 10.000 95,580 141,380 1.48 489
92667 1 1 828,761 Amortizing 10.250 109,188 185,389 1.70 490
34239 2 1 827,554 Amortizing 8.375 81,912 117,769 1.44 491
92003 1 1 817,710 Amortizing 10.250 224,352 276,104 1.23 492
91423 1 1 813,483 Amortizing 9.625 102,168 123,967 1.21 493
76114 1 1 813,275 Amortizing 14.750 134,460 161,035 1.20 494
30243 1 1 812,107 Amortizing 9.750 91,140 108,230 1.19 495
78229 1 1 794,238 Amortizing 9.625 93,840 102,319 1.09 496
91360 1 1 782,300 Amortizing 8.750 78,936 167,206 2.12 497
94583 1 1 779,209 Amortizing 9.750 87,564 187,796 2.14 498
98119 1 1 770,358 Amortizing 9.375 154,464 334,797 2.17 499
75086 1 1 733,924 Amortizing 9.750 82,488 102,805 1.25 500
</TABLE>
A-47
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
INTEREST REMAINING
ONLY NEXT RATE TERM SCHEDULED
LOAN PROPERTY SOURCE OF ORIGINATION END RESET MATURITY TO MATURITY AMORTIZATION
NO. NAME NOI DATE DATE DATE DATE (MO.) (MO.)
- ----- ------------- --------- ----------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
456 7257 Lincoln Avenue '94 05/02/88 05/10/98 28 360
Building
457 Chalet Robaire '94 07/01/86 08/01/96 6 244
458 5936-5940 Peachtree Road Static 05/24/90 05/10/96 05/10/96 06/10/00 53 300
459 Center Avenue Properties Static 04/02/85 05/01/00 05/01/05 111 360
460 Wilmette Executive Center Static 04/27/87 05/01/97 15 360
461 John Grubb Realtors '94 06/15/87 07/01/02 77 300
462 La Cumbre Medical Dental '94 07/01/88 08/15/98 08/15/03 91 240
Group
463 Milltown Court Associates '94 02/24/89 03/01/99 37 244
464 Alamo Medical Center '94 11/25/86 01/01/07 131 180
465 American Red Cross Pro Forma 11/24/86 12/20/96 11 360
466 8745/8747 Magnolia Avenue '94 06/01/89 07/01/99 41 240
467 17440 Dallas Parkway '94 04/23/90 05/01/00 51 214
468 William Gammon Insurance '94 08/28/86 09/01/96 8 304
Bldg.
469 Middlebrook Tech Park, Static 01/01/96 12/31/02 84 300
Bld. I
470 Chapman Center '93 05/01/87 07/01/97 17 240
471 22 W. 600 Butterfield Road '94 06/27/86 08/01/96 6 304
472 152 Veterans Drive '94 10/31/88 11/01/98 33 278
473 River Bend Plaza '94 05/11/88 06/01/97 05/31/00 52 293
474 Pacific Western Holding Co.'93 05/01/89 07/01/99 41 302
475 Coddington Plaza '94 04/09/87 05/15/97 05/15/02 76 360
476 3341 And 3365 Fitzgerald '94 04/10/85 05/01/00 05/01/05 111 360
Road
477 5464 & 5480 Baltimore '94 04/01/86 04/10/96 3 300
Drive
478 Big 5 Sporting Goods '94 08/01/87 09/01/07 139 240
479 Peachtree Industrial '94 05/29/85 06/01/97 16 240
Center
480 11260 Old Roswell Road Pro Forma 08/05/87 09/01/97 19 298
481 William & Evelyn Harness '94 04/23/84 05/10/99 40 242
482 5 Thomas Mellon Circle '94 12/16/85 02/01/98 24 120
483 Parkway Center I Pro Forma 02/02/88 03/01/13 205 300
484 The Pinery Apart. Pro Forma 06/01/92 07/05/99 42 275
Phase II
485 Mc Fadden - Harbor Plaza '94 05/01/86 06/01/96 4 349
486 Nunes Place '94 10/04/89 11/15/09 166 240
487 Encinas Business Park '94 12/01/86 01/01/01 59 96
488 W Z I Building '94 08/03/92 08/31/02 79 264
489 The Mayette Apartments '94 07/08/86 08/15/96 08/01/01 67 305
490 Batavia Park '94 10/01/85 11/01/10 177 206
491 Live Oak Business Center '94 06/15/88 07/15/98 07/15/03 90 300
492 Bank Of America Building '94 06/01/90 08/10/00 55 120
493 4367 Woodman Avenue '93 03/01/86 04/01/96 2 240
494 The Corners '94 06/30/81 07/01/11 185 360
495 Pike Place Office '94 07/11/88 12/15/96 11 302
Building IV
496 Vineyard Apartments '94 08/23/78 09/01/08 151 248
497 Contemporary Plaza '94 03/21/94 04/01/01 62 300
498 2021 Omega Road '94 11/10/86 12/01/01 70 304
499 221 Building '94 10/19/92 11/01/02 81 120
500 Carpenter Plaza '94 11/12/86 12/01/96 10 360
</TABLE>
A-48
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
------------ ---------- ---------- ----- --------- -------- ---------- ------------ --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 05/98 1987 100.0 04/29/95 15,420 67 75.0 456
Yield Maintenance 08/96 1972 94.0 07/05/95 18 56,759 71.0 457
Yield Maintenance 05/96 1970 100.0 05/02/95 44,100 23 72.0 458
Yield Maintenance 04/00 1985 92.0 06/22/95 27,529 37 70.0 459
Yield Maintenance 05/97 1980 96.0 04/01/95 18,137 55 74.0 460
Yield Maintenance 07/02 1970 100.0 04/06/95 12,050 83 68.0 461
Yield Maintenance 08/98 1967 100.0 11/01/95 12,270 81 51.0 462
Yield Maintenance 03/99 1976 100.0 03/29/95 50,000 20 48.0 463
Yield Maintenance 01/07 1976 100.0 05/26/95 13,000 76 58.0 464
Yield Maintenance 12/96 1964 100.0 10/19/93 45,426 22 36.0 465
Yield Maintenance 07/99 1973 100.0 05/01/95 34,540 28 66.0 466
Open 1982 99.0 03/01/95 52,615 18 63.0 467
Yield Maintenance 09/96 1984 100.0 10/11/95 9,520 101 75.0 468
Locked 07/0 01/01/98 1984 73.0 07/17/95 34,274 28 64.0 469
Yield Maintenance 07/97 1967 91.0 06/02/95 10,985 87 75.0 470
Yield Maintenance 08/96 1983 100.0 12/31/94 11,880 79 74.0 471
Yield Maintenance 11/98 1962 100.0 12/31/94 26,000 36 67.0 472
Yield Maintenance 06/97 1987 87.0 10/31/94 10,005 92 72.0 473
Yield Maintenance 07/99 1988 79.0 04/11/95 21,086 43 69.0 474
Yield Maintenance 05/97 1980 100.0 02/06/95 23,457 39 69.0 475
Yield Maintenance 04/00 1984 100.0 03/31/95 38,400 24 74.0 476
Yield Maintenance 04/96 1980 93.0 08/30/95 16,027 57 75.0 477
Yield Maintenance 09/07 1967 100.0 06/09/95 10,867 84 74.0 478
Yield Maintenance 06/97 1968 100.0 05/11/95 60,467 15 63.0 479
Yield Maintenance 09/97 1984 41.0 04/27/95 16,864 54 75.0 480
Locked 05/99 1981 100.0 01/11/95 50,000 18 72.0 481
Yield Maintenance 02/98 1981 92.0 06/21/95 97,229 9 64.0 482
Yield Maintenance 03/13 1974 100.0 02/23/95 15,040 58 70.0 483
Yield Maintenance 07/99 1979 88.0 06/01/95 160 5,462 76.0 484
Yield Maintenance 06/96 1982 100.0 05/09/95 27,860 31 71.0 485
Yield Maintenance 11/09 1987 100.0 05/24/95 8,056 107 67.0 486
Locked 01/01 1970 98.0 12/31/94 103,700 8 35.0 487
Open 1987 100.0 12/31/94 30,053 28 40.0 488
Yield Maintenance 08/96 1971 100.0 06/27/95 32 26,020 72.0 489
Locked 11/10 1971 98.0 06/19/95 41,600 20 70.0 490
Yield Maintenance 07/98 1988 100.0 12/31/94 18,507 45 74.0 491
Yield Maintenance 08/00 1981 100.0 12/31/94 18,000 45 45.0 492
Yield Maintenance 04/96 1986 85.0 10/26/94 7,125 114 64.0 493
Declining 07/11 1978 83.0 01/01/95 21,658 38 65.0 494
Yield Maintenance 12/96 1988 100.0 05/08/95 13,000 62 75.0 495
Declining 09/08 1977 77.0 01/25/95 74 10,733 75.0 496
Declining 03/99 1985 97.0 06/01/95 18,725 42 38.0 497
Yield Maintenance 12/01 1982 100.0 04/04/95 21,089 37 71.0 498
Yield Maintenance 11/02 1960 97.0 12/31/94 44,695 17 33.0 499
Yield Maintenance 12/96 1986 100.0 03/21/95 6,300 116 75.0 500
</TABLE>
A-49
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
- ---- --------- -------------------- ----------------- ----------- -------
<S> <C> <C> <C> <C> <C>
501 Retail F & M Distributors 1608 Larkin Avenue Crest Hill IL
502 Office The Housing Center 15555 SW Bangy Road Lake Oswego OR
503 Office 3630 Wilshire Blvd. 3630 Wilshire Blvd. Los Angeles CA
504 Office 1827 Jefferson Place 1827 Jefferson Place Washington DC
505 Warehouse Turf Care Products Building 7730 The Bluffs Northwest Atlanta GA
506 Retail Wilson Plaza SWC Wilson And Prairie Sts. Batavia IL
507 Retail Fox Lake Commons 2 West Grand Avenue Fox Lake IL
508 Retail Natchez Trace 1115 Powder Springs Road Marietta GA
509 Office Dominion Square 5700 Division St. Riverside CA
510 Warehouse 320 Cerritos Avenue 320 Cerritos Avenue Glendale CA
511 Office The Pomeroy Family Trust 44 Plaza Square Orange CA
512 Warehouse Colorweb Properties 2114 Mcdaniel Drive Carrolton TX
513 Office Whitemarsh Business Ctr. I I I 5219 & 5221 Militia Hill Road Plymouth Meeting PA
514 Multifamily Monroe Gardens 3603 55th Avenue Hyattsville MD
515 Retail Northgate Shopping Center 12311 Nacogdoches San Antonio TX
516 Warehouse Chromalloy - Park 10 17015 Park Row B Houston TX
517 Multifamily Hampton Place Apartments 1915 West Waters Avenue Tampa FL
518 Multifamily Bedford Terrace Apartments 1054 S. Bedford St. Los Angeles CA
519 Multifamily Casa Overlanda 1932 Overland Ave. Los Angeles CA
520 Retail Handy Andy Home Improvement Route 30 and Theodore Street Crest Hill IL
521 Private School Colorado Institute of Art 300 E. Ninth Avenue Denver CO
522 Retail 4483 Connecticut Avenue, NW 4483 Connecticut Avenue, NW Washington DC
523 Retail Theophilos Center 2521 Rutland Drive Austin TX
524 Retail Song Plaza 8201 SE Powell Blvd Portland OR
525 Retail Mcgee 407 Joint Venture 1301 W. Highway 407 Lewisville TX
526 Retail Erindale Plaza 3632-3662 Lithia Pinecrest Rd. Brandon FL
527 Office Heritage Square 4028 Holcomb Bridge Road Atlanta GA
528 Office 317 E. Carrillo Street 317 E. Carrillo St. Santa Barbara CA
529 Office Perrin Oaks Garden Offices 10615 Perrin Beitel Road San Antonio TX
530 Warehouse 6225 E. 38th Avenue 6225 E. 38th Avenue Denver CO
531 Warehouse Smsl Associates 6 Meadow Road Lyndhurst NJ
532 Industrial Taft - Vineland Business Ctre 943 & 955 Taft - Vineland Road Orlando FL
533 Retail 17240 SE Mc Loughlin Blvd. 17240 SE Mc Loughlin Blvd. Portland OR
534 Multifamily Cynthia Square Apartments 10202 Challenge Drive Jacinto City TX
535 Office Plaza 451 451 SW Tenth Street Renton WA
536 Retail 495 North G St. 495 North G St. San Bernardino CA
537 Industrial Mt. Hood Chemical Building 4456 NW Yeon Avenue Portland OR
538 Office 7442 N. Figueroa St. 7442 N. Figueroa St. Los Angeles CA
539 Multifamily The Arrangement Apartments Burton Drive & Oltorf Road Austin TX
540 Retail El Mercado Shopping Center 9055 Marbach Rd. San Antonio TX
541 Warehouse Wesco 1333 State College Parkway Anaheim CA
542 Warehouse Whitesell Construction Company 1816 Underwood Blvd. Delran Township NJ
543 Warehouse Shen Liang U S A, Inc. 2110 Mc Daniel Drive Carrollton TX
544 Industrial Everspring Enterprises 2301 Century Center Boulevard Irving TX
545 Warehouse 6160-6190 Boatrock Blvd. 6160-6190 Boatrock Blvd. Atlanta GA
</TABLE>
A-50
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- ------- ----- ----- ----------- ------------ ------------ ---------- ---------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
60435 1 1 732,260 Amortizing 10.250 94,068 155,156 1.65 501
97035 1 1 732,091 Amortizing 10.000 84,252 126,411 1.50 502
90010 1 1 720,360 Amortizing 9.750 82,236 132,515 1.61 503
20036 1 1 717,895 Amortizing 9.250 82,800 87,279 1.05 504
30001 1 1 714,376 Amortizing 10.375 118,548 141,093 1.19 505
60510 1 1 709,662 Amortizing 10.000 79,836 126,261 1.58 506
60020 1 1 700,176 Amortizing 8.000 66,348 76,105 1.15 507
30064 1 1 689,333 Amortizing 8.500 66,608 96,243 1.44 508
92506 1 1 687,133 Amortizing 9.500 72,468 75,466 1.04 509
91204 1 1 681,532 Amortizing 7.875 63,912 94,802 1.48 510
92666 1 1 681,512 Amortizing 9.250 75,816 118,143 1.56 511
75006 1 1 674,075 Amortizing 9.125 71,772 111,740 1.56 512
19462 1 1 666,087 Amortizing 8.875 67,656 78,661 1.16 513
20784 2 1 664,649 Amortizing 9.930 86,436 299,160 3.46 514
78232 1 1 658,591 Amortizing 8.750 66,600 108,024 1.62 515
77056 1 1 653,319 Amortizing 7.750 111,540 123,711 1.11 516
33604 1 1 650,939 Amortizing 8.500 62,898 90,098 1.43 517
90035 2 1 648,226 Amortizing 9.250 77,076 135,211 1.75 518
90025 2 1 648,226 Amortizing 9.250 77,076 88,339 1.15 519
60435 1 1 636,946 Amortizing 8.125 78,384 169,337 2.16 520
80209 1 1 625,980 Amortizing 9.500 90,036 154,810 1.72 521
20036 1 1 625,763 Interest Only 6.500 40,675 86,859 2.14 522
78758 1 1 624,095 Amortizing 8.250 62,445 214,668 3.44 523
97266 1 1 615,391 Amortizing 9.500 64,524 113,275 1.76 524
75067 1 1 613,707 Amortizing 9.500 66,840 82,610 1.24 525
33594 1 1 608,177 Amortizing 9.250 86,460 131,004 1.52 526
30342 1 1 604,171 Amortizing 8.500 55,956 71,040 1.27 527
93101 2 1 604,119 Amortizing 9.125 71,124 94,460 1.33 528
78217 1 1 602,318 Amortizing 8.750 61,056 86,804 1.42 529
80207 1 1 596,531 Amortizing 10.125 69,144 104,884 1.52 530
07071 1 1 593,847 Amortizing 10.375 161,088 215,167 1.34 531
32824 1 1 582,180 Amortizing 8.625 75,168 89,451 1.19 532
97277 1 1 581,169 Amortizing 9.750 84,576 136,651 1.62 533
77029 1 1 577,257 Amortizing 9.000 115,152 225,651 1.96 534
98055 1 1 575,138 Amortizing 9.625 76,500 105,460 1.38 535
92410 2 1 573,571 Amortizing 9.250 61,704 87,689 1.42 536
97210 1 1 570,294 Amortizing 9.625 84,240 124,301 1.48 537
90041 1 1 567,835 Amortizing 9.875 66,024 99,278 1.50 538
78741 1 1 564,895 Amortizing 8.750 119,875 259,801 2.17 539
78245 1 1 546,344 Amortizing 8.500 58,584 75,766 1.29 540
92806 1 1 522,696 Amortizing 9.750 58,668 76,383 1.30 541
08075 1 1 522,477 Amortizing 10.500 65,160 197,798 3.04 542
75212 1 1 504,764 Amortizing 9.000 71,201 582,714 8.18 543
75062 1 1 485,063 Amortizing 9.875 64,604 130,000 2.01 544
30336 1 1 484,070 Amortizing 8.500 46,774 88,045 1.88 545
</TABLE>
A-51
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
---- ---------- --------- ----------- --------- --------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
501 F & M Distributors '94 09/10/86 10/01/96 8 244
502 The Housing Center '94 06/04/86 07/01/96 5 360
503 3630 Wilshire Blvd. '94 03/01/86 04/01/96 2 300
504 1827 Jefferson Place Pro Forma 08/01/88 09/01/98 31 240
505 Turf Care Products Building '94 07/05/90 08/01/05 114 180
506 Wilson Plaza '94 03/10/88 03/20/98 26 342
507 Fox Lake Commons '94 04/29/94 05/15/04 100 300
508 Natchez Trace Static 01/01/96 12/31/02 84 300
509 Dominion Square '94 05/23/85 06/15/98 29 300
510 320 Cerritos Avenue '94 05/01/89 06/01/99 40 300
511 The Pomeroy Family Trust '94 05/21/85 06/01/00 52 254
512 Colorweb Properties '94 05/14/87 06/09/97 17 360
513 Whitemarsh Business Ctr. I I I '94 05/25/89 06/10/99 41 302
514 Monroe Gardens '94 08/13/90 09/01/00 09/01/10 175 240
515 Northgate Shopping Center '94 01/18/94 02/01/01 60 300
516 Chromalloy - Park 10 '94 11/15/78 12/01/03 94 120
517 Hampton Place Apartments '94 01/01/96 12/31/02 84 300
518 Bedford Terrace Apartments '94 04/01/87 05/20/97 05/20/02 76 228
519 Casa Overlanda '94 04/01/87 05/20/97 05/20/02 76 228
520 Handy Andy Home Improvement '94 05/01/89 06/01/99 40 183
521 Colorado Institute of Art '94 05/20/87 06/20/97 17 184
522 4483 Connecticut Avenue, NW '94 07/29/87 05/25/99 05/25/99 40 0
523 Theophilos Center '94 03/13/92 04/30/97 15 300
524 Song Plaza '94 12/05/86 01/15/99 36 300
525 Mcgee 407 Joint Venture '93 10/19/92 11/01/02 81 300
526 Erindale Plaza Static 06/01/92 06/15/02 77 180
527 Heritage Square '94 08/20/85 04/01/99 38 360
528 317 E. Carrillo Street '94 06/01/87 07/01/97 07/01/02 77 244
529 Perrin Oaks Garden Offices '94 11/08/93 12/01/00 58 300
530 6225 E. 38th Avenue '94 09/03/86 10/05/96 9 290
531 Smsl Associates '94 08/24/90 09/06/00 56 120
532 Taft - Vineland Business Ctre '93 11/03/88 12/15/98 35 185
533 17240 SE Mc Loughlin Blvd. '94 06/16/87 07/01/07 137 180
534 Cynthia Square Apartments '94 10/29/74 10/15/02 81 335
535 Plaza 451 '93 06/28/79 07/01/09 161 360
536 495 North G St. '94 04/01/87 06/01/97 06/01/02 76 360
537 Mt. Hood Chemical Building '94 01/26/87 02/01/97 12 184
538 7442 N. Figueroa St. '94 04/25/85 05/01/00 51 240
539 The Arrangement Apartments '94 03/28/74 04/01/02 74 336
540 El Mercado Shopping Center '94 07/29/94 08/15/04 103 240
541 Wesco '94 12/01/86 01/01/97 11 300
542 Whitesell Construction Company '94 09/29/88 10/01/13 212 300
543 Shen Liang U S A, Inc. '93 05/29/92 07/01/97 17 180
544 Everspring Enterprises '94 10/25/79 11/01/09 165 360
545 6160-6190 Boatrock Blvd. Static 01/01/96 12/31/02 84 300
</TABLE>
A-52
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date(1) Date Built Occupancy Date Units) Balance/Size Ratio No.
- ----------------- ---------- ---------- ------ --------- --------- ----------- ------------ -------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 10/96 1961 100.0 11/25/94 28,000 26 71.0 501
Yield Maintenance 07/96 1981 100.0 11/21/94 15,869 46 70.0 502
Yield Maintenance 04/96 1932 100.0 05/25/95 10,480 69 36.0 503
Yield Maintenance 09/98 1900 100.0 05/03/93 5,385 133 67.0 504
Yield Maintenance 08/05 1990 100.0 05/15/95 29,547 24 67.0 505
Yield Maintenance 03/98 1987 100.0 01/01/95 11,160 64 75.0 506
Open 1986 89.0 04/07/95 19,430 36 67.0 507
Locked 07/02 01/01/98 1983 88.0 05/31/95 15,600 44 75.0 508
Yield Maintenance 06/98 1984 55.0 03/30/95 13,031 53 69.0 509
Yield Maintenance 06/99 1989 100.0 06/02/95 9,800 70 72.0 510
Yield Maintenance 06/00 1909 40.0 06/29/95 11,612 59 75.0 511
Yield Maintenance 06/97 1987 100.0 03/21/95 28,000 24 75.0 512
Yield Maintenance 06/99 1988 100.0 05/18/95 8,400 79 73.0 513
Yield Maintenance 09/00 1957 89.0 01/01/95 105 6,330 25.0 514
Yield Maintenance 02/01 1984 82.0 06/01/95 46,218 14 62.0 515
Declining 12/03 1978 100.0 12/31/94 60,100 11 75.0 516
Locked 07/02 01/01/98 1984 79.0 11/30/94 49 13,284 75.0 517
Yield Maintenance 05/97 1965 100.0 12/31/94 24 27,009 50.0 518
Yield Maintenance 05/97 1966 100.0 12/31/94 21 30,868 48.0 519
Yield Maintenance 06/99 1961 100.0 11/24/94 60,000 11 55.0 520
Yield Maintenance 06/97 1957 100.0 12/31/94 14,864 42 62.0 521
Yield Maintenance 05/99 1925 100.0 12/31/94 3,000 209 69.0 522
Open 1883 97.0 06/20/95 29,898 21 43.0 523
Yield Maintenance 01/99 1983 100.0 10/28/94 13,916 44 71.0 524
Yield Maintenance 11/02 1984 100.0 12/31/94 15,539 39 67.0 525
Yield Maintenance 06/02 1988 100.0 06/23/95 19,597 31 83.0 526
Yield Maintenance 04/99 1984 87.0 05/02/95 9,150 66 73.0 527
Yield Maintenance 07/97 1982 100.0 01/27/95 5,550 109 74.0 528
Yield Maintenance 12/00 1983 88.0 08/31/95 30,373 20 49.0 529
Yield Maintenance 10/96 1973 100.0 10/25/94 48,484 12 52.0 530
Yield Maintenance 09/00 1968 100.0 12/31/94 30,000 20 42.0 531
Yield Maintenance 12/98 1988 100.0 03/30/95 29,550 20 70.0 532
Yield Maintenance 07/07 1987 54.0 12/31/94 10,400 56 75.0 533
Declining 10/02 1975 100.0 02/28/95 122 4,732 75.0 534
Declining 07/09 1979 90.0 02/14/94 21,218 27 66.0 535
Yield Maintenance 06/97 1987 100.0 06/16/95 5,900 97 75.0 536
Yield Maintenance 02/97 1971 100.0 03/01/95 46,386 12 75.0 537
Locked 05/00 1966 100.0 04/26/95 8,500 67 69.0 538
Declining 04/02 1973 91.0 06/01/95 112 5,044 74.0 539
Yield Maintenance 08/04 1984 57.0 02/28/95 20,028 27 49.0 540
Yield Maintenance 01/97 1978 100.0 06/02/95 16,800 31 75.0 541
Yield Maintenance 10/13 1972 100.0 04/10/95 34,707 15 50.0 542
Yield Maintenance 07/97 1983 100.0 07/01/94 44,800 11 70.0 543
Declining 11/09 1979 100.0 03/21/95 40,000 12 74.0 544
Locked 07/02 01/01/98 1975 100.0 05/01/95 66,168 7 45.0 545
</TABLE>
A-53
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Loan Property Property Property Prop.
