SUPPLEMENT
(To Supplement dated July 9, 1996 to Supplement dated June 28, 1996 to
Prospectus Supplement dated February 9, 1996 and Prospectus dated January 29,
1996)
Structured Asset Securities Corporation
Multiclass Pass-Through Certificates, Series 1996-CFL
Class X Certificates
--------------------
This is a Supplement ("Supplement") to the Supplement dated July 9, 1996
(the "July Supplement") to the Supplement dated June 28, 1996 (the "June
Supplement") to the Prospectus Supplement dated February 9, 1996 (as
supplemented by the July Supplement and the June Supplement, the "Prospectus
Supplement") and the Prospectus dated January 29, 1996 relating to the
Structured Asset Securities Corporation Multiclass Pass-Through Certificates,
Series 1996-CFL, Class X. Capitalized terms used herein and not otherwise
defined shall have the meanings given them in the Prospectus Supplement or the
Prospectus, as applicable.
This Supplement modifies and supplements the Prospectus Supplement to the
extent described herein, and in all other respects the Prospectus Supplement
remains unchanged.
CLIC (U.S.) has conveyed the Class LR Certificates to a trust (the "Trust")
pursuant to the terms of a Trust Agreement dated September 25, 1996 (the "Trust
Agreement") between the Rehabilitator and The Chase Manhattan Bank (the "Grantor
Trustee"). The Trust has issued Class LR Trust Certificates representing a 100%
undivided interest in the Trust. The terms of the Trust Agreement prohibit the
exercise by the Grantor Trustee, as the holder of the Class LR Certificates, of
the option under Section 9.01(c) of the Pooling and Servicing Agreement to
purchase the Mortgage Loans and any REO Properties remaining in the Trust Fund
prior to the reduction of the aggregate Certificate Principal Amount of the
Certificates then outstanding to 5% or less of the initial aggregate Certificate
Principal Amount of all Classes of Certificates. The Trust Agreement also
requires the consent of the holders of all of the Class X Certificates to amend
this provision of the Trust Agreement or to terminate the Trust Agreement.
The Depositor and the Servicer have assigned to The Chase Manhattan Bank
their rights to exercise the aforementioned option so as to prevent the exercise
by them of such option prior to the reduction of the aggregate Certificate
Principal Amount of the Certificates then outstanding to 5% or less of the
initial aggregate Certificate Principal Amount of all Classes of Certificates.
The Pooling and Servicing Agreement has been amended by an amendment dated
September 20, 1996 (the "Amendment"). The Amendment clarifies, among other
things: (i) that Advances are required to be made with respect to the Retained
Servicing Interest, and (ii) the date on which the U.S. Treasury issue referred
to in the definition of "Reinvestment Yield" shall be determined, namely, the
16th day of the month of the related Distribution Date for any Prepayment
Charges. The Amendment also provides that any successor servicer (including the
Trustee in such capacity) must agree not to exercise its right as Servicer
pursuant to Section 9.01(c) of the Pooling and Servicing Agreement at any date
before such date as of which the aggregate Certificate Principal Amount of the
outstanding Classes of Certificates is reduced to less than or equal to 5% of
the initial aggregate Certificate Principal Amount of all the Classes of
Certificates.
The following pages contain updated information regarding the Mortgage
Loans.
This Supplement does not contain complete information about the offering of
the Class X Certificates and should be read only in conjunction with the
Prospectus and the Prospectus Supplement. Sales of Class X Certificates may not
be consummated unless the purchaser has received this Supplement, the Prospectus
Supplement and the Prospectus.
LEHMAN BROTHERS
October 2, 1996
<PAGE>
THE MORTGAGE LOANS
The following tables show changes that have occurred in the Mortgage Pool
between June 16, 1996 and September 15, 1996, except as otherwise indicated. All
statistical information provided herein with respect to the Mortgage Loans is
provided on an approximate basis.