No. Type Name Property Address City State
----- -------- -------- ---------------- -------- ------
<S> <C> <C> <C> <C> <C>
546 Multifamily Victoria Apartments 3518 Roswell Road NW Atlanta GA
547 Retail Bonita Centre East 4500-4538 Bonita Road Chula Vista CA
548 Retail Aspenglen Shopping Center 4494 State Highway 6 North Houston TX
549 Office Sherwood Forest Office Bldg. 1303-1315 Sherwood Forest Houston TX
550 Office 99202 Argonne Road 99202 Argonne Road Spokane WA
551 Industrial 1985 Swarthmore Ave. 1985 Swarthmore Ave. Lakewood NJ
552 Warehouse Tilton Equipment Building 1295 Old Alpharetta Road Forsyth County GA
553 Office Right Bank Building 1401 Blake Street Denver CO
554 Industrial 3415 Empire Boulevard 3415 Empire Boulevard Atlanta GA
555 Office 5465 Blair Road Office Bldg. 5465 Blair Road Dallas TX
556 Office Heltzer Sales Corporation 5135 Golf Road Skokie IL
557 Warehouse 3308 Industrial Drive 3308 Industrial Drive Santa Rosa CA
558 Retail Belmont Square Shopping Center 6347-6359 Belmont Ave. Chicago IL
559 Warehouse 3821 Airport Drive 1909 E. 38 1/2 Street Austin TX
560 Retail Lyons Station Plaza 23402-34 Lyons Ave. Newhall CA
561 Industrial 7248 S. Tucson Way 7248 S. Tucson Way Englewood CO
562 Warehouse The Work Center 5340 Rittiman Road San Antonio TX
563 Restaurant Chili's Bar & Grill 329 W. Spring Valley Road Richardson TX
564 Warehouse 10151 I H 35 North 10151 I H 35 North San Antonio TX
</TABLE>
A-54
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off Date
Scheduled
Property Principal Mortgage Annual
Zip Loan Lien Balance Amortization Interest Debt Normalized Loan
Code Group Status (SPB) Type Rate Service NOI DSCR No.
- -------- ----- ------ --------- ------------ ---------- -------- ---------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
30305 1 1 460,483 Amortizing 10.250 94,836 136,111 1.44 546
92002 1 1 453,230 Amortizing 9.750 126,708 413,042 3.26 547
77084 1 1 449,329 Amortizing 8.500 42,444 97,688 2.30 548
77043 1 1 437,412 Amortizing 9.250 46,437 104,340 2.25 549
99212 1 1 379,373 Amortizing 10.250 58,908 76,832 1.30 550
08701 1 1 371,721 Amortizing 8.500 35,918 57,796 1.61 551
30201 1 1 362,376 Amortizing 10.000 81,396 83,038 1.02 552
80202 1 1 355,822 Amortizing 8.500 36,235 50,925 1.41 553
30354 2 1 340,003 Amortizing 7.750 41,592 106,973 2.57 554
75231 1 1 331,163 Interest Only 8.500 28,149 37,293 1.32 555
60077 1 1 322,139 Amortizing 10.000 70,932 146,661 2.07 556
95401 2 1 317,711 Amortizing 9.875 42,564 54,108 1.27 557
60634 1 1 312,856 Amortizing 8.500 30,230 37,788 1.25 558
78722 1 1 300,000 Amortizing 8.000 26,424 65,534 2.48 559
91381 1 2 273,813 Amortizing 10.125 32,532 344,867 2.63 560
80112 1 1 249,075 Amortizing 8.500 25,365 68,362 2.70 561
78218 1 1 167,719 Amortizing 8.500 16,680 42,832 2.57 562
75081 1 1 126,897 Amortizing 9.750 102,012 152,866 1.50 563
78233 1 1 125,131 Amortizing 8.500 12,324 20,384 1.65 564
</TABLE>
A-55
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Remaining Scheduled
Interest Only Next Rate Term Amortization
Loan Property Source of Origination End Reset Maturity to Maturity Term
No. Name NOI Date Date Date Date (Mo.) (Mo.)
---- ------------------------- --------- ----------- ------------- --------- --------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
546 Victoria Apartments '94 09/15/87 10/10/02 81 180
547 Bonita Centre East '94 05/15/90 06/15/00 53 66
548 Aspenglen Shopping Center '94 03/11/93 03/15/03 86 360
549 Sherwood Forest Office Bldg. '94 03/30/93 04/10/03 87 300
550 99202 Argonne Road '94 08/21/86 09/01/06 127 240
551 1985 Swarthmore Ave. Static 01/01/96 12/31/02 84 300
552 Tilton Equipment Building '94 12/11/86 12/15/01 71 120
553 Right Bank Building '93 04/05/92 04/05/97 15 300
554 3415 Empire Boulevard '94 01/04/89 02/01/99 02/01/09 156 180
555 5465 Blair Road Office Bldg. '94 05/21/81 02/01/11 02/01/11 180 0
556 Heltzer Sales Corporation '94 01/28/87 03/01/02 73 180
557 3308 Industrial Drive '93 08/28/84 09/10/99 09/01/04 104 300
558 Belmont Square Shopping Center '94 01/01/96 12/31/02 84 300
559 3821 Airport Drive '94 01/04/94 02/01/04 96 360
560 Lyons Station Plaza '94 02/07/85 03/01/00 49 300
561 7248 S. Tucson Way '93 04/01/92 04/05/97 15 300
562 The Work Center '94 11/15/93 12/01/00 58 299
563 Chili's Bar & Grill '94 05/20/87 06/01/97 16 120
564 10151 I H 35 North '94 07/01/94 07/15/04 102 300
</TABLE>
A-56
<PAGE>
<PAGE>
Summary Information Regarding the Mortgage Loans and Mortgaged Properties
as of the Cut-Off Date
<TABLE>
<CAPTION>
Cut-Off
Prepayment Date
Cut-Off Date Charge Lockout Occupancy Size Scheduled Original
Prepayment Expiration Expiration Year as of (Sq. Ft. or Principal LTV Loan
Status Date (1) Date Built Occupancy Date Units) Balance/Size Ratio No.
------------ ---------- ---------- ----- --------- -------- ---------- ------------ --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Yield Maintenance 10/02 1962 100.0 01/01/95 40 11,512 61.0 546
Yield Maintenance 06/00 1982 100.0 06/05/95 22,777 20 22.0 547
Yield Maintenance 03/03 1982 94.0 06/30/95 19,195 23 88.0 548
Yield Maintenance 04/03 1982 100.0 06/08/95 30,498 14 60.0 549
Yield Maintenance 09/06 1985 100.0 12/20/94 8,900 43 69.0 550
Locked 07/02 01/01/98 1989 100.0 06/13/95 37,500 10 37.0 551
Yield Maintenance 12/01 1985 100.0 04/27/95 13,644 27 75.0 552
Open 1888 81.0 03/08/95 14,739 24 75.0 553
Yield Maintenance 02/99 1958 100.0 05/15/95 34,805 10 75.0 554
Open 1981 100.0 10/18/94 6,811 49 74.0 555
Yield Maintenance 03/02 1969 100.0 03/13/95 12,500 26 66.0 556
Yield Maintenance 09/99 1984 49.0 04/08/94 10,950 29 73.0 557
Locked 07/02 01/01/98 1987 88.0 05/31/95 8,053 39 57.0 558
Yield Maintenance 02/04 1985 100.0 06/01/95 15,443 19 68.0 559
Yield Maintenance 03/00 1977 92.0 03/01/95 28,556 10 49.0 560
Yield Maintenance 04/97 1984 100.0 06/01/94 7,956 31 95.0 561
Open 1982 100.0 03/31/95 16,284 10 69.0 562
Yield Maintenance 06/97 1983 100.0 07/01/94 6,176 21 47.0 563
Yield Maintenance 07/04 1983 100.0 01/09/95 8,619 15 85.0 564
(1) For Rate Reset Mortgage Loans, indicates the month and year of the commencement of the next Option Period, during which time a
Mortgagor may prepay the related Mortgage Loan at par. After the expiration of such Option Period, a Mortgagor would generally
be required again to pay a Prepayment Charge in order to make a Principal Prepayment on the related Mortgage Loan until the
next Option Period (if any).
</TABLE>
A-57
<PAGE>
<PAGE>
EXPLANATION OF CERTAIN COLUMN HEADINGS FOR THE
SUMMARY OF THE MORTGAGE LOANS AND MORTGAGED PROPERTIES
Lien Status is the relative lien position of a Mortgage Loan.
Cut-Off Date Scheduled Principal Balance is the Mortgage Loan's Scheduled
Principal Balance as of February 1, 1996.
Amortization Type includes:
Interest Only: The Mortgage Loan pays interest only during its term and has
a Balloon Payment due on maturity.
Amortizing: The Mortgage Loan amortizes either fully or partially over its
term.
IO then Amortizing: The Mortgage Loan pays interest only for a portion of
its term and then begins to amortize, with a Balloon Payment due on
maturity.
Mortgage Interest Rate represents the annual rate at which interest accrues on
the Mortgage Loan as of the Cut-Off Date.
Annual Debt Service is the amount of principal and interest payments required to
be made annually under the terms of the Mortgage Loan as of the Cut-Off Date.
Normalized NOI generally represents net operating income with certain
adjustments (as described in Appendix B) per an operating statement provided by
the related Mortgagor.
DSCR is the debt service coverage ratio calculated using the Normalized NOI as
the numerator and a Mortgage Loan's current annual debt service as the
denominator. For Mortgage Loans secured by second liens, DSCR is calculated
using the aggregate debt service for both the senior mortgage loan and the
subordinate mortgage loan.
Source of NOI indicates the source of the NOI used to calculate the debt service
coverage ratio.
Interest Only End Date is the payment date on which IO then Amortizing Mortgage
Loans begin to amortize or Interest Only Mortgage Loans mature.
Next Rate Reset Date is the next date which grants the holder of such Rate Reset
Mortgage Loan, the option, in its sole discretion, to reset the Mortgage
Interest Rate.
Cut-Off Date Prepayment Status indicates whether a Mortgage Loan (a) prohibits
the Mortgagor from prepaying such Mortgage Loan ('Lock-out'); (b) permits the
Mortgagor to prepay the related Mortgage Loan subject to a Prepayment Charge
calculated with a Treasury yield maintenance formula ('Yield Maintenance'); (c)
permits the Mortgagor to prepay the related Mortgage Loan subject to a
Prepayment Charge calculated as a percentage of the principal balance of the
related Mortgage Loan, which percentage generally decreases over the term of
such Mortgage Loan ('Declining'); and (d) permits the Mortgagor to prepay the
related Mortgage Loan without payment of a Prepayment Charge ('Open').
Prepayment Charge Expiration Date is the date on which the Mortgagor's
obligation to pay the Prepayment Charge in connection with a prepayment of
principal on the Mortgage Loan terminates. With respect to any Group 2 Mortgage
Loan, the Prepayment Charge Expiration Date is the first date of the first Rate
Reset Option Period after the Cut-Off Date.
Lockout Expiration Date represents, for those Mortgage Loans that are subject to
a prepayment lockout period as of the Cut-Off Date, the date on which such
prepayment lockout ends.
Size is provided in square feet for the retail, office, warehouse and industrial
properties, and units for the multifamily properties and the parking garage
(spaces).
A-58
<PAGE>
<PAGE>
APPENDIX B
NET OPERATING INCOME
DEBT SERVICE COVERAGE RATIOS: DESCRIPTION OF KEY TERMS
(1) '1994 NOI,' or '1993 NOI' as used herein, with respect to any Mortgaged
Property or group of Mortgaged Properties means, for 1994 or 1993, as the case
may be, the excess of (a) the Total Revenues for such Mortgaged Property or
group of Mortgaged Properties for such fiscal year over (b) the total operating
expenses of such Mortgaged Property or Mortgaged Properties incurred during such
fiscal year, without giving effect to any deductions for debt service,
depreciation, amortization, capital expenditures or reserves therefor.
'Total Revenues,' as used herein, with respect to any Mortgaged Property or
group of Mortgaged Properties means, (a) for 1994 NOI and 1993 NOI, the total
revenue generated at such Mortgaged Property or Properties during the related
Mortgaged Property's 1994 or 1993 fiscal year, as applicable, and (b) for Static
NOI and Pro Forma NOI as further described under 'Next Twelve Months Total
Revenues' or 'Pro Forma Total Revenues,' respectively. In all cases, total
revenue includes for (a) office, retail, warehouse and industrial properties:
base rent, percentage rent, other revenues and expense recoveries, and (b)
multifamily properties: rental revenues and other revenues. No representation is
made as to future levels of revenues for any of the Mortgaged Properties.
Operating expenses generally include salaries, utilities, maintenance,
general and administrative, real estate tax, insurance, management fees, ground
rent (as applicable) and other expenses. Operating expenses generally do not
include amounts for leasing commissions, tenant improvements, capital
improvements and replacement reserves. The operating expenses were generally
derived from the operating statements received from the respective Mortgagors.
1994 NOI and 1993 NOI for each Mortgaged Property or group of Mortgaged
Properties are derived from information furnished by the respective Mortgagor.
In some cases, CLIC (U.S.) caused to be made certain adjustments to determine
1994 NOI and 1993 NOI resulting in an adjustment of certain items on the
Mortgagor provided operating statements, based on an evaluation of such
operating statements and the assumptions applied by the respective Mortgagors in
preparing such statements and information. Such changes were considered only for
those Mortgage Loans with unpaid principal balances in excess of $1,000,000 as
of the time of analysis. There can be no assurance that the components of 1994
NOI and 1993 NOI for a Mortgaged Property or group of Mortgaged Properties
(i.e., Total Revenues and operating expenses) as determined under generally
accepted accounting principles ('GAAP') would be the same as those used in
computing the stated 1994 NOI and 1993 NOI for such Mortgaged Property or group
of Mortgaged Properties. Moreover, 1994 NOI and 1993 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.
(2) 'Static NOI,' as used herein, with respect to any Mortgaged Property or
group of Mortgaged Properties means, the excess of (a) estimated 'Next Twelve
Months Total Revenues' for such Mortgaged Property or group of Mortgaged
Properties over (b) estimated 'Next Twelve Months Total Operating Expenses' of
such Mortgaged Property or group of Mortgaged Properties, without giving effect
to any deductions for debt service, depreciation, amortization, capital
expenditures or reserves therefor.
'Next Twelve Months Total Revenues' for such Mortgaged Property or group of
Mortgaged Properties have been generally estimated by reviewing 1994 Total
Revenues (and where not available 1993 Total Revenues) as well as the most
recent rent roll and adjusting the Total Revenues to the anticipated annual
rental payments to be received from currently existing tenants per the most
recent rent roll and tenants under newly signed leases, including, but not
limited to, base rents, recoveries and other rents. In the case of office,
retail, warehouses and industrial properties, in certain instances to the extent
any of the tenants in occupancy had leases that were scheduled to expire during
the first six months of 1995 or CLIC (U.S.) received written notification of
non-renewal of leases with expiration/termination dates scheduled to occur prior
to July 1, 1996, revenues were not calculated for
B-1
<PAGE>
<PAGE>
such tenants unless replacement tenants were in place or were expected to
commence rental payments prior to July 1, 1996 per executed leases or lease
commitments. Additionally, adjustments were made in certain instances to annual
rental payments anticipated from tenants with leases scheduled to expire within
the last six months of 1995 and during 1996 where the contractual rental
payments were determined by CLIC (U.S.) to be above current market levels.
'Next Twelve Months Total Operating Expenses' used for calculating Static
NOI were generally calculated increasing 1994 operating expenses by 3.0% (and by
3.0% per year over 1993 operating expenses, if applicable) for salaries,
utilities, maintenance, general and administrative and other expenses. Real
estate taxes and insurance premiums were either based upon actual 1995 figures
or increased 2.0% and 3.0%, respectively, over 1994 levels (and by 2.0% and 3.0%
per year, respectively over 1993 levels, if applicable). Management fees were
calculated as a percentage of Next Twelve Months Total Revenues (which
percentage was the same as management fees divided by Total Revenues per the
1994 NOI or 1993 NOI, as applicable) and were a minimum of 3.0% -- 5.0% of
effective gross income. Exceptions were made for specific circumstances where it
was determined based on the specific Mortgaged Property or group of Mortgaged
Properties that an increase in excess of the stated assumptions above or a
decrease from 1994 or 1993 operating expenses, as the case may be, was
warranted.
(3) '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, as available
(i) estimated revenues contained in appraisals prepared for or by Mortgage Loan
originators, (ii) current market information, (iii) 1992 revenues, (iv) site
inspection reports, (v) current rent rolls and (vi) any other data resources
deemed appropriate where no 1993 or 1994 Mortgagor operating statements were
available.
'Pro Forma Total Operating Expenses' for such Mortgaged Property or group
of Mortgaged Properties have generally been estimated by reviewing, as
available, (i) estimated expenses contained in appraisals prepared for or by
Mortgage Loan originators, (ii) current market information, (iii) 1992 expenses,
(iv) site inspection reports, and (v) any available data resources deemed
appropriate where no 1993 or 1994 Mortgagor operating statements were available.
B-2
<PAGE>
<PAGE>
APPENDIX C-1
FORM OF COMPARATIVE FINANCIAL STATUS REPORT
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
COMPARATIVE FINANCIAL STATUS REPORT
as of _____________________
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
Original Underwriting Information
Base Year
- ----------------------------------------------------------------------------------------------
Current Last
Sched. Paid Annual Prop. Financial (1)
Loan Principal Thru Debt Inspect. Info. as of % Total $ DSCR
Num. City State Balance Date Service Date Date Occ. Rev. NOI x
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
List all loans currently in the Trust (with or without information) in descending
loan balance order.
Total $ $ WA $ $ WA
Received
Financial Information: Loans Balance
# % $ %
Current Full Year:
Current Full Year received with DSC <1:
Prior Full Year:
Prior Full Year received with DSC <1:
(1) DSCR calculated using NOI/Annual Debt Service.
(2) Net change should compare the latest year to the underwriting year.
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
Prior Full Year Operating Information Current Annual Operating Information
as of _______ Normalized as of ______ Normalized
- ---------------------------------------------------------------------------------------------------------------
Last Last
Prop. Financial (1) Prop. Financial (1)
Loan Inspect. Info. as of % Total $ DSCR Inspect. Info. as of % Total $ DSCR
Num. Date Date Occ. Rev. NOI x Date Date Occ. Rev. NOI x
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total WA $ $ WA WA $ $ WA
Required
Financial Information: Loans Balance
# % $ %
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
(2)
'Actual' Net Change
YTD Financial Information Current &
Month Reported Base
- ---------------------------------------------------------------
Financial %
Loan Info. as of % Total $ % % Total DSCR
Num. Date Occ. Rev. NOI DSC Occ. Rev. x
- ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total WA $ $ WA WA $ WA
</TABLE>
C-1-1
<PAGE>
<PAGE>
APPENDIX C-2
FORM OF DELINQUENT LOAN STATUS REPORT
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
DELINQUENT LOAN STATUS REPORT
as of ________________________
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------
(a) (b) (c) (d) (e)=a+b+c+d
-----------------------------------------------------------------------------------------------------------------------
Sq. Ft. Total
Loan or Outstand. Total Other
Number, Units, Paid Sched. P&I Outstand. Advances Current
City & Prop. Occ %, Thru Principal Advances Expenses (Taxes & Total Monthly
State Type Date Date Balance to Date to Date Escrow) Exposure P&I
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FCL - Foreclosure
LTM - Latest 12 Months
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------------
(f) (g)=(.92*f)-e
-------------------------------------------------------------------------------------------------------------------------------
Date
NOI
Most Appraisal Transfer Loss Using Filed/
Current LTM LTM Accurate BPO or Date/ 92% FCL
Interest Maturity NOI NOI, Valuation Property Internal Closing Appr. or Sale
Rate Date Date DSCR Date Value Value** Date BPO(f) Date Status*
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
90 + DAYS DELINQUENT
60-89 DAYS DELINQUENT
30-59 DAYS DELINQUENT
Specially Serviced Mortgage Loans that are Current
</TABLE>
*Status should contain a code indicating the current direction of each loan
such as (FCL-In Foreclosure, MOD-Modification, DPO-Discount Payoff, NS-Note
Sale, BK-Bankruptcy, PP-Payment Plan, Curr-Current, TBD-To Be Determined,
etc.). It is possible to combine the status codes if the loan is going in more
than one direction (i.e. FCL/Mod, BK/Mod, BK/FCL/DPO).
**App-Appraisal, BPO-Broker Opinion, Int.-Internal Value
C-2-1
<PAGE>
<PAGE>
APPENDIX C-3
FORM OF HISTORICAL LOAN MODIFICATION REPORT
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
HISTORICAL LOAN MODIFICATION REPORT
as of ________________________
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Balance
When Sent Balance at the
to Effective Date Num.
Loan City/ Mod./ Effective Special of Months /
Number State Extension Date Servicer Rehabilitation Old Rate New Rate Old P&I
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
THIS REPORT IS HISTORICAL
Total For All Loans:
Total For Loans in Current Month:
# of Loans $ Balance
Modifications:
Maturity Date Extensions:
Total:
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Total (2) Est.
Num. Future
Months Interest Loss
for (1) Realized to Trust $
Old New Change of Loss to (Rate
New P&I Maturity Maturity Mod. Trust $ Reduction) COMMENTS
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
</TABLE>
C-3-1
<PAGE>
<PAGE>
APPENDIX C-4
FORM OF HISTORICAL LOSS ESTIMATE REPORT
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
HISTORICAL LOSS ESTIMATE REPORT (REO-SOLD or DISCOUNTED PAYOFF)
as of ________________________
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
(c)=b/a (a) (b) (d) (e) (f)
- -----------------------------------------------------------------------------------------------------------------
Latest
% Rec. Appraisal Effect Net Amt.
Servicer From or Brokers Date of Sales Received Scheduled Total P&I
Loan ID City/State Sale Opinion Sale Price from Sale Balance Advanced
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
THIS REPORT IS HISTORICAL
Total all Loans:
Current Month Only:
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
(g) (h) (i)=d-(f+g+h) (k)=i-e (m) (n)=k+m (o)=n/e
- -----------------------------------------------------------------------------------------------------------------
Actual Date Minor
Losses Loss Minor Adj. Total Loss Loss % of
Total Servicing Passed Passed Adj. to Passed with Scheduled
Expenses Fees Net Proceeds Thru Thru Trust Thru Adjustment Balance
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
</TABLE>
C-4-1
<PAGE>
<PAGE>
APPENDIX C-5
FORM OF REO STATUS REPORT
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
REO STATUS REPORT
as of ________________________
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
(a) (b) (c) (d) (e)=a+b+c+d
- -------------------------------------------------------------------------------------------------------------------------------
Sq. Ft.
Loan or Total Other
Num./ Units/ Paid Sched. P&I Advances Total Current
City & Prop. Occ %/ Thru Principal Advances (Taxes & Expenses Total Monthly
State Type Date Date Balance To Date Escrow) To Date Exposure P&I
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
(f) (g)=(.92*f)-e
- --------------------------------------------------------------------------------------------------------------------------
(YTD) ($1) Loss
NOI Most Most Appraisal, Transfer Using
Current as Recent Accurate BPO or Date/ 92% REO
Interest Maturity of NOI/ Appr. Property Internal Closing Appr. or Acquisition
Rate Date Date DSCR Date Value Value Date BPO (f) Date
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Real Estate Owned
<CAPTION>
- ---------------------
Pending
Offers Comments
- ---------------------
<S> <C>
(1) Use the following codes: App. - Appraisal; BPO - Brokers Opinion; Int. - Internal Value.
</TABLE>
C-5-1
<PAGE>
<PAGE>
APPENDIX C-6
FORM OF WATCH LIST
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
WATCH LIST
as of __________________
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Sched. Paid Current
Loan Principal Thru Maturity DSC
Number Property Type City State Balance Date Date (%) COMMENT/REASON ON WATCH LIST
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
List all loans on Watch List and the reason for each being on the Watch List. List should be sorted in descending loan
balance order.
Total: $
</TABLE>
C-6-1
<PAGE>
<PAGE>
APPENDIX C-7
FORM OF OPERATING STATEMENT ANALYSIS
FORM OF OPERATING STATEMENT ANALYSIS
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
OPERATING STATEMENT ANALYSIS REPORT
as of ________________________
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
PROPERTY OVERVIEW:
Servicer Loan Number
Property Type
Property Address, City, State
Net Rentable Square Feet
Year Built/Year Renovated
Year of Operations Underwriting 1993 1994 1995 YTD
Occupancy Rate*
Average Rental Rate
*Occupancy rates are year end or the ending date of the financial statement for the period.
INCOME No. of Mos.
Number of Mos. Annualized Prior Year Current Year
Period Ended Underwriting 1993 1994 1995 1996 YTD** 1995-Base 1995-1994
Statement Classification Base Year Normalized Normalized Normalized as of / /96 Variance Variance
Rental Income
Pass Through/Escalations
Other Income
Effective Gross Income $0.00 $0.00 $0.00 $0.00 $0.00 % %
Normalized -- Full year financial statements that have been reviewed by the underwriter or the
Servicer.
**YTD numbers will not be normalized.
OPERATING EXPENSES:
Real Estate Taxes
Property Insurance
Utilities
Repairs and Maintenance
Management Fees
Payroll & Benefits Expense
Advertising & Marketing
Professional Fees
Other Expenses
Ground Rent
Total Operating Expenses $0.00 $0.00 $0.00 $0.00 $0.00 % %
Operating Expense Ratio
Net Operating Income $0.00 $0.00 $0.00 $0.00 $0.00
Leasing Commissions
Tenant Improvements
Replacement Reserve
Total Capital Items $0.00 $0.00 $0.00 $0.00 $0.00 $0.00
N.O.I. After Capital Items $0.00 $0.00 $0.00 $0.00 $0.00
Debt Service (per Servicer) $0.00 $0.00 $0.00 $0.00 $0.00
Cash Flow After Debt Service $0.00 $0.00 $0.00 $0.00 $0.00
(1) DSCR: (NOI/Debt Service)
DSCR: (After Reserve/Cap Items)
Source of Financial Data:
(i.e., operating statements, financial statements, tax return, other)
</TABLE>
Notes and Assumptions:
- --------------------------------------------------------------------------------
The years shown above will always show a three year history. 1995 is the current
year financials; 1994 is the prior year financials.
This report may vary depending on the property type and due to reporting
diferences among the financial statements of the borrowers.
Income: Comment
Expense: Comment
Capital Items: Comment
(1) Used in the Comparative Financial Status Report.
C-7-1
<PAGE>
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
<PAGE>
APPENDIX D
PRICE/YIELD TABLES
The tables set forth below show the corporate bond equivalent ('CBE')
yield, modified duration, weighted average life, first principal payment date
and last principal payment date of each Class of Offered Certificates under
eight distinct scenarios.
Scenario 1 assumes that the stated maturity date for each Group 1 Mortgage
Loan is extended for one year and that each Group 2 Mortgage Loan matures on the
first day of such Mortgage Loan's Option Period.
Scenario 2 assumes that the stated maturity date for each Group 1 Mortgage
Loan is extended for one year and each Group 2 Mortgage Loan remains outstanding
until such Mortgage Loan's stated maturity date.
Scenario 3 assumes that each Group 1 Mortgage Loan remains outstanding
until such Mortgage Loan's stated maturity date and that each Group 2 Mortgage
Loan matures on the first day of such Mortgage Loan's Option Period.
Scenario 4 assumes that the stated maturity date for each Group 1 Mortgage
Loan is extended for three years and that each Group 2 Mortgage Loan remains
outstanding until such Mortgage Loan's stated maturity date.
Scenario 5 assumes that each Group 1 Mortgage Loan with a debt service
coverage ratio less than the weighted average debt service coverage ratio for
the Group 1 Mortgage Loans as of the Cut-off Date is extended for three years
past such Mortgage Loan's stated maturity date (the remaining Group 1 Mortgage
Loans remain outstanding until their respective stated maturity dates) and that
each Group 2 Mortgage Loan with debt service coverage ratios less than the
weighted average debt service coverage ratio of the Group 2 Mortgage Loans as of
the Cut-Off Date remains outstanding until such Mortgage Loan's stated maturity
date (the remaining Group 2 Mortgage Loans mature on the first day of the
related Mortgage Loan's Option Period).
Scenario 6 assumes that the stated maturity date for each Group 1 Mortgage
Loan is extended for one year and that each Group 2 Mortgage Loan matures on the
first day of such Mortgage Loan's Option Period. In addition, prepayments
commence at the indicated percentages of CPR on the Due Date immediately
following the Prepayment Charge Expiration Date.
Scenario 7 assumes that the stated maturity date for each Group 1 Mortgage
Loan and Group 2 Mortgage Loan is extended for one year.
Scenario 8 assumes that the stated maturity date for each Group 1 Mortgage
Loan and Group 2 Mortgage Loan is extended for three years.
The yields set forth in the following tables were calculated by determining
the monthly discount rates which, when applied to the assumed stream of cash
flows to be paid on each Class of Certificates, would cause the discounted
present value of such assumed stream of cash flows as of February 15, 1996 to
equal the assumed purchase prices, plus accrued interest, and converting such
monthly rates to corporate bond equivalent rates. Such calculation does not take
into account variations that may occur in the interest rates at which investors
may be able to reinvest funds received by them as reductions of the Certificate
Principal Amount on such Classes of Certificates and consequently does not
purport to reflect the return on any investment in such Classes of Certificates
when such reinvestment rates are considered. For purposes of these tables,
'duration' has been calculated using the modified Macaulay Duration as specified
in the 'PSA Standard Formulas.' The Macaulay Duration is calculated as the
present value-weighted average time to receive future payments of principal and
interest, and the PSA Standards Formula modified duration is calculated by
dividing the Macaulay Duration by the appropriate semi-annual compounding
factor. None of the prices in the tables take into account any accrued interest
that may be payable in excess of the stated offering or purchase prices.
Duration, like yield, will be affected by the prepayment rates and Balloon
extensions that actually occur during the life of the Certificates and by the
actual performance of the Mortgage Loans, all of which may differ, and may
differ significantly, from the assumptions used in preparing the tables below.
See 'YIELD,
D-1
<PAGE>
<PAGE>
PREPAYMENT AND MATURITY CONSIDERATIONS -- Weighted Average Life of the Offered
Certificates' in the Prospectus.
Prepayments on mortgage loans are commonly measured by a prepayment
standard or model. The model used in this Prospectus Supplement in the tables
below (the 'Prepayment Model' or 'CPR') represents an assumed constant rate of
prepayments each month, expressed as an annual rate, relative to the then
outstanding principal balance of a pool of mortgage loans for the life of such
mortgage loans. CPR does not purport to be either an 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 to be included in the Mortgage Pool).
The tables below have been prepared generally on the basis of the
assumptions (collectively, the 'Modeling Assumptions') that (i) the settlement
date for the sale of the Certificates is February 15, 1996, (ii) distributions
on the Certificates are made on the 25th day of each month, commencing in March
1996, (iii) no defaults or delinquencies in, or modifications, waivers or
amendments respecting, the payment by the Mortgagor of principal and interest on
the Mortgage Loans occur; (iv) each of the Mortgage Loans prepays monthly at the
specified percentages of CPR as set forth in the following tables (without
regard to lockout periods, except for Scenario 6, or provisions prohibiting
partial payments), (v) all Scheduled Payments on the Mortgage Loans are timely
received on the first day of each month commencing in March 1996, (vi)
prepayments represent payment in full of individual Mortgage Loans and are
received on the last day of each month in which a prepayment occurs commencing
in February 1996 and includes one month's interest thereon, (vii) the
Administrative Cost Rate is 0.07325% per annum, (viii) there is no Appraisal
Reduction Amount applied to reduce the Certificate Principal Amounts of the
Certificates, (ix) for certain Mortgage Loans with irregular payment terms,
certain simplifying assumptions have been made, (x) interest accrues on all
Mortgage Loans based upon a 360-day year consisting of twelve 30-day months,
(xi) CLIC (U.S.) is not required to repurchase any Mortgage Loan for the breach
of any of its representations and warranties, (xii) no optional termination of
the Trust occurs, (xiii) no Prepayment Charges are collected, (xiv) any
extension of a Mortgage Loan Maturity Date will be limited by the amortization
schedule of the related Mortgage Loan; (xv) fees following extension continue to
be payable at the same rate as prior to extension and no Workout Fee is payable
with respect thereto; and (xvi) each Class of Certificates has the following
initial Certificate Principal Amount and Certificate Interest Rate:
<TABLE>
<CAPTION>
INITIAL
AGGREGATE
CERTIFICATE
PRINCIPAL AMOUNT INTEREST RATE
---------------- -------------
<S> <C> <C>
Class A-1A.................... $152,820,047 5.711%
Class A-1B.................... 200,000,000 5.751%
Class A-1C.................... 450,000,000 5.944%
Class A-2A.................... 171,097,717 7.750%
Class A-2B.................... 175,000,000 6.759%
Class B....................... 97,365,912 6.303%
Class C....................... 136,312,277 6.525%
Class D....................... 136,312,277 7.034%
Class E....................... 97,365,912 7.750%
</TABLE>
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 all
prepay at any of the levels of CPR indicated in the tables or at any constant
level.
D-2
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-1A CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 7.319 1.22 7.678 0.99 8.121 0.80 9.334 0.53
98.00 7.110 1.22 7.421 0.99 7.804 0.80 8.850 0.53
98.25 6.903 1.23 7.165 0.99 7.487 0.80 8.369 0.53
98.50 6.696 1.23 6.909 0.99 7.172 0.81 7.890 0.53
98.75 6.490 1.23 6.655 1.00 6.859 0.81 7.415 0.53
99.00 6.285 1.23 6.402 1.00 6.547 0.81 6.941 0.53
99.25 6.080 1.23 6.150 1.00 6.236 0.81 6.471 0.54
99.50 5.877 1.23 5.899 1.00 5.927 0.81 6.003 0.54
99.75 5.674 1.23 5.649 1.00 5.619 0.81 5.537 0.54
100.00 5.472 1.24 5.400 1.00 5.313 0.82 5.074 0.54
100.25 5.270 1.24 5.153 1.01 5.008 0.82 4.614 0.54
100.50 5.070 1.24 4.906 1.01 4.705 0.82 4.156 0.54
100.75 4.870 1.24 4.660 1.01 4.403 0.82 3.700 0.54
Weighted Average
Life (yrs) 1.32 1.06 0.86 0.56
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 12/25/1997 8/25/1997 7/25/1997 2/25/1997
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 7.319 1.22 7.678 0.99 8.121 0.80 9.334 0.53
98.00 7.110 1.22 7.421 0.99 7.804 0.80 8.850 0.53
98.25 6.903 1.23 7.165 0.99 7.487 0.80 8.369 0.53
98.50 6.696 1.23 6.909 0.99 7.172 0.81 7.890 0.53
98.75 6.490 1.23 6.655 1.00 6.859 0.81 7.415 0.53
99.00 6.285 1.23 6.402 1.00 6.547 0.81 6.941 0.53
99.25 6.080 1.23 6.150 1.00 6.236 0.81 6.471 0.54
99.50 5.877 1.23 5.899 1.00 5.927 0.81 6.003 0.54
99.75 5.674 1.23 5.649 1.00 5.619 0.81 5.537 0.54
100.00 5.472 1.24 5.400 1.00 5.313 0.82 5.074 0.54
100.25 5.270 1.24 5.153 1.01 5.008 0.82 4.614 0.54
100.50 5.070 1.24 4.906 1.01 4.705 0.82 4.156 0.54
100.75 4.870 1.24 4.660 1.01 4.403 0.82 3.700 0.54
Weighted Average
Life (yrs) 1.32 1.06 0.86 0.56
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 12/25/1997 8/25/1997 7/25/1997 2/25/1997
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 9.434 0.51 9.902 0.45 10.468 0.40 11.274 0.34
98.00 8.937 0.51 9.340 0.45 9.829 0.40 10.524 0.34
98.25 8.443 0.51 8.782 0.46 9.194 0.40 9.779 0.34
98.50 7.951 0.52 8.227 0.46 8.563 0.40 9.039 0.34
98.75 7.461 0.52 7.675 0.46 7.935 0.40 8.303 0.34
99.00 6.975 0.52 7.127 0.46 7.311 0.40 7.572 0.35
99.25 6.491 0.52 6.581 0.46 6.690 0.41 6.845 0.35
99.50 6.009 0.52 6.038 0.46 6.074 0.41 6.124 0.35
99.75 5.530 0.52 5.499 0.46 5.460 0.41 5.406 0.35
100.00 5.054 0.52 4.962 0.47 4.851 0.41 4.694 0.35
100.25 4.580 0.53 4.428 0.47 4.245 0.41 3.985 0.35
100.50 4.108 0.53 3.897 0.47 3.642 0.41 3.282 0.35
100.75 3.639 0.53 3.370 0.47 3.043 0.41 2.582 0.36
Weighted Average
Life (yrs) 0.55 0.48 0.42 0.36
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 12/25/1996 12/25/1996 11/25/1996 8/25/1996
<CAPTION>
SCENARIO 4(1)
----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
---------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- ------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.677 2.10 7.276 1.25 7.973 0.85 9.334 0.53
98.00 6.555 2.10 7.073 1.26 7.675 0.86 8.850 0.53
98.25 6.434 2.10 6.871 1.26 7.379 0.86 8.369 0.53
98.50 6.314 2.10 6.670 1.26 7.084 0.86 7.890 0.53
98.75 6.194 2.11 6.470 1.26 6.790 0.86 7.415 0.53
99.00 6.074 2.11 6.270 1.27 6.498 0.86 6.941 0.53
99.25 5.955 2.11 6.072 1.27 6.207 0.87 6.471 0.54
99.50 5.836 2.12 5.874 1.27 5.918 0.87 6.003 0.54
99.75 5.718 2.12 5.677 1.27 5.629 0.87 5.537 0.54
100.00 5.600 2.12 5.481 1.27 5.343 0.87 5.074 0.54
100.25 5.483 2.12 5.286 1.28 5.057 0.87 4.614 0.54
100.50 5.366 2.13 5.091 1.28 4.773 0.88 4.156 0.54
100.75 5.249 2.13 4.898 1.28 4.490 0.88 3.700 0.54
Weighted Average
Life (yrs) 2.35 1.37 0.92 0.56
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 7/25/1999 10/25/1998 11/25/1997 2/25/1997
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-3
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-1A CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 7.904 0.88 8.469 0.70 9.035 0.57 10.120 0.43
98.00 7.616 0.89 8.103 0.70 8.593 0.58 9.529 0.43
98.25 7.329 0.89 7.740 0.70 8.152 0.58 8.941 0.43
98.50 7.043 0.89 7.378 0.70 7.714 0.58 8.356 0.43
98.75 6.759 0.89 7.018 0.70 7.278 0.58 7.775 0.44
99.00 6.476 0.89 6.660 0.71 6.845 0.58 7.197 0.44
99.25 6.194 0.89 6.304 0.71 6.413 0.58 6.623 0.44
99.50 5.913 0.90 5.949 0.71 5.984 0.59 6.052 0.44
99.75 5.634 0.90 5.596 0.71 5.557 0.59 5.484 0.44
100.00 5.356 0.90 5.244 0.71 5.133 0.59 4.920 0.44
100.25 5.079 0.90 4.895 0.71 4.710 0.59 4.359 0.44
100.50 4.803 0.90 4.546 0.71 4.290 0.59 3.801 0.45
100.75 4.529 0.90 4.200 0.72 3.871 0.59 3.246 0.45
Weighted Average
Life (yrs) 0.95 0.75 0.61 0.46
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 11/25/1997 6/25/1997 3/25/1997 12/25/1996
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 7.423 1.14 7.475 1.11 7.580 1.04 10.670 0.38
98.00 7.200 1.15 7.245 1.11 7.336 1.05 10.003 0.38
98.25 6.979 1.15 7.016 1.11 7.093 1.05 9.340 0.38
98.50 6.758 1.15 6.789 1.11 6.851 1.05 8.681 0.39
98.75 6.538 1.15 6.562 1.12 6.610 1.05 8.026 0.39
99.00 6.319 1.15 6.336 1.12 6.370 1.05 7.375 0.39
99.25 6.101 1.15 6.111 1.12 6.131 1.05 6.728 0.39
99.50 5.883 1.16 5.886 1.12 5.893 1.06 6.086 0.39
99.75 5.667 1.16 5.663 1.12 5.656 1.06 5.447 0.39
100.00 5.451 1.16 5.441 1.12 5.420 1.06 4.813 0.39
100.25 5.236 1.16 5.219 1.13 5.185 1.06 4.182 0.40
100.50 5.022 1.16 4.998 1.13 4.950 1.06 3.555 0.40
100.75 4.809 1.16 4.779 1.13 4.717 1.06 2.932 0.40
Weighted Average
Life (yrs) 1.23 1.19 1.12 0.41
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 11/25/1997 10/25/1997 8/25/1997 11/25/1996
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 7.319 1.22 7.678 0.99 8.121 0.80 9.334 0.53
98.00 7.110 1.22 7.421 0.99 7.804 0.80 8.850 0.53
98.25 6.903 1.23 7.165 0.99 7.487 0.80 8.369 0.53
98.50 6.696 1.23 6.909 0.99 7.172 0.81 7.890 0.53
98.75 6.490 1.23 6.655 1.00 6.859 0.81 7.415 0.53
99.00 6.285 1.23 6.402 1.00 6.547 0.81 6.941 0.53
99.25 6.080 1.23 6.150 1.00 6.236 0.81 6.471 0.54
99.50 5.877 1.23 5.899 1.00 5.927 0.81 6.003 0.54
99.75 5.674 1.23 5.649 1.00 5.619 0.81 5.537 0.54
100.00 5.472 1.24 5.400 1.00 5.313 0.82 5.074 0.54
100.25 5.270 1.24 5.153 1.01 5.008 0.82 4.614 0.54
100.50 5.070 1.24 4.906 1.01 4.705 0.82 4.156 0.54
100.75 4.870 1.24 4.660 1.01 4.403 0.82 3.700 0.54
Weighted Average
Life (yrs) 1.32 1.06 0.86 0.56
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 12/25/1997 8/25/1997 7/25/1997 2/25/1997
<CAPTION>
SCENARIO 8(1)
----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
---------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- ------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.677 2.10 7.276 1.25 7.973 0.85 9.334 0.53
98.00 6.555 2.10 7.073 1.26 7.675 0.86 8.850 0.53
98.25 6.434 2.10 6.871 1.26 7.379 0.86 8.369 0.53
98.50 6.314 2.10 6.670 1.26 7.084 0.86 7.890 0.53
98.75 6.194 2.11 6.470 1.26 6.790 0.86 7.415 0.53
99.00 6.074 2.11 6.270 1.27 6.498 0.86 6.941 0.53
99.25 5.955 2.11 6.072 1.27 6.207 0.87 6.471 0.54
99.50 5.836 2.12 5.874 1.27 5.918 0.87 6.003 0.54
99.75 5.718 2.12 5.677 1.27 5.629 0.87 5.537 0.54
100.00 5.600 2.12 5.481 1.27 5.343 0.87 5.074 0.54
100.25 5.483 2.12 5.286 1.28 5.057 0.87 4.614 0.54
100.50 5.366 2.13 5.091 1.28 4.773 0.88 4.156 0.54
100.75 5.249 2.13 4.898 1.28 4.490 0.88 3.700 0.54
Weighted Average
Life (yrs) 2.35 1.37 0.92 0.56
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 7/25/1999 10/25/1998 11/25/1997 2/25/1997
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-4
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-1B CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
------------------------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- ------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.699 2.14 6.828 1.87 6.956 1.66 7.205 1.36
98.00 6.580 2.15 6.692 1.87 6.803 1.66 7.018 1.36
98.25 6.461 2.15 6.556 1.87 6.649 1.66 6.831 1.36
98.50 6.343 2.15 6.420 1.87 6.497 1.66 6.645 1.36
98.75 6.226 2.15 6.285 1.87 6.344 1.66 6.459 1.36
99.00 6.108 2.15 6.151 1.88 6.193 1.66 6.274 1.36
99.25 5.991 2.15 6.016 1.88 6.041 1.66 6.090 1.37
99.50 5.875 2.15 5.883 1.88 5.891 1.67 5.906 1.37
99.75 5.759 2.16 5.750 1.88 5.741 1.67 5.723 1.37
100.00 5.643 2.16 5.617 1.88 5.591 1.67 5.541 1.37
100.25 5.527 2.16 5.484 1.88 5.442 1.67 5.359 1.37
100.50 5.412 2.16 5.352 1.88 5.293 1.67 5.178 1.37
100.75 5.298 2.16 5.221 1.89 5.145 1.67 4.997 1.37
Weighted Average
Life (yrs) 2.37 2.04 1.80 1.46
First Principal
Payment Date 12/25/1997 8/25/1997 7/25/1997 2/25/1997
Last Principal
Payment Date 2/25/1999 9/25/1998 5/25/1998 12/25/1997
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.699 2.14 6.828 1.87 6.956 1.66 7.205 1.36
98.00 6.580 2.15 6.692 1.87 6.803 1.66 7.018 1.36
98.25 6.461 2.15 6.556 1.87 6.649 1.66 6.831 1.36
98.50 6.343 2.15 6.420 1.87 6.497 1.66 6.645 1.36
98.75 6.226 2.15 6.285 1.87 6.344 1.66 6.459 1.36
99.00 6.108 2.15 6.151 1.88 6.193 1.66 6.274 1.36
99.25 5.991 2.15 6.016 1.88 6.041 1.66 6.090 1.37
99.50 5.875 2.15 5.883 1.88 5.891 1.67 5.906 1.37
99.75 5.759 2.16 5.750 1.88 5.741 1.67 5.723 1.37
100.00 5.643 2.16 5.617 1.88 5.591 1.67 5.541 1.37
100.25 5.527 2.16 5.484 1.88 5.442 1.67 5.359 1.37
100.50 5.412 2.16 5.352 1.88 5.293 1.67 5.178 1.37
100.75 5.298 2.16 5.221 1.89 5.145 1.67 4.997 1.37
Weighted Average
Life (yrs) 2.37 2.04 1.80 1.46
First Principal
Payment Date 12/25/1997 8/25/1997 7/25/1997 2/25/1997
Last Principal
Payment Date 2/25/1999 9/25/1998 5/25/1998 12/25/1997
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 7.149 1.41 7.349 1.23 7.541 1.09 7.958 0.88
98.00 6.969 1.42 7.142 1.23 7.308 1.09 7.668 0.88
98.25 6.790 1.42 6.936 1.23 7.075 1.09 7.379 0.88
98.50 6.611 1.42 6.730 1.23 6.844 1.10 7.091 0.88
98.75 6.433 1.42 6.525 1.24 6.613 1.10 6.805 0.88
99.00 6.256 1.42 6.321 1.24 6.384 1.10 6.520 0.88
99.25 6.079 1.42 6.118 1.24 6.155 1.10 6.235 0.89
99.50 5.903 1.43 5.915 1.24 5.927 1.10 5.953 0.89
99.75 5.727 1.43 5.713 1.24 5.700 1.10 5.671 0.89
100.00 5.552 1.43 5.512 1.24 5.473 1.10 5.390 0.89
100.25 5.378 1.43 5.312 1.24 5.248 1.11 5.110 0.89
100.50 5.204 1.43 5.112 1.25 5.024 1.11 4.832 0.89
100.75 5.031 1.43 4.913 1.25 4.800 1.11 4.555 0.89
Weighted Average
Life (yrs) 1.53 1.32 1.17 0.94
First Principal
Payment Date 12/25/1996 12/25/1996 11/25/1996 8/25/1996
Last Principal
Payment Date 3/25/1998 11/25/1997 9/25/1997 6/25/1997
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.363 3.47 6.438 3.05 6.564 2.53 6.973 1.63
98.00 6.289 3.48 6.354 3.05 6.463 2.53 6.817 1.63
98.25 6.216 3.48 6.271 3.05 6.363 2.54 6.661 1.64
98.50 6.143 3.48 6.188 3.06 6.263 2.54 6.506 1.64
98.75 6.071 3.48 6.105 3.06 6.163 2.54 6.352 1.64
99.00 5.998 3.48 6.023 3.06 6.064 2.54 6.198 1.64
99.25 5.926 3.48 5.941 3.06 5.965 2.54 6.045 1.64
99.50 5.854 3.49 5.859 3.06 5.866 2.54 5.892 1.64
99.75 5.782 3.49 5.777 3.06 5.768 2.55 5.739 1.65
100.00 5.711 3.49 5.695 3.07 5.670 2.55 5.588 1.65
100.25 5.639 3.49 5.614 3.07 5.572 2.55 5.436 1.65
100.50 5.568 3.49 5.533 3.07 5.475 2.55 5.286 1.65
100.75 5.497 3.50 5.452 3.07 5.378 2.55 5.136 1.65
Weighted Average
Life (yrs) 4.00 3.46 2.84 1.78
First Principal
Payment Date 7/25/1999 10/25/1998 11/25/1997 2/25/1997
Last Principal
Payment Date 9/25/2000 1/25/2000 8/25/1999 8/25/1998
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-5
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-1B CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.573 2.50 6.761 2.00 6.968 1.64 7.396 1.19
98.00 6.471 2.50 6.634 2.00 6.812 1.64 7.182 1.19
98.25 6.369 2.51 6.507 2.00 6.657 1.64 6.970 1.20
98.50 6.268 2.51 6.380 2.01 6.503 1.64 6.758 1.20
98.75 6.167 2.51 6.254 2.01 6.349 1.65 6.547 1.20
99.00 6.067 2.51 6.129 2.01 6.196 1.65 6.336 1.20
99.25 5.967 2.51 6.003 2.01 6.044 1.65 6.127 1.20
99.50 5.867 2.52 5.879 2.01 5.891 1.65 5.918 1.20
99.75 5.767 2.52 5.754 2.01 5.740 1.65 5.710 1.20
100.00 5.668 2.52 5.630 2.02 5.589 1.65 5.503 1.21
100.25 5.569 2.52 5.507 2.02 5.438 1.66 5.296 1.21
100.50 5.471 2.52 5.384 2.02 5.288 1.66 5.090 1.21
100.75 5.373 2.52 5.261 2.02 5.139 1.66 4.885 1.21
Weighted Average
Life (yrs) 2.80 2.20 1.79 1.28
First Principal
Payment Date 11/25/1997 6/25/1997 3/25/1997 12/25/1996
Last Principal
Payment Date 7/25/1999 3/25/1999 8/25/1998 11/25/1997
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.723 2.09 6.735 2.06 6.764 2.00 7.287 1.28
98.00 6.601 2.09 6.612 2.06 6.636 2.00 7.088 1.28
98.25 6.479 2.09 6.488 2.06 6.509 2.00 6.890 1.28
98.50 6.358 2.09 6.365 2.06 6.382 2.00 6.693 1.29
98.75 6.237 2.09 6.243 2.06 6.256 2.00 6.496 1.29
99.00 6.116 2.09 6.120 2.06 6.130 2.00 6.301 1.29
99.25 5.996 2.10 5.999 2.07 6.004 2.00 6.105 1.29
99.50 5.876 2.10 5.877 2.07 5.879 2.01 5.911 1.29
99.75 5.757 2.10 5.756 2.07 5.754 2.01 5.717 1.29
100.00 5.638 2.10 5.635 2.07 5.630 2.01 5.525 1.30
100.25 5.519 2.10 5.515 2.07 5.506 2.01 5.332 1.30
100.50 5.401 2.10 5.395 2.07 5.382 2.01 5.141 1.30
100.75 5.283 2.10 5.276 2.08 5.259 2.01 4.950 1.30
Weighted Average
Life (yrs) 2.30 2.26 2.19 1.38
First Principal
Payment Date 11/25/1997 10/25/1997 8/25/1997 11/25/1996
Last Principal
Payment Date 12/25/1998 11/25/1998 11/25/1998 1/25/1998
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.699 2.14 6.828 1.87 6.956 1.66 7.205 1.36
98.00 6.580 2.15 6.692 1.87 6.803 1.66 7.018 1.36
98.25 6.461 2.15 6.556 1.87 6.649 1.66 6.831 1.36
98.50 6.343 2.15 6.420 1.87 6.497 1.66 6.645 1.36
98.75 6.226 2.15 6.285 1.87 6.344 1.66 6.459 1.36
99.00 6.108 2.15 6.151 1.88 6.193 1.66 6.274 1.36
99.25 5.991 2.15 6.016 1.88 6.041 1.66 6.090 1.37
99.50 5.875 2.15 5.883 1.88 5.891 1.67 5.906 1.37
99.75 5.759 2.16 5.750 1.88 5.741 1.67 5.723 1.37
100.00 5.643 2.16 5.617 1.88 5.591 1.67 5.541 1.37
100.25 5.527 2.16 5.484 1.88 5.442 1.67 5.359 1.37
100.50 5.412 2.16 5.352 1.88 5.293 1.67 5.178 1.37
100.75 5.298 2.16 5.221 1.89 5.145 1.67 4.997 1.37