Mortgage Loans Paid Off Between June 16, 1996 and September 15, 1996
The following represents the 16 Mortgage Loans that have paid off between
June 16, 1996 and September 15, 1996. Each table sets forth information by
reference to the Distribution Date on which the respective principal payments
relating to such Mortgage Loans were distributed. All Prepayment Charges paid,
if any, were in accordance with the terms of the respective Mortgage Note. All
Scheduled Principal Balances are rounded and are as of their respective payoff
dates. Debt service coverage ratios ("DSCR") are as set forth in Appendix A of
the Prospectus Supplement.
<TABLE>
<CAPTION>
Distributed on July 25, 1996 Distribution Date
Scheduled Mortgage Prepayment
Loan Loan Property Principal Interest DSCR Maturity Charges
No. Group Property Name Type Balance ($) Rate (%) (x) Date Paid ($) Note
- --- ----- ------------- ---- ----------- -------- --- ---- -------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
82 1 Quail Hill Multifamily 5,667,770 9.250 1.00 6/05/96 N/A --
Apartments
116 1 Mercado Retail 4,620,135 9.000 1.44 4/01/97 169,181 --
Fiesta
Shopping
Center
401 2 Chateau Multifamily 1,281,975 9.250 1.78 5/20/02 52,689 --
Brentana
Apartments
477 1 5464 & 5480 Office 905,406 9.500 1.09 4/10/96 N/A (1)
Baltimore
Drive
502 1 The Housing Office 727,417 10.000 1.50 7/01/96 N/A --
Center
Theophilos No Yield
523 1 Center Retail 619,466 8.250 3.44 4/30/97 N/A Maintenance
------- ---
Total 13,822,169 221,870
========== =======
<FN>
- ----------
(1) Prior to pay off, Mortgage Loan No. 477 was being serviced by the Special
Servicer.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Distributed on August 25, 1996 Distribution Date
Scheduled Mortgage Prepayment
Loan Loan Property Principal Interest DSCR Maturity Charges
No. Group Property Name Type Balance ($) Rate (%) (x) Date Paid ($) Note
- --- ----- ------------- ---- ----------- -------- --- ---- -------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
25 1 Park 90-5 Office Park Warehouse 12,018,296 8.875 0.87 11/01/97 N/A (1)
268 2 West Marine Industrial 2,215,318 9.500 1.26 8/15/01 N/A Option
Period
445 1 Dowel Associates Warehouse 1,044,400 9.500 1.47 7/01/96 N/A --
471 1 22 West 600 Butterfield Office 933,566 9.875 1.85 8/01/96 1,072 --
------- -----
Total 16,211,580 1,072
========== =====
<FN>
- ----------
(1) When the Mortgage Loan was previously modified, a section of the Mortgage
Note pertaining to prepayment provisions was deleted. The Servicer believes
that the Mortgage Loan was subject to prepayment without penalty.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Distributed on September 25, 1996 Distribution Date
Scheduled Mortgage Prepayment
Loan Loan Property Principal Interest DSCR Maturity Charges
No. Group Property Name Type Balance ($) Rate (%) (x) Date Paid ($) Note
- --- ----- ------------- ---- ----------- -------- --- ---- -------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
87 1 Tri-Center South I Warehouse 5,306,075 9.500 1.25 11/15/96 53,061 --
242 1 Hurst Federated Retail 2,421,778 9.500 2.05 12/01/96 50,776 --
Shopping Center
275 1 Olympic/Bundy Center Warehouse 2,123,693 9.875 1.45 12/01/96 21,237 --
391 1 Tamara Colonial Multifamily 1,352,948 9.750 1.21 5/01/96 N/A (1)
Estates
457 1 Chalet Robaire Multifamily 1,004,864 9.875 1.20 8/01/96 N/A --
544 1 Everspring Enterprises Industrial 475,065 9.875 2.01 11/01/09 9,501 --
------- -----
Total 12,684,423 134,575
========== =======
<FN>
- ----------
(1) Prior to pay off, Mortgage Loan No. 391 was being serviced by the
Special Servicer.