Weighted Average
Life (yrs) 2.37 2.04 1.80 1.46
First Principal
Payment Date 12/25/1997 8/25/1997 7/25/1997 2/25/1997
Last Principal
Payment Date 2/25/1999 9/25/1998 5/25/1998 12/25/1997
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.363 3.47 6.438 3.05 6.564 2.53 6.973 1.63
98.00 6.289 3.48 6.354 3.05 6.463 2.53 6.817 1.63
98.25 6.216 3.48 6.271 3.05 6.363 2.54 6.661 1.64
98.50 6.143 3.48 6.188 3.06 6.263 2.54 6.506 1.64
98.75 6.071 3.48 6.105 3.06 6.163 2.54 6.352 1.64
99.00 5.998 3.48 6.023 3.06 6.064 2.54 6.198 1.64
99.25 5.926 3.48 5.941 3.06 5.965 2.54 6.045 1.64
99.50 5.854 3.49 5.859 3.06 5.866 2.54 5.892 1.64
99.75 5.782 3.49 5.777 3.06 5.768 2.55 5.739 1.65
100.00 5.711 3.49 5.695 3.07 5.670 2.55 5.588 1.65
100.25 5.639 3.49 5.614 3.07 5.572 2.55 5.436 1.65
100.50 5.568 3.49 5.533 3.07 5.475 2.55 5.286 1.65
100.75 5.497 3.50 5.452 3.07 5.378 2.55 5.136 1.65
Weighted Average
Life (yrs) 4.00 3.46 2.84 1.78
First Principal
Payment Date 7/25/1999 10/25/1998 11/25/1997 2/25/1997
Last Principal
Payment Date 9/25/2000 1/25/2000 8/25/1999 8/25/1998
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-6
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY YIELD AND MODIFIED DURATION OF CLASS A-1C CERTIFICATES
UNDER VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.545 3.55 6.591 3.26 6.644 2.99 6.771 2.48
98.00 6.473 3.55 6.513 3.27 6.559 2.99 6.669 2.48
98.25 6.402 3.56 6.435 3.27 6.474 2.99 6.566 2.49
98.50 6.330 3.56 6.358 3.27 6.389 2.99 6.464 2.49
98.75 6.259 3.56 6.280 3.27 6.305 3.00 6.363 2.49
99.00 6.188 3.56 6.203 3.27 6.220 3.00 6.262 2.49
99.25 6.118 3.56 6.127 3.28 6.137 3.00 6.161 2.49
99.50 6.047 3.57 6.050 3.28 6.053 3.00 6.060 2.50
99.75 5.977 3.57 5.974 3.28 5.970 3.00 5.960 2.50
100.00 5.907 3.57 5.898 3.28 5.886 3.01 5.860 2.50
100.25 5.837 3.57 5.822 3.28 5.804 3.01 5.760 2.50
100.50 5.768 3.57 5.746 3.29 5.721 3.01 5.661 2.50
100.75 5.699 3.58 5.671 3.29 5.639 3.01 5.562 2.50
Weighted Average
Life (yrs) 4.14 3.76 3.42 2.79
First Principal
Payment Date 2/25/1999 9/25/1998 5/25/1998 12/25/1997
Last Principal
Payment Date 2/25/2001 11/25/2000 7/25/2000 1/25/2000
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.545 3.55 6.591 3.26 6.644 2.99 6.771 2.48
98.00 6.473 3.55 6.513 3.27 6.559 2.99 6.669 2.48
98.25 6.402 3.56 6.435 3.27 6.474 2.99 6.566 2.49
98.50 6.330 3.56 6.358 3.27 6.389 2.99 6.464 2.49
98.75 6.259 3.56 6.280 3.27 6.305 3.00 6.363 2.49
99.00 6.188 3.56 6.203 3.27 6.220 3.00 6.262 2.49
99.25 6.118 3.56 6.127 3.28 6.137 3.00 6.161 2.49
99.50 6.047 3.57 6.050 3.28 6.053 3.00 6.060 2.50
99.75 5.977 3.57 5.974 3.28 5.970 3.00 5.960 2.50
100.00 5.907 3.57 5.898 3.28 5.886 3.01 5.860 2.50
100.25 5.837 3.57 5.822 3.28 5.804 3.01 5.760 2.50
100.50 5.768 3.57 5.746 3.29 5.721 3.01 5.661 2.50
100.75 5.699 3.58 5.671 3.29 5.639 3.01 5.562 2.50
Weighted Average
Life (yrs) 4.14 3.76 3.42 2.79
First Principal
Payment Date 2/25/1999 9/25/1998 5/25/1998 12/25/1997
Last Principal
Payment Date 2/25/2001 11/25/2000 7/25/2000 1/25/2000
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.673 2.86 6.727 2.64 6.789 2.43 6.930 2.05
98.00 6.583 2.86 6.631 2.64 6.684 2.43 6.806 2.05
98.25 6.495 2.86 6.534 2.64 6.579 2.43 6.682 2.05
98.50 6.406 2.86 6.438 2.64 6.475 2.43 6.558 2.05
98.75 6.318 2.86 6.343 2.64 6.371 2.43 6.435 2.06
99.00 6.230 2.87 6.247 2.65 6.267 2.44 6.313 2.06
99.25 6.142 2.87 6.152 2.65 6.164 2.44 6.191 2.06
99.50 6.054 2.87 6.058 2.65 6.061 2.44 6.069 2.06
99.75 5.967 2.87 5.963 2.65 5.958 2.44 5.947 2.06
100.00 5.880 2.87 5.869 2.65 5.856 2.44 5.826 2.07
100.25 5.794 2.88 5.775 2.66 5.754 2.44 5.706 2.07
100.50 5.707 2.88 5.682 2.66 5.653 2.45 5.586 2.07
100.75 5.621 2.88 5.588 2.66 5.551 2.45 5.466 2.07
Weighted Average
Life (yrs) 3.25 2.98 2.72 2.27
First Principal
Payment Date 3/25/1998 11/25/1997 9/25/1997 6/25/1997
Last Principal
Payment Date 3/25/2000 1/25/2000 9/25/1999 5/25/1999
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.408 4.80 6.445 4.38 6.489 3.97 6.590 3.27
98.00 6.355 4.80 6.387 4.39 6.425 3.97 6.512 3.27
98.25 6.302 4.80 6.329 4.39 6.361 3.97 6.435 3.27
98.50 6.249 4.80 6.271 4.39 6.297 3.98 6.357 3.28
98.75 6.197 4.81 6.214 4.39 6.234 3.98 6.280 3.28
99.00 6.144 4.81 6.156 4.40 6.171 3.98 6.203 3.28
99.25 6.092 4.81 6.099 4.40 6.107 3.98 6.126 3.28
99.50 6.040 4.82 6.042 4.40 6.044 3.99 6.050 3.28
99.75 5.988 4.82 5.985 4.40 5.982 3.99 5.974 3.29
100.00 5.936 4.82 5.928 4.41 5.919 3.99 5.898 3.29
100.25 5.884 4.82 5.872 4.41 5.856 3.99 5.822 3.29
100.50 5.833 4.83 5.815 4.41 5.794 3.99 5.747 3.29
100.75 5.781 4.83 5.759 4.41 5.732 4.00 5.671 3.29
Weighted Average
Life (yrs) 5.86 5.27 4.70 3.77
First Principal
Payment Date 9/25/2000 1/25/2000 8/25/1999 8/25/1998
Last Principal
Payment Date 12/25/2002 7/25/2002 2/25/2002 1/25/2001
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-7
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-1C CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.475 4.10 6.526 3.68 6.584 3.31 6.715 2.68
98.00 6.412 4.10 6.457 3.68 6.507 3.31 6.620 2.69
98.25 6.351 4.10 6.388 3.69 6.430 3.31 6.525 2.69
98.50 6.289 4.10 6.319 3.69 6.353 3.31 6.431 2.69
98.75 6.227 4.11 6.251 3.69 6.277 3.31 6.337 2.69
99.00 6.166 4.11 6.182 3.69 6.201 3.32 6.243 2.69
99.25 6.105 4.11 6.114 3.70 6.125 3.32 6.150 2.69
99.50 6.043 4.11 6.046 3.70 6.050 3.32 6.057 2.70
99.75 5.983 4.12 5.979 3.70 5.974 3.32 5.964 2.70
100.00 5.922 4.12 5.911 3.70 5.899 3.33 5.872 2.70
100.25 5.862 4.12 5.844 3.70 5.824 3.33 5.779 2.70
100.50 5.801 4.12 5.777 3.71 5.750 3.33 5.687 2.70
100.75 5.741 4.13 5.710 3.71 5.675 3.33 5.596 2.71
Weighted Average
Life (yrs) 4.88 4.32 3.82 3.04
First Principal
Payment Date 7/25/1999 3/25/1999 8/25/1998 11/25/1997
Last Principal
Payment Date 6/25/2002 11/25/2001 3/25/2001 3/25/2000
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.555 3.48 6.560 3.45 6.570 3.39 6.697 2.75
98.00 6.482 3.49 6.486 3.45 6.495 3.39 6.605 2.76
98.25 6.409 3.49 6.413 3.46 6.420 3.40 6.512 2.76
98.50 6.336 3.49 6.339 3.46 6.345 3.40 6.421 2.76
98.75 6.264 3.49 6.266 3.46 6.271 3.40 6.329 2.76
99.00 6.192 3.50 6.193 3.46 6.196 3.40 6.238 2.76
99.25 6.120 3.50 6.121 3.46 6.122 3.40 6.147 2.77
99.50 6.048 3.50 6.048 3.47 6.049 3.41 6.056 2.77
99.75 5.976 3.50 5.976 3.47 5.975 3.41 5.965 2.77
100.00 5.905 3.50 5.904 3.47 5.902 3.41 5.875 2.77
100.25 5.834 3.51 5.832 3.47 5.829 3.41 5.785 2.77
100.50 5.763 3.51 5.761 3.48 5.756 3.41 5.696 2.77
100.75 5.693 3.51 5.689 3.48 5.684 3.42 5.607 2.78
Weighted Average
Life (yrs) 4.05 4.01 3.93 3.12
First Principal
Payment Date 12/25/1998 11/25/1998 11/25/1998 1/25/1998
Last Principal
Payment Date 1/25/2001 1/25/2001 12/25/2000 2/25/2000
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.545 3.55 6.591 3.26 6.644 2.99 6.771 2.48
98.00 6.473 3.55 6.513 3.27 6.559 2.99 6.669 2.48
98.25 6.402 3.56 6.435 3.27 6.474 2.99 6.566 2.49
98.50 6.330 3.56 6.358 3.27 6.389 2.99 6.464 2.49
98.75 6.259 3.56 6.280 3.27 6.305 3.00 6.363 2.49
99.00 6.188 3.56 6.203 3.27 6.220 3.00 6.262 2.49
99.25 6.118 3.56 6.127 3.28 6.137 3.00 6.161 2.49
99.50 6.047 3.57 6.050 3.28 6.053 3.00 6.060 2.50
99.75 5.977 3.57 5.974 3.28 5.970 3.00 5.960 2.50
100.00 5.907 3.57 5.898 3.28 5.886 3.01 5.860 2.50
100.25 5.837 3.57 5.822 3.28 5.804 3.01 5.760 2.50
100.50 5.768 3.57 5.746 3.29 5.721 3.01 5.661 2.50
100.75 5.699 3.58 5.671 3.29 5.639 3.01 5.562 2.50
Weighted Average
Life (yrs) 4.14 3.76 3.42 2.79
First Principal
Payment Date 2/25/1999 9/25/1998 5/25/1998 12/25/1997
Last Principal
Payment Date 2/25/2001 11/25/2000 7/25/2000 1/25/2000
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.75 6.408 4.80 6.445 4.38 6.489 3.97 6.590 3.27
98.00 6.355 4.80 6.387 4.39 6.425 3.97 6.512 3.27
98.25 6.302 4.80 6.329 4.39 6.361 3.97 6.435 3.27
98.50 6.249 4.80 6.271 4.39 6.297 3.98 6.357 3.28
98.75 6.197 4.81 6.214 4.39 6.234 3.98 6.280 3.28
99.00 6.144 4.81 6.156 4.40 6.171 3.98 6.203 3.28
99.25 6.092 4.81 6.099 4.40 6.107 3.98 6.126 3.28
99.50 6.040 4.82 6.042 4.40 6.044 3.99 6.050 3.28
99.75 5.988 4.82 5.985 4.40 5.982 3.99 5.974 3.29
100.00 5.936 4.82 5.928 4.41 5.919 3.99 5.898 3.29
100.25 5.884 4.82 5.872 4.41 5.856 3.99 5.822 3.29
100.50 5.833 4.83 5.815 4.41 5.794 3.99 5.747 3.29
100.75 5.781 4.83 5.759 4.41 5.732 4.00 5.671 3.29
Weighted Average
Life (yrs) 5.86 5.27 4.70 3.77
First Principal
Payment Date 9/25/2000 1/25/2000 8/25/1999 8/25/1998
Last Principal
Payment Date 12/25/2002 7/25/2002 2/25/2002 1/25/2001
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1
weighted average DSCR; Group 2, to maturity date for Mortgage Loans with
DSCR less than the Group 2
weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay
at indicated CPR immediately following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-8
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD MATURITY AND MODIFIED DURATION OF CLASS A-2A CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.062 1.25 7.008 1.17 6.957 1.11 6.842 0.98
100.75 6.864 1.25 6.797 1.17 6.733 1.11 6.591 0.99
101.00 6.667 1.25 6.587 1.18 6.511 1.11 6.341 0.99
101.25 6.470 1.26 6.378 1.18 6.289 1.11 6.092 0.99
101.50 6.274 1.26 6.169 1.18 6.068 1.12 5.844 0.99
101.75 6.080 1.26 5.962 1.18 5.849 1.12 5.597 0.99
102.00 5.886 1.26 5.755 1.19 5.630 1.12 5.351 1.00
102.25 5.693 1.26 5.549 1.19 5.412 1.12 5.107 1.00
102.50 5.500 1.27 5.345 1.19 5.195 1.12 4.863 1.00
102.75 5.309 1.27 5.141 1.19 4.980 1.13 4.621 1.00
103.00 5.118 1.27 4.938 1.19 4.765 1.13 4.379 1.01
103.25 4.928 1.27 4.735 1.20 4.551 1.13 4.139 1.01
103.50 4.739 1.28 4.534 1.20 4.338 1.13 3.900 1.01
Weighted Average
Life (yrs) 1.37 1.28 1.21 1.07
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 11/25/1998 7/25/1998 6/25/1998 4/25/1998
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.609 3.80 7.570 3.31 7.526 2.90 7.426 2.26
100.75 7.544 3.81 7.495 3.32 7.440 2.90 7.317 2.26
101.00 7.479 3.81 7.421 3.32 7.355 2.90 7.207 2.26
101.25 7.415 3.81 7.347 3.32 7.271 2.91 7.098 2.27
101.50 7.350 3.81 7.273 3.33 7.186 2.91 6.990 2.27
101.75 7.286 3.82 7.199 3.33 7.102 2.91 6.882 2.27
102.00 7.222 3.82 7.126 3.33 7.018 2.92 6.774 2.28
102.25 7.158 3.82 7.053 3.34 6.934 2.92 6.667 2.28
102.50 7.094 3.83 6.980 3.34 6.851 2.92 6.560 2.28
102.75 7.031 3.83 6.907 3.34 6.768 2.93 6.454 2.28
103.00 6.968 3.83 6.834 3.35 6.685 2.93 6.348 2.29
103.25 6.905 3.83 6.762 3.35 6.603 2.93 6.243 2.29
103.50 6.842 3.84 6.690 3.35 6.520 2.94 6.137 2.29
Weighted Average
Life (yrs) 4.73 4.05 3.48 2.63
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 7/25/2001 3/25/2001 11/25/2000 4/25/2000
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.062 1.25 7.008 1.17 6.957 1.11 6.842 0.98
100.75 6.864 1.25 6.797 1.17 6.733 1.11 6.591 0.99
101.00 6.667 1.25 6.587 1.18 6.511 1.11 6.341 0.99
101.25 6.470 1.26 6.378 1.18 6.289 1.11 6.092 0.99
101.50 6.274 1.26 6.169 1.18 6.068 1.12 5.844 0.99
101.75 6.080 1.26 5.962 1.18 5.849 1.12 5.597 0.99
102.00 5.886 1.26 5.755 1.19 5.630 1.12 5.351 1.00
102.25 5.693 1.26 5.549 1.19 5.412 1.12 5.107 1.00
102.50 5.500 1.27 5.345 1.19 5.195 1.12 4.863 1.00
102.75 5.309 1.27 5.141 1.19 4.980 1.13 4.621 1.00
103.00 5.118 1.27 4.938 1.19 4.765 1.13 4.379 1.01
103.25 4.928 1.27 4.735 1.20 4.551 1.13 4.139 1.01
103.50 4.739 1.28 4.534 1.20 4.338 1.13 3.900 1.01
Weighted Average
Life (yrs) 1.37 1.28 1.21 1.07
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 11/25/1998 7/25/1998 6/25/1998 4/25/1998
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.637 4.23 7.600 3.67 7.559 3.20 7.455 2.41
100.75 7.578 4.24 7.533 3.68 7.481 3.20 7.352 2.41
101.00 7.520 4.24 7.465 3.68 7.404 3.21 7.249 2.42
101.25 7.462 4.24 7.398 3.68 7.327 3.21 7.147 2.42
101.50 7.404 4.25 7.332 3.69 7.251 3.21 7.046 2.42
101.75 7.346 4.25 7.265 3.69 7.175 3.22 6.945 2.43
102.00 7.289 4.26 7.199 3.70 7.099 3.22 6.844 2.43
102.25 7.231 4.26 7.133 3.70 7.023 3.23 6.744 2.43
102.50 7.174 4.26 7.067 3.70 6.947 3.23 6.644 2.44
102.75 7.117 4.27 7.002 3.71 6.872 3.23 6.544 2.44
103.00 7.060 4.27 6.936 3.71 6.797 3.24 6.445 2.44
103.25 7.004 4.27 6.871 3.71 6.723 3.24 6.346 2.45
103.50 6.947 4.28 6.806 3.72 6.648 3.24 6.248 2.45
Weighted Average
Life (yrs) 5.43 4.61 3.94 2.85
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 1/25/2003 8/25/2002 3/25/2002 3/25/2001
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-9
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-2A CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.478 2.55 7.427 2.26 7.373 2.02 7.255 1.64
100.75 7.381 2.55 7.317 2.26 7.250 2.02 7.104 1.64
101.00 7.284 2.56 7.208 2.27 7.128 2.03 6.953 1.64
101.25 7.188 2.56 7.099 2.27 7.007 2.03 6.803 1.65
101.50 7.092 2.56 6.991 2.27 6.886 2.03 6.654 1.65
101.75 6.996 2.57 6.883 2.28 6.765 2.04 6.505 1.65
102.00 6.901 2.57 6.776 2.28 6.645 2.04 6.357 1.65
102.25 6.806 2.57 6.669 2.28 6.526 2.04 6.210 1.66
102.50 6.712 2.58 6.562 2.29 6.407 2.05 6.063 1.66
102.75 6.617 2.58 6.456 2.29 6.288 2.05 5.917 1.66
103.00 6.524 2.59 6.351 2.29 6.170 2.05 5.772 1.67
103.25 6.430 2.59 6.245 2.30 6.052 2.06 5.627 1.67
103.50 6.337 2.59 6.140 2.30 5.935 2.06 5.483 1.67
Weighted Average
Life (yrs) 3.03 2.65 2.34 1.85
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 9/25/2001 11/25/2000 9/25/2000 11/25/1999
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.062 1.25 7.062 1.25 7.062 1.25 7.062 1.25
100.75 6.864 1.25 6.864 1.25 6.864 1.25 6.864 1.25
101.00 6.667 1.25 6.667 1.25 6.667 1.25 6.667 1.25
101.25 6.470 1.26 6.470 1.26 6.470 1.26 6.470 1.26
101.50 6.274 1.26 6.274 1.26 6.274 1.26 6.274 1.26
101.75 6.080 1.26 6.080 1.26 6.080 1.26 6.080 1.26
102.00 5.886 1.26 5.886 1.26 5.886 1.26 5.886 1.26
102.25 5.693 1.26 5.693 1.26 5.693 1.26 5.693 1.26
102.50 5.500 1.27 5.500 1.27 5.500 1.27 5.500 1.27
102.75 5.309 1.27 5.309 1.27 5.309 1.27 5.309 1.27
103.00 5.118 1.27 5.118 1.27 5.118 1.27 5.118 1.27
103.25 4.928 1.27 4.928 1.27 4.928 1.27 4.928 1.27
103.50 4.739 1.28 4.739 1.28 4.739 1.28 4.739 1.28
Weighted Average
Life (yrs) 1.37 1.37 1.37 1.37
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 11/25/1998 11/25/1998 11/25/1998 11/25/1998
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.614 3.86 7.573 3.35 7.528 2.91 7.427 2.26
100.75 7.550 3.87 7.499 3.35 7.442 2.91 7.317 2.26
101.00 7.486 3.87 7.425 3.35 7.358 2.92 7.208 2.27
101.25 7.422 3.87 7.352 3.35 7.273 2.92 7.099 2.27
101.50 7.359 3.88 7.278 3.36 7.189 2.92 6.991 2.27
101.75 7.295 3.88 7.205 3.36 7.105 2.93 6.883 2.27
102.00 7.232 3.88 7.133 3.36 7.022 2.93 6.776 2.28
102.25 7.169 3.88 7.060 3.37 6.939 2.93 6.669 2.28
102.50 7.107 3.89 6.988 3.37 6.856 2.94 6.562 2.28
102.75 7.044 3.89 6.916 3.37 6.773 2.94 6.456 2.29
103.00 6.982 3.89 6.844 3.38 6.690 2.94 6.350 2.29
103.25 6.920 3.90 6.772 3.38 6.608 2.95 6.244 2.29
103.50 6.858 3.90 6.701 3.38 6.527 2.95 6.139 2.30
Weighted Average
Life (yrs) 4.82 4.09 3.50 2.63
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 8/25/2001 4/25/2001 11/25/2000 4/25/2000
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 7.659 4.67 7.618 3.94 7.573 3.35 7.458 2.43
100.75 7.606 4.68 7.556 3.94 7.500 3.36 7.357 2.44
101.00 7.553 4.68 7.493 3.95 7.426 3.36 7.255 2.44
101.25 7.501 4.68 7.430 3.95 7.353 3.37 7.154 2.44
101.50 7.448 4.69 7.368 3.95 7.280 3.37 7.054 2.45
101.75 7.396 4.69 7.306 3.96 7.207 3.37 6.954 2.45
102.00 7.344 4.70 7.244 3.96 7.135 3.38 6.854 2.45
102.25 7.292 4.70 7.183 3.97 7.062 3.38 6.754 2.46
102.50 7.240 4.70 7.122 3.97 6.990 3.39 6.655 2.46
102.75 7.188 4.71 7.060 3.97 6.919 3.39 6.557 2.46
103.00 7.137 4.71 6.999 3.98 6.847 3.40 6.459 2.47
103.25 7.085 4.72 6.939 3.98 6.776 3.40 6.361 2.47
103.50 7.034 4.72 6.878 3.99 6.705 3.40 6.263 2.48
Weighted Average
Life (yrs) 6.15 5.04 4.18 2.88
First Principal
Payment Date 3/25/1996 3/25/1996 3/25/1996 3/25/1996
Last Principal
Payment Date 6/25/2003 11/25/2002 5/25/2002 3/25/2001
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1
weighted average DSCR; Group 2, to maturity date for Mortgage Loans with
DSCR less than the Group 2
weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay
at indicated CPR immediately following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-10
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-2B CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
<C> <C>
100.50 6.568 3.31 6.562 3.24 6.554 3.15 6.533 2.95
100.75 6.493 3.31 6.486 3.24 6.475 3.15 6.449 2.95
101.00 6.419 3.31 6.410 3.25 6.397 3.15 6.366 2.95
101.25 6.344 3.32 6.334 3.25 6.318 3.15 6.282 2.95
101.50 6.270 3.32 6.258 3.25 6.240 3.16 6.199 2.96
101.75 6.196 3.32 6.183 3.25 6.163 3.16 6.116 2.96
102.00 6.123 3.32 6.107 3.25 6.085 3.16 6.033 2.96
102.25 6.049 3.32 6.032 3.26 6.008 3.16 5.951 2.96
102.50 5.976 3.33 5.958 3.26 5.931 3.16 5.869 2.96
102.75 5.903 3.33 5.883 3.26 5.854 3.17 5.787 2.97
103.00 5.830 3.33 5.809 3.26 5.778 3.17 5.705 2.97
103.25 5.757 3.33 5.735 3.26 5.701 3.17 5.624 2.97
103.50 5.685 3.33 5.661 3.27 5.625 3.17 5.542 2.97
Weighted Average
Life (yrs) 3.87 3.78 3.66 3.40
First Principal
Payment Date 11/25/1998 7/25/1998 6/25/1998 4/25/1998
Last Principal
Payment Date 3/25/2001 11/25/2000 8/25/2000 3/25/2000
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.648 4.59 6.640 4.42 6.629 4.20 6.601 3.74
100.75 6.594 4.59 6.584 4.42 6.570 4.20 6.535 3.74
101.00 6.540 4.59 6.528 4.42 6.511 4.20 6.469 3.74
101.25 6.487 4.59 6.472 4.42 6.452 4.20 6.403 3.75
101.50 6.433 4.60 6.417 4.43 6.394 4.21 6.337 3.75
101.75 6.380 4.60 6.361 4.43 6.336 4.21 6.272 3.75
102.00 6.327 4.60 6.306 4.43 6.277 4.21 6.207 3.75
102.25 6.273 4.60 6.251 4.43 6.219 4.21 6.142 3.75
102.50 6.221 4.61 6.196 4.44 6.162 4.21 6.077 3.76
102.75 6.168 4.61 6.141 4.44 6.104 4.22 6.012 3.76
103.00 6.115 4.61 6.087 4.44 6.046 4.22 5.948 3.76
103.25 6.063 4.61 6.032 4.44 5.989 4.22 5.883 3.76
103.50 6.011 4.62 5.978 4.45 5.932 4.22 5.819 3.76
Weighted Average
Life (yrs) 5.67 5.42 5.09 4.45
First Principal
Payment Date 7/25/2001 3/25/2001 11/25/2000 4/25/2000
Last Principal
Payment Date 2/25/2002 9/25/2001 6/25/2001 11/25/2000
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.561 3.23 6.551 3.12 6.539 3.01 6.510 2.75
100.75 6.485 3.23 6.471 3.12 6.457 3.01 6.420 2.75
101.00 6.408 3.23 6.392 3.12 6.375 3.01 6.330 2.75
101.25 6.332 3.24 6.313 3.12 6.293 3.01 6.240 2.75
101.50 6.256 3.24 6.234 3.13 6.211 3.01 6.151 2.76
101.75 6.180 3.24 6.156 3.13 6.130 3.02 6.062 2.76
102.00 6.105 3.24 6.078 3.13 6.049 3.02 5.973 2.76
102.25 6.030 3.24 6.000 3.13 5.968 3.02 5.885 2.76
102.50 5.954 3.25 5.922 3.13 5.887 3.02 5.797 2.76
102.75 5.880 3.25 5.844 3.13 5.807 3.02 5.709 2.76
103.00 5.805 3.25 5.767 3.14 5.727 3.03 5.621 2.77
103.25 5.731 3.25 5.690 3.14 5.647 3.03 5.534 2.77
103.50 5.657 3.25 5.613 3.14 5.567 3.03 5.447 2.77
Weighted Average
Life (yrs) 3.76 3.61 3.47 3.14
First Principal
Payment Date 11/25/1998 7/25/1998 6/25/1998 4/25/1998
Last Principal
Payment Date 6/25/2000 3/25/2000 1/25/2000 9/25/1999
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.686 5.61 6.677 5.34 6.668 5.07 6.641 4.44
100.75 6.642 5.61 6.631 5.35 6.619 5.08 6.585 4.44
101.00 6.598 5.62 6.585 5.35 6.570 5.08 6.530 4.44
101.25 6.554 5.62 6.539 5.35 6.522 5.08 6.474 4.45
101.50 6.510 5.62 6.493 5.36 6.474 5.09 6.419 4.45
101.75 6.466 5.63 6.447 5.36 6.425 5.09 6.364 4.45
102.00 6.423 5.63 6.401 5.36 6.377 5.09 6.309 4.45
102.25 6.380 5.63 6.356 5.37 6.329 5.09 6.254 4.45
102.50 6.336 5.64 6.311 5.37 6.282 5.10 6.199 4.46
102.75 6.293 5.64 6.265 5.37 6.234 5.10 6.145 4.46
103.00 6.250 5.64 6.220 5.38 6.186 5.10 6.090 4.46
103.25 6.208 5.65 6.175 5.38 6.139 5.11 6.036 4.46
103.50 6.165 5.65 6.130 5.38 6.092 5.11 5.982 4.47
Weighted Average
Life (yrs) 7.30 6.86 6.42 5.45
First Principal
Payment Date 1/25/2003 8/25/2002 3/25/2002 3/25/2001
Last Principal
Payment Date 8/25/2003 4/25/2003 11/25/2002 12/25/2001
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-11
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS A-2B CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.672 5.18 6.659 4.84 6.643 4.47 6.604 3.78
100.75 6.624 5.19 6.608 4.84 6.588 4.48 6.539 3.78
101.00 6.577 5.19 6.557 4.85 6.532 4.48 6.473 3.79
101.25 6.529 5.19 6.506 4.85 6.477 4.48 6.408 3.79
101.50 6.482 5.20 6.455 4.85 6.422 4.48 6.343 3.79
101.75 6.434 5.20 6.405 4.86 6.368 4.49 6.279 3.79
102.00 6.387 5.20 6.354 4.86 6.313 4.49 6.214 3.79
102.25 6.340 5.20 6.304 4.86 6.259 4.49 6.150 3.80
102.50 6.294 5.21 6.254 4.86 6.205 4.49 6.086 3.80
102.75 6.247 5.21 6.204 4.87 6.151 4.50 6.022 3.80
103.00 6.201 5.21 6.154 4.87 6.097 4.50 5.958 3.80
103.25 6.154 5.22 6.105 4.87 6.043 4.50 5.894 3.81
103.50 6.108 5.22 6.055 4.87 5.989 4.50 5.831 3.81
Weighted Average
Life (yrs) 6.60 6.06 5.50 4.51
First Principal
Payment Date 9/25/2001 11/25/2000 9/25/2000 11/25/1999
Last Principal
Payment Date 1/25/2003 8/25/2002 3/25/2002 2/25/2001
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.568 3.31 6.568 3.31 6.568 3.31 6.560 3.21
100.75 6.493 3.31 6.493 3.31 6.493 3.31 6.483 3.21
101.00 6.419 3.31 6.419 3.31 6.418 3.31 6.406 3.22
101.25 6.344 3.31 6.344 3.31 6.344 3.31 6.329 3.22
101.50 6.270 3.32 6.270 3.32 6.270 3.31 6.253 3.22
101.75 6.196 3.32 6.196 3.32 6.196 3.32 6.177 3.22
102.00 6.122 3.32 6.122 3.32 6.122 3.32 6.101 3.22
102.25 6.049 3.32 6.049 3.32 6.048 3.32 6.025 3.23
102.50 5.975 3.32 5.975 3.32 5.975 3.32 5.949 3.23
102.75 5.902 3.33 5.902 3.33 5.902 3.32 5.874 3.23
103.00 5.829 3.33 5.829 3.33 5.829 3.33 5.799 3.23
103.25 5.757 3.33 5.757 3.33 5.756 3.33 5.724 3.23
103.50 5.684 3.33 5.684 3.33 5.684 3.33 5.650 3.24
Weighted Average
Life (yrs) 3.87 3.87 3.87 3.74
First Principal
Payment Date 11/25/1998 11/25/1998 11/25/1998 11/25/1998
Last Principal
Payment Date 1/25/2001 1/25/2001 12/25/2000 5/25/2000
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.652 4.68 6.642 4.45 6.631 4.23 6.602 3.75
100.75 6.600 4.69 6.586 4.46 6.572 4.23 6.536 3.75
101.00 6.547 4.69 6.531 4.46 6.514 4.23 6.470 3.75
101.25 6.494 4.69 6.476 4.46 6.455 4.24 6.404 3.75
101.50 6.442 4.70 6.420 4.46 6.397 4.24 6.339 3.76
101.75 6.390 4.70 6.366 4.47 6.339 4.24 6.273 3.76
102.00 6.338 4.70 6.311 4.47 6.282 4.24 6.208 3.76
102.25 6.286 4.70 6.256 4.47 6.224 4.24 6.143 3.76
102.50 6.234 4.71 6.202 4.47 6.167 4.25 6.079 3.76
102.75 6.182 4.71 6.147 4.48 6.110 4.25 6.014 3.77
103.00 6.131 4.71 6.093 4.48 6.053 4.25 5.950 3.77
103.25 6.080 4.71 6.039 4.48 5.996 4.25 5.886 3.77
103.50 6.028 4.72 5.985 4.48 5.939 4.26 5.822 3.77
Weighted Average
Life (yrs) 5.82 5.47 5.14 4.46
First Principal
Payment Date 8/25/2001 4/25/2001 11/25/2000 4/25/2000
Last Principal
Payment Date 5/25/2002 9/25/2001 7/25/2001 11/25/2000
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100.50 6.691 5.77 6.683 5.52 6.673 5.20 6.645 4.51
100.75 6.648 5.78 6.638 5.52 6.625 5.21 6.590 4.51
101.00 6.605 5.78 6.593 5.53 6.578 5.21 6.535 4.51
101.25 6.562 5.78 6.549 5.53 6.530 5.21 6.480 4.52
101.50 6.520 5.79 6.504 5.53 6.483 5.22 6.426 4.52
101.75 6.477 5.79 6.460 5.54 6.436 5.22 6.372 4.52
102.00 6.435 5.79 6.416 5.54 6.389 5.22 6.318 4.52
102.25 6.393 5.80 6.372 5.54 6.342 5.22 6.264 4.53
102.50 6.351 5.80 6.328 5.55 6.296 5.23 6.210 4.53
102.75 6.309 5.80 6.284 5.55 6.249 5.23 6.156 4.53
103.00 6.267 5.81 6.240 5.55 6.203 5.23 6.103 4.53
103.25 6.226 5.81 6.197 5.55 6.157 5.24 6.049 4.54
103.50 6.184 5.81 6.153 5.56 6.111 5.24 5.996 4.54
Weighted Average
Life (yrs) 7.57 7.14 6.63 5.56
First Principal
Payment Date 6/25/2003 11/25/2002 5/25/2002 3/25/2001
Last Principal
Payment Date 12/25/20032 7/25/2003 1/25/2003 3/25/2002
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-12
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS B CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.987 4.35 7.019 4.13 7.047 3.95 7.107 3.63
97.50 6.869 4.35 6.895 4.13 6.918 3.95 6.965 3.63
98.00 6.752 4.36 6.771 4.14 6.789 3.96 6.825 3.63
98.50 6.635 4.36 6.649 4.14 6.661 3.96 6.685 3.64
99.00 6.520 4.37 6.527 4.15 6.533 3.97 6.546 3.64
99.50 6.405 4.37 6.406 4.15 6.407 3.97 6.408 3.65
100.00 6.291 4.38 6.285 4.16 6.281 3.98 6.271 3.65
100.50 6.177 4.38 6.166 4.16 6.156 3.98 6.135 3.65
101.00 6.064 4.39 6.047 4.16 6.031 3.99 6.000 3.66
101.50 5.952 4.39 5.928 4.17 5.908 3.99 5.865 3.66
102.00 5.840 4.40 5.811 4.17 5.785 3.99 5.731 3.67
102.50 5.729 4.40 5.694 4.18 5.663 4.00 5.598 3.67
103.00 5.619 4.41 5.578 4.18 5.542 4.00 5.466 3.67
Weighted Average
Life (yrs) 5.28 4.97 4.72 4.27
First Principal
Payment Date 3/25/2001 11/25/2000 8/25/2000 3/25/2000
Last Principal
Payment Date 7/25/2001 4/25/2001 12/25/2000 6/25/2000
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.900 5.08 6.943 4.69 6.963 4.53 7.020 4.12
97.50 6.800 5.08 6.834 4.70 6.850 4.53 6.896 4.12
98.00 6.699 5.09 6.725 4.70 6.737 4.54 6.772 4.13
98.50 6.600 5.10 6.617 4.71 6.626 4.54 6.649 4.13
99.00 6.501 5.10 6.510 4.71 6.514 4.55 6.527 4.14
99.50 6.402 5.11 6.403 4.72 6.404 4.55 6.406 4.14
100.00 6.304 5.11 6.297 4.72 6.294 4.56 6.285 4.15
100.50 6.207 5.12 6.192 4.73 6.185 4.56 6.165 4.15
101.00 6.110 5.12 6.088 4.73 6.077 4.57 6.046 4.15
101.50 6.014 5.13 5.984 4.74 5.969 4.57 5.927 4.16
102.00 5.919 5.14 5.880 4.74 5.862 4.58 5.810 4.16
102.50 5.824 5.14 5.777 4.75 5.755 4.58 5.692 4.17
103.00 5.729 5.15 5.675 4.75 5.650 4.59 5.576 4.17
Weighted Average
Life (yrs) 6.37 5.78 5.54 4.95
First Principal
Payment Date 2/25/2002 9/25/2001 6/25/2001 11/25/2000
Last Principal
Payment Date 9/25/2002 3/25/2002 9/25/2001 4/25/2001
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.079 3.77 7.107 3.62 7.141 3.46 7.199 3.21
97.50 6.943 3.77 6.965 3.63 6.993 3.47 7.039 3.22
98.00 6.808 3.78 6.825 3.63 6.845 3.47 6.881 3.22
98.50 6.674 3.78 6.685 3.64 6.699 3.47 6.723 3.23
99.00 6.540 3.79 6.546 3.64 6.554 3.48 6.567 3.23
99.50 6.408 3.79 6.408 3.64 6.409 3.48 6.411 3.23
100.00 6.276 3.79 6.271 3.65 6.266 3.49 6.257 3.24
100.50 6.145 3.80 6.135 3.65 6.123 3.49 6.103 3.24
101.00 6.014 3.80 6.000 3.66 5.981 3.49 5.950 3.24
101.50 5.885 3.81 5.865 3.66 5.841 3.50 5.798 3.25
102.00 5.756 3.81 5.731 3.66 5.700 3.50 5.648 3.25
102.50 5.628 3.81 5.598 3.67 5.561 3.50 5.498 3.25
103.00 5.501 3.82 5.466 3.67 5.423 3.51 5.348 3.26
Weighted Average
Life (yrs) 4.47 4.27 4.05 3.73
First Principal
Payment Date 6/25/2000 3/25/2000 1/25/2000 9/25/1999
Last Principal
Payment Date 9/25/2000 7/25/2000 4/25/2000 12/25/1999
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.831 5.87 6.845 5.70 6.866 5.44 6.917 4.92
97.50 6.744 5.88 6.755 5.70 6.772 5.45 6.813 4.93
98.00 6.657 5.89 6.665 5.71 6.678 5.45 6.709 4.94
98.50 6.571 5.89 6.576 5.72 6.585 5.46 6.606 4.94
99.00 6.485 5.90 6.488 5.72 6.493 5.47 6.504 4.95
99.50 6.400 5.91 6.400 5.73 6.401 5.47 6.403 4.95
100.00 6.315 5.91 6.313 5.74 6.310 5.48 6.302 4.96
100.50 6.231 5.92 6.226 5.74 6.219 5.49 6.201 4.96
101.00 6.148 5.93 6.140 5.75 6.129 5.49 6.102 4.97
101.50 6.065 5.93 6.055 5.76 6.039 5.50 6.003 4.97
102.00 5.982 5.94 5.970 5.76 5.950 5.50 5.904 4.98
102.50 5.900 5.95 5.885 5.77 5.861 5.51 5.806 4.98
103.00 5.818 5.95 5.801 5.77 5.773 5.52 5.709 4.99
Weighted Average
Life (yrs) 7.64 7.35 6.94 6.13
First Principal
Payment Date 8/25/2003 4/25/2003 11/25/2002 12/25/2001
Last Principal
Payment Date 12/25/2003 8/25/2003 3/25/2003 6/25/2002
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-13
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS B CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.855 5.57 6.873 5.37 6.906 5.02 6.988 4.34
97.50 6.763 5.57 6.777 5.37 6.804 5.03 6.870 4.35
98.00 6.672 5.58 6.682 5.38 6.703 5.03 6.752 4.35
98.50 6.581 5.59 6.588 5.39 6.602 5.04 6.636 4.36
99.00 6.491 5.59 6.494 5.39 6.502 5.04 6.520 4.36
99.50 6.401 5.60 6.401 5.40 6.402 5.05 6.405 4.37
100.00 6.311 5.61 6.309 5.40 6.303 5.06 6.290 4.37
100.50 6.223 5.61 6.217 5.41 6.205 5.06 6.177 4.38
101.00 6.135 5.62 6.125 5.42 6.107 5.07 6.064 4.38
101.50 6.047 5.62 6.034 5.42 6.010 5.07 5.951 4.39
102.00 5.960 5.63 5.944 5.43 5.914 5.08 5.840 4.39
102.50 5.873 5.64 5.854 5.43 5.817 5.08 5.729 4.40
103.00 5.787 5.64 5.765 5.44 5.722 5.09 5.618 4.40
Weighted Average
Life (yrs) 7.14 6.82 6.28 5.27
First Principal
Payment Date 1/25/2003 8/25/2002 3/25/2002 2/25/2001
Last Principal
Payment Date 6/25/2003 1/25/2003 8/25/2002 9/25/2001
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.996 4.28 7.000 4.25 7.008 4.20 7.092 3.70
97.50 6.876 4.29 6.880 4.26 6.886 4.20 6.953 3.71
98.00 6.757 4.29 6.760 4.26 6.765 4.21 6.816 3.71
98.50 6.639 4.30 6.641 4.27 6.644 4.21 6.679 3.71
99.00 6.522 4.30 6.523 4.27 6.524 4.22 6.543 3.72
99.50 6.405 4.31 6.405 4.28 6.405 4.22 6.408 3.72
100.00 6.289 4.31 6.288 4.28 6.287 4.23 6.274 3.73
100.50 6.174 4.32 6.172 4.29 6.169 4.23 6.140 3.73
101.00 6.059 4.32 6.057 4.29 6.053 4.24 6.008 3.73
101.50 5.945 4.33 5.942 4.30 5.936 4.24 5.876 3.74
102.00 5.832 4.33 5.828 4.30 5.821 4.25 5.745 3.74
102.50 5.719 4.34 5.715 4.30 5.706 4.25 5.615 3.75
103.00 5.607 4.34 5.602 4.31 5.592 4.25 5.485 3.75
Weighted Average
Life (yrs) 5.19 5.15 5.07 4.38
First Principal
Payment Date 1/25/2001 1/25/2001 12/25/2000 5/25/2000
Last Principal
Payment Date 6/25/2001 6/25/2001 5/25/2001 8/25/2000
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.886 5.22 6.926 4.84 6.959 4.56 7.017 4.14
97.50 6.788 5.23 6.820 4.84 6.846 4.57 6.893 4.15
98.00 6.691 5.24 6.715 4.85 6.735 4.57 6.770 4.15
98.50 6.594 5.24 6.610 4.85 6.624 4.58 6.648 4.16
99.00 6.497 5.25 6.506 4.86 6.513 4.58 6.526 4.16
99.50 6.402 5.25 6.403 4.86 6.404 4.59 6.406 4.16
100.00 6.307 5.26 6.300 4.87 6.295 4.59 6.286 4.17
100.50 6.212 5.27 6.198 4.88 6.187 4.60 6.166 4.17
101.00 6.118 5.27 6.097 4.88 6.079 4.60 6.048 4.18
101.50 6.025 5.28 5.996 4.89 5.972 4.61 5.930 4.18
102.00 5.932 5.28 5.895 4.89 5.866 4.61 5.813 4.19
102.50 5.840 5.29 5.796 4.90 5.760 4.62 5.696 4.19
103.00 5.748 5.29 5.697 4.90 5.655 4.62 5.581 4.20
Weighted Average
Life (yrs) 6.60 6.00 5.59 4.99
First Principal
Payment Date 5/25/2002 9/25/2001 7/25/2001 11/25/2000
Last Principal
Payment Date 12/25/2002 5/25/2002 10/25/2001 4/25/2001
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 6.806 6.22 6.833 5.85 6.852 5.61 6.906 5.02
97.50 6.724 6.23 6.745 5.85 6.760 5.62 6.804 5.03
98.00 6.642 6.24 6.658 5.86 6.670 5.62 6.703 5.03
98.50 6.560 6.25 6.572 5.87 6.579 5.63 6.602 5.04
99.00 6.480 6.25 6.486 5.87 6.490 5.64 6.502 5.05
99.50 6.399 6.26 6.400 5.88 6.401 5.64 6.402 5.05
100.00 6.319 6.27 6.315 5.89 6.312 5.65 6.303 5.06
100.50 6.240 6.28 6.231 5.89 6.224 5.66 6.205 5.06
101.00 6.161 6.28 6.147 5.90 6.137 5.66 6.107 5.07
101.50 6.083 6.29 6.063 5.91 6.050 5.67 6.010 5.07
102.00 6.005 6.30 5.980 5.92 5.963 5.68 5.914 5.08
102.50 5.928 6.31 5.898 5.92 5.877 5.68 5.818 5.08
103.00 5.851 6.31 5.816 5.93 5.792 5.69 5.722 5.09
Weighted Average
Life (yrs) 8.25 7.60 7.21 6.28
First Principal
Payment Date 12/25/2003 7/25/2003 1/25/2003 3/25/2002
Last Principal
Payment Date 9/25/2004 10/25/2003 7/25/2003 7/25/2002
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-14
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS C CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.184 4.56 7.201 4.43 7.227 4.24 7.283 3.88
97.50 7.072 4.56 7.085 4.43 7.106 4.24 7.151 3.89
98.00 6.960 4.57 6.970 4.44 6.986 4.25 7.020 3.89
98.50 6.849 4.57 6.856 4.44 6.867 4.25 6.890 3.90
99.00 6.738 4.58 6.742 4.45 6.748 4.26 6.760 3.90
99.50 6.629 4.58 6.629 4.45 6.630 4.26 6.631 3.90
100.00 6.520 4.59 6.517 4.46 6.513 4.27 6.503 3.91
100.50 6.411 4.59 6.405 4.46 6.396 4.27 6.376 3.91
101.00 6.304 4.60 6.294 4.47 6.280 4.28 6.249 3.92
101.50 6.197 4.60 6.184 4.47 6.165 4.28 6.124 3.92
102.00 6.090 4.61 6.075 4.48 6.050 4.28 5.999 3.92
102.50 5.984 4.61 5.966 4.48 5.937 4.29 5.875 3.93
103.00 5.879 4.62 5.857 4.48 5.824 4.29 5.751 3.93
Weighted Average
Life (yrs) 5.63 5.44 5.16 4.65
First Principal
Payment Date 7/25/2001 4/25/2001 12/25/2000 6/25/2000
Last Principal
Payment Date 12/25/2001 9/25/2001 7/25/2001 1/25/2001
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.079 5.59 7.118 5.15 7.155 4.80 7.203 4.41
97.50 6.987 5.60 7.019 5.16 7.048 4.81 7.087 4.42
98.00 6.896 5.60 6.920 5.17 6.942 4.81 6.971 4.42
98.50 6.805 5.61 6.822 5.17 6.837 4.82 6.856 4.43
99.00 6.715 5.62 6.724 5.18 6.732 4.82 6.742 4.43
99.50 6.626 5.62 6.627 5.19 6.628 4.83 6.629 4.44
100.00 6.537 5.63 6.531 5.19 6.524 4.83 6.517 4.44
100.50 6.449 5.64 6.435 5.20 6.422 4.84 6.405 4.45
101.00 6.361 5.64 6.340 5.20 6.319 4.85 6.293 4.45
101.50 6.274 5.65 6.245 5.21 6.218 4.85 6.183 4.46
102.00 6.187 5.66 6.151 5.21 6.117 4.86 6.073 4.46
102.50 6.101 5.66 6.058 5.22 6.016 4.86 5.964 4.47
103.00 6.015 5.67 5.965 5.23 5.917 4.87 5.855 4.47
Weighted Average
Life (yrs) 7.26 6.55 6.00 5.42
First Principal
Payment Date 9/25/2002 3/25/2002 9/25/2001 4/25/2001
Last Principal
Payment Date 12/25/2003 4/25/2003 7/25/2002 9/25/2001
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.272 3.95 7.292 3.83 7.310 3.73 7.367 3.45
97.50 7.142 3.95 7.158 3.84 7.173 3.74 7.219 3.45
98.00 7.013 3.96 7.025 3.84 7.036 3.74 7.071 3.46
98.50 6.885 3.96 6.893 3.84 6.901 3.74 6.924 3.46
99.00 6.758 3.96 6.762 3.85 6.766 3.75 6.778 3.46
99.50 6.631 3.97 6.631 3.85 6.632 3.75 6.633 3.47
100.00 6.505 3.97 6.502 3.86 6.499 3.76 6.489 3.47
100.50 6.380 3.98 6.373 3.86 6.366 3.76 6.346 3.48
101.00 6.255 3.98 6.245 3.87 6.235 3.76 6.204 3.48
101.50 6.132 3.99 6.117 3.87 6.104 3.77 6.062 3.48
102.00 6.009 3.99 5.991 3.87 5.974 3.77 5.922 3.49
102.50 5.887 3.99 5.865 3.88 5.845 3.78 5.782 3.49
103.00 5.765 4.00 5.740 3.88 5.716 3.78 5.643 3.49
Weighted Average
Life (yrs) 4.75 4.58 4.45 4.06
First Principal
Payment Date 9/25/2000 7/25/2000 4/25/2000 12/25/1999
Last Principal
Payment Date 4/25/2001 10/25/2000 9/25/2000 5/25/2000
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.035 6.17 7.058 5.85 7.072 5.67 7.115 5.18
97.50 6.952 6.18 6.970 5.86 6.981 5.68 7.016 5.19
98.00 6.869 6.18 6.883 5.87 6.892 5.69 6.918 5.20
98.50 6.787 6.19 6.797 5.87 6.803 5.70 6.820 5.20
99.00 6.706 6.20 6.711 5.88 6.714 5.70 6.723 5.21
99.50 6.625 6.21 6.626 5.89 6.626 5.71 6.627 5.21
100.00 6.544 6.22 6.541 5.90 6.538 5.72 6.531 5.22
100.50 6.464 6.22 6.456 5.90 6.451 5.72 6.436 5.23
101.00 6.385 6.23 6.373 5.91 6.365 5.73 6.341 5.23
101.50 6.306 6.24 6.289 5.92 6.279 5.74 6.247 5.24
102.00 6.227 6.25 6.206 5.92 6.194 5.74 6.154 5.24
102.50 6.149 6.25 6.124 5.93 6.109 5.75 6.061 5.25
103.00 6.072 6.26 6.042 5.94 6.024 5.76 5.968 5.26
Weighted Average
Life (yrs) 8.25 7.70 7.40 6.60
First Principal
Payment Date 12/25/2003 8/25/2003 3/25/2003 6/25/2002
Last Principal
Payment Date 9/25/2004 2/25/2004 9/25/2003 1/25/2003
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-15
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS C CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.066 5.75 7.081 5.56 7.099 5.36 7.159 4.77
97.50 6.976 5.76 6.989 5.57 7.003 5.36 7.051 4.78
98.00 6.888 5.77 6.897 5.57 6.908 5.37 6.944 4.78
98.50 6.800 5.77 6.806 5.58 6.814 5.38 6.838 4.79
99.00 6.713 5.78 6.716 5.59 6.720 5.38 6.733 4.79
99.50 6.626 5.79 6.626 5.59 6.627 5.39 6.628 4.80
100.00 6.539 5.80 6.537 5.60 6.534 5.39 6.524 4.80
100.50 6.454 5.80 6.448 5.61 6.442 5.40 6.420 4.81
101.00 6.368 5.81 6.360 5.61 6.350 5.41 6.317 4.81
101.50 6.284 5.82 6.272 5.62 6.259 5.41 6.215 4.82
102.00 6.199 5.82 6.185 5.63 6.168 5.42 6.114 4.82
102.50 6.116 5.83 6.098 5.63 6.079 5.43 6.012 4.83
103.00 6.032 5.84 6.012 5.64 5.989 5.43 5.912 4.83
Weighted Average
Life (yrs) 7.53 7.21 6.87 5.95
First Principal
Payment Date 6/25/2003 1/25/2003 8/25/2002 9/25/2001
Last Principal
Payment Date 10/25/2003 7/25/2003 4/25/2003 6/25/2002
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.188 4.52 7.191 4.51 7.194 4.48 7.283 3.88
97.50 7.075 4.53 7.077 4.51 7.080 4.48 7.151 3.89
98.00 6.962 4.53 6.964 4.52 6.966 4.49 7.020 3.89
98.50 6.851 4.54 6.851 4.52 6.853 4.49 6.890 3.89
99.00 6.739 4.54 6.740 4.53 6.741 4.50 6.760 3.90
99.50 6.629 4.55 6.629 4.53 6.629 4.50 6.631 3.90
100.00 6.519 4.55 6.519 4.54 6.518 4.51 6.503 3.91
100.50 6.410 4.56 6.409 4.54 6.408 4.51 6.376 3.91
101.00 6.301 4.56 6.300 4.55 6.298 4.52 6.249 3.92
101.50 6.193 4.57 6.192 4.55 6.189 4.52 6.124 3.92
102.00 6.086 4.57 6.084 4.56 6.081 4.53 5.999 3.92
102.50 5.979 4.58 5.977 4.56 5.973 4.53 5.875 3.93
103.00 5.874 4.58 5.871 4.57 5.866 4.54 5.751 3.93
Weighted Average
Life (yrs) 5.58 5.55 5.51 4.65
First Principal
Payment Date 6/25/2001 6/25/2001 5/25/2001 8/25/2000
Last Principal
Payment Date 12/25/2001 11/25/2001 10/25/2001 1/25/2001
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.064 5.77 7.103 5.31 7.140 4.94 7.198 4.44
97.50 6.975 5.78 7.007 5.32 7.036 4.95 7.083 4.45
98.00 6.887 5.79 6.911 5.32 6.933 4.95 6.969 4.46
98.50 6.799 5.79 6.815 5.33 6.831 4.96 6.855 4.46
99.00 6.712 5.80 6.721 5.34 6.729 4.96 6.742 4.47
99.50 6.626 5.81 6.627 5.34 6.628 4.97 6.629 4.47
100.00 6.540 5.81 6.533 5.35 6.527 4.97 6.517 4.48
100.50 6.454 5.82 6.440 5.36 6.427 4.98 6.406 4.48
101.00 6.369 5.83 6.348 5.36 6.328 4.99 6.296 4.48
101.50 6.285 5.84 6.256 5.37 6.229 4.99 6.186 4.49
102.00 6.201 5.84 6.165 5.37 6.131 5.00 6.077 4.49
102.50 6.117 5.85 6.074 5.38 6.033 5.00 5.968 4.50
103.00 6.034 5.86 5.984 5.39 5.936 5.01 5.861 4.50
Weighted Average
Life (yrs) 7.57 6.80 6.22 5.46
First Principal
Payment Date 12/25/2002 5/25/2002 10/25/2001 4/25/2001
Last Principal
Payment Date 1/25/2004 7/25/2003 9/25/2002 9/25/2001
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.007 6.61 7.035 6.16 7.060 5.82 7.103 5.31
97.50 6.930 6.61 6.952 6.17 6.972 5.83 7.007 5.32
98.00 6.853 6.62 6.870 6.18 6.885 5.84 6.911 5.32
98.50 6.776 6.63 6.788 6.19 6.798 5.84 6.815 5.33
99.00 6.700 6.64 6.706 6.20 6.711 5.85 6.721 5.34
99.50 6.624 6.65 6.625 6.20 6.626 5.86 6.627 5.34
100.00 6.549 6.66 6.544 6.21 6.540 5.86 6.533 5.35
100.50 6.474 6.67 6.464 6.22 6.455 5.87 6.440 5.36
101.00 6.400 6.68 6.385 6.23 6.371 5.88 6.348 5.36
101.50 6.326 6.68 6.306 6.23 6.287 5.88 6.256 5.37
102.00 6.253 6.69 6.227 6.24 6.204 5.89 6.165 5.37
102.50 6.180 6.70 6.149 6.25 6.121 5.90 6.074 5.38
103.00 6.108 6.71 6.071 6.26 6.039 5.91 5.984 5.39
Weighted Average
Life (yrs) 9.06 8.25 7.65 6.80
First Principal
Payment Date 9/25/2004 10/25/2003 7/25/2003 7/25/2002
Last Principal
Payment Date 9/25/2005 10/25/2004 2/25/2004 4/25/2003
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-16
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS D CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.643 5.07 7.680 4.73 7.705 4.52 7.746 4.22
97.50 7.542 5.08 7.571 4.73 7.592 4.52 7.624 4.22
98.00 7.441 5.09 7.464 4.74 7.479 4.53 7.503 4.23
98.50 7.342 5.09 7.357 4.75 7.367 4.53 7.383 4.23
99.00 7.243 5.10 7.250 4.75 7.256 4.54 7.264 4.24
99.50 7.144 5.10 7.145 4.76 7.145 4.54 7.145 4.24
100.00 7.046 5.11 7.040 4.76 7.035 4.55 7.028 4.25
100.50 6.949 5.12 6.935 4.77 6.926 4.55 6.911 4.25
101.00 6.852 5.12 6.831 4.77 6.817 4.56 6.794 4.26
101.50 6.756 5.13 6.728 4.78 6.709 4.56 6.678 4.26
102.00 6.661 5.14 6.626 4.78 6.602 4.57 6.563 4.26
102.50 6.566 5.14 6.524 4.79 6.495 4.57 6.449 4.27
103.00 6.472 5.15 6.423 4.80 6.389 4.58 6.336 4.27
Weighted Average
Life (yrs) 6.57 6.01 5.68 5.22
First Principal
Payment Date 12/25/2001 9/25/2001 7/25/2001 1/25/2001
Last Principal
Payment Date 8/25/2003 9/25/2002 3/25/2002 8/25/2001
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.562 6.04 7.586 5.72 7.616 5.35 7.682 4.71
97.50 7.477 6.05 7.496 5.73 7.521 5.36 7.573 4.71
98.00 7.393 6.06 7.407 5.73 7.425 5.37 7.465 4.72
98.50 7.309 6.07 7.319 5.74 7.331 5.38 7.358 4.72
99.00 7.226 6.08 7.231 5.75 7.237 5.38 7.251 4.73
99.50 7.143 6.09 7.143 5.76 7.144 5.39 7.145 4.73
100.00 7.061 6.09 7.057 5.76 7.051 5.40 7.039 4.74
100.50 6.979 6.10 6.970 5.77 6.959 5.40 6.934 4.75
101.00 6.898 6.11 6.885 5.78 6.867 5.41 6.830 4.75
101.50 6.818 6.12 6.800 5.79 6.776 5.42 6.726 4.76
102.00 6.738 6.13 6.715 5.79 6.686 5.42 6.623 4.76
102.50 6.658 6.13 6.631 5.80 6.596 5.43 6.521 4.77
103.00 6.579 6.14 6.547 5.81 6.507 5.44 6.419 4.77
Weighted Average
Life (yrs) 8.27 7.68 7.04 5.98
First Principal
Payment Date 12/25/2003 4/25/2003 7/25/2002 9/25/2001
Last Principal
Payment Date 12/25/2004 1/25/2004 9/25/2003 8/25/2002
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.694 4.60 7.742 4.24 7.780 3.99 7.823 3.74
97.50 7.583 4.61 7.621 4.24 7.651 4.00 7.686 3.74
98.00 7.472 4.62 7.501 4.25 7.524 4.00 7.550 3.75
98.50 7.363 4.62 7.382 4.25 7.397 4.01 7.415 3.75
99.00 7.253 4.63 7.263 4.26 7.271 4.01 7.280 3.76
99.50 7.145 4.63 7.145 4.26 7.146 4.02 7.146 3.76
100.00 7.037 4.64 7.028 4.27 7.021 4.02 7.014 3.76
100.50 6.930 4.64 6.912 4.27 6.898 4.02 6.881 3.77
101.00 6.823 4.65 6.796 4.28 6.775 4.03 6.750 3.77
101.50 6.717 4.65 6.681 4.28 6.653 4.03 6.620 3.78
102.00 6.612 4.66 6.567 4.29 6.531 4.04 6.490 3.78
102.50 6.507 4.66 6.453 4.29 6.411 4.04 6.361 3.79
103.00 6.403 4.67 6.340 4.30 6.291 4.05 6.233 3.79
Weighted Average
Life (yrs) 5.82 5.26 4.89 4.52
First Principal
Payment Date 4/25/2001 10/25/2000 9/25/2000 5/25/2000
Last Principal
Payment Date 9/25/2002 12/25/2001 7/25/2001 10/25/2000
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.533 6.48 7.552 6.18 7.574 5.87 7.606 5.47
97.50 7.454 6.49 7.469 6.19 7.487 5.87 7.512 5.48
98.00 7.375 6.50 7.387 6.20 7.400 5.88 7.419 5.49
98.50 7.297 6.51 7.305 6.21 7.314 5.89 7.327 5.49
99.00 7.220 6.52 7.224 6.21 7.228 5.90 7.235 5.50
99.50 7.143 6.52 7.143 6.22 7.143 5.90 7.144 5.51
100.00 7.066 6.53 7.063 6.23 7.059 5.91 7.053 5.51
100.50 6.990 6.54 6.983 6.24 6.975 5.92 6.963 5.52
101.00 6.915 6.55 6.904 6.25 6.891 5.93 6.873 5.53
101.50 6.839 6.56 6.825 6.26 6.808 5.94 6.784 5.53
102.00 6.765 6.57 6.747 6.26 6.726 5.94 6.696 5.54
102.50 6.691 6.58 6.669 6.27 6.644 5.95 6.608 5.55
103.00 6.617 6.59 6.592 6.28 6.562 5.96 6.520 5.55
Weighted Average
Life (yrs) 9.10 8.52 7.94 7.24
First Principal
Payment Date 9/25/2004 2/25/2004 9/25/2003 1/25/2003
Last Principal
Payment Date 9/25/2005 12/25/2004 8/25/2004 8/25/2003
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-17
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS D CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.569 5.94 7.584 5.73 7.597 5.58 7.633 5.18
97.50 7.482 5.95 7.495 5.74 7.505 5.59 7.534 5.18
98.00 7.397 5.96 7.406 5.75 7.414 5.59 7.435 5.19
98.50 7.312 5.97 7.318 5.76 7.323 5.60 7.338 5.20
99.00 7.227 5.98 7.230 5.77 7.233 5.61 7.240 5.20
99.50 7.143 5.98 7.143 5.77 7.144 5.62 7.144 5.21
100.00 7.060 5.99 7.057 5.78 7.055 5.62 7.048 5.22
100.50 6.977 6.00 6.971 5.79 6.966 5.63 6.953 5.22
101.00 6.894 6.01 6.885 5.79 6.878 5.64 6.858 5.23
101.50 6.812 6.02 6.800 5.80 6.791 5.64 6.764 5.24
102.00 6.731 6.02 6.716 5.81 6.704 5.65 6.670 5.24
102.50 6.650 6.03 6.632 5.82 6.618 5.66 6.577 5.25
103.00 6.570 6.04 6.549 5.82 6.532 5.66 6.485 5.25
Weighted Average
Life (yrs) 8.08 7.70 7.43 6.74
First Principal
Payment Date 10/25/2003 7/25/2003 4/25/2003 6/25/2002
Last Principal
Payment Date 10/25/2004 1/25/2004 9/25/2003 3/25/2003
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.651 4.99 7.654 4.96 7.659 4.91 7.711 4.47
97.50 7.549 5.00 7.551 4.97 7.555 4.92 7.597 4.47
98.00 7.447 5.00 7.448 4.97 7.451 4.93 7.483 4.48
98.50 7.345 5.01 7.346 4.98 7.348 4.93 7.369 4.48
99.00 7.244 5.01 7.245 4.99 7.246 4.94 7.257 4.49
99.50 7.144 5.02 7.144 4.99 7.144 4.94 7.145 4.49
100.00 7.045 5.03 7.044 5.00 7.043 4.95 7.034 4.50
100.50 6.946 5.03 6.945 5.00 6.943 4.96 6.923 4.50
101.00 6.848 5.04 6.846 5.01 6.843 4.96 6.813 4.51
101.50 6.750 5.04 6.748 5.02 6.744 4.97 6.704 4.51
102.00 6.653 5.05 6.650 5.02 6.645 4.97 6.596 4.52
102.50 6.556 5.06 6.553 5.03 6.547 4.98 6.488 4.52
103.00 6.460 5.06 6.456 5.03 6.450 4.99 6.381 4.53
Weighted Average
Life (yrs) 6.43 6.39 6.31 5.61
First Principal
Payment Date 12/25/2001 11/25/2001 10/25/2001 1/25/2001
Last Principal
Payment Date 6/25/2001 4/25/2003 1/25/2003 7/25/2002
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.548 6.24 7.575 5.86 7.604 5.49 7.670 4.81
97.50 7.466 6.25 7.488 5.87 7.511 5.50 7.564 4.82
98.00 7.384 6.26 7.401 5.87 7.418 5.51 7.458 4.82
98.50 7.303 6.27 7.314 5.88 7.326 5.52 7.353 4.83
99.00 7.223 6.28 7.229 5.89 7.235 5.52 7.248 4.84
99.50 7.143 6.29 7.143 5.90 7.144 5.53 7.144 4.84
100.00 7.064 6.30 7.059 5.90 7.053 5.54 7.041 4.85
100.50 6.985 6.30 6.974 5.91 6.964 5.54 6.939 4.85
101.00 6.906 6.31 6.891 5.92 6.874 5.55 6.837 4.86
101.50 6.828 6.32 6.808 5.93 6.786 5.56 6.736 4.87
102.00 6.751 6.33 6.725 5.94 6.697 5.56 6.635 4.87
102.50 6.674 6.34 6.643 5.94 6.610 5.57 6.535 4.88
103.00 6.597 6.35 6.561 5.95 6.523 5.58 6.435 4.88
Weighted Average
Life (yrs) 8.65 7.93 7.28 6.15
First Principal
Payment Date 1/25/2004 7/25/2003 9/25/2002 9/25/2001
Last Principal
Payment Date 7/25/2005 7/25/2004 1/25/2004 9/25/2002
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97.00 7.504 6.98 7.526 6.60 7.552 6.19 7.595 5.61
97.50 7.431 7.00 7.448 6.61 7.469 6.20 7.503 5.61
98.00 7.358 7.01 7.371 6.62 7.387 6.21 7.412 5.62
98.50 7.286 7.02 7.294 6.63 7.305 6.21 7.322 5.63
99.00 7.214 7.03 7.218 6.64 7.224 6.22 7.233 5.64
99.50 7.142 7.04 7.143 6.65 7.143 6.23 7.144 5.64
100.00 7.071 7.05 7.068 6.66 7.063 6.24 7.055 5.65
100.50 7.001 7.06 6.993 6.67 6.983 6.25 6.967 5.66
101.00 6.931 7.07 6.919 6.68 6.904 6.26 6.880 5.66
101.50 6.861 7.08 6.845 6.69 6.825 6.27 6.793 5.67
102.00 6.792 7.09 6.772 6.70 6.747 6.27 6.706 5.68
102.50 6.723 7.10 6.699 6.70 6.670 6.28 6.621 5.69
103.00 6.655 7.11 6.627 6.71 6.592 6.29 6.535 5.69
Weighted Average
Life (yrs) 10.14 9.35 8.54 7.48
First Principal
Payment Date 9/25/2005 10/25/2004 2/25/2004 4/25/2003
Last Principal
Payment Date 1/25/2007 1/25/2006 4/25/2005 10/25/2003
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-18
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS E CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 1(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.640 5.64 8.691 5.29 8.754 4.91 8.850 4.43
95.75 8.548 5.65 8.593 5.30 8.648 4.92 8.733 4.43
96.25 8.456 5.66 8.495 5.30 8.542 4.93 8.616 4.44
96.75 8.365 5.66 8.397 5.31 8.437 4.93 8.499 4.44
97.25 8.274 5.67 8.301 5.32 8.333 4.94 8.384 4.45
97.75 8.184 5.68 8.205 5.33 8.230 4.95 8.269 4.46
98.25 8.095 5.69 8.109 5.33 8.127 4.95 8.155 4.46
98.75 8.006 5.70 8.014 5.34 8.025 4.96 8.041 4.47
99.25 7.917 5.71 7.920 5.35 7.924 4.97 7.929 4.47
99.75 7.830 5.71 7.827 5.36 7.823 4.97 7.817 4.48
100.25 7.742 5.72 7.734 5.36 7.723 4.98 7.706 4.48
100.75 7.656 5.73 7.641 5.37 7.623 4.98 7.595 4.49
101.25 7.570 5.74 7.549 5.38 7.524 4.99 7.485 4.49
Weighted Average
Life (yrs) 7.88 7.23 6.55 5.73
First Principal
Payment Date 8/25/2003 9/25/2002 3/25/2002 8/25/2001
Last Principal
Payment Date 9/25/2004 12/25/2003 5/25/2003 3/25/2002
<CAPTION>
SCENARIO 2(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.559 6.30 8.592 6.02 8.631 5.71 8.716 5.13
95.75 8.477 6.31 8.505 6.03 8.539 5.72 8.615 5.14
96.25 8.395 6.32 8.419 6.04 8.449 5.73 8.514 5.15
96.75 8.313 6.33 8.334 6.05 8.359 5.74 8.413 5.15
97.25 8.232 6.34 8.249 6.06 8.269 5.74 8.314 5.16
97.75 8.151 6.35 8.164 6.07 8.180 5.75 8.215 5.17
98.25 8.071 6.36 8.081 6.08 8.092 5.76 8.116 5.17
98.75 7.992 6.37 7.997 6.08 8.004 5.77 8.019 5.18
99.25 7.913 6.38 7.915 6.09 7.917 5.78 7.922 5.19
99.75 7.835 6.39 7.833 6.10 7.830 5.79 7.825 5.19
100.25 7.757 6.40 7.751 6.11 7.744 5.79 7.729 5.20
100.75 7.679 6.41 7.670 6.12 7.659 5.80 7.634 5.21
101.25 7.602 6.42 7.589 6.13 7.574 5.81 7.539 5.22
Weighted Average
Life (yrs) 9.24 8.64 8.02 6.94
First Principal
Payment Date 12/25/2004 1/25/2004 9/25/2003 8/25/2002
Last Principal
Payment Date 11/25/2005 1/25/2005 9/25/2004 8/25/2003
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 3(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.698 5.25 8.752 4.92 8.820 4.57 8.952 4.01
95.75 8.598 5.25 8.646 4.93 8.706 4.57 8.822 4.01
96.25 8.500 5.26 8.541 4.93 8.593 4.58 8.693 4.02
96.75 8.402 5.27 8.436 4.94 8.480 4.59 8.564 4.02
97.25 8.304 5.28 8.332 4.95 8.368 4.59 8.437 4.03
97.75 8.207 5.28 8.229 4.95 8.257 4.60 8.310 4.03
98.25 8.111 5.29 8.127 4.96 8.146 4.60 8.184 4.04
98.75 8.015 5.30 8.025 4.97 8.036 4.61 8.059 4.04
99.25 7.920 5.31 7.923 4.97 7.927 4.62 7.934 4.05
99.75 7.826 5.31 7.823 4.98 7.819 4.62 7.811 4.05
100.25 7.732 5.32 7.723 4.99 7.711 4.63 7.688 4.06
100.75 7.639 5.33 7.623 4.99 7.604 4.63 7.566 4.06
101.25 7.547 5.33 7.525 5.00 7.497 4.64 7.444 4.07
Weighted Average
Life (yrs) 7.15 6.56 5.96 5.06
First Principal
Payment Date 9/25/2002 12/25/2001 7/25/2001 10/25/2000
Last Principal
Payment Date 1/25/2004 1/25/2003 8/25/2002 8/25/2001
<CAPTION>