</FN>
</TABLE>
Mortgage Loans Paid Off After September 15, 1996
The following represents the 4 Mortgage Loans that have paid off after
September 15, 1996. The respective principal payments relating to such Mortgage
Loans will be distributed on the October 25, 1996 Distribution Date. All
Prepayment Charges paid, if any, were in accordance with the terms of the
respective Mortgage Note. All Scheduled Principal Balances are rounded and are
as of their respective payoff dates. Debt service coverage ratios ("DSCR") are
as set forth in Appendix A of the Prospectus Supplement.
<TABLE>
<CAPTION>
Scheduled Mortgage Prepayment
Loan Loan Property Principal Interest DSCR Maturity Charges
No. Group Property Name Type Balance ($) Rate (%) (x) Date Paid ($) Note
- --- ----- ------------- ---- ----------- -------- --- ---- -------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
81 1 Timberlake Apartments II Multifamily 5,696,384 8.750 1.38 11/01/97 173,108 --
325 1 The Bill Milburn Building Office 1,802,171 9.875 1.55 7/01/96 N/A (1)
425 1 Shell Ridge Professional Office 1,185,900 10.250 1.14 9/01/96 3,624 --
Park
558 1 Belmont Square Shopping Retail 310,051 8.500 1.25 12/31/02 N/A (2)
Center ------- ---
Total 8,994,506 176,732
========= =======
<FN>
- ----------
(1) Prior to pay off, Mortgage Loan No. 325 was being serviced by the Special
Servicer.
(2) Mortgage Loan No. 558 was secured by a Mortgaged 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 and subsequently transferred
by CLIC (U.S.) to Confederation Real Estate (U.S.), Inc. ("Confederation
Real Estate"), an affiliate of CLIC (U.S.). Since Confederation Real Estate
was the Mortgagor under this Mortgage Loan at the time of the prepayment,
in accordance with the terms of the Mortgage Note, it could prepay the
Mortgage Loan at any time without any Prepayment Charge.
</FN>
</TABLE>
<PAGE>
Mortgage Loans That Have Negotiated Extensions
The Mortgagor for each of the following Mortgage Loans has received the
approval of the Servicer and the Special Servicer for a one-year extension (with
the exception of Mortgage Loan No. 210, which negotiated a three-month extension
and Mortgage Loan No. 16, which is negotiating a 150-day extension) of the
respective maturity date of such Mortgage Loan. As of the date hereof, with the
exception of Mortgage Loan Nos. 200 and 503, the modifications effecting the
extensions had not yet closed. There is expected to be no Prepayment Charge for
any of these Mortgage Loans during the extension period.
<TABLE>
<CAPTION>
Scheduled Mortgage Current Assumed
Loan Loan Property Principal Balance Interest Rate DSCR(1) Maturity Maturity
No. Group Property Name Type as of 9/01/96 ($) (%) (x) Date Date
- --- ----- ------------- ---- ----------------- --- --- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
16(3) 1 The Village at Bedminster Retail 16,164,532 9.500 1.08 8/06/96 1/06/97
121 1 Teagarden Street Warehouse 4,325,577 9.250 1.41 6/10/96 6/10/97
200 1 Sunrise Medical Warehouse 2,880,382 9.625 1.55 4/15/97 N/A
210 1 Plantation Ridge Multifamily 2,719,222 8.875 0.91(2) 7/15/96 10/15/96
Apartments
485 1 McFadden-Harbor Plaza Retail 859,993 9.625 1.28 6/01/96 6/01/97
503 1 3630 Wilshire Blvd. Office 713,187 9.750 1.61 4/01/97 N/A
-------
Total 27,662,893
==========
<FN>
- ----------
(1) DSCR is as set forth in Appendix A of the Prospectus Supplement.
(2) Mortgage Loan No. 210 is a second lien. Annual debt service on the first
lien of $1,097,796, which is based on information provided on September 18,
1995, is included in the re-calculated DSCR.
(3) Currently in negotiation.
</FN>
</TABLE>
Change of Mortgage Loan From Interest Only to Amortizing
The following Mortgage Loan was an interest only Mortgage Loan as of the
Closing Date and since June 16, 1996 has converted to an amortizing Mortgage
Loan in accordance with the terms of its Mortgage Note. Principal payments began
in September 1996.
<TABLE>
<CAPTION>
Annual Annual
Scheduled Debt DSCR Debt
Principal Mortgage Service as of Scheduled Service
Balance Interest as of Issuance Amort. as of Current
Loan Loan Property Property as of Maturity Rate Issuance Date Term 8/15/96 DSCR(1)(2)
No. Group Name Type 9/01/96 ($) Date (%) Date ($) (x) (mo.) ($) (x)
- --- ----- ---- ---- ----------- ---- --- -------- --- ----- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
221 1 777 North Office $2,650,000 8/15/00 8.800 233,200 1.15 360 251,316 1.09
Capital
Street, NE
<FN>
- ----------
(1) Based on Annual Debt Service as of August 15,1996 and the related
Normalized NOI set forth in Appendix A of the Prospectus Supplement.
(2) Mortgage Loan No. 221 is a second lien. Annual debt service on the first
lien, which is Mortgage Loan No. 2, is $3,040,188.
</FN>
</TABLE>
<PAGE>
Group 2 Mortgage Loans That Have Passed Rate Reset Option Periods Between
June 16, 1996 and September 15, 1996
None of the Mortgagors with respect to the following Group 2 Mortgage
Loans exercised its right to prepay its respective Rate Reset Mortgage Loan in
full without any Prepayment Charges during its respective Option Period, which
expired between June 16, 1996 and September 15, 1996.
<TABLE>
<CAPTION>
Scheduled
Principal Prepayment Prepayment
Balance Mortgage Next Status Charge
Loan Property as of Interest DSCR(1) Maturity Rate Reset as of Expiration
No. Property Name Type 9/01/96 Rate (%) (x) Date Date 9/15/96 Date(2)
($)
- --- ------------- ---- ------- -------- --- ---- ---- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
166 Providence Square Retail 3,568,421 8.250 1.49 6/15/03 N/A Yield 6/15/03
Maintenance
193 Cartwright Holding Company Warehouse 2,948,160 9.625 1.54 6/01/02 N/A Yield 6/01/02
Maintenance
299 Cooper Center Retail 1,967,565 9.750 1.12 7/01/01 N/A Yield 7/01/01
Maintenance
332 2555 Midpoint Drive Warehouse 1,738,903 9.625 1.36 6/15/01 N/A Yield 5/15/01
Maintenance
393 848 East Gish Warehouse 1,338,244 7.500 1.14 7/15/99 N/A Yield 7/15/99
Road Maintenance
489 The Mayette Multifamily 825,285 10.000 1.48 8/01/01 N/A Yield 8/01/01
Apartments ------- Maintenance
Total 12,386,578
===========
<FN>
- ----------
(1) DSCR is as set forth in Appendix A of the Prospectus Supplement.
(2) In the case of a Mortgage Loan with another Rate Reset Date, Prepayment
Charge Expiration Date 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).