SCENARIO 4(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.525 6.64 8.553 6.37 8.583 6.09 8.649 5.58
95.75 8.447 6.65 8.471 6.38 8.498 6.10 8.555 5.59
96.25 8.368 6.66 8.389 6.39 8.413 6.11 8.462 5.60
96.75 8.291 6.67 8.309 6.40 8.328 6.12 8.370 5.60
97.25 8.214 6.68 8.228 6.41 8.244 6.13 8.278 5.61
97.75 8.138 6.69 8.149 6.42 8.161 6.14 8.187 5.62
98.25 8.062 6.70 8.069 6.43 8.078 6.15 8.097 5.63
98.75 7.986 6.71 7.991 6.44 7.996 6.16 8.007 5.64
99.25 7.911 6.72 7.913 6.45 7.914 6.17 7.918 5.64
99.75 7.837 6.73 7.835 6.46 7.833 6.18 7.829 5.65
100.25 7.763 6.75 7.758 6.47 7.752 6.19 7.741 5.66
100.75 7.689 6.76 7.681 6.48 7.672 6.19 7.653 5.67
101.25 7.616 6.77 7.605 6.49 7.593 6.20 7.566 5.68
Weighted Average
Life (yrs) 9.98 9.38 8.79 7.77
First Principal
Payment Date 9/25/2005 12/25/2004 8/25/2004 8/25/2003
Last Principal
Payment Date 11/25/2006 12/25/2005 5/25/2005 4/25/2004
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
D-19
<PAGE>
<PAGE>
WEIGHTED AVERAGE LIFE, FIRST PRINCIPAL PAYMENT DATE, LAST PRINCIPAL PAYMENT
DATE,
PRE-TAX YIELD TO MATURITY AND MODIFIED DURATION OF CLASS E CERTIFICATES UNDER
VARIOUS SCENARIOS
<TABLE>
<CAPTION>
SCENARIO 5(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.565 6.25 8.605 5.91 8.639 5.65 8.681 5.36
95.75 8.482 6.26 8.517 5.92 8.546 5.66 8.583 5.37
96.25 8.399 6.27 8.429 5.93 8.455 5.67 8.487 5.37
96.75 8.317 6.28 8.342 5.94 8.364 5.68 8.390 5.38
97.25 8.235 6.29 8.256 5.95 8.273 5.69 8.295 5.39
97.75 8.154 6.30 8.170 5.96 8.183 5.69 8.200 5.40
98.25 8.073 6.31 8.084 5.97 8.094 5.70 8.106 5.40
98.75 7.993 6.32 8.000 5.98 8.005 5.71 8.013 5.41
99.25 7.913 6.33 7.915 5.98 7.917 5.72 7.920 5.42
99.75 7.834 6.34 7.832 5.99 7.830 5.73 7.827 5.43
100.25 7.756 6.35 7.749 6.00 7.743 5.73 7.735 5.43
100.75 7.678 6.36 7.666 6.01 7.656 5.74 7.644 5.44
101.25 7.600 6.37 7.584 6.02 7.570 5.75 7.554 5.45
Weighted Average
Life (yrs) 9.13 8.43 7.91 7.35
First Principal
Payment Date 10/25/2004 1/25/2004 9/25/2003 3/25/2003
Last Principal
Payment Date 8/25/2005 12/25/2004 5/25/2004 9/25/2003
<CAPTION>
SCENARIO 6(1)
-----------------------------------------------------------------------
10%CPR 15%CPR 25%CPR 100%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.647 5.59 8.651 5.57 8.657 5.52 8.730 5.05
95.75 8.554 5.60 8.557 5.57 8.562 5.53 8.627 5.06
96.25 8.461 5.61 8.464 5.58 8.469 5.54 8.524 5.06
96.75 8.369 5.61 8.371 5.59 8.375 5.54 8.422 5.07
97.25 8.278 5.62 8.279 5.60 8.283 5.55 8.321 5.08
97.75 8.187 5.63 8.188 5.61 8.191 5.56 8.220 5.08
98.25 8.097 5.64 8.098 5.61 8.099 5.57 8.120 5.09
98.75 8.007 5.65 8.007 5.62 8.009 5.58 8.021 5.10
99.25 7.918 5.65 7.918 5.63 7.918 5.58 7.922 5.10
99.75 7.829 5.66 7.829 5.64 7.829 5.59 7.824 5.11
100.25 7.741 5.67 7.741 5.65 7.740 5.60 7.727 5.12
100.75 7.654 5.68 7.653 5.65 7.651 5.61 7.630 5.12
101.25 7.567 5.69 7.566 5.66 7.563 5.61 7.534 5.13
Weighted Average
Life (yrs) 7.79 7.74 7.65 6.79
First Principal
Payment Date 6/25/2003 4/25/2003 1/25/2003 7/25/2002
Last Principal
Payment Date 5/25/2004 4/25/2004 3/25/2004 1/25/2004
</TABLE>
<TABLE>
<CAPTION>
SCENARIO 7(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.528 6.61 8.565 6.25 8.611 5.86 8.699 5.24
95.75 8.449 6.62 8.482 6.26 8.522 5.87 8.600 5.25
96.25 8.371 6.63 8.399 6.27 8.434 5.88 8.501 5.25
96.75 8.293 6.64 8.317 6.28 8.346 5.89 8.402 5.26
97.25 8.216 6.65 8.235 6.29 8.259 5.90 8.305 5.27
97.75 8.139 6.66 8.154 6.30 8.172 5.91 8.208 5.27
98.25 8.062 6.67 8.073 6.31 8.086 5.92 8.111 5.28
98.75 7.987 6.68 7.993 6.32 8.001 5.92 8.016 5.29
99.25 7.911 6.69 7.913 6.33 7.916 5.93 7.921 5.30
99.75 7.837 6.70 7.834 6.34 7.831 5.94 7.826 5.30
100.25 7.762 6.71 7.756 6.35 7.748 5.95 7.732 5.31
100.75 7.688 6.72 7.678 6.36 7.664 5.96 7.639 5.32
101.25 7.615 6.74 7.600 6.37 7.581 5.97 7.546 5.32
Weighted Average
Life (yrs) 9.91 9.13 8.32 7.13
First Principal
Payment Date 7/25/2005 7/25/2004 1/25/2004 9/25/2002
Last Principal
Payment Date 7/25/2006 11/25/2005 1/25/2005 9/25/2003
<CAPTION>
SCENARIO 8(1)
-----------------------------------------------------------------------
0%CPR 2%CPR 4%CPR 8%CPR
----------------- ----------------- ----------------- -----------------
CBE MODIFIED CBE MODIFIED CBE MODIFIED CBE MODIFIED
YIELD DURATION YIELD DURATION YIELD DURATION YIELD DURATION
PRICE (%) (%) (YRS.) (%) (YRS.) (%) (YRS.) (%) (YRS.)
- ---------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
95.25 8.474 7.20 8.509 6.80 8.539 6.50 8.617 5.82
95.75 8.402 7.21 8.432 6.82 8.459 6.51 8.527 5.83
96.25 8.330 7.22 8.356 6.83 8.379 6.52 8.438 5.84
96.75 8.258 7.24 8.281 6.84 8.300 6.53 8.350 5.85
97.25 8.187 7.25 8.206 6.85 8.221 6.54 8.262 5.85
97.75 8.117 7.26 8.131 6.86 8.143 6.55 8.175 5.86
98.25 8.047 7.27 8.057 6.87 8.066 6.56 8.088 5.87
98.75 7.977 7.29 7.983 6.89 7.988 6.57 8.002 5.88
99.25 7.908 7.30 7.910 6.90 7.912 6.58 7.916 5.89
99.75 7.840 7.31 7.838 6.91 7.836 6.59 7.831 5.90
100.25 7.772 7.33 7.766 6.92 7.760 6.60 7.747 5.91
100.75 7.704 7.34 7.694 6.93 7.685 6.61 7.663 5.91
101.25 7.637 7.35 7.623 6.94 7.611 6.62 7.579 5.92
Weighted Average
Life (yrs) 11.34 10.38 9.67 8.24
First Principal
Payment Date 1/25/2007 1/25/2006 4/25/2005 10/25/2003
Last Principal
Payment Date 12/25/2007 1/25/2007 2/25/2006 9/25/2004
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than Group 1 weighted average DSCR; Group 2, to maturity date
for Mortgage Loans with DSCR less than the Group 2 weighted average DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
D-20
<PAGE>
<PAGE>
APPENDIX E
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 Aggregate Certificate
Principal Amount Outstanding for each of the Offered Certificates (other than
the Class X Certificates) at the respective percentage of CPR set forth below
indicate the weighted average life of each Class of the Offered Certificates
(other than the Class X Certificates) and sets forth the percentage of the
initial principal amount of such Certificates that would be outstanding after
each of the dates shown under eight distinct scenarios.
The tables below have been prepared generally on the basis of the Modeling
Assumptions and the description of the prepayment Scenarios set forth on page
D-1.
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 all prepay at any of the levels of CPR indicated in the tables or at
any constant level.
E-1
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-1A CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 82 62 41 0
February 25, 1998 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.32 1.06 0.86 0.56
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 82 62 41 0
February 25, 1998 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.32 1.06 0.86 0.56
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 and thereafter 0 0 0 0
Weighted Average Life (yrs) 0.55 0.48 0.42 0.36
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 82 62 41 0
February 25, 1998 63 23 0 0
February 25, 1999 42 0 0 0
February 25, 2000 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.35 1.37 0.92 0.56
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-2
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-1A CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 42 22 2 0
February 25, 1998 and thereafter 0 0 0 0
Weighted Average Life (yrs) 0.95 0.75 0.61 0.46
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 76 72 65 0
February 25, 1998 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.23 1.19 1.12 0.41
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 82 62 41 0
February 25, 1998 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.32 1.06 0.86 0.56
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 82 62 41 0
February 25, 1998 63 23 0 0
February 25, 1999 42 0 0 0
February 25, 2000 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.35 1.37 0.92 0.56
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-3
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-1B CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 74 47 20 0
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.37 2.04 1.80 1.46
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 74 47 20 0
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.37 2.04 1.80 1.46
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 88 74 59 31
February 25, 1998 10 0 0 0
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.53 1.32 1.17 0.94
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 88 30
February 25, 1999 100 87 45 0
February 25, 2000 43 0 0 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.00 3.46 2.84 1.78
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-4
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-1B CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 71
February 25, 1998 86 58 31 0
February 25, 1999 43 4 0 0
February 25, 2000 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.80 2.20 1.79 1.28
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 79
February 25, 1998 69 66 60 0
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.30 2.26 2.19 1.38
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 74 47 20 0
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 2.37 2.04 1.80 1.46
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 88 30
February 25, 1999 100 87 45 0
February 25, 2000 43 0 0 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.00 3.46 2.84 1.78
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-5
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-1C CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 85
February 25, 1999 98 82 67 37
February 25, 2000 62 43 26 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.14 3.76 3.42 2.79
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 85
February 25, 1999 98 82 67 37
February 25, 2000 62 43 26 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.14 3.76 3.42 2.79
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 93 82 61
February 25, 1999 67 53 39 13
February 25, 2000 4 0 0 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 3.25 2.98 2.72 2.27
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 84
February 25, 2000 100 96 75 35
February 25, 2001 85 60 37 0
February 25, 2002 49 23 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.86 5.27 4.70 3.77
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-6
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-1C CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 90
February 25, 1999 100 100 85 53
February 25, 2000 74 54 36 3
February 25, 2001 47 26 6 0
February 25, 2002 15 0 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.88 4.32 3.82 3.04
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 94
February 25, 1999 95 93 90 61
February 25, 2000 57 54 50 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.05 4.01 3.93 3.12
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 85
February 25, 1999 98 82 67 37
February 25, 2000 62 43 26 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.14 3.76 3.42 2.79
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 84
February 25, 2000 100 96 75 35
February 25, 2001 85 60 37 0
February 25, 2002 49 23 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.86 5.27 4.70 3.77
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-7
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-2A CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 61 58 54 48
February 25, 1998 29 24 19 9
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.37 1.28 1.21 1.07
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 97 93 89 81
February 25, 1998 93 86 78 63
February 25, 1999 89 78 67 47
February 25, 2000 85 70 56 15
February 25, 2001 70 9 0 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.73 4.05 3.48 2.63
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 61 58 54 48
February 25, 1998 29 24 19 9
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.37 1.28 1.21 1.07
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 97 93 89 81
February 25, 1998 93 86 78 63
February 25, 1999 89 78 67 47
February 25, 2000 85 70 56 32
February 25, 2001 73 56 41 2
February 25, 2002 41 25 9 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.43 4.61 3.94 2.85
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-8
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-2A CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 83 79 75 68
February 25, 1998 69 62 56 43
February 25, 1999 57 48 39 22
February 25, 2000 29 19 9 0
February 25, 2001 10 0 0 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 3.03 2.65 2.34 1.85
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 61 61 61 61
February 25, 1998 29 29 29 29
February 25, 1999 and thereafter 0 0 0 0
Weighted Average Life (yrs) 1.37 1.37 1.37 1.37
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 97 93 89 81
February 25, 1998 93 86 78 63
February 25, 1999 89 78 67 47
February 25, 2000 85 71 57 16
February 25, 2001 77 15 0 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.82 4.09 3.50 2.63
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 97 93 89 81
February 25, 1998 93 86 78 63
February 25, 1999 89 78 67 47
February 25, 2000 85 71 57 32
February 25, 2001 81 63 47 6
February 25, 2002 76 55 36 0
February 25, 2003 38 0 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 6.15 5.04 4.18 2.88
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-9
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-2B CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 81 76 72 63
February 25, 2000 36 33 31 10
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 3.87 3.78 3.66 3.40
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 53 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.67 5.42 5.09 4.45
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 81 76 72 63
February 25, 2000 36 7 0 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 3.76 3.61 3.47 3.14
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 0
February 25, 2003 91 19 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.30 6.86 6.42 5.45
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-10
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS A-2B CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 92
February 25, 2001 100 99 89 0
February 25, 2002 89 61 1 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 6.60 6.06 5.50 4.51
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 81 81 81 81
February 25, 2000 36 36 36 34
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 3.87 3.87 3.87 3.74
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 59 0
February 25, 2002 24 0 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.82 5.47 5.14 4.46
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 2
February 25, 2003 100 59 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.57 7.14 6.63 5.56
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-11
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS B CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 22 0 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.28 4.97 4.72 4.27
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 20
February 25, 2002 95 2 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 6.37 5.78 5.54 4.95
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 47 0
February 25, 2001 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.47 4.27 4.05 3.73
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 67
February 25, 2003 100 100 19 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.64 7.35 6.94 6.13
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-12
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS B CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 94
February 25, 2002 100 100 100 0
February 25, 2003 69 0 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.14 6.82 6.28 5.27
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 78 68 48 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.19 5.15 5.07 4.38
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 28
February 25, 2002 100 44 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 6.60 6.00 5.59 4.99
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 81 0
February 25, 2004 79 0 0 0
February 25, 2005 and thereafter 0 0 0 0
Weighted Average Life (yrs) 8.25 7.60 7.21 6.28
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-13
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS C CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 64 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.63 5.44 5.16 4.65
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 41 0
February 25, 2003 70 6 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.26 6.55 6.00 5.42
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 48
February 25, 2001 7 0 0 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 4.75 4.58 4.45 4.06
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 0
February 25, 2004 66 0 0 0
February 25, 2005 and thereafter 0 0 0 0
Weighted Average Life (yrs) 8.25 7.70 7.40 6.60
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-14
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS C CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 40
February 25, 2003 100 75 9 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.53 7.21 6.87 5.95
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 0
February 25, 2002 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.58 5.55 5.51 4.65
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 68 0
February 25, 2003 88 22 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.57 6.80 6.22 5.46
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 11
February 25, 2004 100 71 0 0
February 25, 2005 44 0 0 0
February 25, 2006 and thereafter 0 0 0 0
Weighted Average Life (yrs) 9.06 8.25 7.65 6.80
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-15
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS D CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 72
February 25, 2002 91 44 3 0
February 25, 2003 14 0 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 6.57 6.01 5.68 5.22
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 39
February 25, 2003 100 100 50 0
February 25, 2004 49 0 0 0
February 25, 2005 and thereafter 0 0 0 0
Weighted Average Life (yrs) 8.27 7.68 7.04 5.98
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 66 29 0
February 25, 2002 30 0 0 0
February 25, 2003 and thereafter 0 0 0 0
Weighted Average Life (yrs) 5.82 5.26 4.89 4.52
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 77
February 25, 2004 100 94 32 0
February 25, 2005 47 0 0 0
February 25, 2006 and thereafter 0 0 0 0
Weighted Average Life (yrs) 9.10 8.52 7.94 7.24
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-16
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS D CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 0
February 25, 2004 40 0 0 0
February 25, 2005 and thereafter 0 0 0 0
Weighted Average Life (yrs) 8.08 7.70 7.43 6.74
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 92
February 25, 2002 82 78 71 21
February 25, 2003 5 2 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 6.43 6.39 6.31 5.61
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 59
February 25, 2003 100 100 63 0
February 25, 2004 91 30 0 0
February 25, 2005 13 0 0 0
February 25, 2006 and thereafter 0 0 0 0
Weighted Average Life (yrs) 8.65 7.93 7.28 6.15
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 100
February 25, 2004 100 100 97 0
February 25, 2005 100 68 3 0
February 25, 2006 48 0 0 0
February 25, 2007 and thereafter 0 0 0 0
Weighted Average Life (yrs) 10.14 9.35 8.54 7.48
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-17
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS E CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF CPR
SCENARIO 1(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 4
February 25, 2003 100 59 5 0
February 25, 2004 15 0 0 0
February 25, 2005 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.88 7.23 6.55 5.73
</TABLE>
SCENARIO 2(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 38
February 25, 2004 100 93 27 0
February 25, 2005 61 0 0 0
February 25, 2006 and thereafter 0 0 0 0
Weighted Average Life (yrs) 9.24 8.64 8.02 6.94
</TABLE>
SCENARIO 3(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 48
February 25, 2002 100 88 38 0
February 25, 2003 35 0 0 0
February 25, 2004 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.15 6.56 5.96 5.06
</TABLE>
SCENARIO 4(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 100
February 25, 2004 100 100 100 5
February 25, 2005 100 82 10 0
February 25, 2006 23 0 0 0
February 25, 2007 and thereafter 0 0 0 0
Weighted Average Life (yrs) 9.98 9.38 8.79 7.77
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 1: Group 1, one year maturity date extension; Group 2, maturity at
Option Period
SCENARIO 2: Group 1, one year maturity date extension; Group 2, to maturity
date
SCENARIO 3: Group 1, to maturity date; Group 2, maturity at Option Period
SCENARIO 4: Group 1, three year maturity date extension; Group 2, to
maturity date
E-18
<PAGE>
<PAGE>
PERCENT OF INITIAL AGGREGATE CERTIFICATE PRINCIPAL AMOUNT OUTSTANDING
FOR THE CLASS E CERTIFICATES UNDER VARIOUS SCENARIOS AND PERCENTAGES OF
CPR -- (CONTINUED)
SCENARIO 5(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 100
February 25, 2004 100 82 18 0
February 25, 2005 55 0 0 0
February 25, 2006 and thereafter 0 0 0 0
Weighted Average Life (yrs) 9.13 8.43 7.91 7.35
</TABLE>
SCENARIO 6(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
--------------------------------------------
DISTRIBUTION DATE 10% 15% 25% 100%
- ------------------------------------------------ ------- ------- ------- --------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 95 22
February 25, 2004 8 5 3 0
February 25, 2005 and thereafter 0 0 0 0
Weighted Average Life (yrs) 7.79 7.74 7.65 6.79
</TABLE>
SCENARIO 7(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 53
February 25, 2004 100 100 69 0
February 25, 2005 100 42 0 0
February 25, 2006 27 0 0 0
February 25, 2007 and thereafter 0 0 0 0
Weighted Average Life (yrs) 9.91 9.13 8.32 7.13
</TABLE>
SCENARIO 8(1)
<TABLE>
<CAPTION>
PERCENTAGE OF CPR
-------------------------------------------
DISTRIBUTION DATE 0% 2% 4% 8%
- ------------------------------------------------ ------- ------- ------- -------
<S> <C> <C> <C> <C>
Initial 100% 100% 100% 100%
February 25, 1997 100 100 100 100
February 25, 1998 100 100 100 100
February 25, 1999 100 100 100 100
February 25, 2000 100 100 100 100
February 25, 2001 100 100 100 100
February 25, 2002 100 100 100 100
February 25, 2003 100 100 100 100
February 25, 2004 100 100 100 70
February 25, 2005 100 100 100 0
February 25, 2006 100 74 0 0
February 25, 2007 61 0 0 0
February 25, 2008 and thereafter 0 0 0 0
Weighted Average Life (yrs) 11.34 10.38 9.67 8.24
</TABLE>
- ------------
(1) As more fully described on page D-1, the related information was based on
one of the following scenarios:
SCENARIO 5: Group 1, three year maturity date extension for Mortgage Loans
with DSCR less than the Group 1 weighted average DCSR; Group 2, to maturity
date for Mortgage Loans with DSCR less than the Group 2 weighted average
DSCR
SCENARIO 6: Group 1, one year maturity date extension; Group 2, maturity at
Option Period; all Mortgage Loans prepay at indicated CPR immediately
following the Prepayment Charge Expiration Date
SCENARIO 7: Group 1 and Group 2, one year maturity date extension
SCENARIO 8: Group 1 and Group 2, three year maturity date extension
E-19
<PAGE>
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[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
<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
January 29, 1996
<PAGE>
<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............................................................................................... 27
Description of the Securities.............................................................................. 32
General.................................................................................................. 32
The Bonds -- General..................................................................................... 33
The Certificates -- General.............................................................................. 33
Bearer Securities and Registered Securities.............................................................. 34
Book-Entry Registration.................................................................................. 35
Valuation of Mortgage Assets............................................................................. 37
Payments and Distributions of Interest................................................................... 37
Payments and Distributions of Principal.................................................................. 39
Special Redemption....................................................................................... 39
Optional Redemption...................................................................................... 40
Mandatory Redemption..................................................................................... 40
Optional Termination..................................................................................... 40
Optional Repurchase of Certificates...................................................................... 41
Other Repurchases........................................................................................ 41
Yield and Prepayment Considerations........................................................................ 42
Timing of Payment of Distribution of Interest and Principal.............................................. 42
Principal Prepayments.................................................................................... 42
Prepayments and Weighted Average Life.................................................................... 42
Other Factors Affecting Weighted Average Life............................................................ 44
Security for the Bonds and Certificates.................................................................... 45
General.................................................................................................. 45
Mortgage Loans........................................................................................... 46
Private Mortgage-Backed Securities....................................................................... 49
Substitution of Mortgage Assets.......................................................................... 51
Collection Account....................................................................................... 51
Other Funds or Accounts.................................................................................. 52
Investment of Funds...................................................................................... 52
Guaranteed Investment Contract........................................................................... 52
Enhancement.............................................................................................. 52
Servicing of Mortgage Loans................................................................................ 53
General.................................................................................................. 53
Collection Procedures.................................................................................... 53
Payments on Mortgage Loans; Deposits to Custodial Accounts............................................... 54
Advances................................................................................................. 54
Maintenance of Insurance Policies and Other Servicing Procedures......................................... 55
Enforcement of Due-On-Sale Clauses....................................................................... 56
Modification; Waivers.................................................................................... 56
Servicing Compensation and Payment of Expenses........................................................... 56
Evidence as to Compliance................................................................................ 56
Certain Matters Regarding the Master Servicer and Special Servicer....................................... 57
</TABLE>
2
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<PAGE>
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Enhancement................................................................................................ 57
General.................................................................................................. 57
Subordinate Securities................................................................................... 58
Cross-Support Features................................................................................... 59
Insurance on the Mortgage Loans.......................................................................... 59
Letter of Credit......................................................................................... 59
Bond Guarantee Insurance................................................................................. 59
Reserve Funds............................................................................................ 59
Description of Insurance on the Mortgage Loans............................................................. 60
Mortgage Insurance on the Mortgage Loans................................................................. 60
Hazard Insurance on the Mortgage Loans................................................................... 60
Certain Legal Aspects of Mortgage Loans.................................................................... 62
Mortgages................................................................................................ 62
Junior Mortgages; Rights of Senior Mortgages or Beneficiaries............................................ 62
Foreclosure of Mortgage.................................................................................. 64
Rights of Redemption..................................................................................... 65
Environmental Matters.................................................................................... 65
Certain Laws and Regulations............................................................................. 66
Leases and Rents......................................................................................... 66
Anti-Deficiency Legislation and Other Limitations on Lenders............................................. 66
Due on Sale Clauses in Mortgage Loans.................................................................... 69
Enforceability of Prepayment and Late Payment Fees....................................................... 69
Equitable Limitations on Remedies........................................................................ 69
Applicability of Usury Laws.............................................................................. 70
Alternative Mortgage Instruments......................................................................... 70
Secondary Financing; Due-on-Encumbrance Provisions....................................................... 70
The Indenture.............................................................................................. 72
Certain Covenants........................................................................................ 72
Modification of Indenture................................................................................ 72
Events of Default........................................................................................ 73
Authentication and Delivery of Bonds..................................................................... 75
Satisfaction and Discharge of the Indenture.............................................................. 75
Issuer's Annual Compliance Statement..................................................................... 75
List of Bondholders...................................................................................... 75
Meetings of Bondholders.................................................................................. 76
Fiscal Year.............................................................................................. 76
Trustee's Annual Report.................................................................................. 76
The Trustee.............................................................................................. 76
The Trust Agreement........................................................................................ 76
Assignment of Mortgage Assets............................................................................ 76
Repurchase of Non-Conforming Loans....................................................................... 77
Reports to Certificateholders............................................................................ 78
Event of Default......................................................................................... 79
Rights Upon Event of Default............................................................................. 79
The Trustee.............................................................................................. 80
Duties of the Trustee.................................................................................... 80
Resignation of Trustee................................................................................... 81
Amendment of Trust Agreement............................................................................. 81
Voting Rights............................................................................................ 81
List of Certificateholders............................................................................... 81
REMIC Administrator...................................................................................... 82
Termination.............................................................................................. 82
</TABLE>
3
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<TABLE>
<CAPTION>
PAGE
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<S> <C>
The Issuer................................................................................................. 82
The Company.............................................................................................. 82
Owner Trust.............................................................................................. 83
Administrator............................................................................................ 83
Use of Proceeds............................................................................................ 84
Limitations on Issuance of Bearer Securities............................................................... 84
Federal Income Tax Considerations.......................................................................... 85
General.................................................................................................. 85
Characterization of Securities........................................................................... 85
Taxation of Regular Interest Securities.................................................................. 86
Sale or Exchange of Regular Interest Securities.......................................................... 90
REMIC Expenses........................................................................................... 90
Taxation of the REMIC.................................................................................... 91
Taxation of Holders of Residual Interest Securities...................................................... 92
Excess Inclusion Income.................................................................................. 93
Restrictions on Ownership and Transfer of Residual Interest Securities................................... 94
Administrative Matters................................................................................... 94
Tax Status as a Grantor Trust............................................................................ 95
Miscellaneous Tax Aspects................................................................................ 98
Tax Treatment of Foreign Investors....................................................................... 99
State and Local Tax Considerations......................................................................... 99
ERISA Considerations....................................................................................... 100
Legal Investment........................................................................................... 102
Plan of Distribution....................................................................................... 102
Legal Matters.............................................................................................. 103
Glossary................................................................................................... 103
</TABLE>
4
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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
5
<PAGE>
<PAGE>
be a part 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>
<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').
<TABLE>
<S> <C>
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 Cer-
tificates 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
</TABLE>
7
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<PAGE>
<TABLE>
<S> <C>
evidence a beneficial ownership interest in the Trust Fund for
such 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
</TABLE>
8
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<PAGE>
<TABLE>
<S> <C>
related Prospectus Supplement, (i) each 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
</TABLE>
9
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<TABLE>
<S> <C>
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 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 be entitled to receive, any interest.
Each payment of interest on each Class of Bonds (or addition to
principal of a 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
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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 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.
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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 Prospectus
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 SECURI-
TIES -- 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,
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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 experience
of such Mortgage Assets. See 'YIELD AND PREPAYMENT CONSID-
ERATIONS.'
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 charac-
teristics 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
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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 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 SE-
CURITIES -- 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
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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 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 Certif-
icates' 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
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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 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
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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 In-
surance 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
beneficial 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
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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 Mort-
gage-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 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
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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 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
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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 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 other-
wise 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
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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
insurance 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.'
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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 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
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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
Servicer 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
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meets certain criteria set forth in the related Prospectus
Supplement, (i) all or a portion of the servicing responsi-
bilities 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 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.
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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 limitations 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.
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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.'
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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
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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.
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
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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
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
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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.'
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
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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
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.
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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.
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.
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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.
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
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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 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
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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 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
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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.
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.
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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, 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
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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
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).
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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 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
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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 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
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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 principal amount of each
Class of such Series that would be outstanding on specified Payment
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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 will not exercise its right to enforce any
'due-on-sale' clause applicable to
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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 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
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'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,
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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 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 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
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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 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
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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 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
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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 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,
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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
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and the Servicers during the preceding calendar year and of performance under
the Master Servicing Agreement, 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
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Enhancement or which are not covered by the Enhancement, Bondholders or
Certificateholders, as 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.
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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 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
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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 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
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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.
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).
JUNIOR MORTGAGES; RIGHTS OF SENIOR MORTGAGES OR BENEFICIARIES
If specified in the applicable Prospectus Supplement, some of the Mortgage
Loans included in the Mortgage Pool will be secured by junior mortgages or deeds
of trust which are subordinate to senior mortgages or deeds of trust held by
other lenders or institutional investors. The rights of the Trust Fund (and
therefore the Certificateholders), as beneficiary under a junior deed of trust
or as mortgagee under a junior mortgage, are subordinate to those of the
mortgagee or beneficiary under the senior mortgage or deed of trust, including
the prior rights of the senior mortgagee or beneficiary to receive rents, hazard
insurance and condemnation proceeds and to cause the property securing the
Mortgage Loan to be sold upon default of the mortgagor or trustor, thereby
extinguishing the junior mortgagee's or junior beneficiary's lien unless the
Special Servicer asserts its subordinate interest in a property in foreclosure
litigation or satisfies the defaulted senior loan. As discussed more fully
below, in many states a junior mortgagee or beneficiary may satisfy a defaulted
senior loan in full, or may cure such default and bring the senior loan current,
in either event adding the amounts expended to the balance due on the junior
loan. Absent a provision in the senior mortgage, no notice of default is
required to be given to the junior mortgagee.
The form of the mortgage or deed of trust used by many institutional
lenders confers on the mortgagee or beneficiary the right both to receive all
proceeds collected under any hazard insurance policy and all awards made in
connection with any condemnation proceedings, and to apply such proceeds and
awards to any indebtedness secured by the mortgage or deed of trust, in such
order as the mortgage or beneficiary may determine. Thus, in the event
improvements on the property are damaged
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or destroyed by fire or other casualty, or in the event the property is taken by
condemnation, the mortgagee or beneficiary under the senior mortgage or deed of
trust will have the prior right to collect any insurance proceeds payable under
a hazard insurance policy and any award of damages in connection with the
condemnation and to apply the same to the indebtedness secured by the senior