</FN>
</TABLE>
<PAGE>
Specially Serviced Mortgage Loans
The following Mortgage Loans are being serviced by the Special Servicer:
<TABLE>
<CAPTION>
Scheduled Mortgage
Loan Loan Property Principal Balance Interest DSCR(12) Maturity Transfer Date
No. Group Property Name Type as of 9/01/96 ($) Rate (%) (x) Date Reason Transferred
- --- ----- ------------- ---- ----------------- -------- --- ---- ------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
04 1 Chevy Chase Plaza Office 26,364,293 8.350 1.41 9/01/01 (1) 7/11/96
77 1 Woods Edge Apartments Multifamily 5,838,550 8.500 1.21 7/05/96 (2) 6/11/96
141 1 Parkway Industrial Center, Warehouse 4,040,615 9.625 1.04 11/01/07 (3) 4/19/96
Lot 9
207 2 200 Webster Street Office 2,758,616 9.250 1.18 10/15/02 (4) 8/22/96
348 1 645 Redondo Avenue Multifamily 1,680,748 10.125 1.55 6/01/08 (5) 4/08/96
376 1 Southlawn Buildings Warehouse 1,450,736 9.500 0.98 7/15/96 (6) 7/11/96
419 1 Barry Plaza Retail 1,207,540 9.000 1.82 3/01/03 (7) 6/11/96
434 1 Lake Avenue Corporate Office 1,134,783 10.000 1.00 6/01/96 (8) 5/23/96
Center
470 1 Chapman Center Retail 936,757 9.500 1.11 7/01/97 (9) 7/10/96
501 1 F & M Distributors Retail 720,882 10.250 1.65 10/01/96 (10) 7/31/96
520 1 Handy Andy Home Retail 621,091 8.125 2.16 6/01/99 (11) 7/31/96
Improvement -------
Total 46,754,611
==========
<FN>
- ----------
(1) Provisions in the mortgage loan documents require lender approval for all
new leases for more than 10,000 square feet. A current tenant requested a
mark-to-market of its current lease in exchange for more space. Since such
a mark-to-market would result in a substantial decline in lease payments,
the Servicer denied the request. The Special Servicer reviewed and approved
the request. However, the Mortgagor advises that the tenant has not entered
into a new lease. Additionally, a major tenant with the right to terminate
its lease has requested a mark-to-market of its current above-market lease,
but the Mortgagor has not sought the lender's consent for such request.
Occupancy of the Mortgaged Property has decreased to 81%, but new leasing
activity is expected to increase the occupancy to 88% by year-end. The
Mortgage Loan is current. The Property Valuation required under the Pooling
and Servicing Agreement reflected a value of $26.1 million. An unreviewed
MAI appraisal reflected a value of $27.1 million. The Mortgagor has
expressed an interest in negotiating a discounted payoff.
(2) The Mortgagor was unable to payoff the Mortgage Loan at its maturity on
July 5, 1996 and has requested a one-year extension. However, the Mortgage
Loan's DSCR is lower than the 1.25x required for approval of such an
extension by the Servicer. The Special Servicer performed a Property
Valuation, as required under the Pooling and Servicing Agreement, and
estimated a value of $6,700,000. The Special Servicer and the Mortgagor
entered into a Forbearance Agreement, expiring October 31, 1996, which
provides for interest only payments at the 13.5% default rate. The
Mortgagor expressed that it expects to pay in full upon expiration of the
Agreement.
(3) The Mortgagor has indicated that it anticipates being unable to continue to
pay the Mortgage Loan's monthly principal and interest payments. The lease
of the Mortgaged Property's sole tenant expired on May 31, 1996. The
Mortgagor and the tenant have negotiated a new short term lease to May
1997, which will continue the present above market rents and enable the
Mortgagor to continue remittance of monthly payments during the new lease
term. However, market rents are below the old lease terms and will not
service the debt on the existing Mortgage Note terms. The Special Servicer
obtained approval from the Operating Advisor for a three-month forbearance
period during which the Mortgagor will remit net cash flow. The Mortgagor
and Special Servicer will attempt to negotiate a final resolution during
the forbearance period. If the negotiations are unsuccessful, a foreclosure
is likely. A recently reviewed appraisal of the Mortgaged Property reflects
a valuation of $1,400,000.
(4) The sole tenant vacated the Mortgaged Property in February 1996. The
Mortgagor has since successfully re-leased 80% of the Mortgaged Property.
However, free rent concessions remain in effect, and the August 15, 1996
payment remains outstanding. The Mortgagor and Special Servicer are
discussing possible repayment plans. The Special Servicer will inspect the
Mortgaged Property on October 7, 1996.
(5) The Mortgagor has experienced financial problems and the Mortgaged Property
has suffered with significant deferred maintenance. The Mortgagor has
increased its discounted payoff offer from $1,200,000 to $1,500,000. A
recent reviewed appraisal reflects a valuation of $1,750,000. The Mortgage
Loan is current. The Special Servicer and the Mortgagor are discussing
alternatives. The Special Serviceris in the process of ordering a
Structural Engineering Report to assess purported earthquake damage.
(6) The Mortgagor was unable to payoff the Mortgage Loan at its July 15, 1996
maturity. The Mortgage Loan's DSCR is lower than the 1.25x required for
approval of a one year extension by the Servicer. The Special Servicer and
the Mortgagor have negotiated, subject to the approval of the Operating
Advisor, a five-year extension with an interest rate of 9% and a 20-year
amortization schedule. The Mortgage Loan is current.
(7) The Mortgaged Property reported negative cash flow at year end 1995. The
Mortgaged Property is currently 68% occupied. The largest tenant vacated in
May 1996. The Mortgagor initially proposed a $600,000 discounted payoff. A
$1,100,000 counter-offer has been proposed by the Special Servicer, with
the Mortgagor most recently offering $1,000,000. The Special Servicer is
not prepared to recommend acceptance. The Mortgagor remitted the August and
September payments late, but the Mortgage Loan is now current. The
Operating Advisor has approved the Special Servicer's recommendation to
initiate foreclosure upon default. A recent reviewed appraisal of the
Mortgaged Property reflects a valuation of $1,475,000. The Mortgagor has
proposed a deed-in-lieu of foreclosure. The Special Servicer is preparing a
recommendation to the Operating Advisor that the Mortgagor's proposal be
accepted.
(8) The Mortgage Loan matured on June 1, 1996. The Mortgagor claims it cannot
refinance the Mortgage Loan due to an alleged decline in the value of the
Mortgaged Property. The Special Servicer and the Mortgagor have negotiated,
and the Operating Adviser has approved, a five-year extension with an
interest rate of 9% with a 20-year amortization period. The modification
has closed. The Mortgage Loan is current.
(9) The Mortgagor has indicated that the Mortgaged Property's cash flow cannot
service the debt on the existing Mortgage Note and that he will not
continue to come out-of-pocket. The Mortgagor has proposed a $560,000
discounted payoff. The Special Servicer met with the Mortgagor and
inspected the Mortgaged Property. An unreviewed MAI appraisal reflected a
value of $1,005,000. The Mortgagor has not yet remitted the September 1996
or October 1996 payment. The Special Servicer is seeking a court-appointed
receiver with respect to the Mortgaged Property.
(10) The Mortgaged Property is vacant and the Mortgagor has proposed a $750,000
discounted payoff (aggregate for both Mortgage Loans 501 and 520). The
single tenant is in bankruptcy, has rejected the lease and has vacated the
Mortgaged Property. The tenant is in the process of settling its lease
obligations. The Special Servicer met with the Mortgagor, inspected the
Mortgaged Property and obtained an MAI appraisal. The appraisal, which is
under review, indicates an "as is" value of $650,000. The Mortgagor has not
yet remitted the July 1, 1996 and all subsequent payments.
(11) The Mortgaged Property is vacant and the Mortgagor has proposed a $750,000
discounted payoff (aggregate for both Mortgage Loans 501 and 520). The
single tenant is in bankruptcy, has rejected the lease and has vacated the
Mortgaged Property. The Special Servicer met with the Mortgagor, inspected
the Mortgaged Property and obtained an MAI appraisal. The appraisal, which
is under review, indicates an "as is" value of $750,000. The Mortgagor has
not yet remitted the August 1, 1996 and all subsequent payments.
(12) DSCR is as set forth in Appendix A of the Prospectus Supplement.
</FN>
</TABLE>
<PAGE>
Mortgage Loan Delinquency Information
As of September 1, 1996, Mortgage Loan No. 501, a Group 1 Mortgage Loan
with a Scheduled Principal Balance of approximately $720,882, was 60-89 days
delinquent, and Mortgage Loan No. 520, a Group 1 Mortgage Loan with a Scheduled
Principal Balance of approximately $621,091, was 30-59 days delinquent.