mortgage or deed of trust. Proceeds in excess of the amount of senior mortgage
indebtedness will, in most cases, by applied to the indebtedness of a junior
mortgage or trust deed. The laws of certain states may limit the ability of
mortgagees or beneficiaries to apply the proceeds of hazard insurance and
partial condemnation awards to the secured indebtedness. In such states, the
mortgagor or trustor must be allowed to use the proceeds of hazard insurance to
repair the damage unless the security of the mortgagee or beneficiary has been
impaired. Similarly, in certain states, the mortgagee or beneficiary is entitled
to the award for a partial condemnation of the real property security only to
the extent that its security is impaired.
The form of mortgage or deed of trust used by many institutional lenders
typically contains a 'future advance' clause, which provides, in essence, that
additional amounts advanced to or on behalf of the mortgagor or trustor by the
mortgagee or beneficiary are to be secured by the mortgage or deed of trust.
While such a clause is valid under the laws of most states, the priority of any
advance made under the clause depends, in some states, on whether the advance
was an 'obligatory' or 'optional' advance. If the mortgagee or beneficiary is
obligated to advance the additional amounts, the advance may be entitled to
receive the same priority as amounts initially made under the mortgage or deed
of trust, notwithstanding that there may be intervening junior mortgages or
deeds of trust and other liens between the date of recording of the mortgage or
deed of trust and the date of the future advance, and notwithstanding that the
mortgagee or beneficiary had actual knowledge of such intervening junior
mortgages or deeds of trust and other liens at the time of the advance. Where
the mortgagee or beneficiary is not obligated to advance the additional amounts
and has actual knowledge of the intervening junior mortgages or deeds of trust
and other liens, the advance may be subordinate to such intervening junior
mortgages or deeds of trust and other liens. Priority of advances under a
'future advance' clause rests, in many other states, on state law giving
priority to all advances made under the loan agreement up to a 'credit limit'
amount stated in the recorded mortgage.
Another provision typically found in the form of the mortgage or deed of
trust used by many institutional lenders obligates the mortgagor or trustor to
pay before delinquency all taxes and assessments on the property and, when due,
all encumbrances, charges and liens on the property which appear prior to the
mortgage or deed of trust, to provide and maintain fire insurance on the
property, to maintain and repair the property and not to commit or permit any
waste thereof, and to appear in and defend any action or proceeding purporting
to affect the property or the rights of the mortgagee or beneficiary under the
mortgage or deed of trust. Upon a failure of the mortgagor or trustor to perform
any of these obligations, the mortgagee or beneficiary is given the right under
the mortgage or deed of trust to perform the obligation itself, at its election,
with the mortgagor or trustor agreeing to reimburse the mortgagee or beneficiary
for any sums expended by the mortgagee or beneficiary on behalf of the trustor.
All sums so expended by the mortgagee or beneficiary become part of the
indebtedness secured by the mortgage or deed of trust.
The form of mortgage or deed of trust used by many institutional lenders
typically requires the mortgagor or trustor to obtain the consent of the
mortgagee or beneficiary in respect of actions affecting the mortgaged property,
including, without limitation, leasing activities (including new leases and
termination or modification of existing leases), alterations and improvements to
buildings forming a part of the mortgaged property and management and leasing
agreements for the mortgaged property. Tenants will often refuse to execute a
lease unless the mortgagee or beneficiary executes a written agreement with the
tenant not to disturb the tenant's possession of its premises in the event of a
foreclosure. A senior mortgagee or beneficiary may refuse to consent to matters
approved by a junior mortgagee or beneficiary with the result that the value of
the security for the junior mortgage or deed of trust is diminished. For
example, a senior mortgagee or beneficiary may decide not to approve a lease or
to refuse to grant a tenant a non-disturbance agreement. If, as a result, the
lease is not executed, the value of the mortgaged property may be diminished.
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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 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
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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.
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.
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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.
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
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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.
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.
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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
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
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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 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.
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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 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
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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
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any provisions for the mandatory redemption of Bonds 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.
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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 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
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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.
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.
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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 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.
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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 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
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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.
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;
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(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;
(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
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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
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
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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.
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
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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.
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.
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
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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 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.
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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.
If an entity electing to be treated as a REMIC fails to comply with one or
more of the ongoing requirements of the Code for such status during any taxable
year, the Code provides that the entity will not be treated as a REMIC for such
year and thereafter. In that event, such entity may be taxable as a corporation
under Treasury regulations, and the related REMIC Certificates may not be
accorded the status or given the tax treatment described below. Although the
Code authorizes the Treasury Department to issue regulations providing relief in
the event of an inadvertent termination of REMIC status, no such regulations
have been issued. Any such relief, moreover, may be accompanied by sanctions,
such as the imposition of a corporate tax on all or a portion of the Trust
Fund's income for the period in which the requirements for such status are not
satisfied. The Pooling Agreement with respect to each REMIC will include
provisions designed to maintain the Trust Fund's status as a REMIC under the
REMIC Provisions. It is not anticipated that the status of any Trust Fund as a
REMIC will be terminated.
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
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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).
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 a possible 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
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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. 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
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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.
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 proposed 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 could be
recognized currently or would 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
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(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 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
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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 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
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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.
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
1996, $117,950, or $[58,975] 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
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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
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.
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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.
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
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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 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.
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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 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 1996, $117,950, or
$[58,975] 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
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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 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
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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 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
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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 '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.
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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.
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 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 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
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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
(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,
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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 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.
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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.
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
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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 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.
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'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 cities in which the Corporate Trust Office or, if applicable, the offices of
the Servicer or the Special Servicer, are 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 per annum 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.
'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
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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.
'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.
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'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.
'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.
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'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.
'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.
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'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.
'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.
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'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.
'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.
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'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.
'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.
111
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'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.
'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.
112
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'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.
'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.
113
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'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.
'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.
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[PHOTOS]
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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, Lehman Brothers or
Goldman, Sachs & Co. 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-4
Summary of Terms........................................................................................................... S-17
Risk Factors............................................................................................................... S-40
Description of the Certificates............................................................................................ S-49
The Trust.................................................................................................................. S-76
Servicing of Mortgage Loans................................................................................................ S-116
Yield, Prepayment and Maturity Considerations.............................................................................. S-134
Legal Investment Considerations............................................................................................ S-138
Certain Legal Aspects of Mortgage Loans Located in California, New Jersey, Georgia, Florida, Illinois and Maryland......... S-138
Use of Proceeds............................................................................................................ S-140
ERISA Considerations....................................................................................................... S-140
Federal Income Tax Considerations.......................................................................................... S-142
Underwriting............................................................................................................... S-144
Legal Matters.............................................................................................................. S-145
Certificate Rating......................................................................................................... S-145
Incorporation of Certain Information by Reference.......................................................................... S-146
Index of Principal Terms................................................................................................... S-147
Appendix A................................................................................................................. A-1
Appendix B................................................................................................................. B-1
Appendix C-1............................................................................................................... C-1-1
Appendix C-2............................................................................................................... C-2-1
Appendix C-3............................................................................................................... C-3-1
Appendix C-4............................................................................................................... C-4-1
Appendix C-5............................................................................................................... C-5-1
Appendix C-6............................................................................................................... C-6-1
Appendix C-7............................................................................................................... C-7-1
Appendix D................................................................................................................. D-1
Appendix E................................................................................................................. E-1
PROSPECTUS
Prospectus Supplement...................................................................................................... 5
Additional Information..................................................................................................... 5
Incorporation of Certain Documents by Reference............................................................................ 5
Summary of Terms........................................................................................................... 7
Risk Ractors............................................................................................................... 27
Description of the Securities.............................................................................................. 32
Yield and Prepayment Considerations........................................................................................ 42
Security for the Bonds and Certificates.................................................................................... 45
Servicing of Mortgage Loans................................................................................................ 53
Enhancement................................................................................................................ 57
Description of Insurance on the Mortgage Loans............................................................................. 60
Certain Legal Aspects of Mortgage Loans.................................................................................... 62
The Indenture.............................................................................................................. 72
The Trust Agreement........................................................................................................ 76
The Issuer................................................................................................................. 82
Use of Proceeds............................................................................................................ 84
Limitations on Issuance of Bearer Securities............................................................................... 84
Federal Income Tax Considerations.......................................................................................... 85
State and Local Tax Considerations......................................................................................... 99
ERISA Considerations....................................................................................................... 100
Legal Investment........................................................................................................... 102
Plan of Distribution....................................................................................................... 102
Legal Matters.............................................................................................................. 103
Glossary................................................................................................................... 103
</TABLE>
UNTIL MAY 9, 1996, 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.
$1,616,274,142
(APPROXIMATE)
STRUCTURED ASSET
SECURITIES CORPORATION
MULTICLASS PASS-THROUGH CERTIFICATES,
SERIES 1996-CFL
---------------------------
PROSPECTUS SUPPLEMENT
February 9, 1996
---------------------------
LEHMAN BROTHERS
GOLDMAN, SACHS & CO.
________________________________________________________________________________
<PAGE>
<PAGE>
APPENDIX OF OMITTED GRAPHIC MATERIAL
Graphic and Image Information in the paper format prospectus:
Inside Front cover
Color photographs of the exteriors of buildings situated
on the following five Mortgaged Properties: First Trust Center (St. Paul
Minnesota); One and Two Little Falls Center (New Castle, Delaware); Bridgewater
Apartments (Duluth, Georgia); Deerwood Apartments (Corona, California); and
Chevy Chase Plaza (Washington, D.C.).
Page S-7
A chart depicting, in graphic form, the structure of the Regular Certificates
(other than the Class P Certificates) on a Mortgage Loan Group-by-Mortgage Loan
Group basis. The chart sets forth the following; (i) the Class X-1 Certificates
are stripped off of each Group 1 Mortgage Loan; (ii) the Class X-1A Certificates
are stripped off the Class A-1A through Class D Certificates; (iii) the Class
A-1A, Class A-1B and Class A-1C Certificates are primarily supported by the
Group 1 Mortgage Loans, (iv) the Class X-2 Certificates are stripped off of each
Group 2 Mortgage Loan, (v) the Class X-2A Certificates are stripped off of
the Class A-2A and Class A-2B Certificates, (vi) the Class A-2A and Class
A-2B Certificates are primarily supported by the Group 2 Mortgage Loans,
(vii) each Class of Subordinate Certificates is supported by Mortgage Loans
in both Mortgage Loan Groups, and (viii) the relative subordination of each
Class of Subordinate Certificates. In addition, the chart sets forth the
ratings, if any, of each Class of Certificates, the approximate percentage of
the aggregate Certificate Principal Amount represented by the Senior
Certificates and each Class of the Subordinate Certificates, and the
approximate credit support available for the Senior Certificates and each Class
of Subordinate Certificates. The approximate credit support is as follows:
(i) 41.0% with respect to the Senior Certificates, (ii) 36.0% with respect to
the Class B Certificates, (iii) 29.0% with respect to the Class C
Certificates, (iv) 22.0% with respect to the Class D Certificates,
(v) 17.0% with respect to the Class E Certificates, (vi) 14.0% with respect to
the Class F Certificates, (vii) 9.0% with respect to the Class G
Certificates, (viii) 6.5% with respect to the Class H Certificates, (ix) 3.0%
with respect to the Class I Certificates, and (x) 0.0% with respect to the
Class J Certificates.
Inside Back cover
Color photographs of the exteriors of buildings situated on the following
four Mortgaged Properties: The C.P.A.S. Building (Washington, D.C.), Oakton
Gable (Oakton, Virginia), Oak Tree Center (Edison, New Jersey), and The
Grandview (Atlanta, Georgia).
STATEMENT OF DIFFERENCES
------------------------
The section symbol shall be expressed as SS
<PAGE>