Prepayment History
Mortgage Loans maturing within 30 days of the related Distribution Date
and Group 2 Mortgage Loans that prepaid during their related Option Period were
assumed to be scheduled and not included as a prepayment for the purposes of
calculating the historic prepayment rates below (all of which are expressed as
annual rates):
Group 1 Mortgage Loans:
1 month 2 month 3 month Life
------- ------- ------- ----
September 1996 ..... 8.05% 8.63% 7.14% 5.28%
August 1996 ........ 9.21% 6.68% 4.77% 4.81%
July 1996 .......... 4.09% 2.46% 2.43% 3.90%
June 1996 .......... 0.81% 1.59% 3.85% 3.86%
May 1996 ........... 2.36% 5.34% 4.85% 4.85%
April 1996 ......... 8.23% 6.07% N/A 6.07%
March 1996 ......... 3.86% N/A N/A 3.86%
Group 2 Mortgage Loans:
1 month 2 month 3 month Life
------- ------- ------- ----
September 1996...... 0.00% 0.00% 1.49% 2.02%
August 1996......... 0.00% 2.23% 1.49% 2.35%
July 1996........... 4.41% 2.23% 1.49% 2.81%
June 1996........... 0.00% 0.00% 1.73% 2.41%
May 1996............ 0.00% 2.58% 3.20% 3.20%
April 1996.......... 5.10% 4.76% N/A 4.76%
March 1996.......... 4.43% N/A N/A 4.43%
Total Mortgage Pool:
1 month 2 month 3 month Life
------- ------- ------- ----
September 1996...... 6.60% 7.09% 6.12% 4.69%
August 1996......... 7.57% 5.88% 4.17% 4.36%
July 1996........... 4.15% 2.42% 2.26% 3.71%
June 1996........... 0.66% 1.30% 3.47% 3.60%
May 1996............ 1.94% 4.85% 4.55% 4.55%
April 1996.......... 7.67% 5.84% N/A 5.84%
March 1996.......... 3.97% N/A N/A 3.97%
<PAGE>
Prepayment History Excluding Certain Mortgage Loans
The following types of Mortgage Loans were assumed to be scheduled and
not included as a prepayment for the purposes of calculating the historic
prepayment rates below (all of which are expressed as annual rates):
(a) Mortgage Loans maturing within 30 days of the related Distribution
Date.
(b) Mortgage Loans that prepaid with Prepayment Charges in accordance with
the terms of their respective Mortgage Note.
(c) Group 2 Mortgage Loans that prepaid during their related Option
Period.
Group 1 Mortgage Loans:
1 month 2 month 3 month Life
------- ------- ------- ----
September 1996...... 0.00% 4.72% 3.33% 3.16%
August 1996......... 9.21% 4.95% 3.45% 3.68%
July 1996........... 0.49% 0.44% 0.29% 2.54%
June 1996........... 0.38% 0.19% 2.94% 3.04%
May 1996............ 0.00% 4.20% 3.91% 3.91%
April 1996.......... 8.23% 5.81% N/A 5.81%
March 1996.......... 3.33% N/A N/A 3.33%
Group 2 Mortgage Loans:
1 month 2 month 3 month Life
------- ------- ------- ----
September 1996...... 0.00% 0.00% 0.00% 0.00%
August 1996......... 0.00% 0.00% 0.00% 0.00%
July 1996........... 0.00% 0.00% 0.00% 0.00%
June 1996........... 0.00% 0.00% 0.00% 0.00%
May 1996............ 0.00% 0.00% 0.00% 0.00%
April 1996.......... 0.00% 0.00% N/A 0.00%
March 1996.......... 0.00% N/A N/A 0.00%
Total Mortgage Pool:
1 month 2 month 3 month Life
------- ------- ------- ----
September 1996...... 0.00% 3.86% 2.72% 2.59%
August 1996......... 7.57% 4.06% 2.82% 3.02%
July 1996........... 0.40% 0.36% 0.24% 2.08%
June 1996........... 0.31% 0.16% 2.42% 2.50%
May 1996............ 0.00% 3.46% 3.22% 3.22%
April 1996.......... 6.79% 4.79% N/A 4.79%
March 1996.......... 2.73% N/A N/A 2.73%
There is no assurance that prepayments of the Mortgage Loans will conform
to any level of constant prepayment rate, and no representation is made that the
Mortgage Loans will prepay at the levels of constant prepayment rate shown above
or at any other prepayment rate.
